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Form NPORT-P PUTNAM FUNDS TRUST For: Feb 28

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April 28, 2021 1:40 PM EDT 

    
        NPORT-P
        false
        
            
            
                
                    0001005942
                    XXXXXXXX
                
            
            
            
            
                S000048370
                C000219743
                C000213253
                C000213254
                C000152757
                C000213255
            
            
            
        
    
    
        
            Putnam Funds Trust
            811-07513
            0001005942
            549300S9JYWEMKQCLW53
            100 FEDERAL STREET
            BOSTON
            
            02110
            1-800-225-1581
            Putnam Mortgage Opportunities Fund
            S000048370
            549300SDR1EM41OFS298
            2021-05-31
            2021-02-28
            N
        
        
            314848042.62
            135015660.82
            179832381.81
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            172518.72
            
                
                    USD
                    
                    
                
            
            
            
            N
            
                
                    
                    
                    
                    
                    
                
                
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                
                
                
                
            
            
            
            
            
            
        
        
            
                GSAA HOME EQUITY TRUST 2005-15
                N/A
                ASSET BACKED SECURITY
                362341D71
                
                    
                
                387389.92
                PA
                USD
                205803.68
                0.114441947512
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2036-01-25
                    Floating
                    .618
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GSAA HOME EQUITY TRUST 2006-8
                N/A
                ASSET BACKED SECURITY
                362348AS3
                
                    
                
                83621.38
                PA
                USD
                29902.1
                0.016627761752
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2036-05-25
                    Floating
                    .478
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GSAA HOME EQUITY TRUST 2006-1
                N/A
                ASSET BACKED SECURITY
                362341Z28
                
                    
                
                1226007.26
                PA
                USD
                514923.05
                0.286334999747
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2036-01-25
                    Floating
                    .298
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4
                N/A
                ASSET BACKED SECURITY
                35563PMX4
                
                    
                
                370000
                PA
                USD
                384665.21
                0.213902082666
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2059-02-25
                    Variable
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP MORTGAGE LOAN TRUST INC
                549300R1KUK063S4I339
                ASSET BACKED SECURITY
                17312EAE6
                
                    
                
                222516.19
                PA
                USD
                203229.27
                0.113010386647
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2037-03-25
                    Floating
                    .468
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                90269CAV2
                
                    
                
                37000
                PA
                USD
                9001.4
                0.005005438903
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2063-05-10
                    Variable
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46641JAE6
                
                    
                
                1394000
                PA
                USD
                780896.5
                0.434235754507
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-02-15
                    Variable
                    4.794
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46634SAR6
                
                    
                
                100000
                PA
                USD
                27751.8
                0.015432037167
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-05-15
                    Variable
                    2.972
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-CCRE16 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12591VAK7
                
                    
                
                436000
                PA
                USD
                468062.09
                0.26027686743
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-04-10
                    Variable
                    4.937
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2011-GC3
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36248FAS1
                
                    
                
                290000
                PA
                USD
                240389.03
                0.13367393991
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2044-03-10
                    Variable
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46639YAC1
                
                    
                
                643000
                PA
                USD
                411406.19
                0.228772029742
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-04-15
                    Variable
                    3.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2014-GC20
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36252WBE7
                
                    
                
                396000
                PA
                USD
                373534.17
                0.207712407655
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-04-10
                    Variable
                    4.958
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10
                549300P1YQ48837ZOI22
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61762MBE0
                
                    
                
                482000
                PA
                USD
                363326.3
                0.202036082903
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-07-15
                    Variable
                    4.081
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-CCRE17 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12631DAG8
                
                    
                
                467000
                PA
                USD
                441168.22
                0.245321902296
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-05-10
                    Variable
                    4.847
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61761DAW2
                
                    
                
                1150000
                PA
                USD
                724500
                0.402875162253
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-11-15
                    Variable
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46643PAQ3
                
                    
                
                100000
                PA
                USD
                48953.6
                0.02722179371
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-11-15
                    Variable
                    3.332
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-UBS4 MORTGAGE TRUST
                5493004GWEVMOU8S3L34
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12591QAW2
                
                    
                
                324000
                PA
                USD
                335971.35
                0.186824723456
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-08-10
                    Variable
                    4.644
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46642NBK1
                
                    
                
                354000
                PA
                USD
                331441.35
                0.184305711054
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-09-15
                    Variable
                    4.553
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-CCRE19 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12592GAG8
                
                    
                
                721000
                PA
                USD
                667998.28
                0.371456059958
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-08-10
                    Variable
                    4.708
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-UBS3 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12591YBH7
                
                    
                
                301000
                PA
                USD
                314563.81
                0.174920560376
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-06-10
                    Variable
                    4.738
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                07335CAV6
                
                    
                
                446000
                PA
                USD
                362076.18
                0.201340924452
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2052-08-15
                    Fixed
                    3.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BENCHMARK 2019-B13 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                08162DAR9
                
                    
                
                298000
                PA
                USD
                271180
                0.150795978606
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2057-08-15
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2013-LC6 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                20048EAG6
                
                    
                
                706000
                PA
                USD
                569497.02
                0.316682131587
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-01-10
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01
                5493002KQF9IH3CTQZ40
                COMMERCIAL MORTGAGE BACKED SECURITIES
                62548QAD3
                
                    
                
                1097000
                PA
                USD
                1150579.24
                0.639806484472
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2050-03-25
                    Floating
                    3.868
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12597NAC7
                
                    
                
                251000
                PA
                USD
                220410.25
                0.12256427223
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2053-03-15
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-UBS3 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12591YAG0
                
                    
                
                420000
                PA
                USD
                422823.58
                0.235120936365
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-06-10
                    Variable
                    4.768
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2015-LC19 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                200474AE4
                
                    
                
                440000
                PA
                USD
                424959.92
                0.236308898166
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2048-02-10
                    Fixed
                    2.867
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12527DAH3
                
                    
                
                100000
                PA
                USD
                92230.9
                0.051287148105
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-12-15
                    Variable
                    5.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61762XAE7
                
                    
                
                763000
                PA
                USD
                343350
                0.190927794285
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-10-15
                    Variable
                    4.763
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61690QAS8
                
                    
                
                450000
                PA
                USD
                445021.97
                0.247464870076
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2050-07-15
                    Variable
                    4.144
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2015-CCRE26 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12593QBK5
                
                    
                
                252000
                PA
                USD
                248518.85
                0.138194716379
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2048-10-10
                    Variable
                    3.48
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C29
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61766EBK0
                
                    
                
                651000
                PA
                USD
                683875.96
                0.380285215108
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2049-05-15
                    Variable
                    4.745
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2016-UBS10
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                06054MAW3
                
                    
                
                540000
                PA
                USD
                475970.85
                0.264674718318
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2049-07-15
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1
                549300DNBJ7A0SEFVK31
                COMMERCIAL MORTGAGE BACKED SECURITIES
                95000GBE3
                
                    
                
                459000
                PA
                USD
                408714.81
                0.227275424974
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2049-08-15
                    Variable
                    3.071
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UBS COMMERCIAL MORTGAGE TRUST 2012-C1
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                90269GAN1
                
                    
                
                541000
                PA
                USD
                413315.24
                0.229833601624
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-05-10
                    Variable
                    5.569
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16
                549300PX4QZK7CUM8D08
                COMMERCIAL MORTGAGE BACKED SECURITIES
                94988XAC0
                
                    
                
                777000
                PA
                USD
                174517.23
                0.097044385579
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2050-08-15
                    Fixed
                    3.938
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46640LAS1
                
                    
                
                402000
                PA
                USD
                265552.64
                0.147666753522
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-08-15
                    Variable
                    3.598
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46590TAL9
                
                    
                
                566000
                PA
                USD
                547640.15
                0.304528108057
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2050-03-15
                    Variable
                    4.512
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY CAPITAL I TRUST 2011-C3
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61760RAS1
                
                    
                
                753000
                PA
                USD
                266476.69
                0.148180593127
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2049-07-15
                    Variable
                    5.244
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BANK 2017-BNK9
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                06540RAU8
                
                    
                
                464000
                PA
                USD
                401936.75
                0.223506326255
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2054-11-15
                    Fixed
                    2.8
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10
                549300P1YQ48837ZOI22
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61762MBG5
                
                    
                
                1286000
                PA
                USD
                411520
                0.228835316453
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-07-15
                    Variable
                    4.081
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2014-GC24
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36253GAS1
                
                    
                
                1094000
                PA
                USD
                525120
                0.292005252177
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-09-10
                    Variable
                    4.531
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CSAIL 2018-C14 COMMERCIAL MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12596GAG4
                
                    
                
                401000
                PA
                USD
                387811.11
                0.215651433906
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2051-11-15
                    Variable
                    4.89
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-CCRE17 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12631DAJ2
                
                    
                
                917000
                PA
                USD
                715260
                0.397737044241
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-05-10
                    Variable
                    4.847
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BENCHMARK 2019-B11 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                08162BAJ1
                
                    
                
                370000
                PA
                USD
                338446.03
                0.188200827122
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2052-05-15
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY CAPITAL I TRUST 2006-HQ10
                549300T7A7LUR8384661
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61750HAH9
                
                    
                
                62003.22
                PA
                USD
                61055.7
                0.033951449336
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2041-11-12
                    Variable
                    5.448
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ML-CFC COMMERCIAL MORTGAGE TRUST 2006-4
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                55312VAN8
                
                    
                
                231131.6
                PA
                USD
                231131.6
                0.12852612954
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2049-12-12
                    Variable
                    5.324
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46629PAQ1
                
                    
                
                901708.5
                PA
                USD
                742561.91
                0.412918909557
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-05-15
                    Fixed
                    5.337
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C4
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                20173TAP0
                
                    
                
                9090.92
                PA
                USD
                9085.8
                0.005052371496
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2039-09-15
                    Variable
                    5.719
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2007-CIBC20
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46631QAT9
                
                    
                
                933000
                PA
                USD
                139950
                0.07782246923
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2051-02-12
                    Variable
                    6.28
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP28
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                073945AN7
                
                    
                
                213000
                PA
                USD
                67947
                0.037783517805
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2042-09-11
                    Variable
                    5.718
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2008-C1
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                22546NAH7
                
                    
                
                63742.27
                PA
                USD
                34879.77
                0.019395711523
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2041-02-15
                    Variable
                    5.997
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2008-1
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                05952AAH7
                
                    
                
                9422.55
                PA
                USD
                10745.21
                0.00597512522
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2051-02-10
                    Variable
                    6.786
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2010-C1
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36249KAL4
                
                    
                
                497000
                PA
                USD
                174135.73
                0.096832243586
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2043-08-10
                    Variable
                    5.983
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46635TBA9
                
                    
                
                641000
                PA
                USD
                359357.93
                0.199829377992
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-02-15
                    Variable
                    5.7
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46635TBD3
                
                    
                
                242000
                PA
                USD
                70900.82
                0.03942605847
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-02-15
                    Variable
                    5.7
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C4
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46636DAU0
                
                    
                
                342000
                PA
                USD
                340163.8
                0.189156033288
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-07-15
                    Variable
                    5.342
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                DBUBS 2011-LC2 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                23305XAJ0
                
                    
                
                529000
                PA
                USD
                517089.57
                0.287539743841
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2044-07-10
                    Variable
                    5.458
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY CAPITAL I TRUST 2012-C4
                5493005SNWQW3UUOQX45
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61760VAE3
                
                    
                
                332000
                PA
                USD
                226804.8
                0.126120111249
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-03-15
                    Variable
                    5.418
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY CAPITAL I TRUST 2012-C4
                5493005SNWQW3UUOQX45
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61760VAF0
                
                    
                
                392000
                PA
                USD
                199920
                0.1111701897
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-03-15
                    Variable
                    5.418
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46634SAM7
                
                    
                
                224000
                PA
                USD
                109760
                0.061034613953
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-05-15
                    Variable
                    5.142
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-CIBX
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46637WAG8
                
                    
                
                656000
                PA
                USD
                630053.95
                0.350356228205
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-06-15
                    Variable
                    4.912
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                90269CAT7
                
                    
                
                24000
                PA
                USD
                6883.57
                0.003827770022
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2063-05-10
                    Variable
                    4.889
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                92936TAJ1
                
                    
                
                228000
                PA
                USD
                70774.94
                0.039356059953
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-06-15
                    Variable
                    4.804
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                92936TAK8
                
                    
                
                653000
                PA
                USD
                326500
                0.181557957868
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-06-15
                    Variable
                    4.804
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WELLS FARGO COMMERCIAL MORTGAGE TRUST 2012-LC5
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                94988HAP6
                
                    
                
                360000
                PA
                USD
                349200
                0.194180823545
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-10-15
                    Variable
                    4.758
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2012-CCRE3 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12624PAU9
                
                    
                
                298000
                PA
                USD
                133100.63
                0.074013716918
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-10-15
                    Variable
                    4.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C4
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                90270RAL8
                
                    
                
                522000
                PA
                USD
                299520.47
                0.166555359488
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-12-10
                    Variable
                    4.469
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2012-CCRE4 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12624QBA0
                
                    
                
                880000
                PA
                USD
                687876.64
                0.382509886749
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-10-15
                    Fixed
                    3.703
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                92890NAE9
                
                    
                
                674000
                PA
                USD
                341862.24
                0.190100490556
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-12-15
                    Variable
                    4.427
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES CORP II
                5493005BBCF84ICNQ550
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36192CAQ8
                
                    
                
                452000
                PA
                USD
                404161.22
                0.224743294802
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-02-10
                    Variable
                    4.402
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                17318UAH7
                
                    
                
                440000
                PA
                USD
                429931.92
                0.239073695
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-09-10
                    Variable
                    4.876
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES CORP II
                5493005BBCF84ICNQ550
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36192CAN5
                
                    
                
                349000
                PA
                USD
                361802.12
                0.201188526982
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-02-10
                    Variable
                    4.285
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6
                549300G1IXWLFE766Q13
                COMMERCIAL MORTGAGE BACKED SECURITIES
                90349GAN5
                
                    
                
                645000
                PA
                USD
                658433.74
                0.366137473893
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-04-10
                    Variable
                    3.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46639YAX5
                
                    
                
                740000
                PA
                USD
                576368.54
                0.320503200925
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-04-15
                    Variable
                    4.167
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46639NAW1
                
                    
                
                492000
                PA
                USD
                508500.2
                0.282763423852
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-07-15
                    Variable
                    4.099
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61762TAN6
                
                    
                
                932000
                PA
                USD
                83880
                0.046643434934
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-08-15
                    Variable
                    4.352
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2013-C15
                5493003CHVRASC16O965
                COMMERCIAL MORTGAGE BACKED SECURITIES
                92938CAL1
                
                    
                
                1324000
                PA
                USD
                596257.97
                0.331563183448
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-08-15
                    Variable
                    4.491
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12
                549300V2DF3KW9L1CV04
                COMMERCIAL MORTGAGE BACKED SECURITIES
                94988QAU5
                
                    
                
                482000
                PA
                USD
                241000
                0.134013684062
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-07-15
                    Variable
                    4.274
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2013-GC13
                549300WF5YRKNHB1FX69
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36198EBB0
                
                    
                
                739000
                PA
                USD
                475605.84
                0.264471745974
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-07-10
                    Variable
                    4.084
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46639NAC5
                
                    
                
                625000
                PA
                USD
                462839.81
                0.25737289655
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-07-15
                    Variable
                    4.099
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C14
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61690GAT8
                
                    
                
                347000
                PA
                USD
                362615
                0.201640547909
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-02-15
                    Variable
                    5.05
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                92930RAK8
                
                    
                
                628000
                PA
                USD
                436395.32
                0.242667819671
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-11-15
                    Variable
                    4.814
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UBS COMMERCIAL MORTGAGE TRUST 2012-C1
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                90269GAQ4
                
                    
                
                671000
                PA
                USD
                245268.35
                0.136387199864
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-05-10
                    Variable
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XWW0
                
                    
                
                284000
                PA
                USD
                290193.02
                0.16136861286
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-05-25
                    Floating
                    4.568
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CONNECTICUT AVENUE SECURITIES TRUST 2019-R05
                N/A
                CORP CMO
                20754HAE8
                
                    
                
                168103.24
                PA
                USD
                168103.17
                0.093477697569
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2039-07-25
                    Floating
                    2.118
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2018-HQA2
                5493005RUXPCBST1N217
                CORP CMO
                35563XAH5
                
                    
                
                68800
                PA
                USD
                68909.66
                0.038318827403
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2048-10-25
                    Floating
                    2.418
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2019-DNA1
                5493007222WHFWMBOC78
                CORP CMO
                35563KBE9
                
                    
                
                164000
                PA
                USD
                179765.02
                0.099962541891
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2049-01-25
                    Floating
                    10.868
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2019-DNA2
                549300Y6KOVOWQ8OJC33
                CORP CMO
                35564LBE6
                
                    
                
                755000
                PA
                USD
                831424.2
                0.462332863321
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2049-03-25
                    Floating
                    10.618
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STACR TRUST 2018-DNA3
                549300BL200YC56BUV20
                CORP CMO
                35563WBE3
                
                    
                
                818000
                PA
                USD
                837733.84
                0.465841486149
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2048-09-25
                    Floating
                    7.868
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2018-HQA2
                5493005RUXPCBST1N217
                CORP CMO
                35563XBE1
                
                    
                
                565000
                PA
                USD
                651382.51
                0.362216472608
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2048-10-25
                    Floating
                    11.118
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2019-HQA1
                54930047IR7X5WWFY307
                CORP CMO
                35563MBE5
                
                    
                
                260000
                PA
                USD
                289597.72
                0.161037582378
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2049-02-25
                    Floating
                    12.368
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XDY7
                
                    
                
                248805.56
                PA
                USD
                273982.67
                0.152354468779
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-04-25
                    Floating
                    9.368
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORTGAGE INSURANCE-LINKED NOTES SERIES 2020-1
                N/A
                CORP CMO
                750493AF5
                
                    
                
                1020000
                PA
                USD
                995101.49
                0.553349446848
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-02-25
                    Floating
                    3.118
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                EAGLE RE
                N/A
                CORP CMO
                26982LAH3
                
                    
                
                404000
                PA
                USD
                378570.95
                0.210513226923
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-01-25
                    Floating
                    2.968
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2019-DNA3
                549300KB1O80CETXGJ21
                CORP CMO
                35564TBE9
                
                    
                
                624000
                PA
                USD
                651414.44
                0.362234228031
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2049-07-25
                    Floating
                    8.268
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2019-HQA2
                549300NKHCH87PYOHD44
                CORP CMO
                35564MBE4
                
                    
                
                2150000
                PA
                USD
                2361966.78
                1.313426845725
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2049-04-25
                    Floating
                    11.368
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORTGAGE INSURANCE-LINKED NOTES SERIES 2019-1
                N/A
                CORP CMO
                89600TAC7
                
                    
                
                879000
                PA
                USD
                803726.84
                0.446931098788
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-11-26
                    Floating
                    4.268
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SEASONED CREDIT RISK TRANSFER TRUST SERIES 2017-3
                N/A
                CORP CMO
                35563PCF4
                
                    
                
                400000
                PA
                USD
                400480.96
                0.222696800192
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2056-07-25
                    Variable
                    4.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST SERIES 2020-2
                N/A
                CORP CMO
                85771LAA9
                
                    
                
                824000
                PA
                USD
                824000
                0.458204463349
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-03-26
                    Floating
                    .945
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST SERIES 2020-6
                N/A
                CORP CMO
                N/A
                
                    
                
                690000
                PA
                USD
                690000
                0.383690630717
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-09-07
                    Floating
                    1.865
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST SERIES 2020-WL1
                N/A
                CORP CMO
                N/A
                
                    
                
                682000
                PA
                USD
                682000
                0.379242043694
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2051-06-25
                    Floating
                    1.268
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ARROYO MORTGAGE TRUST 2020-1
                N/A
                CORP CMO
                04285CAD3
                
                    
                
                442000
                PA
                USD
                462720.08
                0.257306317885
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2055-03-25
                    Fixed
                    4.277
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR REMIC TRUST 2020-DNA3
                N/A
                CORP CMO
                35565WBE1
                
                    
                
                750000
                PA
                USD
                877500
                0.487954389064
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2050-06-25
                    Floating
                    9.468
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST SERIES 2020-4
                N/A
                CORP CMO
                61916BAY6
                
                    
                
                320000
                PA
                USD
                319978.53
                0.177931542017
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2023-04-23
                    Floating
                    1.471
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                1SHARPE MORTGAGE TRUST 2020-1
                N/A
                CORP CMO
                N/A
                
                    
                
                1089000
                PA
                USD
                1089653.4
                0.605927246824
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2024-07-25
                    Floating
                    3.088
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES
                N/A
                CORP CMO
                12659LAD4
                
                    
                
                392000
                PA
                USD
                399598.53
                0.222206104361
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2065-04-25
                    Variable
                    3.388
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR REMIC TRUST 2020-DNA4
                N/A
                CORP CMO
                35565XAH3
                
                    
                
                300000
                PA
                USD
                303375
                0.168698761005
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2050-08-25
                    Floating
                    3.868
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST SERIES 2020-13
                N/A
                CORP CMO
                85775WAA1
                
                    
                
                625000
                PA
                USD
                625000
                0.347545861157
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-10-10
                    Floating
                    1.615
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MRA ISSUANCE TRUST 2020-2
                N/A
                CORP CMO
                55346HAB5
                
                    
                
                783000
                PA
                USD
                789915.01
                0.439250707826
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-07-21
                    Floating
                    1.95
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST SERIES 2020-15
                N/A
                CORP CMO
                85775FAA8
                
                    
                
                620000
                PA
                USD
                620000
                0.344765494267
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-12-10
                    Floating
                    1.485
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MELLO WAREHOUSE SECURITIZATION TRUST 2020-1
                N/A
                CORP CMO
                585505AA8
                
                    
                
                186000
                PA
                USD
                186000
                0.10342964828
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2053-10-25
                    Floating
                    1.018
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST
                N/A
                CORP CMO
                61916BBA7
                
                    
                
                269000
                PA
                USD
                269000
                0.149583738642
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2023-08-10
                    Floating
                    1.121
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MRA ISSUANCE TRUST 2020-11
                N/A
                CORP CMO
                55349JAA0
                
                    
                
                428000
                PA
                USD
                430084.87
                0.239158746423
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2022-04-22
                    Floating
                    1.9
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MELLO WAREHOUSE SECURITIZATION TRUST 2020-2
                N/A
                CORP CMO
                58551VAA0
                
                    
                
                112000
                PA
                USD
                112000
                0.062280218319
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2053-11-25
                    Floating
                    .918
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MRA ISSUANCE TRUST 2020-12
                N/A
                CORP CMO
                62477HAA4
                
                    
                
                769000
                PA
                USD
                770653.78
                0.428540050598
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-07-15
                    Floating
                    1.457
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MRA ISSUANCE TRUST 2021-5
                N/A
                CORP CMO
                55348YAA8
                
                    
                
                428000
                PA
                USD
                427997.68
                0.23799811563
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-07-26
                    Floating
                    1.865
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XNV2
                
                    
                
                1000000
                PA
                USD
                1001879.4
                0.557118462157
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-01-25
                    Floating
                    2.318
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORTGAGEIT TRUST 2005-3
                N/A
                CORP CMO
                61915RAQ9
                
                    
                
                16362.97
                PA
                USD
                15903.89
                0.008843729833
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2035-08-25
                    Floating
                    1.063
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
                S6XOOCT0IEG5ABCC6L87
                CORP CMO
                3137G0FZ7
                
                    
                
                1398626.58
                PA
                USD
                1531497.5
                0.851624987995
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2027-12-25
                    Floating
                    7.668
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ALTERNATIVE LOAN TRUST 2006-OA7
                N/A
                CORP CMO
                02146BAB2
                
                    
                
                27713.87
                PA
                USD
                25038.94
                0.013923487944
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2046-06-25
                    Floating
                    1.318
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XBF0
                
                    
                
                1008358.38
                PA
                USD
                1070327.04
                0.595180372538
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-04-25
                    Floating
                    5.818
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
                S6XOOCT0IEG5ABCC6L87
                CORP CMO
                3137G0HM4
                
                    
                
                248527.94
                PA
                USD
                276098.26
                0.153530892057
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-05-25
                    Floating
                    10.618
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
                S6XOOCT0IEG5ABCC6L87
                CORP CMO
                3137G0GM5
                
                    
                
                370070.92
                PA
                USD
                400114.68
                0.222493121635
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-03-25
                    Floating
                    8.918
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
                S6XOOCT0IEG5ABCC6L87
                CORP CMO
                3137G0HZ5
                
                    
                
                246895.62
                PA
                USD
                277297.7
                0.154197868709
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-07-25
                    Floating
                    10.13
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XBQ6
                
                    
                
                26695.64
                PA
                USD
                31922.39
                0.017751191236
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-08-25
                    Floating
                    11.868
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                INDYMAC INDX MORTGAGE LOAN TRUST 2006-AR11
                N/A
                CORP CMO
                45661KAD2
                
                    
                
                33780.94
                PA
                USD
                31665.7
                0.017608452761
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2036-06-25
                    Variable
                    3.521
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XCH5
                
                    
                
                60624.24
                PA
                USD
                71907.72
                0.039985968754
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-09-25
                    Floating
                    12.368
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XCR3
                
                    
                
                86447.8
                PA
                USD
                103567.2
                0.057590962739
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-10-25
                    Floating
                    11.868
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XCY8
                
                    
                
                815438.65
                PA
                USD
                982720.18
                0.546464529975
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-10-25
                    Floating
                    12.868
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR1
                N/A
                CORP CMO
                86362XAP3
                
                    
                
                37625.49
                PA
                USD
                35374.79
                0.019670978966
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2037-01-25
                    Floating
                    .298
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XDN1
                
                    
                
                44842.1
                PA
                USD
                52528.05
                0.029209450195
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-01-25
                    Floating
                    10.868
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XDK7
                
                    
                
                28418.04
                PA
                USD
                29595.25
                0.016457130636
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-01-25
                    Floating
                    4.568
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7
                N/A
                CORP CMO
                86361HAB0
                
                    
                
                306078.06
                PA
                USD
                277105.11
                0.154090774537
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2036-08-25
                    Floating
                    .238
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7
                N/A
                CORP CMO
                86361HAA2
                
                    
                
                101991.65
                PA
                USD
                96382.11
                0.053595525472
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2036-08-25
                    Floating
                    .328
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BEAR STEARNS ALT-A TRUST 2005-8
                N/A
                CORP CMO
                07386HWZ0
                
                    
                
                503009.54
                PA
                USD
                446006.08
                0.248012107447
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2035-10-25
                    Variable
                    2.631
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
                S6XOOCT0IEG5ABCC6L87
                CORP CMO
                3137G0MX4
                
                    
                
                773000
                PA
                USD
                827884.24
                0.460364385806
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-07-25
                    Floating
                    5.068
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1
                N/A
                CORP CMO
                026932AC7
                
                    
                
                1875303.74
                PA
                USD
                1059348.77
                0.589075648856
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2047-05-25
                    Floating
                    .308
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AR2
                N/A
                CORP CMO
                07401AAX5
                
                    
                
                80659.41
                PA
                USD
                72972.65
                0.040578147976
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2046-09-25
                    Floating
                    .348
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XJX3
                
                    
                
                530315.22
                PA
                USD
                539413.52
                0.299953498125
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-10-25
                    Floating
                    3.118
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BEAR STEARNS ALT-A TRUST 2005-7
                N/A
                CORP CMO
                07386HVR9
                
                    
                
                267108.1
                PA
                USD
                250483.61
                0.139287267109
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2035-09-25
                    Variable
                    2.995
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                HARBORVIEW MORTGAGE LOAN TRUST 2004-11
                N/A
                CORP CMO
                41161PJX2
                
                    
                
                320783.02
                PA
                USD
                172867.72
                0.096127136982
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2035-01-19
                    Floating
                    .811
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BEAR STEARNS ALT-A TRUST 2006-6
                N/A
                CORP CMO
                073868AA9
                
                    
                
                445793.79
                PA
                USD
                417127.87
                0.231953703667
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2036-11-25
                    Floating
                    .438
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XSX3
                
                    
                
                532020.8
                PA
                USD
                537450.07
                0.298861675851
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-02-25
                    Floating
                    2.918
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ALTERNATIVE LOAN TRUST 2006-OA10
                N/A
                CORP CMO
                02146QAB9
                
                    
                
                105030.77
                PA
                USD
                92868.49
                0.05164169493
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2046-08-25
                    Floating
                    .498
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4
                5493000OPBL8EFF3O717
                CORP CMO
                16678XAB0
                
                    
                
                1386061.19
                PA
                USD
                1100432.37
                0.611921145082
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2047-11-25
                    Floating
                    .298
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XLU6
                
                    
                
                964000
                PA
                USD
                1025864.03
                0.570455676377
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-11-25
                    Floating
                    5.168
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XQX5
                
                    
                
                464527.93
                PA
                USD
                468325.17
                0.260423159214
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-02-25
                    Floating
                    2.768
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XSW5
                
                    
                
                761000
                PA
                USD
                785732.5
                0.436924925362
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-02-25
                    Floating
                    4.568
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GSR MORTGAGE LOAN TRUST 2007-OA1
                N/A
                CORP CMO
                3622NAAE0
                
                    
                
                466599.3
                PA
                USD
                391191.72
                0.217531301128
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2037-05-25
                    Floating
                    .428
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
                S6XOOCT0IEG5ABCC6L87
                CORP CMO
                3137G0RJ0
                
                    
                
                250000
                PA
                USD
                261926.05
                0.145650103371
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-03-25
                    Floating
                    4.568
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                RADNOR RE 2018-1 LTD
                549300ED4YNDE7SVU538
                CORP CMO
                750496AB7
                
                    
                
                964000
                PA
                USD
                968457.54
                0.538533455573
                Long
                ABS-CBDO
                CORP
                BM
                N
                
                2
                
                    2028-03-25
                    Floating
                    2.818
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XYX6
                
                    
                
                141309.96
                PA
                USD
                141504.49
                0.078686879735
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-07-25
                    Floating
                    2.368
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2019-DNA1
                5493007222WHFWMBOC78
                CORP CMO
                35563KAH3
                
                    
                
                517829.34
                PA
                USD
                521068.47
                0.289752304204
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2049-01-25
                    Floating
                    2.768
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY RE-REMIC TRUST 2010-R4
                N/A
                CORP CMO
                61759FAU5
                
                    
                
                349276.57
                PA
                USD
                331345.16
                0.184252222356
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2037-02-26
                    Floating
                    .648
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2019-DNA2
                549300Y6KOVOWQ8OJC33
                CORP CMO
                35564LAH0
                
                    
                
                171275.63
                PA
                USD
                172272.45
                0.095796123182
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2049-03-25
                    Floating
                    2.568
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MELLO WAREHOUSE SECURITIZATION TRUST 2019-1
                549300MG3C2ML9FTA089
                CORP CMO
                585503AA3
                
                    
                
                707000
                PA
                USD
                706558.13
                0.392898165997
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2052-06-25
                    Floating
                    .918
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2
                N/A
                CORP CMO
                35563PKR9
                
                    
                
                244000
                PA
                USD
                250578.9
                0.139340255341
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2058-08-25
                    Variable
                    4.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2018-HQA2
                5493005RUXPCBST1N217
                CORP CMO
                35563XBD3
                
                    
                
                1000000
                PA
                USD
                1034063
                0.57501490532
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2048-10-25
                    Floating
                    4.368
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ALTERNATIVE LOAN TRUST 2006-OA19
                N/A
                CORP CMO
                12668RAA6
                
                    
                
                337303.81
                PA
                USD
                263975.41
                0.146789697908
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2047-02-20
                    Floating
                    .291
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XWX8
                
                    
                
                1246118.75
                PA
                USD
                1251526.91
                0.695940796315
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-05-25
                    Floating
                    2.618
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                OAKTOWN RE III LTD
                2549008N2FD0KB1Y5E03
                CORP CMO
                67400KAD2
                
                    
                
                159000
                PA
                USD
                157119.41
                0.087369921045
                Long
                ABS-CBDO
                CORP
                BM
                N
                
                2
                
                    2029-07-25
                    Floating
                    3.618
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                OAKTOWN RE III LTD
                2549008N2FD0KB1Y5E03
                CORP CMO
                67400KAE0
                
                    
                
                191000
                PA
                USD
                186834.79
                0.103893852775
                Long
                ABS-CBDO
                CORP
                BM
                N
                
                2
                
                    2029-07-25
                    Floating
                    4.468
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP MORTGAGE LOAN TRUST 2007-AR5
                N/A
                CORP CMO
                17311LAA9
                
                    
                
                345121.8
                PA
                USD
                346272.33
                0.192552824199
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2037-04-25
                    Variable
                    2.963
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN ALTERNATIVE LOAN TRUST 2007-A2
                N/A
                CORP CMO
                466278AC2
                
                    
                
                186306.35
                PA
                USD
                97985.91
                0.054487355955
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2037-06-25
                    Floating
                    .318
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ALTERNATIVE LOAN TRUST 2006-OA10
                N/A
                CORP CMO
                02146QAC7
                
                    
                
                279961.63
                PA
                USD
                248803.61
                0.138353063834
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2046-08-25
                    Floating
                    .498
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BEAR STEARNS ALT-A TRUST 2005-10
                N/A
                CORP CMO
                07386HYW5
                
                    
                
                165242.99
                PA
                USD
                204163.71
                0.113530003854
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2036-01-25
                    Floating
                    .618
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ALTERNATIVE LOAN TRUST 2006-OA10
                N/A
                CORP CMO
                02146QAD5
                
                    
                
                302151.52
                PA
                USD
                267678.03
                0.148848626318
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2046-08-25
                    Floating
                    .498
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ALTERNATIVE LOAN TRUST 2006-OA10
                N/A
                CORP CMO
                02146QAA1
                
                    
                
                93954.72
                PA
                USD
                90270.66
                0.050197110827
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2046-08-25
                    Floating
                    1.338
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CHL MORTGAGE PASS-THROUGH TRUST 2006-OA5
                N/A
                CORP CMO
                126694M96
                
                    
                
                43920.26
                PA
                USD
                37962.09
                0.021109707617
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2046-04-25
                    Floating
                    .518
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST
                N/A
                CORP CMO
                92922F4W5
                
                    
                
                76913.67
                PA
                USD
                75598.59
                0.042038363302
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2045-10-25
                    Floating
                    .99
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR12 TRUST
                N/A
                CORP CMO
                92922FZV3
                
                    
                
                108096.55
                PA
                USD
                104876.72
                0.058319151948
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2044-10-25
                    Floating
                    1.05
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ALTERNATIVE LOAN TRUST 2005-51
                N/A
                CORP CMO
                12668ACZ6
                
                    
                
                152325.91
                PA
                USD
                131839.08
                0.073312202548
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2035-11-20
                    Floating
                    .751
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BYWK2
                
                    
                
                268648.2
                PA
                USD
                18687.17
                0.010391437744
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2043-02-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STRIPS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                31325VBR4
                
                    
                
                661708.51
                PA
                USD
                169668.28
                0.094348013574
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2039-06-15
                    Fixed
                    6
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137AKVS7
                
                    
                
                787669.38
                PA
                USD
                101536.57
                0.056461783455
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-05-15
                    Floating
                    6.438
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137F2MV5
                
                    
                
                834617.51
                PA
                USD
                79384.89
                0.044143823933
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2047-07-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137APBU3
                
                    
                
                448715.42
                PA
                USD
                14076.88
                0.007827778211
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2036-10-15
                    Floating
                    6.438
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137B5WW9
                
                    
                
                247388.91
                PA
                USD
                2566.04
                0.00142690653
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2039-05-15
                    Floating
                    5.938
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BNAF1
                
                    
                
                1276919.43
                PA
                USD
                235276.24
                0.130830853505
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2039-05-15
                    Variable
                    5.833
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FG2T1
                
                    
                
                508559.82
                PA
                USD
                46362.6
                0.025781007588
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2048-06-15
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BHBV8
                
                    
                
                845072.51
                PA
                USD
                191402.16
                0.106433645639
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2045-03-15
                    Fixed
                    7
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FGKG9
                
                    
                
                3169668.55
                PA
                USD
                554381.31
                0.308276687669
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2048-07-15
                    Floating
                    6.088
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137F5BH1
                
                    
                
                2690233.71
                PA
                USD
                417416.66
                0.232114292097
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2048-05-15
                    Floating
                    6.088
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FCPP3
                
                    
                
                6167093.68
                PA
                USD
                1048405.93
                0.582990626854
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2047-11-15
                    Floating
                    6.088
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FPNY7
                
                    
                
                2656691.59
                PA
                USD
                461387.63
                0.256565377913
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-08-25
                    Floating
                    5.882
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FWW89
                
                    
                
                4981184.92
                PA
                USD
                642712.33
                0.357395216329
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2050-10-25
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FUYM0
                
                    
                
                2721827.73
                PA
                USD
                547212.85
                0.304290497903
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2050-07-25
                    Floating
                    5.982
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FQJT1
                
                    
                
                3156147.14
                PA
                USD
                602872.39
                0.33524128632
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-12-25
                    Floating
                    5.882
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137F7LK9
                
                    
                
                5167696.26
                PA
                USD
                887186.84
                0.493340982903
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2048-12-15
                    Floating
                    5.988
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                31397JUJ1
                
                    
                
                2181916.29
                PA
                USD
                409846.79
                0.227904888917
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2033-10-15
                    Floating
                    6.438
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137ANL94
                
                    
                
                230203.68
                PA
                USD
                25406.66
                0.014127967246
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-12-15
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137AW2H7
                
                    
                
                750777.94
                PA
                USD
                74858.12
                0.041626607648
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-11-15
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137B1HN5
                
                    
                
                282111.9
                PA
                USD
                36433.06
                0.02025945474
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2043-03-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137B2FV7
                
                    
                
                48615.17
                PA
                USD
                3023.7
                0.001681399073
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-12-15
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137ASEX8
                
                    
                
                309254.44
                PA
                USD
                26723.7
                0.014860338128
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-07-15
                    Floating
                    6.588
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137ANCH6
                
                    
                
                99403.11
                PA
                USD
                7787.76
                0.004330566009
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2027-03-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BBLN8
                
                    
                
                18834.43
                PA
                USD
                779.46
                0.000433436955
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2044-03-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BH6Q5
                
                    
                
                45080.09
                PA
                USD
                7346.52
                0.004085204192
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2044-11-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BL5E4
                
                    
                
                36091.28
                PA
                USD
                4691.87
                0.002609023999
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2045-08-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BKYZ7
                
                    
                
                22344.07
                PA
                USD
                577.45
                0.000321104572
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2043-10-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BG4Q9
                
                    
                
                262004.46
                PA
                USD
                35370.6
                0.019668649019
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2045-01-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BQQ91
                
                    
                
                50799.83
                PA
                USD
                5282.17
                0.002937274114
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-04-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BRPB5
                
                    
                
                522801.53
                PA
                USD
                53320.53
                0.029650127226
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-07-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BPMY2
                
                    
                
                58661.84
                PA
                USD
                3621.31
                0.002013714084
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2045-08-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137ARVW3
                
                    
                
                7386.71
                PA
                USD
                118.91
                0.000066122685
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2038-08-15
                    Floating
                    5.938
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BDPJ9
                
                    
                
                24800.66
                PA
                USD
                2884.74
                0.001604127116
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2044-09-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BFAZ4
                
                    
                
                287216.8
                PA
                USD
                3173.3
                0.00176458765
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-03-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BG5M7
                
                    
                
                278756.07
                PA
                USD
                23737.31
                0.013199686153
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2043-03-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BJ7L1
                
                    
                
                638202.15
                PA
                USD
                25907.5
                0.014406471037
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2044-01-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137AVU96
                
                    
                
                817908.22
                PA
                USD
                83806.97
                0.046602824895
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-07-15
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BTKB6
                
                    
                
                752631.11
                PA
                USD
                71694.59
                0.039867452835
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-12-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BMYD2
                
                    
                
                553605.32
                PA
                USD
                23196.06
                0.012898711437
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-10-15
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BE5Z3
                
                    
                
                441062.12
                PA
                USD
                40224.87
                0.022367979335
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2043-12-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BE6K5
                
                    
                
                227419.48
                PA
                USD
                13531.46
                0.007524484669
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2043-02-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137AE7D1
                
                    
                
                299679.21
                PA
                USD
                13495.18
                0.007504310327
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2026-08-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137ABAN1
                
                    
                
                220924.94
                PA
                USD
                22415.04
                0.012464407007
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-04-15
                    Floating
                    6.538
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137ASRN6
                
                    
                
                283242.19
                PA
                USD
                5614.34
                0.003121985008
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2039-06-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BEK52
                
                    
                
                159487.95
                PA
                USD
                21999.39
                0.012233275108
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2044-10-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BNAS3
                
                    
                
                123873.15
                PA
                USD
                10693.97
                0.005946632021
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2045-05-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137B0Z56
                
                    
                
                215768.18
                PA
                USD
                9099.38
                0.005059922973
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-12-15
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137ASL69
                
                    
                
                35366.8
                PA
                USD
                4039.39
                0.002246197242
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-02-15
                    Floating
                    6.588
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BWTP9
                
                    
                
                75894.13
                PA
                USD
                752.87
                0.000418650964
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-11-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BWUN2
                
                    
                
                24539.3
                PA
                USD
                55.7
                0.000030973287
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-10-15
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137B74T3
                
                    
                
                121850.28
                PA
                USD
                8538.96
                0.004748288331
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2043-07-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137ALXZ7
                
                    
                
                31861.54
                PA
                USD
                3192.21
                0.001775102998
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-02-15
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137A8FM5
                
                    
                
                61137.51
                PA
                USD
                12481.83
                0.00694081337
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-03-15
                    Floating
                    6.838
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137AKEF4
                
                    
                
                386644.75
                PA
                USD
                72836.14
                0.040502238399
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-01-15
                    Floating
                    5.838
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                31398QUP0
                
                    
                
                265544.48
                PA
                USD
                59159.86
                0.032897223183
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-10-15
                    Floating
                    6.388
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137A0X59
                
                    
                
                163528.44
                PA
                USD
                4537.52
                0.002523194073
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2039-11-15
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FN30        
                3140JUFY5
                
                    
                
                35075.54
                PA
                USD
                39435.03
                0.021928770338
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-05-01
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FN30        
                3140JS4K2
                
                    
                
                38343.64
                PA
                USD
                42785.79
                0.023792038769
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-05-01
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FN30        
                3140JKL87
                
                    
                
                25343.79
                PA
                USD
                28271.98
                0.015721295417
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-01-01
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FN30        
                3140JXZG6
                
                    
                
                34475.57
                PA
                USD
                38512.7
                0.021415887179
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-08-01
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FN30        
                3140JUGW8
                
                    
                
                28548.85
                PA
                USD
                31558.49
                0.017548836134
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-05-01
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136ADYF0
                
                    
                
                214710.46
                PA
                USD
                8266.14
                0.004596580392
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-12-25
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AU7B1
                
                    
                
                199770.48
                PA
                USD
                26469.59
                0.014719034322
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2047-02-25
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AEHN0
                
                    
                
                220897.59
                PA
                USD
                11217.44
                0.006237719752
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-06-25
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AW6Q5
                
                    
                
                1157733.76
                PA
                USD
                140375.22
                0.078058922752
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2047-05-25
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AP4N9
                
                    
                
                350034.59
                PA
                USD
                81271.03
                0.045192656173
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2045-09-25
                    Fixed
                    6
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                31398T4M0
                
                    
                
                1606225.26
                PA
                USD
                315332.54
                0.175348030664
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-09-25
                    Fixed
                    6
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AX6Z3
                
                    
                
                212421.93
                PA
                USD
                31844.53
                0.017707895363
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2047-10-25
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136A8A42
                
                    
                
                229269.92
                PA
                USD
                47607.33
                0.026473168804
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-09-25
                    Floating
                    5.932
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B0WW2
                
                    
                
                915712.33
                PA
                USD
                172578.63
                0.095966381729
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2048-02-25
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AP7E6
                
                    
                
                1127927.44
                PA
                USD
                58524.21
                0.032543755141
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2045-10-25
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                31398NRU0
                
                    
                
                1211241.28
                PA
                USD
                217191.31
                0.120774305391
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-09-25
                    Fixed
                    5.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AU4H1
                
                    
                
                659836.89
                PA
                USD
                163190.86
                0.090746092755
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2047-02-25
                    Fixed
                    6
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136A7RF1
                
                    
                
                833363.45
                PA
                USD
                93945.06
                0.052240346847
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-03-25
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B1GP3
                
                    
                
                880846.89
                PA
                USD
                63221.02
                0.035155526143
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2047-10-25
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B2DP4
                
                    
                
                2265920.4
                PA
                USD
                452099.16
                0.251400307025
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2048-06-25
                    Floating
                    6.132
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AUDM0
                
                    
                
                1453150.44
                PA
                USD
                305472.86
                0.169865325102
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-11-25
                    Floating
                    5.982
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AUCT6
                
                    
                
                3821275.45
                PA
                USD
                754701.9
                0.419669634803
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-11-25
                    Floating
                    5.982
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136A2R62
                
                    
                
                1267031.14
                PA
                USD
                131858.54
                0.073323023736
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-02-25
                    Floating
                    5.882
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136ATSW5
                
                    
                
                1071335.1
                PA
                USD
                205868.18
                0.114477814245
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-09-25
                    Floating
                    5.982
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AUEP2
                
                    
                
                3036982.82
                PA
                USD
                524811.89
                0.291833920408
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2039-05-25
                    Floating
                    5.982
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B4DC9
                
                    
                
                2771209.01
                PA
                USD
                622133.1
                0.34595165439
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-04-25
                    Floating
                    5.982
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B4PU6
                
                    
                
                4459347.85
                PA
                USD
                865737.79
                0.481413737218
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-05-25
                    Floating
                    6.032
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B4PX0
                
                    
                
                4977500.7
                PA
                USD
                898090.45
                0.499404190147
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-05-25
                    Floating
                    5.982
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136A2WA7
                
                    
                
                5498656.88
                PA
                USD
                1171686.25
                0.651543530819
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-12-25
                    Floating
                    5.882
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B4VY1
                
                    
                
                4416027.28
                PA
                USD
                726073.05
                0.40374989348
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-06-25
                    Floating
                    5.932
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B6UL5
                
                    
                
                2491598.05
                PA
                USD
                256933.59
                0.142873929275
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-10-25
                    Floating
                    5.932
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B7TL5
                
                    
                
                8074264.91
                PA
                USD
                1356480.54
                0.754302715866
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-11-25
                    Floating
                    5.882
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136ATFQ2
                
                    
                
                5445725.57
                PA
                USD
                1191252.47
                0.662423784866
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-08-25
                    Floating
                    5.882
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B6ZC0
                
                    
                
                6069876.89
                PA
                USD
                944244.37
                0.525069156342
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-11-25
                    Floating
                    5.882
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136BCMA5
                
                    
                
                11905459.43
                PA
                USD
                1892257.29
                1.052233903013
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2050-11-25
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136B9FQ5
                
                    
                
                4824774.87
                PA
                USD
                656567.72
                0.365099829848
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2050-04-25
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                31398PJU4
                
                    
                
                117597.2
                PA
                USD
                24359.5
                0.013545669448
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-04-25
                    Floating
                    6.282
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE INTEREST STRIP
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136FGRS8
                
                    
                
                341230.86
                PA
                USD
                59737.31
                0.033218327755
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2039-09-25
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE INTEREST STRIP
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136FGJ81
                
                    
                
                254273.66
                PA
                USD
                39717.24
                0.022085699806
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-05-25
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136A1D44
                
                    
                
                332555.56
                PA
                USD
                58253.85
                0.032393415142
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-10-25
                    Floating
                    5.782
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                31398ST37
                
                    
                
                253108.45
                PA
                USD
                9932.66
                0.005523287797
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2039-07-25
                    Floating
                    5.882
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AAPB5
                
                    
                
                1159812.82
                PA
                USD
                179003.43
                0.099539041967
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-10-25
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136ADP29
                
                    
                
                28042.62
                PA
                USD
                1188.45
                0.000660865406
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-06-25
                    Floating
                    6.082
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136ADG37
                
                    
                
                69112.3
                PA
                USD
                5237.33
                0.002912339784
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-06-25
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136ADQT9
                
                    
                
                99183.71
                PA
                USD
                3669.7
                0.002040622475
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-02-25
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AL3K5
                
                    
                
                14809.26
                PA
                USD
                118.39
                0.000065833527
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2039-05-25
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136ABN33
                
                    
                
                38042.35
                PA
                USD
                3281.15
                0.001824560164
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2043-02-25
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136ARFT0
                
                    
                
                77173.94
                PA
                USD
                16663.94
                0.009266373404
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-02-25
                    Fixed
                    6
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136ATZK3
                
                    
                
                94830.08
                PA
                USD
                10509.07
                0.005843814053
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-10-25
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136A5T63
                
                    
                
                943821.74
                PA
                USD
                43149.79
                0.023994449479
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-12-25
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AF6C3
                
                    
                
                496393.03
                PA
                USD
                117805.38
                0.065508435586
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2043-09-25
                    Floating
                    6.482
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AVLY3
                
                    
                
                103620.26
                PA
                USD
                5705.27
                0.00317254876
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-06-25
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AUPS4
                
                    
                
                274912.46
                PA
                USD
                2326.39
                0.001293643545
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-06-25
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136AVHF9
                
                    
                
                276604.45
                PA
                USD
                36802.98
                0.020465157404
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2047-02-25
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136A5DN3
                
                    
                
                131441.3
                PA
                USD
                21626.83
                0.01202610441
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2042-04-25
                    Floating
                    6.332
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                FNMA CMO IO
                3136ASHF6
                
                    
                
                163580.94
                PA
                USD
                16651.97
                0.009259717206
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2046-02-25
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F020638
                
                    
                
                28000000
                PA
                USD
                28153126.4
                15.655204094302
                Short
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F012635
                
                    
                
                5000000
                PA
                USD
                4891797
                2.720198081549
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    1.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F012635
                
                    
                
                5000000
                PA
                USD
                4891797
                2.720198081549
                Short
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    1.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F050635
                
                    
                
                1000000
                PA
                USD
                1106562.5
                0.615329947178
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F032633
                
                    
                
                19000000
                PA
                USD
                20137032.2
                11.19766751534
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F022642
                
                    
                
                4000000
                PA
                USD
                4122500
                2.292412500189
                Short
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-04-01
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F022634
                
                    
                
                4000000
                PA
                USD
                4131250
                2.297278142245
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F022634
                
                    
                
                9000000
                PA
                USD
                9295312.5
                5.168875820052
                Short
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F030637
                
                    
                
                1000000
                PA
                USD
                1045468.8
                0.581357367053
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F040636
                
                    
                
                3000000
                PA
                USD
                3220078.2
                1.790599761617
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F022642
                
                    
                
                4000000
                PA
                USD
                4122500
                2.292412500189
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-04-01
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F032633
                
                    
                
                10000000
                PA
                USD
                10598438
                5.8935092186
                Short
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617K4VB0
                
                    
                
                35962.35
                PA
                USD
                41225.74
                0.022924536496
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-05-20
                    Fixed
                    5.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617M6FK1
                
                    
                
                47856.83
                PA
                USD
                53058.85
                0.029504613944
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2050-01-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617K4U88
                
                    
                
                47541.92
                PA
                USD
                53509.78
                0.029755364113
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-05-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617K4U96
                
                    
                
                49766.22
                PA
                USD
                56013.29
                0.031147499375
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-05-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617K4VA2
                
                    
                
                98086.37
                PA
                USD
                110399
                0.061389944841
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-05-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617JNML8
                
                    
                
                97646.96
                PA
                USD
                106615.81
                0.059286213599
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-10-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LMSD9
                
                    
                
                78383.19
                PA
                USD
                85582.67
                0.047590244392
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-09-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LEDJ0
                
                    
                
                64491.48
                PA
                USD
                70415.01
                0.039155912462
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-10-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LED43
                
                    
                
                81340.33
                PA
                USD
                88811.42
                0.049385666311
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-10-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LED50
                
                    
                
                83865.83
                PA
                USD
                91568.89
                0.050919021968
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-10-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LCDT2
                
                    
                
                480925.3
                PA
                USD
                525098.19
                0.291993124217
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-09-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617JSVJ2
                
                    
                
                86965.15
                PA
                USD
                94952.88
                0.052800768718
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-08-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LEKS2
                
                    
                
                87757.86
                PA
                USD
                95818.4
                0.053282061348
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-10-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LSDS9
                
                    
                
                120666.17
                PA
                USD
                133847.49
                0.074429025881
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-10-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LELG7
                
                    
                
                112263.52
                PA
                USD
                122574.9
                0.068160638683
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-10-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LEPL2
                
                    
                
                50045.27
                PA
                USD
                54641.92
                0.030384917027
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-11-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LES54
                
                    
                
                40828.09
                PA
                USD
                44641.94
                0.02482419437
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-11-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LKWJ5
                
                    
                
                34627.6
                PA
                USD
                38294.22
                0.021294396268
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-10-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LKTB6
                
                    
                
                55384.93
                PA
                USD
                61249.48
                0.034059205235
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-09-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617KQAS7
                
                    
                
                103392.11
                PA
                USD
                114340
                0.063581430023
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-08-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LKWK2
                
                    
                
                49244.01
                PA
                USD
                54458.32
                0.030282821954
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-10-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617M1A50
                
                    
                
                108149.76
                PA
                USD
                119905.6
                0.066676312015
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-12-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617LEXM1
                
                    
                
                29478.86
                PA
                USD
                32772.77
                0.018224064915
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2050-01-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GII30       
                3617K4VC8
                
                    
                
                35151.62
                PA
                USD
                40296.35
                0.02240772746
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-05-20
                    Fixed
                    5.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379EZ54
                
                    
                
                3051837.83
                PA
                USD
                850424.64
                0.472898502172
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-09-16
                    Floating
                    6.093
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38382AB20
                
                    
                
                4341467.06
                PA
                USD
                639628.34
                0.355680291593
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-09-20
                    Floating
                    5.939
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38382CRX1
                
                    
                
                852380.53
                PA
                USD
                106712.95
                0.059340230567
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2050-02-20
                    Floating
                    5.939
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38382DGP8
                
                    
                
                8072894.22
                PA
                USD
                1403688.29
                0.78055368887
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2050-01-20
                    Floating
                    5.939
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380LY98
                
                    
                
                14062703.71
                PA
                USD
                1305890.79
                0.726171102699
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2070-02-20
                    Variable
                    2.552
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38382HLM0
                
                    
                
                2193702.25
                PA
                USD
                488098.75
                0.271418720637
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2050-08-20
                    Floating
                    6.189
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38382GWB4
                
                    
                
                3522957.75
                PA
                USD
                802216.13
                0.446091033175
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2050-07-20
                    Floating
                    6.089
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380HUM2
                
                    
                
                2835696.63
                PA
                USD
                537453.13
                0.298863377435
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2047-10-20
                    Floating
                    6.089
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UL81
                
                    
                
                3118221.7
                PA
                USD
                343004.39
                0.190735609765
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-10-20
                    Variable
                    2.235
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380LCV3
                
                    
                
                6881162.21
                PA
                USD
                433520.1
                0.241068986373
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2068-02-20
                    Variable
                    2.38
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380XKS5
                
                    
                
                1082255.47
                PA
                USD
                167022.64
                0.092876843602
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2048-06-20
                    Floating
                    6.089
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380XLA3
                
                    
                
                797632.64
                PA
                USD
                123633.06
                0.068749053288
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2048-06-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378MYG4
                
                    
                
                1277930.89
                PA
                USD
                223637.91
                0.124359088029
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-04-16
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38377JYM9
                
                    
                
                2047848.76
                PA
                USD
                323265.6
                0.179759394135
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-01-16
                    Floating
                    6.573
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375U6E5
                
                    
                
                4410673.87
                PA
                USD
                481039.12
                0.267493048337
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2068-01-20
                    Variable
                    .71
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UU57
                
                    
                
                3137768.04
                PA
                USD
                360212.63
                0.200304653909
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-11-20
                    Variable
                    2.382
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RM86
                
                    
                
                3457671.03
                PA
                USD
                213345.22
                0.118635597134
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-11-20
                    Variable
                    1.925
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375U7K0
                
                    
                
                2327377.36
                PA
                USD
                268383.85
                0.14924111403
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2068-02-20
                    Variable
                    .78
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380XYB7
                
                    
                
                1018212.33
                PA
                USD
                162966.03
                0.090621070777
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2048-07-20
                    Floating
                    6.139
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380CFC2
                
                    
                
                905357.5
                PA
                USD
                177606.52
                0.098762257505
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2046-12-20
                    Fixed
                    6.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380LDW0
                
                    
                
                2380378.4
                PA
                USD
                212691.57
                0.11827211977
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2068-06-20
                    Variable
                    1.821
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380LAD5
                
                    
                
                1825329.08
                PA
                USD
                199645.37
                0.111017475268
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2068-02-20
                    Variable
                    1.366
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379YFD5
                
                    
                
                787618.04
                PA
                USD
                59257.86
                0.032951718374
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-08-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380LFR9
                
                    
                
                3126772.94
                PA
                USD
                284849.01
                0.158396951168
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2068-07-20
                    Variable
                    2.673
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380YXY6
                
                    
                
                37425.81
                PA
                USD
                2777.74
                0.001544627265
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2042-04-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380YXZ3
                
                    
                
                427233.65
                PA
                USD
                43753
                0.024329878501
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-06-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380YYB5
                
                    
                
                361461.84
                PA
                USD
                52368.59
                0.029120778735
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-07-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380YYC3
                
                    
                
                30604.63
                PA
                USD
                3028.33
                0.001683973692
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2046-01-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380LFF5
                
                    
                
                2918413.45
                PA
                USD
                264840.18
                0.147270573483
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2068-02-20
                    Variable
                    2.367
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378FEC0
                
                    
                
                2465004.31
                PA
                USD
                608450.32
                0.338343024697
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-01-20
                    Floating
                    6.639
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38381RCV9
                
                    
                
                10951189.79
                PA
                USD
                982924.04
                0.546577891093
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2068-11-20
                    Variable
                    2.486
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38381RM71
                
                    
                
                2628080.9
                PA
                USD
                485963.17
                0.270231181453
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-01-16
                    Floating
                    6.043
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379HTX3
                
                    
                
                4463120.09
                PA
                USD
                542179.83
                0.301491769471
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-12-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378YZR3
                
                    
                
                3531944.69
                PA
                USD
                701682.97
                0.390187219308
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-01-20
                    Floating
                    5.989
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380LTS2
                
                    
                
                3272953.29
                PA
                USD
                305350.18
                0.16979710602
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2069-04-20
                    Variable
                    2.538
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379TFH7
                
                    
                
                4123060.67
                PA
                USD
                801258.71
                0.445558637402
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-12-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379ALL2
                
                    
                
                3210373.83
                PA
                USD
                631528.69
                0.351176291858
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-02-20
                    Floating
                    5.989
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379XFT2
                
                    
                
                4191226.53
                PA
                USD
                801572.07
                0.445732888556
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-11-16
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38381WUN6
                
                    
                
                298767.09
                PA
                USD
                38473.59
                0.021394139149
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-06-20
                    Floating
                    5.939
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38381WYN2
                
                    
                
                5979797.9
                PA
                USD
                836352.47
                0.465073343067
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-06-20
                    Floating
                    5.989
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38381XTX4
                
                    
                
                223714.45
                PA
                USD
                33046.35
                0.01837619547
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-08-20
                    Floating
                    5.939
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380LYU1
                
                    
                
                355106.54
                PA
                USD
                33144.22
                0.018430618372
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2069-08-20
                    Variable
                    2.514
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38381XAJ5
                
                    
                
                7826023.33
                PA
                USD
                1213033.62
                0.67453570252
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-07-20
                    Floating
                    5.989
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380LZZ9
                
                    
                
                10696328.3
                PA
                USD
                630077.91
                0.350369551723
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2069-07-20
                    Variable
                    1.534
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380WG94
                
                    
                
                2809858.44
                PA
                USD
                432886.79
                0.240716819542
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-05-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38382AAJ4
                
                    
                
                4129013.47
                PA
                USD
                1237283.66
                0.688020504176
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-10-20
                    Floating
                    5.889
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38382AYS8
                
                    
                
                7250490.36
                PA
                USD
                965544.18
                0.536913413637
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2049-11-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38382BDZ3
                
                    
                
                6636706.24
                PA
                USD
                1261239.65
                0.701341792455
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-09-16
                    Floating
                    6.043
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BPP1
                
                    
                
                424906.46
                PA
                USD
                15513.33
                0.008626549815
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2062-01-20
                    Variable
                    1.334
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BRA2
                
                    
                
                2938592.83
                PA
                USD
                82227.7
                0.045724634892
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2061-12-20
                    Variable
                    1.193
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UXX3
                
                    
                
                446140.15
                PA
                USD
                18239.55
                0.010142528179
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-11-20
                    Variable
                    1.488
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UZE3
                
                    
                
                1586298.83
                PA
                USD
                120812.52
                0.067180626083
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-03-20
                    Variable
                    1.888
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375B3X8
                
                    
                
                161545.94
                PA
                USD
                5880.27
                0.003269861602
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2063-03-20
                    Variable
                    1.619
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BHE5
                
                    
                
                195221.84
                PA
                USD
                9798.18
                0.005448507049
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2060-10-20
                    Variable
                    2.368
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BFJ6
                
                    
                
                201428.5
                PA
                USD
                11009.48
                0.006122078732
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2060-08-20
                    Variable
                    1.452
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BXW7
                
                    
                
                376479.17
                PA
                USD
                13374.05
                0.007436953159
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2062-10-20
                    Floating
                    1.546
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RJ80
                
                    
                
                299274.74
                PA
                USD
                30566.43
                0.016997177979
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-09-20
                    Variable
                    2.149
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RR57
                
                    
                
                407366.36
                PA
                USD
                23879
                0.01327847619
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-01-20
                    Variable
                    1.573
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379YKJ6
                
                    
                
                286902.43
                PA
                USD
                29966.96
                0.016663828671
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-03-20
                    Floating
                    6.039
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376UHF9
                
                    
                
                231003.28
                PA
                USD
                13860.2
                0.007707288232
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-12-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BMD1
                
                    
                
                1199390.41
                PA
                USD
                55957.56
                0.031116509405
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2061-06-20
                    Variable
                    1.538
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376R4R4
                
                    
                
                325108.16
                PA
                USD
                29465.85
                0.016385174741
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-05-20
                    Variable
                    1.904
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BGG1
                
                    
                
                1854918.15
                PA
                USD
                83068.8
                0.04619234821
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2060-10-20
                    Variable
                    1.444
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378U8K6
                
                    
                
                3300929.54
                PA
                USD
                213131.12
                0.118516541823
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2064-12-20
                    Variable
                    1.563
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376R4J2
                
                    
                
                4178845.31
                PA
                USD
                383835.3
                0.213440591809
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-05-20
                    Variable
                    2.289
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UB25
                
                    
                
                5041064.89
                PA
                USD
                364468.99
                0.202671502391
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-04-20
                    Variable
                    2.075
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UYG9
                
                    
                
                2663150.38
                PA
                USD
                248077.78
                0.137949449094
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-01-20
                    Variable
                    2.484
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379DCK8
                
                    
                
                256765.78
                PA
                USD
                9914.01
                0.005512917029
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2041-10-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RT30
                
                    
                
                4421693.89
                PA
                USD
                441417.7
                0.245460631482
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-02-20
                    Variable
                    1.183
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376UEA3
                
                    
                
                1104464.03
                PA
                USD
                85347.44
                0.047459439252
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-10-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379T5K1
                
                    
                
                259014.14
                PA
                USD
                42616.63
                0.023697973397
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-03-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380BVQ5
                
                    
                
                101195.48
                PA
                USD
                11642.67
                0.006474178834
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2039-05-20
                    Fixed
                    5.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376R5G7
                
                    
                
                2442867.17
                PA
                USD
                167385.26
                0.093078486931
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-06-20
                    Variable
                    1.702
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376R5C6
                
                    
                
                488736.61
                PA
                USD
                31080.23
                0.01728288848
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-06-20
                    Variable
                    1.705
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379V6K5
                
                    
                
                289319.38
                PA
                USD
                53723.66
                0.029874297087
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2046-02-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380F3F1
                
                    
                
                670066.49
                PA
                USD
                87936.64
                0.048899224442
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2047-01-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380C4U4
                
                    
                
                620388.72
                PA
                USD
                78302.55
                0.043541963473
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-02-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UG46
                
                    
                
                507250.27
                PA
                USD
                53390.12
                0.029688824372
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-08-20
                    Variable
                    2.529
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376UP78
                
                    
                
                1035516.97
                PA
                USD
                99477.14
                0.055316589259
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-08-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380BUS2
                
                    
                
                1431493.22
                PA
                USD
                247347.71
                0.137543476603
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2046-11-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378AQF1
                
                    
                
                825567.71
                PA
                USD
                196939.18
                0.109512635054
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2041-11-16
                    Floating
                    6.583
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376R5K8
                
                    
                
                2021775.63
                PA
                USD
                242065.17
                0.134605996742
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-06-20
                    Variable
                    2.26
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UG20
                
                    
                
                3029890.74
                PA
                USD
                226560.08
                0.125984028972
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-08-20
                    Variable
                    1.849
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376R2C9
                
                    
                
                2312500.76
                PA
                USD
                227677.26
                0.126605263028
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-02-20
                    Variable
                    1.272
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RGX8
                
                    
                
                2509454.21
                PA
                USD
                225098.04
                0.12517102745
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-08-20
                    Variable
                    2.068
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RLY0
                
                    
                
                2207161.76
                PA
                USD
                129339.68
                0.071922352748
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-09-20
                    Variable
                    2.108
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380GZN7
                
                    
                
                1189437.68
                PA
                USD
                220064.5
                0.12237200986
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2047-09-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380GAX2
                
                    
                
                675694.39
                PA
                USD
                98389.08
                0.054711548059
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2047-08-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UK25
                
                    
                
                1051516.59
                PA
                USD
                96003.46
                0.053384968288
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-04-20
                    Variable
                    2.064
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RK62
                
                    
                
                694653.11
                PA
                USD
                62353.45
                0.034673093562
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-12-20
                    Variable
                    2.521
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380HJH6
                
                    
                
                480293.14
                PA
                USD
                91966.53
                0.051140138986
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-03-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38377YYF1
                
                    
                
                439830.55
                PA
                USD
                91825.67
                0.05106181049
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-04-16
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UM49
                
                    
                
                1280041.98
                PA
                USD
                141548.32
                0.078711252431
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-10-20
                    Variable
                    2.207
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375GUR0
                
                    
                
                628930.92
                PA
                USD
                126345.24
                0.070257224382
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2042-08-16
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UU73
                
                    
                
                1177939.99
                PA
                USD
                97415.64
                0.05417024399
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-10-20
                    Variable
                    2.785
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380F6N1
                
                    
                
                464606.72
                PA
                USD
                98224.27
                0.054619901606
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2047-08-16
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380GZP2
                
                    
                
                746474.59
                PA
                USD
                169049.83
                0.094004109993
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2047-09-20
                    Fixed
                    5.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375ATF1
                
                    
                
                2150891.06
                PA
                USD
                385181.57
                0.214189216716
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2039-12-16
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375U3K4
                
                    
                
                7781097.76
                PA
                USD
                810012.28
                0.45042626464
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2068-01-20
                    Variable
                    2.404
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UQ45
                
                    
                
                5852553.26
                PA
                USD
                501856.44
                0.279069005787
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-10-20
                    Variable
                    2.618
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376R6P6
                
                    
                
                1340281.68
                PA
                USD
                139790.04
                0.077733519733
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-09-20
                    Variable
                    2.488
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UN30
                
                    
                
                4934821.79
                PA
                USD
                429146.91
                0.238637171838
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-09-20
                    Variable
                    2.572
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RK47
                
                    
                
                3468725.27
                PA
                USD
                265728.64
                0.147764622436
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-12-20
                    Variable
                    1.981
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RU53
                
                    
                
                6307207.62
                PA
                USD
                650575.85
                0.361767910458
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-02-20
                    Variable
                    2.597
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UG61
                
                    
                
                3104512.98
                PA
                USD
                186494.3
                0.103704515351
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-08-20
                    Variable
                    1.465
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UF39
                
                    
                
                5052908.36
                PA
                USD
                256005.6
                0.142357898741
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-07-20
                    Variable
                    1.656
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RYY6
                
                    
                
                2930821.01
                PA
                USD
                262795
                0.146133303332
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-09-20
                    Variable
                    2.343
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RP83
                
                    
                
                1215060.55
                PA
                USD
                108376.11
                0.060265069566
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-12-20
                    Variable
                    2.541
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UB41
                
                    
                
                1790598.21
                PA
                USD
                157336.28
                0.087490516678
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-06-20
                    Variable
                    2.269
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UN55
                
                    
                
                976700.31
                PA
                USD
                104289.13
                0.057992408792
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-10-20
                    Variable
                    2.183
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379FE47
                
                    
                
                2116721.42
                PA
                USD
                115795.67
                0.064390889357
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2041-07-16
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375U3S7
                
                    
                
                6400632.39
                PA
                USD
                282907.95
                0.157317579377
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2068-01-20
                    Variable
                    1.606
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RUD6
                
                    
                
                300819.38
                PA
                USD
                21364.19
                0.011880057298
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-07-20
                    Variable
                    1.653
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379VXQ2
                
                    
                
                122656.15
                PA
                USD
                18410.37
                0.010237516633
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2046-02-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376WR56
                
                    
                
                38295.15
                PA
                USD
                6845.26
                0.00380646685
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-03-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379BMP0
                
                    
                
                33832.82
                PA
                USD
                5685.71
                0.003161671965
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-04-20
                    Floating
                    5.989
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379YUP1
                
                    
                
                30282.74
                PA
                USD
                4647.79
                0.002584512285
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2046-01-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379Q6W0
                
                    
                
                51225.69
                PA
                USD
                7807.82
                0.004341720841
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-10-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379NAU6
                
                    
                
                52924.61
                PA
                USD
                9458.33
                0.005259525512
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-06-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379P5D5
                
                    
                
                45262.59
                PA
                USD
                5346.25
                0.002972907296
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-02-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379YKE7
                
                    
                
                47980.13
                PA
                USD
                10193.47
                0.005668317295
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-10-20
                    Floating
                    5.989
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RA63
                
                    
                
                227815.15
                PA
                USD
                19751.57
                0.010983322248
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-10-20
                    Variable
                    2.353
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378JL26
                
                    
                
                164334.79
                PA
                USD
                26593.67
                0.014788031906
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-03-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380BE92
                
                    
                
                26282.6
                PA
                USD
                625.53
                0.00034784058
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2046-11-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UFC9
                
                    
                
                125020.23
                PA
                USD
                8935.32
                0.004968693575
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2064-04-20
                    Variable
                    1.462
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379EW99
                
                    
                
                1177640.97
                PA
                USD
                228521.23
                0.127074572277
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-09-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379JP21
                
                    
                
                1191477.96
                PA
                USD
                241635.07
                0.134366829582
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-03-16
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UFE5
                
                    
                
                7787249.71
                PA
                USD
                342093.88
                0.190229299394
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2064-03-20
                    Variable
                    1.466
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378FJF8
                
                    
                
                1361367.79
                PA
                USD
                113567.29
                0.063151746564
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2039-08-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378PFQ6
                
                    
                
                1111549.73
                PA
                USD
                244540.94
                0.135982706529
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-12-20
                    Floating
                    6.589
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379P4V6
                
                    
                
                688111.22
                PA
                USD
                139370.05
                0.077499974475
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-12-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RC79
                
                    
                
                3832858.18
                PA
                USD
                262949.4
                0.146219161062
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-10-20
                    Variable
                    1.864
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376MCC9
                
                    
                
                410299.77
                PA
                USD
                62345.05
                0.034668422546
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2046-10-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379NRH7
                
                    
                
                781487.55
                PA
                USD
                154679.83
                0.086013335553
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2039-10-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UER7
                
                    
                
                5272053.3
                PA
                USD
                215484.63
                0.119825266079
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2064-02-20
                    Variable
                    1.46
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UQZ6
                
                    
                
                4783816.49
                PA
                USD
                326361.53
                0.181480958388
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2064-11-20
                    Variable
                    1.562
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375USV3
                
                    
                
                4548043.37
                PA
                USD
                262103.74
                0.145748912049
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-01-20
                    Variable
                    1.558
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379G4M6
                
                    
                
                361870.01
                PA
                USD
                42883.56
                0.023846406063
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-06-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375GE98
                
                    
                
                593167.94
                PA
                USD
                90342.09
                0.050236831148
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2042-04-16
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379CHL3
                
                    
                
                1128469.3
                PA
                USD
                203124.47
                0.112952110157
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2039-12-16
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RF35
                
                    
                
                4211800.69
                PA
                USD
                315699.73
                0.175552215248
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-10-20
                    Variable
                    1.699
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BZP0
                
                    
                
                878145.85
                PA
                USD
                24911.24
                0.013852477373
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2062-10-20
                    Variable
                    1.404
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BMH2
                
                    
                
                1189443.16
                PA
                USD
                37913.5
                0.021082688011
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2061-07-20
                    Variable
                    1.031
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BZR6
                
                    
                
                878145.85
                PA
                USD
                24833.09
                0.013809020239
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2062-10-20
                    Variable
                    1.404
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BZX3
                
                    
                
                3386369.07
                PA
                USD
                141160.79
                0.078495757315
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2062-02-20
                    Variable
                    1.397
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BSL7
                
                    
                
                5006985.39
                PA
                USD
                146689.65
                0.081570209171
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2062-02-20
                    Variable
                    1.205
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RX68
                
                    
                
                1550958.01
                PA
                USD
                136115.18
                0.075690027919
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-02-20
                    Variable
                    1.305
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RYA8
                
                    
                
                1887764.98
                PA
                USD
                173632.85
                0.096552605405
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-06-20
                    Variable
                    2.959
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375B4H2
                
                    
                
                1674301.37
                PA
                USD
                49797.07
                0.027690824922
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2063-07-20
                    Variable
                    1.744
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RCL8
                
                    
                
                279696.35
                PA
                USD
                20918.21
                0.011632059693
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-06-20
                    Variable
                    2.58
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379T3W7
                
                    
                
                268597.72
                PA
                USD
                45737.43
                0.025433367194
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2046-02-16
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RXL5
                
                    
                
                2061658.58
                PA
                USD
                164227.6
                0.091322596268
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-07-20
                    Variable
                    2.393
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RSD9
                
                    
                
                1376722.39
                PA
                USD
                106938.29
                0.059465536142
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-02-20
                    Variable
                    2.377
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RQ66
                
                    
                
                2594088.96
                PA
                USD
                251304.96
                0.139743997978
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-12-20
                    Variable
                    2.628
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380CLX9
                
                    
                
                356020.03
                PA
                USD
                25636.72
                0.014255897487
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2046-12-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378PFL7
                
                    
                
                30380.73
                PA
                USD
                6040.02
                0.003358694324
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-12-20
                    Floating
                    5.989
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376R2A3
                
                    
                
                765456.79
                PA
                USD
                105520.51
                0.058677146428
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-02-20
                    Variable
                    1.422
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375USS0
                
                    
                
                1577188.59
                PA
                USD
                98894.46
                0.054992576423
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2064-12-20
                    Variable
                    1.69
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379FFA2
                
                    
                
                72685.72
                PA
                USD
                14489.17
                0.008057041704
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-04-16
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UFU9
                
                    
                
                125383.87
                PA
                USD
                4078.36
                0.002267867421
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2064-01-20
                    Variable
                    1.416
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375ULB4
                
                    
                
                158078.94
                PA
                USD
                5977.44
                0.003323895252
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2064-05-20
                    Variable
                    1.545
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38377QRG4
                
                    
                
                42787.77
                PA
                USD
                2281.4
                0.001268625804
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-07-20
                    Floating
                    5.889
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RW51
                
                    
                
                113647.3
                PA
                USD
                7281.5
                0.004049048301
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-02-20
                    Variable
                    1.587
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379ND25
                
                    
                
                168504.33
                PA
                USD
                19907.76
                0.011070175349
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-05-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38377LS33
                
                    
                
                88744.8
                PA
                USD
                3684.68
                0.002048952454
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2039-11-20
                    Floating
                    5.889
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379GPM3
                
                    
                
                200870.45
                PA
                USD
                7182.89
                0.003994213905
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2028-08-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379FTS8
                
                    
                
                163847.26
                PA
                USD
                12194.56
                0.006781070171
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-11-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379MW42
                
                    
                
                154506.07
                PA
                USD
                4109.45
                0.002285155743
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2039-05-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RV94
                
                    
                
                698404.71
                PA
                USD
                48469.29
                0.026952481812
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-02-20
                    Variable
                    1.784
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376MVG9
                
                    
                
                123295.2
                PA
                USD
                24042.56
                0.013369427551
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2047-03-16
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379QZS7
                
                    
                
                157744.73
                PA
                USD
                12806.38
                0.007121286985
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-01-16
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376R2Q8
                
                    
                
                450149.78
                PA
                USD
                38892.94
                0.02162732852
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-03-20
                    Variable
                    2.057
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380CZB2
                
                    
                
                488831.87
                PA
                USD
                14843.98
                0.008254342099
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-09-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RV78
                
                    
                
                1077141.23
                PA
                USD
                102025.52
                0.056733675533
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-02-20
                    Variable
                    1.747
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UZV5
                
                    
                
                448992.08
                PA
                USD
                33573.38
                0.018669262822
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-04-20
                    Variable
                    2.19
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RQ82
                
                    
                
                564780
                PA
                USD
                67048.99
                0.037284158351
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-01-20
                    Variable
                    2.453
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376WP82
                
                    
                
                27866.52
                PA
                USD
                4864.79
                0.002705180208
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-03-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378GHD3
                
                    
                
                89719.27
                PA
                USD
                17355.3
                0.009650820295
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2042-11-16
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376WM85
                
                    
                
                13373.46
                PA
                USD
                2566.37
                0.001427090035
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-03-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378FMA5
                
                    
                
                178768.39
                PA
                USD
                31731.39
                0.017644981221
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-01-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375CQB9
                
                    
                
                115387.83
                PA
                USD
                17655.02
                0.009817486607
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2042-03-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378FVC1
                
                    
                
                46858.38
                PA
                USD
                4534.02
                0.002521247817
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2042-12-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378VQS7
                
                    
                
                1240905.78
                PA
                USD
                258131.86
                0.143540255321
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-06-20
                    Floating
                    5.939
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378MGY5
                
                    
                
                427269.46
                PA
                USD
                22431.65
                0.012473643386
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2037-09-20
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375AX25
                
                    
                
                63169.57
                PA
                USD
                12554.95
                0.006981473455
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-01-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375AT87
                
                    
                
                19248.36
                PA
                USD
                2960.4
                0.001646199628
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-01-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375AXQ2
                
                    
                
                13876.86
                PA
                USD
                2767.18
                0.00153875513
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2039-12-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378YBJ7
                
                    
                
                1636676.42
                PA
                USD
                322384.32
                0.179269337788
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-11-20
                    Floating
                    6.039
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378T7Q7
                
                    
                
                25978.33
                PA
                USD
                2728.83
                0.001517429716
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-02-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379BRL4
                
                    
                
                601240.01
                PA
                USD
                118221.82
                0.065740006783
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-04-20
                    Floating
                    5.989
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379AUZ1
                
                    
                
                630399.22
                PA
                USD
                41209.2
                0.022915339043
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2028-05-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379GQN0
                
                    
                
                32107.14
                PA
                USD
                6451.61
                0.003587568565
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-09-16
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379LL46
                
                    
                
                110320.22
                PA
                USD
                19857.64
                0.011042304951
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-04-16
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379LXM3
                
                    
                
                158929.05
                PA
                USD
                18027.88
                0.010024824127
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-04-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379LX92
                
                    
                
                81550.66
                PA
                USD
                15617.03
                0.008684214624
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2039-10-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RAQ9
                
                    
                
                163965.09
                PA
                USD
                11854.68
                0.006592071951
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-04-20
                    Variable
                    3.006
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RCE4
                
                    
                
                265247.38
                PA
                USD
                9764.55
                0.005429806302
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-05-20
                    Variable
                    1.557
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379PYQ4
                
                    
                
                379858.82
                PA
                USD
                16144
                0.008977248612
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2038-03-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379P2W6
                
                    
                
                134367.76
                PA
                USD
                1329
                0.000739021519
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2038-12-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UVZ0
                
                    
                
                54786.13
                PA
                USD
                3576.44
                0.001988763071
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-03-20
                    Variable
                    1.686
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RAF3
                
                    
                
                142141.45
                PA
                USD
                11572.02
                0.00643489225
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-04-20
                    Variable
                    1.803
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379MAY0
                
                    
                
                399561.2
                PA
                USD
                9044.07
                0.005029166554
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2039-01-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376REB8
                
                    
                
                72397.91
                PA
                USD
                6436.17
                0.003578982792
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-07-20
                    Variable
                    2.444
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376REX0
                
                    
                
                95938.88
                PA
                USD
                5142.32
                0.002859507252
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-06-20
                    Variable
                    1.831
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UBN9
                
                    
                
                325816.6
                PA
                USD
                10643.78
                0.005918722698
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2063-09-20
                    Variable
                    1.425
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RFK7
                
                    
                
                136838.34
                PA
                USD
                13252.79
                0.007369523701
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-08-20
                    Variable
                    2.18
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379JHX2
                
                    
                
                37205.48
                PA
                USD
                4836.71
                0.002689565667
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-02-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RFF8
                
                    
                
                126624.91
                PA
                USD
                9433.56
                0.005245751574
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-08-20
                    Variable
                    1.818
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RDF0
                
                    
                
                157040.11
                PA
                USD
                12987.22
                0.007221847294
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-06-20
                    Variable
                    1.956
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RGQ3
                
                    
                
                140284.86
                PA
                USD
                5653.48
                0.00314374972
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-08-20
                    Variable
                    1.605
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RHT6
                
                    
                
                246382.51
                PA
                USD
                8320.09
                0.00462658055
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-08-20
                    Variable
                    1.606
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RHY5
                
                    
                
                142774.35
                PA
                USD
                7101.88
                0.003949166401
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-09-20
                    Variable
                    2.041
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BKQ4
                
                    
                
                222011.73
                PA
                USD
                5661.3
                0.003148098214
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2061-02-20
                    Floating
                    1.235
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RJD9
                
                    
                
                205136.05
                PA
                USD
                13374.87
                0.007437409139
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-09-20
                    Variable
                    1.613
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RJF4
                
                    
                
                113878.31
                PA
                USD
                9372.18
                0.00521161979
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-10-20
                    Variable
                    1.928
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RHG4
                
                    
                
                138774.71
                PA
                USD
                11699.12
                0.006505569176
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-09-20
                    Variable
                    1.855
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RHE9
                
                    
                
                90498.29
                PA
                USD
                6181.03
                0.003437106231
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-09-20
                    Variable
                    1.752
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RJH0
                
                    
                
                106196.36
                PA
                USD
                7943.49
                0.004417163316
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-10-20
                    Variable
                    1.899
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RJK3
                
                    
                
                127190.09
                PA
                USD
                9399.35
                0.005226728304
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-10-20
                    Variable
                    1.854
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379LHX7
                
                    
                
                1020423.59
                PA
                USD
                116304.92
                0.064674069725
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-07-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RKB1
                
                    
                
                73166.57
                PA
                USD
                5472.86
                0.003043311747
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-10-20
                    Variable
                    1.797
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RJY3
                
                    
                
                177758.1
                PA
                USD
                13438.51
                0.007472797649
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-10-20
                    Variable
                    1.713
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RJW7
                
                    
                
                111380.44
                PA
                USD
                9095.1
                0.005057542979
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-10-20
                    Variable
                    1.879
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379FY60
                
                    
                
                42113.74
                PA
                USD
                5375.44
                0.002989139078
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-03-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RJU1
                
                    
                
                140504.75
                PA
                USD
                1882.76
                0.001046952713
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-08-20
                    Variable
                    .498
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379TKW8
                
                    
                
                70395.31
                PA
                USD
                11263.25
                0.006263193473
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-12-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RPW0
                
                    
                
                208992.8
                PA
                USD
                13103.85
                0.007286702132
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-01-20
                    Variable
                    1.526
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UQB9
                
                    
                
                163223.7
                PA
                USD
                11892.64
                0.006613180496
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2064-10-20
                    Variable
                    1.626
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RQP4
                
                    
                
                93871.02
                PA
                USD
                5443.86
                0.003027185619
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-02-20
                    Variable
                    2.36
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RTR7
                
                    
                
                132586.98
                PA
                USD
                6184.39
                0.003438974637
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2066-04-20
                    Variable
                    1.426
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375BLB6
                
                    
                
                123212.8
                PA
                USD
                4854.58
                0.002699502699
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2061-03-20
                    Floating
                    1.252
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379YFF0
                
                    
                
                50772.07
                PA
                USD
                10720.55
                0.005961412451
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2040-01-20
                    Fixed
                    6
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379DLJ1
                
                    
                
                39187.29
                PA
                USD
                4927.41
                0.002740001523
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-10-16
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379XMA5
                
                    
                
                103029.39
                PA
                USD
                14584.51
                0.00811005774
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-06-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379WFZ0
                
                    
                
                387298.88
                PA
                USD
                69723.13
                0.038771176413
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-11-16
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379TLM9
                
                    
                
                45886.49
                PA
                USD
                6371.84
                0.003543210592
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-03-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38379WHZ8
                
                    
                
                243670.5
                PA
                USD
                28012.36
                0.015576927647
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2045-09-20
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378E3R2
                
                    
                
                63775.34
                PA
                USD
                11626.45
                0.006465159324
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2042-05-20
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378A3Y5
                
                    
                
                45824.47
                PA
                USD
                10923.49
                0.006074261982
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2038-04-20
                    Floating
                    6.489
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UTS9
                
                    
                
                232231.82
                PA
                USD
                16952.92
                0.009427067489
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-01-20
                    Variable
                    1.635
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GNMA TBA
                21H032639
                
                    
                
                1000000
                PA
                USD
                1057343.8
                0.587960738415
                Short
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GINNIE MAE I POOL
                549300M8ZYFG0OCMTT87
                GNMA TBA
                21H040632
                
                    
                
                2000000
                PA
                USD
                2136406.2
                1.187998612095
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2051-03-01
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                1953
                NC
                USD
                431155267.58
                239.753966021277
                N/A
                DIR
                CORP
                US
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Short
                        
                            
UNITED STATES OF AMERICA
US TREASURY N/B               02.5000 03/31/2023

    

                            
                        
                        2021-01-06
                        431487285.39
                        USD
                        332017.81
                    
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE REMICS
                B1V7KEBTPIMZEU4LTD58
                GOVT CMO
                31397QLM8
                
                    
                
                12518.92
                PA
                USD
                15273.08
                0.008492953186
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2040-05-25
                    Floating
                    12.665
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                26688000
                NC
                USD
                231251.52
                0.128592813859
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2026-02-22
                        215.9
                        USD
                        0
                        USD
                        26688000
                        USD
                        -227826.85
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                4054000
                NC
                USD
                44581.84
                0.02479077436
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-02-23
                        53.75
                        USD
                        0
                        USD
                        4054000
                        USD
                        -43489.15
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                9607000
                NC
                USD
                82610.59
                0.045937549828
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-02-24
                        127.39
                        USD
                        0
                        USD
                        9607000
                        USD
                        80047.58
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                3671000
                NC
                USD
                23762.38
                0.013213626912
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-02-25
                        48.68
                        USD
                        0
                        USD
                        3671000
                        USD
                        22901.8
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                3671000
                NC
                USD
                23832.13
                0.01325241303
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-02-25
                        48.68
                        USD
                        0
                        USD
                        3671000
                        USD
                        22971.67
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                900000
                NC
                USD
                613.8
                0.000341317839
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-02-26
                        3.39
                        USD
                        0
                        USD
                        900000
                        USD
                        -605.23
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                2915000
                NC
                USD
                22594.16
                0.012564010871
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-02-26
                        38.65
                        USD
                        0
                        USD
                        2915000
                        USD
                        -22096.35
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                2005000
                NC
                USD
                1307.26
                0.000726932484
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-02-26
                        7.56
                        USD
                        0
                        USD
                        2005000
                        USD
                        -1287.76
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                2651000
                NC
                USD
                19460.99
                0.010821738446
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-02-26
                        35.16
                        USD
                        0
                        USD
                        2651000
                        USD
                        -19006.69
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                6634000
                NC
                USD
                20877.2
                0.011609255124
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-03-01
                        87.96
                        USD
                        0
                        USD
                        6634000
                        USD
                        20789.24
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                6900500
                NC
                USD
                3119.03
                0.001734409548
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2026-03-01
                        55.82
                        USD
                        0
                        USD
                        6900500
                        USD
                        -3174.85
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                12413400
                NC
                USD
                205491.42
                0.114268308039
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2025-07-06
                        100.42
                        USD
                        0
                        USD
                        12413400
                        USD
                        -203371.74
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                15053100
                NC
                USD
                285828.26
                0.158941486023
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2025-07-14
                        121.78
                        USD
                        0
                        USD
                        15053100
                        USD
                        -284550.31
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                6947600
                NC
                USD
                514184.93
                0.285924550865
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2030-07-15
                        92.13
                        USD
                        0
                        USD
                        6947600
                        USD
                        -510646.22
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                24827000
                NC
                USD
                2058183.13
                1.144500845334
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2030-08-05
                        329.2
                        USD
                        0
                        USD
                        24827000
                        USD
                        -2051772.57
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                99KJ109B5
                
                    
                
                24827000
                NC
                USD
                2078119.21
                1.155586768681
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2030-09-08
                        151773.9
                        USD
                        0
                        USD
                        24827000
                        USD
                        1871985.24
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                10710800
                NC
                USD
                225730.11
                0.12552250475
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2025-08-12
                        86.65
                        USD
                        0
                        USD
                        10710800
                        USD
                        -225266.93
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                13692500
                NC
                USD
                280490.86
                0.155973499976
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2025-10-13
                        129.26
                        USD
                        0
                        USD
                        13692500
                        USD
                        266318.99
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                23171900
                NC
                USD
                1642980.4
                0.91361766077
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2030-10-07
                        307.26
                        USD
                        0
                        USD
                        23171900
                        USD
                        1584297.1
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                99KN759Y9
                
                    
                
                24827000
                NC
                USD
                1771381.62
                0.985018160896
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2030-11-04
                        133153.65
                        USD
                        0
                        USD
                        24827000
                        USD
                        1583124.62
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                14474100
                NC
                USD
                252659.89
                0.14049743848
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2025-10-13
                        117.1
                        USD
                        0
                        USD
                        14474100
                        USD
                        234036.65
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                14474100
                NC
                USD
                228980.26
                0.127329826639
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2025-11-16
                        117.1
                        USD
                        0
                        USD
                        14474100
                        USD
                        209992.05
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                30548000
                NC
                USD
                4824201.26
                2.682609890079
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2051-03-17
                        0
                        USD
                        1473885.68
                        USD
                        30548000
                        USD
                        -3350315.58
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                366554000
                NC
                USD
                4765.2
                0.00264980086
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-03-17
                        346611.13
                        USD
                        0
                        USD
                        366554000
                        USD
                        -351376.33
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                185282000
                NC
                USD
                3957808.8
                2.200832108303
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2026-03-17
                        297401.11
                        USD
                        0
                        USD
                        185282000
                        USD
                        3660407.69
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                38184000
                NC
                USD
                2297378.54
                1.277511044939
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-03-17
                        0
                        USD
                        366045.73
                        USD
                        38184000
                        USD
                        -1931332.81
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                14799100
                NC
                USD
                279628.99
                0.155494237014
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2025-12-16
                        119.73
                        USD
                        0
                        USD
                        14799100
                        USD
                        -273312.66
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                972000
                NC
                USD
                108793.04
                0.060496913239
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2051-01-04
                        33.14
                        USD
                        0
                        USD
                        972000
                        USD
                        -106972.97
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                7823000
                NC
                USD
                148910.8
                0.082805331554
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2026-01-05
                        63.29
                        USD
                        0
                        USD
                        7823000
                        USD
                        146323.92
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                7015000
                NC
                USD
                137662.36
                0.076550373528
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2026-01-06
                        56.75
                        USD
                        0
                        USD
                        7015000
                        USD
                        135493.6
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                9330000
                NC
                USD
                502476.48
                0.279413793524
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-01-06
                        123.72
                        USD
                        0
                        USD
                        9330000
                        USD
                        -492564.36
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                3514000
                NC
                USD
                71070.65
                0.039520496412
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2026-01-07
                        28.43
                        USD
                        0
                        USD
                        3514000
                        USD
                        70061.78
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1200000
                NC
                USD
                64848
                0.036060246407
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-01-07
                        15.91
                        USD
                        0
                        USD
                        1200000
                        USD
                        -63598.5
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                549000
                NC
                USD
                446.34
                0.000248197791
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-01-07
                        2.07
                        USD
                        0
                        USD
                        549000
                        USD
                        -485.05
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                500000
                NC
                USD
                248
                0.000137906198
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-01-08
                        1.89
                        USD
                        0
                        USD
                        500000
                        USD
                        -267.99
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1240000
                NC
                USD
                56296
                0.031304706879
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-01-08
                        16.44
                        USD
                        0
                        USD
                        1240000
                        USD
                        -54855.8
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                879000
                NC
                USD
                37433.09
                0.0208155448
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-01-11
                        11.65
                        USD
                        0
                        USD
                        879000
                        USD
                        36397.47
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                8673000
                NC
                USD
                362800.26
                0.201743566063
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-01-11
                        115.01
                        USD
                        0
                        USD
                        8673000
                        USD
                        352485.51
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                61825000
                NC
                USD
                21700.58
                0.012067114822
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-01-11
                        233.08
                        USD
                        0
                        USD
                        61825000
                        USD
                        -22556.63
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                646000
                NC
                USD
                208.66
                0.000116030271
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-01-11
                        2.44
                        USD
                        0
                        USD
                        646000
                        USD
                        -216.27
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1958000
                NC
                USD
                81350.98
                0.04523711424
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-01-11
                        25.97
                        USD
                        0
                        USD
                        1958000
                        USD
                        -79066.11
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                13928500
                NC
                USD
                188438.68
                0.104785733305
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2026-01-13
                        112.68
                        USD
                        0
                        USD
                        13928500
                        USD
                        181980.6
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                7348000
                NC
                USD
                265145.23
                0.147440203667
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-01-13
                        97.44
                        USD
                        0
                        USD
                        7348000
                        USD
                        256150.86
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1206000
                NC
                USD
                402.8
                0.000223986357
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-01-13
                        4.55
                        USD
                        0
                        USD
                        1206000
                        USD
                        -415.91
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1429000
                NC
                USD
                50542.3
                0.028105227485
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-01-13
                        18.94
                        USD
                        0
                        USD
                        1429000
                        USD
                        -48816.57
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                4643000
                NC
                USD
                147159.88
                0.081831691556
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-01-14
                        61.57
                        USD
                        0
                        USD
                        4643000
                        USD
                        141363.2
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                5393000
                NC
                USD
                614.8
                0.000341873913
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-01-14
                        20.33
                        USD
                        0
                        USD
                        5393000
                        USD
                        -640.59
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                7006000
                NC
                USD
                223309.24
                0.124176323392
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-01-14
                        92.9
                        USD
                        0
                        USD
                        7006000
                        USD
                        -214765.59
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1481000
                NC
                USD
                103881.78
                0.057765892302
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2051-01-15
                        50.51
                        USD
                        0
                        USD
                        1481000
                        USD
                        101226.4
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                99KV819B9
                
                    
                
                2698700
                NC
                USD
                98597
                0.054827166836
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-04-15
                        38.21
                        USD
                        0
                        USD
                        2698700
                        USD
                        98558.79
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                2611600
                NC
                USD
                108893.27
                0.060552648474
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-07-15
                        36.98
                        USD
                        0
                        USD
                        2611600
                        USD
                        108856.29
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                30336000
                NC
                USD
                6764.93
                0.003761797476
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-01-15
                        114.36
                        USD
                        0
                        USD
                        30336000
                        USD
                        -7383.42
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                13864000
                NC
                USD
                522950.08
                0.290798617433
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-01-15
                        183.83
                        USD
                        0
                        USD
                        13864000
                        USD
                        -507624.42
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                20611000
                NC
                USD
                13108.6
                0.007289343481
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-01-22
                        77.71
                        USD
                        0
                        USD
                        20611000
                        USD
                        -13515.61
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1060000
                NC
                USD
                75239.86
                0.041838883099
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2051-01-25
                        36.15
                        USD
                        0
                        USD
                        1060000
                        USD
                        -73794.87
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                16704500
                NC
                USD
                15034.05
                0.008360034966
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2023-02-02
                        62.98
                        USD
                        0
                        USD
                        16704500
                        USD
                        14935.51
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1878000
                NC
                USD
                136322.14
                0.075805112866
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2051-02-03
                        64.04
                        USD
                        0
                        USD
                        1878000
                        USD
                        -134310.62
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1967000
                NC
                USD
                127235.4
                0.07075221866
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2051-02-04
                        67.07
                        USD
                        0
                        USD
                        1967000
                        USD
                        125018.17
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                9694000
                NC
                USD
                144159.47
                0.080163243432
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2026-02-04
                        78.43
                        USD
                        0
                        USD
                        9694000
                        USD
                        -141540.62
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                4534000
                NC
                USD
                129268.87
                0.071882977192
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-02-08
                        60.12
                        USD
                        0
                        USD
                        4534000
                        USD
                        -126314.6
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                2930800
                NC
                USD
                39176
                0.021784730651
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2026-02-10
                        23.71
                        USD
                        0
                        USD
                        2930800
                        USD
                        38456.08
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                16003000
                NC
                USD
                397866.59
                0.221243018635
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-02-10
                        212.2
                        USD
                        0
                        USD
                        16003000
                        USD
                        -388013.44
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                6635000
                NC
                USD
                214655.52
                0.119364220081
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2051-02-10
                        226.25
                        USD
                        0
                        USD
                        6635000
                        USD
                        208260.88
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                12852000
                NC
                USD
                169312.25
                0.094150034769
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2026-02-11
                        103.97
                        USD
                        0
                        USD
                        12852000
                        USD
                        -166512.02
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                59383000
                NC
                USD
                39905.38
                0.022190319451
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2023-02-11
                        223.87
                        USD
                        0
                        USD
                        59383000
                        USD
                        38881.49
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                2020000
                NC
                USD
                60462.64
                0.033621664459
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-02-16
                        26.79
                        USD
                        0
                        USD
                        2020000
                        USD
                        59563.81
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                2396900
                NC
                USD
                69917.57
                0.038879299321
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-02-16
                        31.78
                        USD
                        0
                        USD
                        2396900
                        USD
                        68843.06
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                2562000
                NC
                USD
                39898.03
                0.022186232312
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-02-18
                        33.97
                        USD
                        0
                        USD
                        2562000
                        USD
                        38758.43
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                8266000
                NC
                USD
                126692.98
                0.070450593339
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-02-19
                        109.61
                        USD
                        0
                        USD
                        8266000
                        USD
                        -123479.14
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                8266000
                NC
                USD
                117360.67
                0.065261144194
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-02-19
                        109.61
                        USD
                        0
                        USD
                        8266000
                        USD
                        -114114.15
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                8266000
                NC
                USD
                122601.31
                0.068175324581
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-02-19
                        109.61
                        USD
                        0
                        USD
                        8266000
                        USD
                        -119373.17
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                8266000
                NC
                USD
                132454.38
                0.073654354498
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-02-19
                        109.61
                        USD
                        0
                        USD
                        8266000
                        USD
                        -129260.73
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                8610000
                NC
                USD
                104783.7
                0.058267426003
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-02-19
                        114.17
                        USD
                        0
                        USD
                        8610000
                        USD
                        101112.59
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                8610000
                NC
                USD
                100599.24
                0.055940559196
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-02-19
                        114.17
                        USD
                        0
                        USD
                        8610000
                        USD
                        96913.5
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                4715000
                NC
                USD
                24659.45
                0.013712463657
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2051-02-22
                        160.78
                        USD
                        0
                        USD
                        4715000
                        USD
                        22445.7
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                102000
                NC
                USD
                28611
                0.015909815414
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2058-09-17
                        0
                        USD
                        40856.67
                        USD
                        102000
                        USD
                        12302.34
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1994000
                NC
                USD
                492916.8
                0.274097909975
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2063-05-11
                        648050
                        USD
                        0
                        USD
                        1994000
                        USD
                        -155797.87
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                922000
                NC
                USD
                68320.2
                0.037991044389
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                        
                            

                            
                        
                        2072-12-16
                        0
                        USD
                        184531.15
                        USD
                        922000
                        USD
                        116518.28
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                58000
                NC
                USD
                6884.6
                0.003828342777
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        12575.78
                        USD
                        0
                        USD
                        58000
                        USD
                        -5710.51
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                51000
                NC
                USD
                6053.7
                0.003366301407
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        11028.43
                        USD
                        0
                        USD
                        51000
                        USD
                        -4991.73
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2791000
                NC
                USD
                206813.1
                0.115003259101
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2072-12-16
                        0
                        USD
                        262668.29
                        USD
                        2791000
                        USD
                        56785.52
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                110000
                NC
                USD
                7403
                0.004116611216
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2063-05-11
                        11103.13
                        USD
                        0
                        USD
                        110000
                        USD
                        -3724.57
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2791000
                NC
                USD
                331291.7
                0.184222494673
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        479876.35
                        USD
                        0
                        USD
                        2791000
                        USD
                        -149514.98
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                133000
                NC
                USD
                15787.1
                0.008778786023
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        21934.52
                        USD
                        0
                        USD
                        133000
                        USD
                        -6191.75
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1104000
                NC
                USD
                81806.4
                0.045490361178
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2072-12-16
                        0
                        USD
                        96816.9
                        USD
                        1104000
                        USD
                        15378.5
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                9624000
                NC
                USD
                2379052.8
                1.322927926581
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        2593167.19
                        USD
                        9624000
                        USD
                        217322.39
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                164000
                NC
                USD
                70733.2
                0.03933284945
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        68880
                        USD
                        164000
                        USD
                        -1762.09
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                68000
                NC
                USD
                16809.6
                0.009347371052
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        16660
                        USD
                        68000
                        USD
                        -126.93
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                15000
                NC
                USD
                568.5
                0.000316127715
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2072-12-16
                        0
                        USD
                        460.38
                        USD
                        15000
                        USD
                        -103.12
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                155000
                NC
                USD
                5874.5
                0.003266653058
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2072-12-16
                        0
                        USD
                        4368.78
                        USD
                        155000
                        USD
                        -1454.05
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                16000
                NC
                USD
                1076.8
                0.000598779813
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2063-05-11
                        1060
                        USD
                        0
                        USD
                        16000
                        USD
                        13.24
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                509000
                NC
                USD
                35884.5
                0.019954415127
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        35041.37
                        USD
                        0
                        USD
                        509000
                        USD
                        673.46
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                509000
                NC
                USD
                19291.1
                0.010727267139
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2072-12-16
                        0
                        USD
                        16631.53
                        USD
                        509000
                        USD
                        -2489.9
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                24000
                NC
                USD
                909.6
                0.000505804344
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2072-12-16
                        0
                        USD
                        729.44
                        USD
                        24000
                        USD
                        -172.16
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                41000
                NC
                USD
                1553.9
                0.000864082422
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2072-12-16
                        0
                        USD
                        1277.52
                        USD
                        41000
                        USD
                        -262.71
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                41000
                NC
                USD
                2890.5
                0.001607330099
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        2797.99
                        USD
                        0
                        USD
                        41000
                        USD
                        78.84
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1353000
                NC
                USD
                211879.8
                0.117820716084
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        210480.12
                        USD
                        0
                        USD
                        1353000
                        USD
                        948.68
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                684000
                NC
                USD
                107114.4
                0.059563466224
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        107261.8
                        USD
                        0
                        USD
                        684000
                        USD
                        -375.4
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                289000
                NC
                USD
                89127.6
                0.049561485592
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                        
                            

                            
                        
                        2059-11-17
                        0
                        USD
                        23188.84
                        USD
                        289000
                        USD
                        -65778.2
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                298275.66
                NC
                USD
                101712
                0.056559335408
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        38366.55
                        USD
                        0
                        USD
                        298275.66
                        USD
                        63179.74
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                735000
                NC
                USD
                124068
                0.068990911843
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        53072.71
                        USD
                        0
                        USD
                        735000
                        USD
                        70586.96
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                135000
                NC
                USD
                37867.5
                0.021057108636
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        8710.15
                        USD
                        0
                        USD
                        135000
                        USD
                        29082.35
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                56000
                NC
                USD
                15708
                0.008734800619
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        3446.93
                        USD
                        0
                        USD
                        56000
                        USD
                        12229.96
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                99000
                NC
                USD
                14741.1
                0.00819713327
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        8086.25
                        USD
                        0
                        USD
                        99000
                        USD
                        6599.85
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                277000
                NC
                USD
                41245.3
                0.022935413291
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        20225.45
                        USD
                        0
                        USD
                        277000
                        USD
                        20865.96
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                401000
                NC
                USD
                59708.9
                0.033202529711
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        28670.2
                        USD
                        0
                        USD
                        401000
                        USD
                        30815.92
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                255000
                NC
                USD
                43044
                0.023935622476
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        17530
                        USD
                        0
                        USD
                        255000
                        USD
                        25372.33
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                239000
                NC
                USD
                103080.7
                0.05732043304
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        29053.44
                        USD
                        239000
                        USD
                        -73894.48
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                601000
                NC
                USD
                148567.2
                0.082614264742
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2063-05-11
                        32934.37
                        USD
                        0
                        USD
                        601000
                        USD
                        115432.5
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                509000
                NC
                USD
                85919.2
                0.047777379766
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        26404.21
                        USD
                        0
                        USD
                        509000
                        USD
                        59232.21
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                509000
                NC
                USD
                85919.2
                0.047777379766
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        25962.91
                        USD
                        0
                        USD
                        509000
                        USD
                        59673.51
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                372000
                NC
                USD
                160443.6
                0.089218414607
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        41596.38
                        USD
                        372000
                        USD
                        -118640.55
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                335000
                NC
                USD
                103314
                0.057450164959
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        19061.35
                        USD
                        0
                        USD
                        335000
                        USD
                        84066.54
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                417000
                NC
                USD
                116968.5
                0.065043068897
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        16194.9
                        USD
                        0
                        USD
                        417000
                        USD
                        100541.93
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                181000
                NC
                USD
                50770.5
                0.02823212343
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        7104.45
                        USD
                        0
                        USD
                        181000
                        USD
                        43565.49
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                241000
                NC
                USD
                103943.3
                0.057800101936
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        34229.53
                        USD
                        241000
                        USD
                        -69579.88
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                96529.34
                NC
                USD
                32916.5
                0.018303989342
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        11329.61
                        USD
                        0
                        USD
                        96529.34
                        USD
                        21533.26
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                592000
                NC
                USD
                146342.4
                0.081377112691
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        37587.76
                        USD
                        592000
                        USD
                        -108557.31
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                170000
                NC
                USD
                47685
                0.026516359023
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        6645.88
                        USD
                        0
                        USD
                        170000
                        USD
                        40944.68
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                102000
                NC
                USD
                28611
                0.015909815414
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        3697.68
                        USD
                        0
                        USD
                        102000
                        USD
                        24856.65
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1079000
                NC
                USD
                465372.7
                0.258781369248
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        154783.81
                        USD
                        1079000
                        USD
                        -309989.45
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1183000
                NC
                USD
                430612
                0.239451869383
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        60372.76
                        USD
                        1183000
                        USD
                        -369582.02
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                196000
                NC
                USD
                38710
                0.021525600457
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        988.64
                        USD
                        0
                        USD
                        196000
                        USD
                        37656.03
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                25306000
                NC
                USD
                6255643.2
                3.478596644852
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1676515.5
                        USD
                        25306000
                        USD
                        -4570692.37
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1051000
                NC
                USD
                259807.2
                0.144471867294
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        69002.25
                        USD
                        1051000
                        USD
                        -190454.62
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1051000
                NC
                USD
                156493.9
                0.087022091586
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        55505.46
                        USD
                        0
                        USD
                        1051000
                        USD
                        100404.55
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1056000
                NC
                USD
                296208
                0.164713383106
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        37254.22
                        USD
                        0
                        USD
                        1056000
                        USD
                        258367.11
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1056000
                NC
                USD
                261043.2
                0.145159173989
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        69717.09
                        USD
                        1056000
                        USD
                        -190974.11
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                286000
                NC
                USD
                70699.2
                0.039313942955
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        20956.66
                        USD
                        286000
                        USD
                        -49647.21
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                571000
                NC
                USD
                141151.2
                0.078490424572
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        41903.27
                        USD
                        571000
                        USD
                        -99057.6
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                286000
                NC
                USD
                70699.2
                0.039313942955
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        21083.29
                        USD
                        286000
                        USD
                        -49520.58
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                199000
                NC
                USD
                49192.8
                0.027354806462
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        15109.71
                        USD
                        199000
                        USD
                        -34016.76
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1476000
                NC
                USD
                364867.2
                0.202892936371
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        110571.37
                        USD
                        1476000
                        USD
                        -253803.83
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                295000
                NC
                USD
                72924
                0.040551095006
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        22359.88
                        USD
                        295000
                        USD
                        -50465.79
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                413000
                NC
                USD
                61495.7
                0.034196121622
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        29136.2
                        USD
                        0
                        USD
                        413000
                        USD
                        32130.06
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                428000
                NC
                USD
                63729.2
                0.035438111512
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        36731.9
                        USD
                        0
                        USD
                        428000
                        USD
                        26759.52
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1093000
                NC
                USD
                270189.6
                0.150245243532
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        87616.56
                        USD
                        1093000
                        USD
                        -182208.71
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                364000
                NC
                USD
                89980.8
                0.050035927398
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        29178.8
                        USD
                        364000
                        USD
                        -60680.67
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                711000
                NC
                USD
                175759.2
                0.097735012032
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        59390.95
                        USD
                        711000
                        USD
                        -116131.25
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                439000
                NC
                USD
                189340.7
                0.105287322614
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        71327.11
                        USD
                        439000
                        USD
                        -117769.7
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                430000
                NC
                USD
                106296
                0.059108375772
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        36144.16
                        USD
                        430000
                        USD
                        -70008.51
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                270000
                NC
                USD
                66744
                0.037114561531
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        23894.04
                        USD
                        270000
                        USD
                        -42759.96
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                284000
                NC
                USD
                42287.6
                0.023515008573
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        103987.22
                        USD
                        0
                        USD
                        284000
                        USD
                        -61857.4
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                254000
                NC
                USD
                42875.2
                0.02384175729
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        125535.75
                        USD
                        0
                        USD
                        254000
                        USD
                        -82801.66
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                90000
                NC
                USD
                17775
                0.009884204291
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        21128.65
                        USD
                        90000
                        USD
                        3383.65
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                36442000
                NC
                USD
                9008462.4
                5.009366116008
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        11650593.09
                        USD
                        36442000
                        USD
                        2654278.02
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                4288000
                NC
                USD
                723814.4
                0.402493918345
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        2338615.52
                        USD
                        0
                        USD
                        4288000
                        USD
                        -1617183.34
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                584000
                NC
                USD
                86957.6
                0.048354806362
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        320742.34
                        USD
                        0
                        USD
                        584000
                        USD
                        -234109.18
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2619000
                NC
                USD
                953316
                0.530113648279
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        1282407.13
                        USD
                        0
                        USD
                        2619000
                        USD
                        -330546.13
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1892000
                NC
                USD
                816019.6
                0.453766775364
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        973999.66
                        USD
                        1892000
                        USD
                        159031.17
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                174000
                NC
                USD
                25908.6
                0.014407082717
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        104400
                        USD
                        0
                        USD
                        174000
                        USD
                        -78588.07
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                647000
                NC
                USD
                109213.6
                0.060730775459
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2054-11-18
                        0
                        USD
                        365555
                        USD
                        647000
                        USD
                        256700.84
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                4000
                NC
                USD
                269.2
                0.000149694953
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        560
                        USD
                        4000
                        USD
                        291.69
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                172000
                NC
                USD
                20416.4
                0.011353016512
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        48454.05
                        USD
                        0
                        USD
                        172000
                        USD
                        -28094.98
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                880000
                NC
                USD
                104456
                0.058085200757
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        262172.88
                        USD
                        0
                        USD
                        880000
                        USD
                        -158010.21
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                288000
                NC
                USD
                34185.6
                0.019009702066
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        85802.03
                        USD
                        0
                        USD
                        288000
                        USD
                        -51712.43
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                917000
                NC
                USD
                226682.4
                0.126052047867
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        316365
                        USD
                        917000
                        USD
                        89988.27
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                290000
                NC
                USD
                32625
                0.018141893952
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        68611.35
                        USD
                        0
                        USD
                        290000
                        USD
                        -36083.02
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1509000
                NC
                USD
                650831.7
                0.361910181831
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        754500
                        USD
                        1509000
                        USD
                        104506.63
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                187000
                NC
                USD
                12585.1
                0.006998239068
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        22323.12
                        USD
                        187000
                        USD
                        9779.58
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                278000
                NC
                USD
                54905
                0.030531208811
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        60812.5
                        USD
                        0
                        USD
                        278000
                        USD
                        -6000.17
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                655000
                NC
                USD
                183727.5
                0.102165971529
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2058-09-17
                        0
                        USD
                        264865.62
                        USD
                        655000
                        USD
                        81502.01
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC
                G5GSEF7VJP5I7OUK5573
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                6000
                NC
                USD
                1185
                0.000658946953
                N/A
                DCR
                CORP
                US
                
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC
                            G5GSEF7VJP5I7OUK5573
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        33.73
                        USD
                        6000
                        USD
                        -1149.27
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                5000
                NC
                USD
                987.5
                0.000549122461
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        369.57
                        USD
                        5000
                        USD
                        -616.26
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                21000
                NC
                USD
                4147.5
                0.002306314335
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        1379.16
                        USD
                        21000
                        USD
                        -2761.34
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                201.3
                0.000111937571
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        110.42
                        USD
                        3000
                        USD
                        -90.21
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                57000
                NC
                USD
                11257.5
                0.006259996051
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        4855.52
                        USD
                        57000
                        USD
                        -6382.98
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                39000
                NC
                USD
                9640.8
                0.005360992221
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        2931.68
                        USD
                        39000
                        USD
                        -6696.12
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                247.2
                0.000137461339
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        68.13
                        USD
                        1000
                        USD
                        -178.74
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                6000
                NC
                USD
                1483.2
                0.000824768034
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        519.85
                        USD
                        6000
                        USD
                        -961.35
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                7000
                NC
                USD
                1730.4
                0.000962229373
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        580.13
                        USD
                        7000
                        USD
                        -1147.94
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                196000
                NC
                USD
                48451.2
                0.026942422445
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        31085.6
                        USD
                        196000
                        USD
                        -17300.27
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                179000
                NC
                USD
                44248.8
                0.024605579682
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        28389.4
                        USD
                        179000
                        USD
                        -15799.73
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                7000
                NC
                USD
                1730.4
                0.000962229373
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        779.97
                        USD
                        7000
                        USD
                        -948.1
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                300000
                NC
                USD
                74160
                0.041238401701
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        37025.09
                        USD
                        300000
                        USD
                        -37034.91
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                52000
                NC
                USD
                12854.4
                0.007147989628
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        6101.66
                        USD
                        52000
                        USD
                        -6735.41
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                52000
                NC
                USD
                10270
                0.005710873591
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        4227.48
                        USD
                        52000
                        USD
                        -6025.19
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                310000
                NC
                USD
                76632
                0.042613015091
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        34252.54
                        USD
                        310000
                        USD
                        -42276.13
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                166000
                NC
                USD
                41035.2
                0.022818582275
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        19768.75
                        USD
                        166000
                        USD
                        -21211.12
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                192000
                NC
                USD
                47462.4
                0.026392577089
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        22689.08
                        USD
                        192000
                        USD
                        -24709.32
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                192000
                NC
                USD
                47462.4
                0.026392577089
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        22767.42
                        USD
                        192000
                        USD
                        -24630.98
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                7000
                NC
                USD
                1730.4
                0.000962229373
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        757.85
                        USD
                        7000
                        USD
                        -970.22
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                41000
                NC
                USD
                10135.2
                0.005635914899
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        4588.78
                        USD
                        41000
                        USD
                        -5532.75
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                61000
                NC
                USD
                15079.2
                0.008385141679
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        6806.77
                        USD
                        61000
                        USD
                        -8252.1
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                61000
                NC
                USD
                15079.2
                0.008385141679
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        6806.77
                        USD
                        61000
                        USD
                        -8252.1
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                274000
                NC
                USD
                67732.8
                0.037664406887
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        42824.29
                        USD
                        274000
                        USD
                        -24817.17
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                227000
                NC
                USD
                82628
                0.045947231065
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        43198.1
                        USD
                        0
                        USD
                        227000
                        USD
                        39303.79
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                37000
                NC
                USD
                7307.5
                0.004063506209
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        3815.8
                        USD
                        37000
                        USD
                        -3479.37
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                206000
                NC
                USD
                40685
                0.022623845378
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        23195.6
                        USD
                        206000
                        USD
                        -17420.73
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                340000
                NC
                USD
                123760
                0.068819641243
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        63621.13
                        USD
                        0
                        USD
                        340000
                        USD
                        59949.98
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                121000
                NC
                USD
                29911.2
                0.01663282202
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        18576.42
                        USD
                        121000
                        USD
                        -11294.45
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                180000
                NC
                USD
                65520
                0.036433927717
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        34709.2
                        USD
                        0
                        USD
                        180000
                        USD
                        30710.8
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                6000
                NC
                USD
                1483.2
                0.000824768034
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        833.43
                        USD
                        6000
                        USD
                        -647.77
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                19000
                NC
                USD
                4696.8
                0.002611765441
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        2195.69
                        USD
                        19000
                        USD
                        -2494.78
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                197000
                NC
                USD
                55258.5
                0.03072778075
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        31123.38
                        USD
                        0
                        USD
                        197000
                        USD
                        24025.68
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                190000
                NC
                USD
                53295
                0.029635930673
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        30348.61
                        USD
                        0
                        USD
                        190000
                        USD
                        22840.83
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                390000
                NC
                USD
                109395
                0.06083164717
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        62086.13
                        USD
                        0
                        USD
                        390000
                        USD
                        47092.2
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                201.3
                0.000111937571
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        22.24
                        USD
                        0
                        USD
                        3000
                        USD
                        178.39
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                37000
                NC
                USD
                9146.4
                0.005086069543
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        4088.24
                        USD
                        37000
                        USD
                        -5045.83
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                16000
                NC
                USD
                3955.2
                0.002199381424
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1767.89
                        USD
                        16000
                        USD
                        -2181.98
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                80000
                NC
                USD
                19776
                0.01099690712
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        8943.56
                        USD
                        80000
                        USD
                        -10805.77
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                10000
                NC
                USD
                2805
                0.001559785825
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        1358.41
                        USD
                        0
                        USD
                        10000
                        USD
                        1441.03
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                66000
                NC
                USD
                18513
                0.010294586444
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        9989.98
                        USD
                        0
                        USD
                        66000
                        USD
                        8486.35
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                89000
                NC
                USD
                24964.5
                0.013882093841
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        12821.67
                        USD
                        0
                        USD
                        89000
                        USD
                        12093.39
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                35000
                NC
                USD
                8652
                0.004811146865
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        4985.24
                        USD
                        35000
                        USD
                        -3655.09
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                335000
                NC
                USD
                121940
                0.067807587695
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        44809.84
                        USD
                        335000
                        USD
                        -76944.05
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                223000
                NC
                USD
                68773.2
                0.03824294563
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        27718.66
                        USD
                        0
                        USD
                        223000
                        USD
                        40930.65
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                424000
                NC
                USD
                130761.6
                0.072713044605
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        50420.95
                        USD
                        0
                        USD
                        424000
                        USD
                        80105.09
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                603000
                NC
                USD
                101786.4
                0.056600707267
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        78124.78
                        USD
                        0
                        USD
                        603000
                        USD
                        23326.62
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                110000
                NC
                USD
                33924
                0.01886423327
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        12061.32
                        USD
                        0
                        USD
                        110000
                        USD
                        21801.57
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                134000
                NC
                USD
                41325.6
                0.022980065984
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        13984.65
                        USD
                        0
                        USD
                        134000
                        USD
                        27266.51
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                134000
                NC
                USD
                41325.6
                0.022980065984
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        14053.47
                        USD
                        0
                        USD
                        134000
                        USD
                        27197.69
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                134000
                NC
                USD
                48776
                0.027123035078
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        16216.47
                        USD
                        134000
                        USD
                        -32485.09
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                103000
                NC
                USD
                28891.5
                0.016065793996
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        12488.74
                        USD
                        0
                        USD
                        103000
                        USD
                        16345.54
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                52000
                NC
                USD
                14586
                0.008110886289
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        6258.23
                        USD
                        0
                        USD
                        52000
                        USD
                        8298.88
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                52000
                NC
                USD
                14586
                0.008110886289
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        6305
                        USD
                        0
                        USD
                        52000
                        USD
                        8252.11
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                52000
                NC
                USD
                14586
                0.008110886289
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        6187.97
                        USD
                        0
                        USD
                        52000
                        USD
                        8369.14
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                56000
                NC
                USD
                15708
                0.008734800619
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        6035.23
                        USD
                        0
                        USD
                        56000
                        USD
                        9641.66
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                592000
                NC
                USD
                99929.6
                0.055568190219
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        58138.71
                        USD
                        0
                        USD
                        592000
                        USD
                        41462
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                250000
                NC
                USD
                70125
                0.038994645622
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        26089.37
                        USD
                        0
                        USD
                        250000
                        USD
                        43896.74
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1339000
                NC
                USD
                331000.8
                0.184060732927
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        125815.71
                        USD
                        1339000
                        USD
                        -204738.76
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                287000
                NC
                USD
                104468
                0.058091873637
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        27162.95
                        USD
                        287000
                        USD
                        -77145.61
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                117000
                NC
                USD
                19749.6
                0.010982226783
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        11420.24
                        USD
                        0
                        USD
                        117000
                        USD
                        8264.36
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                104000
                NC
                USD
                17555.2
                0.009761979363
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        9910.49
                        USD
                        0
                        USD
                        104000
                        USD
                        7586.93
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                65000
                NC
                USD
                18232.5
                0.010138607862
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        5559
                        USD
                        0
                        USD
                        65000
                        USD
                        12637.39
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                139000
                NC
                USD
                23463.2
                0.013047260879
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        13102.41
                        USD
                        0
                        USD
                        139000
                        USD
                        10283.57
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                OPTION ON MORTGAGE BONDS
                N/A
                
                    
                
                7000000
                NC
                USD
                7
                0.000003892514
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Call
                        Purchased
                        
                            
FNMA  FN30   TBA      UMBS    02.0000 03/01/2051
FNMA TBA

    

                            
                        
                        1
                        102.875
                        USD
                        2021-03-04
                        XXXX
                        -15305.5
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                OPTION ON MORTGAGE BONDS
                N/A
                
                    
                
                7000000
                NC
                USD
                161868
                0.090010485526
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Put
                        Written
                        
                            
FNMA  FN30   TBA      UMBS    02.0000 03/01/2051
FNMA TBA

    

                            
                        
                        1
                        102.875
                        USD
                        2021-03-04
                        XXXX
                        -146555.5
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                OPTION ON MORTGAGE BONDS
                N/A
                
                    
                
                103000000
                NC
                USD
                103
                0.000057275558
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Call
                        Purchased
                        
                            
FNMA  FN30   TBA      UMBS    02.5000 03/01/2051
FNMA TBA

    

                            
                        
                        1
                        105.109375
                        USD
                        2021-03-04
                        XXXX
                        -160834.5
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                OPTION ON MORTGAGE BONDS
                N/A
                
                    
                
                103000000
                NC
                USD
                1866772
                1.038062211717
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Put
                        Written
                        
                            
FNMA  FN30   TBA      UMBS    02.5000 03/01/2051
FNMA TBA

    

                            
                        
                        1
                        105.109375
                        USD
                        2021-03-04
                        XXXX
                        -1705834.5
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                OPTION ON MORTGAGE BONDS
                N/A
                
                    
                
                4000000
                NC
                USD
                55096
                0.030637418826
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Put
                        Written
                        
                            
FNMA  FN30   TBA      UMBS    02.5000 04/01/2051
FNMA TBA

    

                            
                        
                        1
                        104.34375
                        USD
                        2021-04-07
                        XXXX
                        -45096
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                OPTION ON MORTGAGE BONDS
                N/A
                
                    
                
                79000000
                NC
                USD
                567773
                0.315723449962
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Put
                        Written
                        
                            
FNMA  FN30   TBA      UMBS    03.0000 03/01/2051
FNMA TBA

    

                            
                        
                        1
                        105.28125
                        USD
                        2021-03-04
                        XXXX
                        -493710.5
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                OPTION ON MORTGAGE BONDS
                N/A
                
                    
                
                18000000
                NC
                USD
                18
                0.000010009321
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Call
                        Purchased
                        
                            
FNMA  FN30   TBA      UMBS    03.5000 03/01/2051
FNMA TBA

    

                            
                        
                        1
                        106.40625
                        USD
                        2021-03-04
                        XXXX
                        -14044.5
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                OPTION ON MORTGAGE BONDS
                N/A
                
                    
                
                18000000
                NC
                USD
                73116
                0.040657861095
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Put
                        Written
                        
                            
FNMA  FN30   TBA      UMBS    03.5000 03/01/2051
FNMA TBA

    

                            
                        
                        1
                        106.40625
                        USD
                        2021-03-04
                        XXXX
                        -59053.5
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                OPTION ON MORTGAGE BONDS
                N/A
                
                    
                
                4000000
                NC
                USD
                4484
                0.002493433026
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Call
                        Purchased
                        
                            
FNMA  FN30   TBA      UMBS    02.5000 04/01/2051
FNMA TBA

    

                            
                        
                        1
                        104.34375
                        USD
                        2021-04-07
                        XXXX
                        -5516
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                OPTION ON MORTGAGE BONDS
                N/A
                
                    
                
                79000000
                NC
                USD
                79
                0.000043929797
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Call
                        Purchased
                        
                            
FNMA  FN30   TBA      UMBS    03.0000 03/01/2051
FNMA TBA

    

                            
                        
                        1
                        105.28125
                        USD
                        2021-03-04
                        XXXX
                        -73983.5
                    
                
                
                    N
                    N
                    N
                
            
            
                State Street Institutional U.S. Government Money Market Fund, Premier Class
                N/A
                SHORT TERM INV FUND
                N/A
                
                    
                
                1812000
                NS
                USD
                1812000
                1.007604960665
                Long
                STIV
                RF
                US
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                PUTNAM SHORT TERM INVESTMENT FUND
                5493003MK0Q7JP8CPP42
                SHORT TERM INV FUND
                74676P664
                
                    
                
                36024529
                NS
                USD
                36024529
                20.032281526506
                Long
                STIV
                PF
                US
                N
                
                2
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                SWAPTION
                N/A
                
                    
                
                7254400
                NC
                USD
                13855.9
                0.007704897116
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        Call
                        Purchased
                        
                            

    
        CITIBANK N.A.
        E57ODZWZ7FF32TWEFA76
    
    
    
        
            
        
    
    2031-07-15
    -51868.96
    USD
    0
    USD
    7254400
    USD

                            
                        
                        1
                        .915
                        USD
                        2021-07-13
                        XXXX
                        -38013.06
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                SWAPTION
                N/A
                
                    
                
                7254400
                NC
                USD
                107147.49
                0.059581866693
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Put
                        Written
                        
                            

    
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
    
    
    
        
            
        
    
    2031-04-15
    0
    USD
    21763.2
    USD
    7254400
    USD

                            
                        
                        1
                        1.465
                        USD
                        2021-04-13
                        XXXX
                        -85384.29
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                SWAPTION
                N/A
                
                    
                
                7254400
                NC
                USD
                9938.53
                0.005526551948
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Call
                        Written
                        
                            

    
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
    
    
        
            
        
    
    
    2031-04-15
    0
    USD
    80959.1
    USD
    7254400
    USD

                            
                        
                        1
                        1.165
                        USD
                        2021-04-13
                        XXXX
                        71020.57
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                SWAPTION
                N/A
                
                    
                
                7254400
                NC
                USD
                201237.06
                0.111902571703
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        Put
                        Written
                        
                            

    
        CITIBANK N.A.
        E57ODZWZ7FF32TWEFA76
    
    
    
        
            
        
    
    2031-07-15
    0
    USD
    58035.2
    USD
    7254400
    USD

                            
                        
                        1
                        1.415
                        USD
                        2021-07-13
                        XXXX
                        -143201.86
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                SWAPTION
                N/A
                
                    
                
                14508900
                NC
                USD
                435.27
                0.000242042059
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Call
                        Purchased
                        
                            

    
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
    
    
    
        
            
        
    
    2026-03-09
    -33007.75
    USD
    0
    USD
    14508900
    USD

                            
                        
                        1
                        .5996
                        USD
                        2021-03-05
                        XXXX
                        -32572.48
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                SWAPTION
                N/A
                
                    
                
                14508900
                NC
                USD
                193693.82
                0.107707976756
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Put
                        Purchased
                        
                            

    
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
    
    
        
            
        
    
    
    2026-03-09
    -33007.75
    USD
    0
    USD
    14508900
    USD

                            
                        
                        1
                        .5996
                        USD
                        2021-03-05
                        XXXX
                        160686.07
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                SWAPTION
                N/A
                
                    
                
                7254500
                NC
                USD
                159889.18
                0.088910116404
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        Put
                        Purchased
                        
                            

    
        CITIBANK N.A.
        E57ODZWZ7FF32TWEFA76
    
    
        
            
        
    
    
    2031-03-15
    0
    USD
    0
    USD
    7254500
    USD

                            
                        
                        1
                        1.222
                        USD
                        2021-03-11
                        XXXX
                        159889.18
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                SWAPTION
                N/A
                
                    
                
                7254500
                NC
                USD
                -44977.9
                -0.025011012782
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        Call
                        Purchased
                        
                            

    
        CITIBANK N.A.
        E57ODZWZ7FF32TWEFA76
    
    
    
        
            
        
    
    2031-03-15
    0
    USD
    0
    USD
    7254500
    USD

                            
                        
                        1
                        1.222
                        USD
                        2021-03-11
                        XXXX
                        -44977.9
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                SWAPTION
                N/A
                
                    
                
                11807100
                NC
                USD
                -21370.85
                -0.011883760747
                N/A
                DIR
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        Call
                        Purchased
                        
                            

    
        TORONTO-DOMINION BANK/THE
        PT3QB789TSUIDF371261
    
    
    
        
            
        
    
    2026-03-25
    0
    USD
    0
    USD
    11807100
    USD

                            
                        
                        1
                        .753
                        USD
                        2021-03-23
                        XXXX
                        -21370.85
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                SWAPTION
                N/A
                
                    
                
                11807100
                NC
                USD
                54784.94
                0.030464446641
                N/A
                DIR
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        Put
                        Purchased
                        
                            

    
        TORONTO-DOMINION BANK/THE
        PT3QB789TSUIDF371261
    
    
        
            
        
    
    
    2026-03-25
    0
    USD
    0
    USD
    11807100
    USD

                            
                        
                        1
                        .753
                        USD
                        2021-03-23
                        XXXX
                        54784.94
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                SWAPTION
                N/A
                
                    
                
                14508900
                NC
                USD
                9866.05
                0.00548624775
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Call
                        Purchased
                        
                            

    
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
    
    
    
        
            
        
    
    2031-04-15
    -104173.9
    USD
    0
    USD
    14508900
    USD

                            
                        
                        1
                        1.065
                        USD
                        2021-04-13
                        XXXX
                        -94307.85
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                SWAPTION
                N/A
                
                    
                
                87028200
                NC
                USD
                4635121.93
                2.577467908364
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Put
                        Purchased
                        
                            

    
        JP MORGANCHASE BANK
        7H6GLXDRUGQFU57RNE97
    
    
        
            
        
    
    
    2031-03-22
    -979067.25
    USD
    0
    USD
    87028200
    USD

                            
                        
                        1
                        .964
                        USD
                        2021-03-18
                        XXXX
                        3656054.68
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                SWAPTION
                N/A
                
                    
                
                87028200
                NC
                USD
                2610.85
                0.001451824179
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Call
                        Written
                        
                            

    
        JP MORGANCHASE BANK
        7H6GLXDRUGQFU57RNE97
    
    
        
            
        
    
    
    2031-03-22
    0
    USD
    979067.25
    USD
    87028200
    USD

                            
                        
                        1
                        .964
                        USD
                        2021-03-18
                        XXXX
                        976456.4
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Total Return Swap
                99DT729H8
                
                    
                
                713611.85
                NC
                USD
                108491.3
                0.060329123658
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2043-01-12
                        0
                        USD
                        0
                        USD
                        101132.18
                        USD
                        8672.09
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Total Return Swap
                99DT729N5
                
                    
                
                249062.18
                NC
                USD
                38993.8
                0.021683414081
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2041-01-12
                        0
                        USD
                        0
                        USD
                        36970.17
                        USD
                        2547.52
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC
                G5GSEF7VJP5I7OUK5573
                Total Return Swap
                99DU499S9
                
                    
                
                138705.8
                NC
                USD
                21716.13
                0.012075761763
                N/A
                DIR
                CORP
                US
                
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC
                            G5GSEF7VJP5I7OUK5573
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2041-01-12
                        0
                        USD
                        0
                        USD
                        20589.14
                        USD
                        -1418.75
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC
                G5GSEF7VJP5I7OUK5573
                Total Return Swap
                99DV929Y4
                
                    
                
                110356.38
                NC
                USD
                17277.67
                0.009607652318
                N/A
                DIR
                CORP
                US
                
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC
                            G5GSEF7VJP5I7OUK5573
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2041-01-12
                        0
                        USD
                        0
                        USD
                        16381.03
                        USD
                        -1128.76
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Total Return Swap
                99EH649U1
                
                    
                
                61004.63
                NC
                USD
                9141.16
                0.005083155719
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2045-01-12
                        0
                        USD
                        0
                        USD
                        8607.37
                        USD
                        662.13
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Total Return Swap
                9902019N7
                
                    
                
                88291.54
                NC
                USD
                14361.17
                0.007985864312
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2044-01-12
                        0
                        USD
                        0
                        USD
                        13574.82
                        USD
                        -972.04
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Total Return Swap
                99EI119T3
                
                    
                
                55903.2
                NC
                USD
                8376.75
                0.004658087668
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2045-01-12
                        0
                        USD
                        0
                        USD
                        7887.59
                        USD
                        606.77
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC
                G5GSEF7VJP5I7OUK5573
                Total Return Swap
                99EI699I5
                
                    
                
                343787.33
                NC
                USD
                52266.42
                0.029063964718
                N/A
                DIR
                CORP
                US
                
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC
                            G5GSEF7VJP5I7OUK5573
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2043-01-12
                        0
                        USD
                        0
                        USD
                        48721.11
                        USD
                        -4177.84
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Total Return Swap
                99EO819R7
                
                    
                
                52568.99
                NC
                USD
                8550.67
                0.00475479995
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2044-01-12
                        0
                        USD
                        0
                        USD
                        8082.48
                        USD
                        578.75
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Total Return Swap
                9902019F4
                
                    
                
                35722.55
                NC
                USD
                5810.5
                0.003231064362
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2044-01-12
                        0
                        USD
                        0
                        USD
                        5492.34
                        USD
                        393.29
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Total Return Swap
                99FB009O1
                
                    
                
                26776.22
                NC
                USD
                3497.64
                0.001944944489
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2044-01-12
                        0
                        USD
                        0
                        USD
                        3146.21
                        USD
                        -393.67
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Total Return Swap
                99EH649V9
                
                    
                
                369824.52
                NC
                USD
                56224.88
                0.031265158941
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2043-01-12
                        0
                        USD
                        0
                        USD
                        52411.07
                        USD
                        -4494.25
                    
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                9127962F5
                
                    
                
                2100000
                PA
                USD
                2099947.5
                1.167724899634
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-03-25
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                9127964N6
                
                    
                
                2282000
                PA
                USD
                2281970.36
                1.26894296624
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-03-18
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                9127964X4
                
                    
                
                300000
                PA
                USD
                299987.73
                0.166815190335
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-04-08
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                9127964Y2
                
                    
                
                1800000
                PA
                USD
                1799910
                1.000882033527
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-04-15
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796G37
                
                    
                
                3000000
                PA
                USD
                2999616.66
                1.668006968383
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-06-01
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796A41
                
                    
                
                4700000
                PA
                USD
                4699328.7
                2.613171583839
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-06-03
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796G29
                
                    
                
                1700000
                PA
                USD
                1699839.45
                0.945235464765
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-05-25
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796B24
                
                    
                
                3700000
                PA
                USD
                3699532.88
                2.057211745051
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-06-10
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796A25
                
                    
                
                3500000
                PA
                USD
                3499662.88
                1.94606935902
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-05-13
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
        
        
            2021-04-28
            Putnam Investments Inc
            Janet C. Smith
            NPORT
            Principal Financial Officer
        
    
    XXXX
Putnam Mortgage Opportunities Fund
The fund's portfolio
2/28/21 (Unaudited)


MORTGAGE-BACKED SECURITIES (69.5%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (34.9%)
Federal Home Loan Mortgage Corporation
REMICs Ser. 4451, Class CI, IO, 7.00%, 3/15/45 $845,073 $191,402
REMICs IFB Ser. 3829, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.95%), 6.838%, 3/15/41 61,138 12,482
REMICs IFB Ser. 4074, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.70%), 6.588%, 2/15/41 35,367 4,039
REMICs IFB Ser. 4076, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.70%), 6.588%, 7/15/40 309,254 26,724
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 6.538%, 4/15/40 220,925 22,415
REMICs IFB Ser. 3981, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.55%), 6.438%, 5/15/41 787,669 101,537
REMICs IFB Ser. 4033, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.55%), 6.438%, 10/15/36 448,715 14,077
REMICs IFB Ser. 3346, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.55%), 6.438%, 10/15/33 2,181,916 409,847
REMICs IFB Ser. 3747, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.50%), 6.388%, 10/15/40 265,544 59,160
REMICs IFB Ser. 4808, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.088%, 7/15/48 3,169,669 554,381
REMICs IFB Ser. 4789, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.088%, 5/15/48 2,690,234 417,417
REMICs IFB Ser. 4752, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.088%, 11/15/47 6,167,094 1,048,406
Strips Ser. 324, Class C21, IO, 6.00%, 6/15/39 661,709 169,668
REMICs IFB Ser. 5057, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.988%, 12/15/48 5,167,696 887,187
REMICs IFB Ser. 4990, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.982%, 7/25/50 2,721,828 547,213
REMICs IFB Ser. 4267, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.938%, 5/15/39 247,389 2,566
REMICs IFB Ser. 4073, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.938%, 8/15/38 7,387 119
REMICs IFB Ser. 4933, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.882%, 12/25/49 3,156,147 602,872
REMICs IFB Ser. 4926, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.882%, 8/25/49 2,656,692 461,388
REMICs IFB Ser. 3984, Class DS, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.838%, 1/15/42 386,645 72,836
REMICs Ser. 4560, IO, 5.833%, 5/15/39 1,276,919 235,276
REMICs Ser. 4127, Class PI, IO, 4.50%, 7/15/42 817,908 83,807
REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 230,204 25,407
REMICs Ser. 3714, Class KI, IO, 4.50%, 11/15/39 163,528 4,538
REMICs Ser. 4707, Class AI, IO, 4.00%, 7/15/47 834,618 79,385
REMICs Ser. 4635, Class PI, IO, 4.00%, 12/15/46 752,631 71,695
REMICs Ser. 4500, Class GI, IO, 4.00%, 8/15/45 36,091 4,692
REMICs Ser. 4425, IO, 4.00%, 1/15/45 262,004 35,371
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 45,080 7,347
REMICs Ser. 4403, Class CI, IO, 4.00%, 10/15/44 159,488 21,999
REMICs Ser. 4389, Class IA, IO, 4.00%, 9/15/44 24,801 2,885
REMICs Ser. 4355, Class DI, IO, 4.00%, 3/15/44 18,834 779
REMICs Ser. 4386, Class IL, IO, 4.00%, 12/15/43 441,062 40,225
REMICs Ser. 4299, Class JI, IO, 4.00%, 7/15/43 121,850 8,539
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 282,112 36,433
REMICs Ser. 4425, Class WI, IO, 4.00%, 3/15/43 278,756 23,737
REMICs Ser. 4386, Class LI, IO, 4.00%, 2/15/43 227,419 13,531
REMICs Ser. 4694, Class GI, IO, 4.00%, 2/15/43 268,648 18,687
REMICs Ser. 4000, Class LI, IO, 4.00%, 2/15/42 31,862 3,192
REMICs Ser. 4015, Class GI, IO, 4.00%, 3/15/27 99,403 7,788
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 522,802 53,321
REMICs Ser. 4591, Class QI, IO, 3.50%, 4/15/46 50,800 5,282
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 58,662 3,621
REMICs Ser. 4560, Class PI, IO, 3.50%, 5/15/45 123,873 10,694
REMICs Ser. 4475, Class CI, IO, 3.50%, 1/15/44 638,202 25,908
REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 22,344 577
REMICs Ser. 4663, Class KI, IO, 3.50%, 11/15/42 75,894 753
REMICs Ser. 4663, Class TI, IO, 3.50%, 10/15/42 24,539 56
REMICs Ser. 4413, Class HI, IO, 3.50%, 3/15/40 287,217 3,173
REMICs Ser. 4099, Class BI, IO, 3.50%, 6/15/39 283,242 5,614
REMICs Ser. 3904, Class NI, IO, 3.50%, 8/15/26 299,679 13,495
REMICs Ser. 5023, Class YI, IO, 3.00%, 10/25/50 4,981,185 642,712
REMICs Ser. 4801, Class IG, IO, 3.00%, 6/15/48 508,560 46,363
REMICs Ser. 4134, Class PI, IO, 3.00%, 11/15/42 750,778 74,858
REMICs Ser. 4182, Class PI, IO, 3.00%, 12/15/41 215,768 9,099
REMICs Ser. 4206, Class IP, IO, 3.00%, 12/15/41 48,615 3,024
REMICs Ser. 4550, Class AI, IO, 3.00%, 10/15/40 553,605 23,196
Federal National Mortgage Association
REMICs IFB Ser. 11-4, Class CS, ((-2 x 1 Month US LIBOR) + 12.90%), 12.665%, 5/25/40 12,519 15,273
REMICs IFB Ser. 13-90, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.60%), 6.482%, 9/25/43 496,393 117,805
REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.45%), 6.332%, 4/25/42 131,441 21,627
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 6.282%, 4/25/40 117,597 24,360
REMICs IFB Ser. 18-36, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.132%, 6/25/48 2,265,920 452,099
REMICs IFB Ser. 13-41, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.082%, 6/25/40 28,043 1,188
REMICs IFB Ser. 19-18, Class SH, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.032%, 5/25/49 4,459,348 865,738
REMICs Ser. 17-8, IO, 6.00%, 2/25/47 659,837 163,191
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 77,174 16,664
REMICs Ser. 15-69, IO, 6.00%, 9/25/45 350,035 81,271
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 1,606,225 315,333
REMICs IFB Ser. 19-18, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.982%, 5/25/49 4,977,501 898,090
REMICs IFB Ser. 19-17, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.982%, 4/25/49 2,771,209 622,133
REMICs IFB Ser. 16-83, Class BS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.982%, 11/25/46 1,453,150 305,473
REMICs IFB Ser. 16-85, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.982%, 11/25/46 3,821,275 754,702
REMICs IFB Ser. 16-65, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.982%, 9/25/46 1,071,335 205,868
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.982%, 5/25/39 3,036,983 524,812
REMICs IFB Ser. 19-60, Class BS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.932%, 10/25/49 2,491,598 256,934
REMICs IFB Ser. 19-26, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.932%, 6/25/49 4,416,027 726,073
REMICs IFB Ser. 12-103, Class SD, ((-1 x 1 Month US LIBOR) + 6.05%), 5.932%, 9/25/42 229,270 47,607
REMICs IFB Ser. 19-66, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.882%, 11/25/49 6,069,877 944,244
REMICs IFB Ser. 19-75, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.882%, 11/25/49 8,074,265 1,356,481
REMICs IFB Ser. 16-54, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.882%, 8/25/46 5,445,726 1,191,252
REMICs IFB Ser. 11-126, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.882%, 12/25/41 5,498,657 1,171,686
REMICs IFB Ser. 11-134, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.882%, 2/25/41 1,267,031 131,859
REMICs IFB Ser. 10-140, Class GS, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.882%, 7/25/39 253,108 9,933
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.782%, 10/25/41 332,556 58,254
REMICs Ser. 10-109, Class IM, IO, 5.50%, 9/25/40 1,211,241 217,191
Interest Strip Ser. 397, Class 2, IO, 5.00%, 9/25/39 341,231 59,737
REMICs Ser. 18-1, Class JI, IO, 5.00%, 2/25/48 915,712 172,579
REMICs Ser. 12-132, Class PI, IO, 5.00%, 10/25/42 1,159,813 179,003
Interest Strip Ser. 404, Class 2, IO, 4.50%, 5/25/40 254,274 39,717
REMICs Ser. 12-49, Class QI, IO, 4.50%, 12/25/40 943,822 43,150
REMICs Ser. 20-76, Class GI, IO, 4.00%, 11/25/50 11,905,459 1,892,257
REMICs Ser. 18-15, Class PI, IO, 4.00%, 10/25/47 880,847 63,221
REMICs Ser. 17-48, Class LI, IO, 4.00%, 5/25/47 1,157,734 140,375
REMICs Ser. 17-2, Class KI, IO, 4.00%, 2/25/47 199,770 26,470
REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 276,604 36,803
REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 103,620 5,705
REMICs Ser. 16-24, Class CI, IO, 4.00%, 2/25/46 163,581 16,652
REMICs Ser. 12-90, Class DI, IO, 4.00%, 3/25/42 833,363 93,945
REMICs Ser. 14-95, Class TI, IO, 4.00%, 5/25/39 14,809 118
REMICs Ser. 17-78, Class KI, IO, 3.50%, 10/25/47 212,422 31,845
REMICs Ser. 16-70, Class QI, IO, 3.50%, 10/25/46 94,830 10,509
REMICs Ser. 15-73, Class PI, IO, 3.50%, 10/25/45 1,127,927 58,524
REMICs Ser. 13-40, Class YI, IO, 3.50%, 6/25/42 69,112 5,237
REMICs Ser. 20-24, Class IB, IO, 3.00%, 4/25/50 4,824,775 656,568
REMICs Ser. 13-6, Class JI, IO, 3.00%, 2/25/43 38,042 3,281
REMICs Ser. 13-35, Class PI, IO, 3.00%, 2/25/42 99,184 3,670
REMICs Ser. 13-27, Class PI, IO, 3.00%, 12/25/41 214,710 8,266
REMICs Ser. 13-57, Class IQ, IO, 3.00%, 6/25/41 220,898 11,217
REMICs Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 274,912 2,326
Government National Mortgage Association
IFB Ser. 13-9, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.75%), 6.639%, 1/20/43 2,465,004 608,450
IFB Ser. 13-182, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.70%), 6.589%, 12/20/43 1,111,550 244,541
IFB Ser. 11-148, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.69%), 6.583%, 11/16/41 825,568 196,939
IFB Ser. 10-125, Class SD, ((-1 x 1 Month US LIBOR) + 6.68%), 6.573%, 1/16/40 2,047,849 323,266
Ser. 16-164, IO, 6.50%, 12/20/46 905,358 177,607
IFB Ser. 11-156, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.60%), 6.489%, 4/20/38 45,824 10,923
FRB Ser. 20-112, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 6.189%, 8/20/50 2,193,702 488,099
IFB Ser. 18-91, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 6.139%, 7/20/48 1,018,212 162,966
IFB Ser. 14-131, Class BS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.093%, 9/16/44 3,051,838 850,425
IFB Ser. 20-98, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.089%, 7/20/50 3,522,958 802,216
IFB Ser. 18-89, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.089%, 6/20/48 1,082,255 167,023
IFB Ser. 17-156, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 6.089%, 10/20/47 2,835,697 537,453
IFB Ser. 19-35, Class SE, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.043%, 1/16/44 2,628,081 485,963
IFB Ser. 19-158, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.043%, 9/16/43 6,636,706 1,261,240
IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.039%, 11/20/43 1,636,676 322,384
IFB Ser. 16-77, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 6.039%, 3/20/43 286,902 29,967
Ser. 16-75, Class LI, IO, 6.00%, 1/20/40 50,772 10,721
IFB Ser. 19-83, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.989%, 7/20/49 7,826,023 1,213,034
IFB Ser. 19-78, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.989%, 6/20/49 5,979,798 836,352
IFB Ser. 16-77, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.989%, 10/20/45 47,980 10,193
IFB Ser. 14-58, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.989%, 4/20/44 601,240 118,222
IFB Ser. 14-60, Class SE, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.989%, 4/20/44 33,833 5,686
IFB Ser. 14-27, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.989%, 2/20/44 3,210,374 631,529
IFB Ser. 14-3, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.989%, 1/20/44 3,531,945 701,683
IFB Ser. 13-182, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.989%, 12/20/43 30,381 6,040
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.939%, 2/20/50 852,381 106,713
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.939%, 1/20/50 8,072,894 1,403,688
IFB Ser. 19-143, Class HS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.939%, 9/20/49 4,341,467 639,628
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.939%, 8/20/49 223,714 33,046
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.939%, 6/20/49 298,767 38,474
IFB Ser. 13-99, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.939%, 6/20/43 1,240,906 258,132
IFB Ser. 19-121, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.889%, 10/20/49 4,129,013 1,237,284
IFB Ser. 11-22, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.889%, 7/20/40 42,788 2,281
IFB Ser. 10-134, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.889%, 11/20/39 88,745 3,685
Ser. 17-132, Class IB, IO, 5.50%, 9/20/47 746,475 169,050
Ser. 16-149, Class MI, IO, 5.50%, 5/20/39 101,195 11,643
Ser. 18-77, IO, 5.00%, 6/20/48 797,633 123,633
Ser. 17-123, IO, 5.00%, 8/16/47 464,607 98,224
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 123,295 24,043
Ser. 16-150, Class I, IO, 5.00%, 11/20/46 1,431,493 247,348
Ser. 16-42, IO, 5.00%, 2/20/46 289,319 53,724
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 361,462 52,369
Ser. 17-136, Class IY, IO, 5.00%, 3/20/45 480,293 91,967
Ser. 15-35, Class AI, IO, 5.00%, 3/16/45 1,191,478 241,635
Ser. 15-89, Class LI, IO, 5.00%, 12/20/44 688,111 139,370
Ser. 14-132, IO, 5.00%, 9/20/44 1,177,641 228,521
Ser. 14-133, Class IP, IO, 5.00%, 9/16/44 32,107 6,452
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 178,768 31,731
Ser. 11-135, Class DI, IO, 5.00%, 4/16/40 439,831 91,826
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 13,373 2,566
Ser. 17-26, Class EI, IO, 5.00%, 2/20/40 620,389 78,303
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 63,170 12,555
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 13,877 2,767
Ser. 15-105, Class LI, IO, 5.00%, 10/20/39 781,488 154,680
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 81,551 15,617
Ser. 17-132, Class IA, IO, 4.50%, 9/20/47 1,189,438 220,065
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 122,656 18,410
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 30,283 4,648
Ser. 15-182, Class IC, IO, 4.50%, 12/20/45 4,123,061 801,259
Ser. 16-49, IO, 4.50%, 11/16/45 387,299 69,723
Ser. 16-84, Class IB, IO, 4.50%, 11/16/45 4,191,227 801,572
Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 52,925 9,458
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 427,234 43,753
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 72,686 14,489
Ser. 16-17, Class IA, IO, 4.50%, 3/20/45 259,014 42,617
Ser. 14-161, Class HI, IO, 4.50%, 6/20/44 361,870 42,884
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 39,187 4,927
Ser. 13-34, Class HI, IO, 4.50%, 3/20/43 164,335 26,594
Ser. 12-129, IO, 4.50%, 11/16/42 89,719 17,355
Ser. 12-91, Class IN, IO, 4.50%, 5/20/42 63,775 11,626
Ser. 12-98, Class AI, IO, 4.50%, 4/16/42 593,168 90,342
Ser. 14-98, Class AI, IO, 4.50%, 10/20/41 256,766 9,914
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 38,295 6,845
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 27,867 4,865
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 19,248 2,960
Ser. 09-121, Class DI, IO, 4.50%, 12/16/39 2,150,891 385,182
Ser. 14-95, Class JI, IO, 4.50%, 12/16/39 1,128,469 203,124
Ser. 19-137, Class GI, IO, 4.00%, 11/20/49 7,250,490 965,544
Ser. 17-130, Class IB, IO, 4.00%, 8/20/47 675,694 98,389
Ser. 17-99, Class AI, IO, 4.00%, 1/20/47 670,066 87,937
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 356,020 25,637
Ser. 16-138, Class DI, IO, 4.00%, 10/20/46 410,300 62,345
Ser. 16-29, IO, 4.00%, 2/16/46 268,598 45,737
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 70,395 11,263
Ser. 15-149, Class KI, IO, 4.00%, 10/20/45 51,226 7,808
Ser. 16-47, Class CI, IO, 4.00%, 9/20/45 243,671 28,012
Ser. 15-106, Class CI, IO, 4.00%, 5/20/45 168,504 19,908
Ser. 18-72, Class IC, IO, 4.00%, 5/20/45 2,809,858 432,887
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 110,320 19,858
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 45,886 6,372
Ser. 15-89, Class IP, IO, 4.00%, 2/20/45 45,263 5,346
Ser. 14-188, Class IB, IO, 4.00%, 12/20/44 4,463,120 542,180
Ser. 17-45, Class IM, IO, 4.00%, 10/20/44 1,104,464 85,347
Ser. 17-17, Class EI, IO, 4.00%, 9/20/44 488,832 14,844
Ser. 17-68, Class IL, IO, 4.00%, 8/20/44 1,035,517 99,477
Ser. 15-40, Class KI, IO, 4.00%, 7/20/44 1,020,424 116,305
Ser. 17-63, Class PI, IO, 4.00%, 12/20/43 231,003 13,860
Ser. 13-67, Class IP, IO, 4.00%, 4/16/43 1,277,931 223,638
Ser. 15-144, Class IA, IO, 4.00%, 1/16/43 157,745 12,806
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 115,388 17,655
Ser. 15-162, Class BI, IO, 4.00%, 11/20/40 163,847 12,195
Ser. 16-156, Class PI, IO, 3.50%, 11/20/46 26,283 626
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 30,605 3,028
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 787,618 59,258
Ser. 16-83, Class PI, IO, 3.50%, 6/20/45 103,029 14,585
Ser. 15-52, Class IK, IO, 3.50%, 4/20/45 158,929 18,028
Ser. 15-20, Class PI, IO, 3.50%, 2/20/45 37,205 4,837
Ser. 15-168, Class IG, IO, 3.50%, 3/20/43 42,114 5,375
Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 25,978 2,729
Ser. 13-14, IO, 3.50%, 12/20/42 46,858 4,534
Ser. 12-103, Class CI, IO, 3.50%, 8/16/42 628,931 126,345
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 37,426 2,778
Ser. 15-165, Class IC, IO, 3.50%, 7/16/41 2,116,721 115,796
Ser. 13-6, Class AI, IO, 3.50%, 8/20/39 1,361,368 113,567
Ser. 15-134, Class LI, IO, 3.50%, 5/20/39 154,506 4,109
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 399,561 9,044
Ser. 15-87, Class AI, IO, 3.50%, 12/20/38 134,368 1,329
Ser. 15-69, Class IK, IO, 3.50%, 3/20/38 379,859 16,144
Ser. 14-139, Class NI, IO, 3.50%, 8/20/28 200,870 7,183
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 630,399 41,209
Ser. 15-H10, Class HI, IO, 3.006%, 4/20/65(WAC) 163,965 11,855
Ser. 13-23, Class IK, IO, 3.00%, 9/20/37 427,269 22,432
Ser. 16-H18, Class QI, IO, 2.959%, 6/20/66(WAC) 1,887,765 173,633
Ser. 17-H22, Class EI, IO, 2.785%, 10/20/67(WAC) 1,177,940 97,416
Ser. 18-H11, Class JI, IO, 2.673%, 7/20/68(WAC) 3,126,773 284,849
Ser. 17-H03, Class DI, IO, 2.628%, 12/20/66(WAC) 2,594,089 251,305
Ser. 17-H21, Class AI, IO, 2.618%, 10/20/67(WAC) 5,852,553 501,856
Ser. 17-H05, Class CI, IO, 2.597%, 2/20/67(WAC) 6,307,208 650,576
Ser. 15-H13, Class AI, IO, 2.58%, 6/20/65(WAC) 279,696 20,918
Ser. 17-H20, Class GI, IO, 2.572%, 9/20/67(WAC) 4,934,822 429,147
Ser. 20-H04, Class AI, IO, 2.552%, 2/20/70(WAC) 14,062,704 1,305,891
Ser. 17-H03, Class AI, IO, 2.541%, 12/20/66(WAC) 1,215,061 108,376
Ser. 19-H09, Class EI, IO, 2.538%, 4/20/69(WAC) 3,272,953 305,350
Ser. 17-H16, Class JI, IO, 2.529%, 8/20/67(WAC) 507,250 53,390
Ser. 16-H27, Class BI, IO, 2.521%, 12/20/66(WAC) 694,653 62,353
Ser. 19-H14, Class IB, IO, 2.514%, 8/20/69(WAC) 355,107 33,144
Ser. 17-H18, Class DI, IO, 2.488%, 9/20/67(WAC) 1,340,282 139,790
Ser. 19-H03, Class AI, IO, 2.486%, 11/20/68(WAC) 10,951,190 982,924
Ser. 17-H02, Class BI, IO, 2.484%, 1/20/67(WAC) 2,663,150 248,078
Ser. 17-H03, Class EI, IO, 2.453%, 1/20/67(WAC) 564,780 67,049
FRB Ser. 15-H16, Class XI, IO, 2.444%, 7/20/65(WAC) 72,398 6,436
Ser. 18-H01, Class AI, IO, 2.404%, 1/20/68(WAC) 7,781,098 810,012
Ser. 16-H17, Class DI, IO, 2.393%, 7/20/66(WAC) 2,061,659 164,228
Ser. 17-H22, Class DI, IO, 2.382%, 11/20/67(WAC) 3,137,768 360,213
Ser. 18-H07, Class IE, IO, 2.38%, 2/20/68(WAC) 6,881,162 433,520
Ser. 16-H06, Class AI, IO, 2.377%, 2/20/66(WAC) 1,376,722 106,938
Ser. 10-H22, Class CI, IO, 2.368%, 10/20/60(WAC) 195,222 9,798
Ser. 18-H11, Class AI, IO, 2.367%, 2/20/68(WAC) 2,918,413 264,840
Ser. 16-H04, Class KI, IO, 2.36%, 2/20/66(WAC) 93,871 5,444
Ser. 16-H23, Class NI, IO, 2.353%, 10/20/66(WAC) 227,815 19,752
Ser. 16-H21, Class AI, IO, 2.343%, 9/20/66(WAC) 2,930,821 262,795
Ser. 17-H11, Class NI, IO, 2.289%, 5/20/67(WAC) 4,178,845 383,835
Ser. 17-H13, Class QI, IO, 2.269%, 6/20/67(WAC) 1,790,598 157,336
Ser. 17-H14, Class JI, IO, 2.26%, 6/20/67(WAC) 2,021,776 242,065
Ser. 17-H20, Class AI, IO, 2.235%, 10/20/67(WAC) 3,118,222 343,004
Ser. 17-H20, Class DI, IO, 2.207%, 10/20/67(WAC) 1,280,042 141,548
Ser. 17-H09, IO, 2.19%, 4/20/67(WAC) 448,992 33,573
Ser. 17-H20, Class HI, IO, 2.183%, 10/20/67(WAC) 976,700 104,289
Ser. 15-H20, Class CI, IO, 2.18%, 8/20/65(WAC) 136,838 13,253
Ser. 16-H24, IO, 2.149%, 9/20/66(WAC) 299,275 30,566
Ser. 15-H29, Class HI, IO, 2.108%, 9/20/65(WAC) 2,207,162 129,340
Ser. 17-H10, Class MI, IO, 2.075%, 4/20/67(WAC) 5,041,065 364,469
Ser. 15-H22, Class HI, IO, 2.068%, 8/20/65(WAC) 2,509,454 225,098
Ser. 17-H19, Class MI, IO, 2.064%, 4/20/67(WAC) 1,051,517 96,003
Ser. 17-H08, Class NI, IO, 2.057%, 3/20/67(WAC) 450,150 38,893
Ser. 15-H24, Class HI, IO, 2.041%, 9/20/65(WAC) 142,774 7,102
Ser. 16-H27, Class EI, IO, 1.981%, 12/20/66(WAC) 3,468,725 265,729
Ser. 15-H15, Class JI, IO, 1.956%, 6/20/65(WAC) 157,040 12,987
Ser. 15-H25, Class BI, IO, 1.928%, 10/20/65(WAC) 113,878 9,372
Ser. 16-H26, Class KI, IO, 1.925%, 11/20/66(WAC) 3,457,671 213,345
Ser. 17-H11, Class DI, IO, 1.904%, 5/20/67(WAC) 325,108 29,466
Ser. 15-H25, Class CI, IO, 1.899%, 10/20/65(WAC) 106,196 7,943
Ser. 17-H09, Class DI, IO, 1.888%, 3/20/67(WAC) 1,586,299 120,813
Ser. 15-H26, Class DI, IO, 1.879%, 10/20/65(WAC) 111,380 9,095
Ser. 16-H22, IO, 1.864%, 10/20/66(WAC) 3,832,858 262,949
Ser. 15-H23, Class DI, IO, 1.855%, 9/20/65(WAC) 138,775 11,699
Ser. 15-H25, Class EI, IO, 1.854%, 10/20/65(WAC) 127,190 9,399
Ser. 17-H16, Class HI, IO, 1.849%, 8/20/67(WAC) 3,029,891 226,560
Ser. 15-H18, Class IA, IO, 1.831%, 6/20/65(WAC) 95,939 5,142
Ser. 18-H08, Class FI, IO, 1.821%, 6/20/68(WAC) 2,380,378 212,692
Ser. 15-H20, Class AI, IO, 1.818%, 8/20/65(WAC) 126,625 9,434
Ser. 15-H10, Class CI, IO, 1.803%, 4/20/65(WAC) 142,141 11,572
Ser. 15-H26, Class GI, IO, 1.797%, 10/20/65(WAC) 73,167 5,473
Ser. 17-H06, Class DI, IO, 1.784%, 2/20/67(WAC) 698,405 48,469
Ser. 15-H23, Class BI, IO, 1.752%, 9/20/65(WAC) 90,498 6,181
Ser. 17-H06, Class BI, IO, 1.747%, 2/20/67(WAC) 1,077,141 102,026
Ser. 13-H15, Class CI, IO, 1.744%, 7/20/63(WAC) 1,674,301 49,797
Ser. 15-H26, Class EI, IO, 1.713%, 10/20/65(WAC) 177,758 13,439
Ser. 17-H14, Class DI, IO, 1.705%, 6/20/67(WAC) 488,737 31,080
Ser. 17-H14, Class EI, IO, 1.702%, 6/20/67(WAC) 2,442,867 167,385
Ser. 16-H24, Class CI, IO, 1.699%, 10/20/66(WAC) 4,211,801 315,700
Ser. 14-H25, Class BI, IO, 1.69%, 12/20/64(WAC) 1,577,189 98,894
Ser. 15-H09, Class BI, IO, 1.686%, 3/20/65(WAC) 54,786 3,576
Ser. 17-H16, Class CI, IO, 1.656%, 7/20/67(WAC) 5,052,908 256,006
Ser. 16-H12, Class AI, IO, 1.653%, 7/20/65(WAC) 300,819 21,364
Ser. 15-H03, Class DI, IO, 1.635%, 1/20/65(WAC) 232,232 16,953
Ser. 14-H21, Class AI, IO, 1.626%, 10/20/64(WAC) 163,224 11,893
Ser. 13-H14, Class XI, IO, 1.619%, 3/20/63(WAC) 161,546 5,880
Ser. 15-H25, Class AI, IO, 1.613%, 9/20/65(WAC) 205,136 13,375
Ser. 18-H01, Class IB, IO, 1.606%, 1/20/68(WAC) 6,400,632 282,908
Ser. 15-H24, Class BI, IO, 1.606%, 8/20/65(WAC) 246,383 8,320
Ser. 15-H22, Class EI, IO, 1.605%, 8/20/65(WAC) 140,285 5,653
Ser. 17-H06, Class EI, IO, 1.587%, 2/20/67(WAC) 113,647 7,282
Ser. 17-H03, Class HI, IO, 1.573%, 1/20/67(WAC) 407,366 23,879
Ser. 15-H04, Class AI, IO, 1.563%, 12/20/64(WAC) 3,300,930 213,131
Ser. 14-H23, Class BI, IO, 1.562%, 11/20/64(WAC) 4,783,816 326,362
Ser. 15-H01, Class BI, IO, 1.558%, 1/20/65(WAC) 4,548,043 262,104
Ser. 15-H14, Class BI, IO, 1.557%, 5/20/65(WAC) 265,247 9,765
FRB Ser. 12-H23, Class WI, IO, 1.546%, 10/20/62(WAC) 376,479 13,374
Ser. 14-H13, Class BI, IO, 1.545%, 5/20/64(WAC) 158,079 5,977
Ser. 11-H15, Class AI, IO, 1.538%, 6/20/61(WAC) 1,199,390 55,958
Ser. 19-H15, Class CI, IO, 1.534%, 7/20/69(WAC) 10,696,328 630,078
Ser. 16-H02, Class HI, IO, 1.526%, 1/20/66(WAC) 208,993 13,104
Ser. 16-H25, Class GI, IO, 1.488%, 11/20/66(WAC) 446,140 18,240
Ser. 14-H08, Class CI, IO, 1.466%, 3/20/64(WAC) 7,787,250 342,094
Ser. 17-H16, Class KI, IO, 1.465%, 8/20/67(WAC) 3,104,513 186,494
Ser. 14-H08, Class BI, IO, 1.462%, 4/20/64(WAC) 125,020 8,935
Ser. 14-H06, Class BI, IO, 1.46%, 2/20/64(WAC) 5,272,053 215,485
Ser. 10-H19, Class BI, IO, 1.452%, 8/20/60(WAC) 201,429 11,009
Ser. 10-H20, Class IF, IO, 1.444%, 10/20/60(WAC) 1,854,918 83,069
Ser. 16-H08, Class GI, IO, 1.426%, 4/20/66(WAC) 132,587 6,184
Ser. 13-H24, Class AI, IO, 1.425%, 9/20/63(WAC) 325,817 10,644
Ser. 17-H08, Class DI, IO, 1.422%, 2/20/67(WAC) 765,457 105,521
Ser. 14-H09, Class AI, IO, 1.416%, 1/20/64(WAC) 125,384 4,078
Ser. 12-H29, Class AI, IO, 1.404%, 10/20/62(WAC) 878,146 24,911
Ser. 12-H29, Class FI, IO, 1.404%, 10/20/62(WAC) 878,146 24,833
Ser. 12-H29, Class CI, IO, 1.397%, 2/20/62(WAC) 3,386,369 141,161
Ser. 18-H05, Class BI, IO, 1.366%, 2/20/68(WAC) 1,825,329 199,645
Ser. 12-H06, Class AI, IO, 1.334%, 1/20/62(WAC) 424,906 15,513
Ser. 17-H06, Class MI, IO, 1.305%, 2/20/67(WAC) 1,550,958 136,115
Ser. 17-H08, Class EI, IO, 1.272%, 2/20/67(WAC) 2,312,501 227,677
Ser. 11-H08, Class GI, IO, 1.252%, 3/20/61(WAC) 123,213 4,855
FRB Ser. 11-H07, Class FI, IO, 1.235%, 2/20/61(WAC) 222,012 5,661
Ser. 12-H11, Class FI, IO, 1.205%, 2/20/62(WAC) 5,006,985 146,690
Ser. 12-H10, Class AI, IO, 1.193%, 12/20/61(WAC) 2,938,593 82,228
Ser. 17-H04, Class BI, IO, 1.183%, 2/20/67(WAC) 4,421,694 441,418
Ser. 11-H16, Class FI, IO, 1.031%, 7/20/61(WAC) 1,189,443 37,914
Ser. 18-H02, Class IM, IO, 0.78%, 2/20/68(WAC) 2,327,377 268,384
Ser. 18-H02, Class HI, IO, 0.71%, 1/20/68(WAC) 4,410,674 481,039
Ser. 15-H26, Class CI, IO, 0.498%, 8/20/65(WAC) 140,505 1,883
62,633,399
Commercial mortgage-backed securities (15.6%)
Banc of America Commercial Mortgage Trust Ser. 08-1, Class AJ, 6.786%, 2/10/51(WAC) 9,423 10,745
Banc of America Commercial Mortgage Trust 144A Ser. 16-UB10, Class D, 3.00%, 7/15/49 540,000 475,971
BANK 144A Ser. 17-BNK9, Class D, 2.80%, 11/15/54 464,000 401,937
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 446,000 362,076
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 07-T28, Class D, 5.718%, 9/11/42(WAC) 213,000 67,947
Benchmark Mortgage Trust 144A
Ser. 19-B11, Class D, 3.00%, 5/15/52 370,000 338,446
Ser. 19-B13, Class D, 2.50%, 8/15/57 298,000 271,180
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class F, 5.25%, 12/15/47(WAC) 100,000 92,231
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class C, 4.876%, 9/10/45(WAC) 440,000 429,932
COMM Mortgage Trust
FRB Ser. 14-CR16, Class C, 4.937%, 4/10/47(WAC) 436,000 468,062
FRB Ser. 14-UBS3, Class C, 4.738%, 6/10/47(WAC) 301,000 314,564
FRB Ser. 14-UBS4, Class C, 4.644%, 8/10/47(WAC) 324,000 335,971
FRB Ser. 15-CR26, Class D, 3.48%, 10/10/48(WAC) 252,000 248,519
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class D, 4.847%, 5/10/47(WAC) 467,000 441,168
FRB Ser. 14-CR17, Class E, 4.847%, 5/10/47(WAC) 917,000 715,260
FRB Ser. 14-UBS3, Class D, 4.768%, 6/10/47(WAC) 420,000 422,824
FRB Ser. 12-CR3, Class E, 4.75%, 10/15/45(WAC) 298,000 133,101
FRB Ser. 14-CR19, Class D, 4.708%, 8/10/47(WAC) 721,000 667,998
Ser. 12-CR4, Class B, 3.703%, 10/15/45 880,000 687,877
Ser. 13-LC6, Class E, 3.50%, 1/10/46 706,000 569,497
Ser. 15-LC19, Class D, 2.867%, 2/10/48 440,000 424,960
Credit Suisse Commercial Mortgage Trust 144A
FRB Ser. 08-C1, Class AJ, 5.997%, 2/15/41(WAC) 63,742 34,880
FRB Ser. 07-C4, Class C, 5.719%, 9/15/39(WAC) 9,091 9,086
CSAIL Commercial Mortgage Trust 144A
FRB Ser. 18-C14, Class D, 4.89%, 11/15/51(WAC) 401,000 387,811
Ser. 20-C19, Class D, 2.50%, 3/15/53 251,000 220,410
DBUBS Mortgage Trust 144A FRB Ser. 11-LC2A, Class D, 5.458%, 7/10/44(WAC) 529,000 517,090
GS Mortgage Securities Corp., II 144A
FRB Ser. 13-GC10, Class D, 4.402%, 2/10/46(WAC) 452,000 404,161
Ser. 13-GC10, Class C, 4.285%, 2/10/46(WAC) 349,000 361,802
GS Mortgage Securities Trust FRB Ser. 14-GC20, Class C, 4.958%, 4/10/47(WAC) 396,000 373,534
GS Mortgage Securities Trust 144A
FRB Ser. 10-C1, Class D, 5.983%, 8/10/43(WAC) 497,000 174,136
Ser. 11-GC3, Class E, 5.00%, 3/10/44(WAC) 290,000 240,389
FRB Ser. 14-GC24, Class D, 4.531%, 9/10/47(WAC) 1,094,000 525,120
FRB Ser. 13-GC13, Class D, 4.084%, 7/10/46(WAC) 739,000 475,606
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 14-C22, Class C, 4.553%, 9/15/47(WAC) 354,000 331,441
FRB Ser. 13-C12, Class C, 4.099%, 7/15/45(WAC) 492,000 508,500
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.794%, 2/15/47(WAC) 1,394,000 780,897
FRB Ser. 13-C12, Class E, 4.099%, 7/15/45(WAC) 625,000 462,840
Ser. 13-C14, Class F, 3.598%, 8/15/46(WAC) 402,000 265,553
Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 100,000 48,954
JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50(WAC) 566,000 547,640
JPMorgan Chase Commercial Mortgage Securities Trust
Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 901,709 742,562
FRB Ser. 12-CBX, Class B, 4.912%, 6/15/45(WAC) 656,000 630,054
FRB Ser. 13-LC11, Class D, 4.167%, 4/15/46(WAC) 740,000 576,369
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 07-CB20, Class E, 6.28%, 2/12/51(WAC) 933,000 139,950
FRB Ser. 11-C3, Class D, 5.70%, 2/15/46(WAC) 641,000 359,358
FRB Ser. 11-C3, Class E, 5.70%, 2/15/46(WAC) 242,000 70,901
FRB Ser. 11-C4, Class C, 5.342%, 7/15/46(WAC) 342,000 340,164
FRB Ser. 12-C6, Class E, 5.142%, 5/15/45(WAC) 224,000 109,760
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 643,000 411,406
Ser. 12-C6, Class G, 2.972%, 5/15/45(WAC) 100,000 27,752
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, 5.324%, 12/12/49(WAC) 231,132 231,132
Morgan Stanley Bank of America Merrill Lynch Trust FRB Ser. 16-C29, Class C, 4.745%, 5/15/49(WAC) 651,000 683,876
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 14-C14, Class D, 5.05%, 2/15/47(WAC) 347,000 362,615
FRB Ser. 13-C12, Class E, 4.763%, 10/15/46(WAC) 763,000 343,350
FRB Ser. 12-C6, Class G, 4.50%, 11/15/45(WAC) 1,150,000 724,500
FRB Ser. 13-C11, Class D, 4.352%, 8/15/46(WAC) 932,000 83,880
FRB Ser. 15-C23, Class D, 4.144%, 7/15/50(WAC) 450,000 445,022
FRB Ser. 13-C10, Class E, 4.081%, 7/15/46(WAC) 482,000 363,326
FRB Ser. 13-C10, Class F, 4.081%, 7/15/46(WAC) 1,286,000 411,520
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 62,003 61,056
Morgan Stanley Capital I Trust 144A
FRB Ser. 12-C4, Class D, 5.418%, 3/15/45(WAC) 332,000 226,805
FRB Ser. 12-C4, Class E, 5.418%, 3/15/45(WAC) 392,000 199,920
FRB Ser. 11-C3, Class G, 5.244%, 7/15/49(WAC) 753,000 266,477
Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 20-01, Class M10, 3.868%, 3/25/50 1,097,000 1,150,579
UBS Commercial Mortgage Trust 144A
FRB Ser. 12-C1, Class D, 5.569%, 5/10/45(WAC) 541,000 413,315
FRB Ser. 12-C1, Class E, 5.00%, 5/10/45(WAC) 671,000 245,268
UBS-Barclays Commercial Mortgage Trust 144A
Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 37,000 9,001
FRB Ser. 12-C2, Class E, 4.889%, 5/10/63(WAC) 24,000 6,884
FRB Ser. 12-C4, Class D, 4.469%, 12/10/45(WAC) 522,000 299,520
Ser. 13-C6, Class B, 3.875%, 4/10/46(WAC) 645,000 658,434
Wells Fargo Commercial Mortgage Trust Ser. 16-BNK1, Class C, 3.071%, 8/15/49(WAC) 459,000 408,715
Wells Fargo Commercial Mortgage Trust 144A
Ser. 12-LC5, Class D, 4.758%, 10/15/45(WAC) 360,000 349,200
FRB Ser. 13-LC12, Class D, 4.274%, 7/15/46(WAC) 482,000 241,000
Ser. 14-LC16, Class D, 3.938%, 8/15/50 777,000 174,517
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 12-C9, Class E, 4.814%, 11/15/45(WAC) 628,000 436,395
FRB Ser. 12-C7, Class D, 4.804%, 6/15/45(WAC) 228,000 70,775
FRB Ser. 12-C7, Class E, 4.804%, 6/15/45(WAC) 653,000 326,500
FRB Ser. 13-C15, Class D, 4.491%, 8/15/46(WAC) 1,324,000 596,258
FRB Ser. 12-C10, Class D, 4.427%, 12/15/45(WAC) 674,000 341,862
28,090,094
Residential mortgage-backed securities (non-agency) (19.0%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.308%, 5/25/47 1,875,304 1,059,349
Arroyo Mortgage Trust 144A Ser. 20-1, Class M1, 4.277%, 3/25/55 442,000 462,720
Bear Stearns Alt-A Trust
FRB Ser. 05-7, Class 21A1, 2.995%, 9/25/35(WAC) 267,108 250,484
FRB Ser. 05-8, Class 21A1, 2.631%, 10/25/35(WAC) 503,010 446,006
FRB Ser. 05-10, Class 11A1, (1 Month US LIBOR + 0.50%), 0.618%, 1/25/36 165,243 204,164
FRB Ser. 06-6, Class 1A1, (1 Month US LIBOR + 0.32%), 0.438%, 11/25/36 445,794 417,128
Bear Stearns Mortgage Funding Trust FRB Ser. 06-AR2, Class 2A1, (1 Month US LIBOR + 0.23%), 0.348%, 9/25/46 80,659 72,973
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.298%, 11/25/47 1,386,061 1,100,432
Citigroup Mortgage Loan Trust, Inc.
FRB Ser. 07-AR5, Class 1A1A, 2.963%, 4/25/37(WAC) 345,122 346,272
FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.468%, 3/25/37 222,516 203,229
Countrywide Alternative Loan Trust
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.338%, 8/25/46 93,955 90,271
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.318%, 6/25/46 27,714 25,039
FRB Ser. 05-51, Class 3A3A, (1 Month US LIBOR + 0.64%), 0.751%, 11/20/35 152,326 131,839
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.38%), 0.498%, 8/25/46 105,031 92,868
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), 0.498%, 8/25/46 279,962 248,804
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.498%, 8/25/46 302,152 267,678
FRB Ser. 06-OA19, Class A1, (1 Month US LIBOR + 0.18%), 0.291%, 2/20/47 337,304 263,975
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 06-OA5, Class 2A1, (1 Month US LIBOR + 0.40%), 0.518%, 4/25/46 43,920 37,962
Credit Suisse Mortgage Captial Certificates 144A FRB Ser. 20-SPT1, Class M1, 3.388%, 4/25/65(WAC) 392,000 399,599
Eagle Re, Ltd. 144A FRB Ser. 20-1, Class B1, (1 Month US LIBOR + 2.85%), 2.968%, 1/25/30 404,000 378,571
Federal Home Loan Mortgage Corporation
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.618%, 5/25/28 248,528 276,098
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.13%, 7/25/28 246,896 277,298
Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA1, Class B, (1 Month US LIBOR + 8.80%), 8.918%, 3/25/28 370,071 400,115
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 7.668%, 12/25/27 1,398,627 1,531,498
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class B1, (1 Month US LIBOR + 4.95%), 5.068%, 7/25/29 773,000 827,884
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class B1, (1 Month US LIBOR + 4.45%), 4.568%, 3/25/30 250,000 261,926
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (1 Month US LIBOR + 12.25%), 12.368%, 2/25/49 260,000 289,598
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (1 Month US LIBOR + 11.25%), 11.368%, 4/25/49 2,150,000 2,361,964
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.118%, 10/25/48 565,000 651,383
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 10.868%, 1/25/49 164,000 179,765
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.618%, 3/25/49 755,000 831,424
Structured Agency Credit Risk Debt FRN Ser. 20-DNA3, Class B2, (1 Month US LIBOR + 9.35%), 9.468%, 6/25/50 750,000 877,500
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.268%, 7/25/49 624,000 651,414
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 7.868%, 9/25/48 818,000 837,734
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58(WAC) 244,000 250,579
Seasoned Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56(WAC) 400,000 400,481
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 370,000 384,665
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.368%, 10/25/48 1,000,000 1,034,063
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class M2, (1 Month US LIBOR + 3.75%), 3.868%, 8/25/50 300,000 303,375
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 2.768%, 1/25/49 517,829 521,068
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.568%, 3/25/49 171,276 172,272
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.418%, 10/25/48 68,800 68,910
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 12.868%, 10/25/28 815,439 982,720
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.368%, 9/25/28 60,624 71,908
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 11.868%, 10/25/28 86,448 103,567
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 11.868%, 8/25/28 26,696 31,922
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 10.868%, 1/25/29 44,842 52,528
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.368%, 4/25/29 248,806 273,983
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 5.818%, 4/25/28 1,008,358 1,070,327
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2B1, (1 Month US LIBOR + 5.05%), 5.168%, 11/25/29 964,000 1,025,864
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.568%, 5/25/30 284,000 290,193
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.568%, 2/25/30 761,000 785,733
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M2, (1 Month US LIBOR + 4.45%), 4.568%, 1/25/29 28,418 29,595
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.118%, 10/25/29 530,315 539,414
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 2.918%, 2/25/30 532,021 537,450
Connecticut Avenue Securities FRB Ser. 17-C06, Class 1M2, (1 Month US LIBOR + 2.65%), 2.768%, 2/25/30 464,528 468,325
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 2.618%, 5/25/30 1,246,119 1,251,527
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.368%, 7/25/30 141,310 141,504
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1M2C, (1 Month US LIBOR + 2.20%), 2.318%, 1/25/30 1,000,000 1,001,879
Federal National Mortgage Association 144A Connecticut Avenue Securities Trust FRB Ser. 19-R05, Class 1M2, (1 Month US LIBOR + 2.00%), 2.118%, 7/25/39 168,103 168,103
GSAA Home Equity Trust
FRB Ser. 05-15, Class 2A2, (1 Month US LIBOR + 0.50%), 0.618%, 1/25/36 387,390 205,804
FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.36%), 0.478%, 5/25/36 83,621 29,902
FRB Ser. 06-1, Class A1, (1 Month US LIBOR + 0.18%), 0.298%, 1/25/36 1,226,007 514,923
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.428%, 5/25/37 466,599 391,192
HarborView Mortgage Loan Trust FRB Ser. 04-11, Class 1A, (1 Month US LIBOR + 0.70%), 0.811%, 1/19/35 320,783 172,868
IndyMac INDX Mortgage Loan Trust FRB Ser. 06-AR11, Class 2A1, 3.521%, 6/25/36(WAC) 33,781 31,666
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.318%, 6/25/37 186,306 97,986
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 0.648%, 2/26/37 349,277 331,345
MortgageIT Trust FRB Ser. 05-3, Class M4, (1 Month US LIBOR + 0.95%), 1.063%, 8/25/35 16,363 15,904
Oaktown Re III, Ltd. 144A
FRB Ser. 19-1A, Class B1B, (1 Month US LIBOR + 4.35%), 4.468%, 7/25/29 (Bermuda) 191,000 186,835
FRB Ser. 19-1A, Class B1A, (1 Month US LIBOR + 3.50%), 3.618%, 7/25/29 (Bermuda) 159,000 157,119
Radnor Re, Ltd. 144A
Mortgage Insurance-Linked FRN Ser. 20-1, Class B1, (1 Month US LIBOR + 3.00%), 3.118%, 2/25/30 1,020,000 995,101
FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 2.818%, 3/25/28 (Bermuda) 964,000 968,458
Structured Asset Mortgage Investments II Trust
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.328%, 8/25/36 101,992 96,382
FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), 0.298%, 1/25/37 37,625 35,375
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 0.238%, 8/25/36 306,078 277,105
Triangle Re, Ltd. 144A Mortgage Insurance-Linked FRN Ser. 19-1, Class B1, (1 Month US LIBOR + 4.15%), 4.268%, 11/26/29 879,000 803,727
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 04-AR12, Class A2B, (1 Month US LIBOR + 0.92%), 1.05%, 10/25/44 108,097 104,877
FRB Ser. 05-AR13, Class A1C4, (1 Month US LIBOR + 0.86%), 0.99%, 10/25/45 76,914 75,599
34,209,087
Total mortgage-backed securities (cost $135,703,140) $124,932,580








U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (24.1%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.5%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $71,114 $81,522
5.00%, 5/20/49 195,394 219,922
4.50%, with due dates from 10/20/49 to 1/20/50 150,145 166,620
4.00%, TBA, 3/1/51 2,000,000 2,136,406
4.00%, with due dates from 8/20/49 to 1/20/50 398,656 441,306
3.50%, with due dates from 8/20/49 to 11/20/49 1,264,512 1,380,722
4,426,498
U.S. Government Agency Mortgage Obligations (21.6%)
Federal National Mortgage Association Pass-Through Certificates
5.00%, with due dates from 1/1/49 to 8/1/49 133,240 149,006
4.50%, 5/1/49 28,549 31,558
Uniform Mortgage-Backed Securities
5.00%, TBA, 3/1/51 1,000,000 1,106,563
4.00%, TBA, 3/1/51 3,000,000 3,220,078
3.50%, TBA, 3/1/51 19,000,000 20,137,032
3.00%, TBA, 3/1/51 1,000,000 1,045,469
2.50%, TBA, 4/1/51 4,000,000 4,122,500
2.50%, TBA, 3/1/51 4,000,000 4,131,250
1.50%, TBA, 3/1/51 5,000,000 4,891,797
38,835,253
Total U.S. government and agency mortgage obligations (cost $43,326,310) $43,261,751








ASSET-BACKED SECURITIES (4.8%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.088%, 7/25/24 $1,089,000 $1,089,653
Mello Warehouse Securitization Trust 144A
FRB Ser. 20-1, Class A, (1 Month US LIBOR + 0.90%), 1.018%, 10/25/53 186,000 186,000
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%), 0.918%, 11/25/53 112,000 112,000
FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 0.918%, 6/25/52 707,000 706,558
Mortgage Repurchase Agreement Financing Trust FRB Ser. 20-4, Class A1, (1 Month US LIBOR + 1.35%), 1.471%, 4/23/23 320,000 319,979
Mortgage Repurchase Agreement Financing Trust 144A FRB Ser. 20-5, Class A1, (1 Month US LIBOR + 1.00%), 1.121%, 8/10/23 269,000 269,000
MRA Issuance Trust 144A
FRB Ser. 20-2, Class A2, (1 Month US LIBOR + 1.45%), 1.95%, 7/21/21 783,000 789,915
FRB Ser. 20-11, Class A1X, (1 Month US LIBOR + 1.75%), 1.90%, 4/23/21 428,000 430,085
FRB Ser. 20-12, Class A1X, (1 Month US LIBOR + 1.35%), 1.457%, 7/15/21 769,000 770,654
FRB Ser. 21-5, Class A1X, (1 Month US LIBOR + 1.75%), zero %, 7/26/21 428,000 427,998
Station Place Securitization Trust 144A
FRB Ser. 20-6, Class A, (1 Month US LIBOR + 1.75%), 1.865%, 9/7/21 690,000 690,000
FRB Ser. 20-13, Class A, (1 Month US LIBOR + 1.50%), 1.615%, 10/10/21 625,000 625,000
FRB Ser. 20-15, Class A, (1 Month US LIBOR + 1.37%), 1.485%, 12/10/21 620,000 620,000
FRB Ser. 20-WL1, Class A, (1 Month US LIBOR + 1.15%), 1.268%, 6/25/51 682,000 682,000
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.83%), 0.945%, 3/24/21 824,000 824,000
Total asset-backed securities (cost $8,532,000) $8,542,842








PURCHASED SWAP OPTIONS OUTSTANDING (2.7%)(a)
  Counterparty Fixed right % to receive or (pay)/
Floating rate index/ Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Citibank, N.A.
0.915/3 month USD-LIBOR-BBA/Jul-31 Jul-21/0.915 $7,254,400 $13,856
Goldman Sachs International
(0.5996)/3 month USD-LIBOR-BBA/Mar-26 Mar-21/0.5996 14,508,900 193,694
1.065/3 month USD-LIBOR-BBA/Apr-31 Apr-21/1.065 14,508,900 9,866
0.5996/3 month USD-LIBOR-BBA/Mar-26 Mar-21/0.5996 14,508,900 435
JPMorgan Chase Bank N.A.
(0.964)/3 month USD-LIBOR-BBA/Mar-31 Mar-21/0.964 87,028,200 4,635,122
Total purchased swap options outstanding (cost $1,201,126) $4,852,973








PURCHASED OPTIONS OUTSTANDING (—%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Call) Mar-21/$102.88 $7,000,000 $7,000,000 $7
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) Apr-21/104.34 4,000,000 4,000,000 4,484
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Call) Mar-21/105.11 103,000,000 103,000,000 103
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Call) Mar-21/105.28 79,000,000 79,000,000 79
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Call) Mar-21/106.41 18,000,000 18,000,000 18
Total purchased options outstanding (cost $274,375) $4,691








SHORT-TERM INVESTMENTS (33.9%)(a)
        Principal amount/
shares		 Value
Putnam Short Term Investment Fund Class P 0.12%(AFF) Shares 36,024,529 $36,024,529
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(P) Shares 1,812,000 1,812,000
U.S. Treasury Bills 0.087%, 4/8/21(SEGSF)(SEGCCS) $300,000 299,988
U.S. Treasury Bills 0.084%, 5/13/21(SEGSF) 3,500,000 3,499,663
U.S. Treasury Bills 0.081%, 4/15/21(SEGSF)(SEGCCS) 1,800,000 1,799,910
U.S. Treasury Bills 0.075%, 3/18/21(SEGSF)(SEGCCS) 2,282,000 2,281,970
U.S. Treasury Bills 0.073%, 3/25/21(SEGSF) 2,100,000 2,099,948
U.S. Treasury Bills 0.036%, 6/3/21(SEG)(SEGSF)(SEGCCS) 4,700,000 4,699,328
U.S. Treasury Bills 0.035%, 6/10/21(SEGSF) 3,700,000 3,699,533
U.S. Treasury Cash Management Bills 0.078%, 5/25/21(SEGSF)(SEGCCS) 1,700,000 1,699,839
U.S. Treasury Cash Management Bills 0.040%, 6/1/21(SEGSF)(SEGCCS) 3,000,000 2,999,617
Total short-term investments (cost $60,916,150) $60,916,325
TOTAL INVESTMENTS
Total investments (cost $249,953,101) $242,511,162








FUTURES CONTRACTS OUTSTANDING at 2/28/21 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short) 1,953 $431,155,268 $431,155,268 Jun-21 $332,018
Unrealized appreciation 332,018
Unrealized (depreciation) —
Total $332,018








WRITTEN SWAP OPTIONS OUTSTANDING at 2/28/21 (premiums $1,139,825) (Unaudited)
  Counterparty Fixed Obligation % to receive or (pay)/
Floating rate index/ Maturity date		 Expiration date/ strike   Notional/
Contract amount		 Value
Citibank, N.A.
1.415/3 month USD-LIBOR-BBA/Jul-31 Jul-21/1.415 $7,254,400 $201,237
Goldman Sachs International
(1.165)/3 month USD-LIBOR-BBA/Apr-31 Apr-21/1.165 7,254,400 9,939
1.465/3 month USD-LIBOR-BBA/Apr-31 Apr-21/1.465 7,254,400 107,147
JPMorgan Chase Bank N.A.
(0.964)/3 month USD-LIBOR-BBA/Mar-31 Mar-21/0.964 87,028,200 2,611
Total $320,934








WRITTEN OPTIONS OUTSTANDING at 2/28/21 (premiums $274,375) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 2.00% TBA commitments (Put) Mar-21/$102.88 $7,000,000 $7,000,000 $161,868
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Mar-21/105.11 103,000,000 103,000,000 1,866,772
Uniform Mortgage-Backed Securities 30 yr 2.50% TBA commitments (Put) Apr-21/104.34 4,000,000 4,000,000 55,096
Uniform Mortgage-Backed Securities 30 yr 3.00% TBA commitments (Put) Mar-21/105.28 79,000,000 79,000,000 567,773
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Put) Mar-21/106.41 18,000,000 18,000,000 73,116
Total $2,724,625








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 2/28/21 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/ Floating rate index/ Maturity date Expiration date/ strike   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Citibank, N.A.
(1.222)/3 month USD-LIBOR-BBA/Mar-31 (Purchased) Mar-21/1.222 $7,254,500 $(46,429) $159,889
1.222/3 month USD-LIBOR-BBA/Mar-31 (Purchased) Mar-21/1.222 7,254,500 (46,429) (44,978)
Toronto-Dominion Bank
(0.753)/3 month USD-LIBOR-BBA/Mar-26 (Purchased) Mar-21/0.753 11,807,100 (38,963) 54,785
0.753/3 month USD-LIBOR-BBA/Mar-26 (Purchased) Mar-21/0.753 11,807,100 (38,963) (21,371)
Unrealized appreciation 214,674
Unrealized (depreciation) (66,349)
Total $148,325








TBA SALE COMMITMENTS OUTSTANDING at 2/28/21 (proceeds receivable $58,893,555) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 3.50%, 3/1/51 $1,000,000 3/18/21 $1,057,344
Uniform Mortgage-Backed Securities, 3.50%, 3/1/51 10,000,000 3/11/21 10,598,438
Uniform Mortgage-Backed Securities, 2.50%, 4/1/51 4,000,000 4/14/21 4,122,500
Uniform Mortgage-Backed Securities, 2.50%, 3/1/51 9,000,000 3/11/21 9,295,313
Uniform Mortgage-Backed Securities, 2.00%, 3/1/51 28,000,000 3/11/21 28,153,126
Uniform Mortgage-Backed Securities, 1.50%, 3/1/51 5,000,000 3/11/21 4,891,797
Total $58,118,518










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$12,413,400 $205,491 $(100) 7/6/25 3 month USD-LIBOR-BBA — Quarterly 0.35% — Semiannually $(203,372)
15,053,100 285,828 (122) 7/14/25 3 month USD-LIBOR-BBA — Quarterly 0.30% — Semiannually (284,550)
6,947,600 514,185 (92) 7/15/30 3 month USD-LIBOR-BBA — Quarterly 0.645% — Semiannually (510,646)
24,827,000 2,058,183 (329) 8/5/30 3 month USD-LIBOR-BBA — Quarterly 0.556% — Semiannually (2,051,773)
24,827,000 2,078,119 (151,774) 9/8/30 0.564% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,871,985
10,710,800 225,730 (87) 8/12/25 3 month USD-LIBOR-BBA — Quarterly 0.277% — Semiannually (225,267)
13,692,500 280,491 (129) 10/13/25 0.344% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 266,319
23,171,900 1,642,980 (307) 10/7/30 0.717% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,584,297
24,827,000 1,771,382 (133,154) 11/4/30 0.724% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,583,125
14,474,100 252,660 (117) 10/13/25 0.41% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 234,037
14,474,100 228,980 (117) 11/16/25 0.471% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 209,992
366,554,000 4,765 (E) (346,611) 3/17/23 3 month USD-LIBOR-BBA — Quarterly 0.25% — Semiannually (351,376)
185,282,000 3,957,809 (E) (297,401) 3/17/26 0.45% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 3,660,408
38,184,000 2,297,379 (E) 366,046 3/17/31 3 month USD-LIBOR-BBA — Quarterly 0.90% — Semiannually (1,931,333)
30,548,000 4,824,201 (E) 1,473,887 3/17/51 3 month USD-LIBOR-BBA — Quarterly 1.25% — Semiannually (3,350,316)
14,799,100 279,629 (120) 12/16/25 3 month USD-LIBOR-BBA — Quarterly 0.428% — Semiannually (273,313)
972,000 108,793 (33) 1/4/51 3 month USD-LIBOR-BBA — Quarterly 1.4375% — Semiannually (106,973)
7,823,000 148,911 (63) 1/5/26 0.442% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 146,324
7,015,000 137,662 (57) 1/6/26 0.43% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 135,494
9,330,000 502,476 (124) 1/6/31 3 month USD-LIBOR-BBA — Quarterly 0.937% — Semiannually (492,564)
3,514,000 71,071 (28) 1/7/26 0.4185% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 70,062
549,000 446 (2) 1/7/23 3 month USD-LIBOR-BBA — Quarterly 0.188% — Semiannually (485)
1,200,000 64,848 (16) 1/7/31 3 month USD-LIBOR-BBA — Quarterly 0.9355% — Semiannually (63,599)
500,000 248 (2) 1/8/23 3 month USD-LIBOR-BBA — Quarterly 0.205% — Semiannually (268)
1,240,000 56,296 (16) 1/8/31 3 month USD-LIBOR-BBA — Quarterly 1.0275% — Semiannually (54,856)
879,000 37,433 (12) 1/11/31 1.059% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 36,397
8,673,000 362,800 (115) 1/11/31 1.067% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 352,486
61,825,000 21,701 (233) 1/11/23 3 month USD-LIBOR-BBA — Quarterly 0.213% — Semiannually (22,557)
646,000 209 (2) 1/11/23 3 month USD-LIBOR-BBA — Quarterly 0.2145% — Semiannually (216)
1,958,000 81,351 (26) 1/11/31 3 month USD-LIBOR-BBA — Quarterly 1.070% — Semiannually (79,066)
13,928,500 188,439 (113) 1/13/26 0.5615% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 181,981
7,348,000 265,145 (97) 1/13/31 1.12792% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 256,151
1,206,000 403 (5) 1/13/23 3 month USD-LIBOR-BBA — Quarterly 0.2145% — Semiannually (416)
1,429,000 50,542 (19) 1/13/31 3 month USD-LIBOR-BBA — Quarterly 1.1355% — Semiannually (48,817)
4,643,000 147,160 (62) 1/14/31 1.1749% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 141,363
5,393,000 615 (20) 1/14/23 3 month USD-LIBOR-BBA — Quarterly 0.228% — Semiannually (641)
7,006,000 223,309 (93) 1/14/31 3 month USD-LIBOR-BBA — Quarterly 1.173% — Semiannually (214,766)
1,481,000 103,882 (51) 1/15/51 1.625% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 101,226
2,698,700 98,597 (E) (38) 4/15/31 1.165% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 98,559
2,611,600 108,893 (E) (37) 7/15/31 1.165% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 108,856
30,336,000 6,765 (114) 1/15/23 3 month USD-LIBOR-BBA — Quarterly 0.223% — Semiannually (7,383)
13,864,000 522,950 (184) 1/15/31 3 month USD-LIBOR-BBA — Quarterly 1.1115% — Semiannually (507,624)
20,611,000 13,109 (78) 1/22/23 3 month USD-LIBOR-BBA — Quarterly 0.20193% — Semiannually (13,516)
1,060,000 75,240 (36) 1/25/51 3 month USD-LIBOR-BBA — Quarterly 1.609% — Semiannually (73,795)
16,704,500 15,034 (63) 2/2/23 0.1906% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 14,936
1,878,000 136,322 (64) 2/3/51 3 month USD-LIBOR-BBA — Quarterly 1.6025% — Semiannually (134,311)
1,967,000 127,235 (67) 2/4/51 1.6355% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 125,018
9,694,000 144,159 (78) 2/4/26 3 month USD-LIBOR-BBA — Quarterly 0.549% — Semiannually (141,541)
4,534,000 129,269 (60) 2/8/31 3 month USD-LIBOR-BBA — Quarterly 1.2165% — Semiannually (126,315)
2,930,800 39,176 (24) 2/10/26 0.584% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 38,456
16,003,000 397,867 (212) 2/10/31 3 month USD-LIBOR-BBA — Quarterly 1.255% — Semiannually (388,013)
6,635,000 214,656 (226) 2/10/51 1.7705% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 208,261
12,852,000 169,312 (104) 2/11/26 3 month USD-LIBOR-BBA — Quarterly 0.589% — Semiannually (166,512)
59,383,000 39,905 (224) 2/11/23 0.2065% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 38,881
2,020,000 60,463 (27) 2/16/31 1.204% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 59,564
2,396,900 69,918 (32) 2/16/31 1.212% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 68,843
2,562,000 39,898 (34) 2/18/31 1.35468% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 38,758
8,266,000 132,454 (110) 2/19/31 3 month USD-LIBOR-BBA — Quarterly 1.35001% — Semiannually (129,261)
8,266,000 126,693 (110) 2/19/31 3 month USD-LIBOR-BBA — Quarterly 1.35734% — Semiannually (123,479)
8,266,000 117,361 (110) 2/19/31 3 month USD-LIBOR-BBA — Quarterly 1.3692% — Semiannually (114,114)
8,266,000 122,601 (110) 2/19/31 3 month USD-LIBOR-BBA — Quarterly 1.36253% — Semiannually (119,373)
8,610,000 104,784 (114) 2/19/31 1.3905% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 101,113
8,610,000 100,599 (114) 2/19/31 1.3956% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 96,914
4,715,000 24,659 (161) 2/22/51 1.8835% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 22,446
26,688,000 231,252 (216) 2/22/26 3 month USD-LIBOR-BBA — Quarterly 0.6875% — Semiannually (227,827)
4,054,000 44,582 (54) 2/23/31 3 month USD-LIBOR-BBA — Quarterly 1.404% — Semiannually (43,489)
9,607,000 82,611 (127) 2/24/31 1.4292% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 80,048
3,671,000 23,762 (49) 2/25/31 1.452% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 22,902
3,671,000 23,832 (49) 2/25/31 1.4518% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 22,972
900,000 614 (3) 2/26/23 3 month USD-LIBOR-BBA — Quarterly 0.2095% — Semiannually (605)
2,915,000 22,594 (39) 2/26/31 3 month USD-LIBOR-BBA — Quarterly 1.4389% — Semiannually (22,096)
2,005,000 1,307 (8) 2/26/23 3 month USD-LIBOR-BBA — Quarterly 0.211% — Semiannually (1,288)
2,651,000 19,461 (35) 2/26/31 3 month USD-LIBOR-BBA — Quarterly 1.4432% — Semiannually (19,007)
6,634,000 20,877 (88) 3/1/31 1.489% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 20,789
6,900,500 3,119 (56) 3/1/26 0.877% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (3,175)
4,204,000 9,123 (56) 3/2/31 1.533% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (9,178)
4,204,000 9,711 (56) 3/2/31 1.53447% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (9,767)
2,500,500 17,704 (85) 3/2/51 1.931% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (17,789)
10,651,000 6,391 (86) 3/2/26 3 month USD-LIBOR-BBA — Quarterly 0.875% — Semiannually 6,304
Total $904,746 $(661,361)
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/21 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
$48,721 $52,266 $— 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly $(4,178)
16,381 17,278 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,129)
20,589 21,716 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,419)
Credit Suisse International
101,132 108,491 — 1/12/41 3.50% ( 1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 8,672
36,970 38,994 — 1/12/41 4.00% ( 1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 2,548
8,082 8,551 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 579
7,888 8,377 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 607
Goldman Sachs International
3,146 3,498 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly (394)
52,411 56,225 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (4,494)
8,607 9,141 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 662
JPMorgan Securities LLC
5,492 5,811 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 393
13,575 14,361 — 1/12/44 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (972)
Upfront premium received — Unrealized appreciation 13,461
Upfront premium (paid) — Unrealized (depreciation) (12,586)
Total $— Total $875








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 2/28/21 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
CMBX NA BBB-.7 Index BB+/P $34 $6,000 $1,185 1/17/47 300 bp — Monthly $(1,149)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A-/P 22,323 187,000 12,585 5/11/63 200 bp — Monthly 9,780
CMBX NA BB.11 Index BB-/P 365,555 647,000 109,214 11/18/54 500 bp — Monthly 256,701
CMBX NA BB.6 Index B/P 71,327 439,000 189,341 5/11/63 500 bp — Monthly (117,770)
CMBX NA BB.6 Index B/P 154,784 1,079,000 465,373 5/11/63 500 bp — Monthly (309,989)
CMBX NA BB.6 Index B/P 754,500 1,509,000 650,832 5/11/63 500 bp — Monthly 104,507
CMBX NA BB.7 Index B+/P 60,373 1,183,000 430,612 1/17/47 500 bp — Monthly (369,582)
CMBX NA BBB-.13 Index BBB-/P 96,817 1,104,000 81,806 12/16/72 300 bp — Monthly 15,379
CMBX NA BBB .13 Index BBB-/P 262,668 2,791,000 206,813 12/16/72 300 bp — Monthly 56,786
CMBX NA BBB-.14 Index BBB-/P 460 15,000 569 12/16/72 300 bp — Monthly (103)
CMBX NA BBB-.14 Index BBB-/P 1,278 41,000 1,554 12/16/72 300 bp — Monthly (263)
CMBX NA BBB-.14 Index BBB-/P 16,632 509,000 19,291 12/16/72 300 bp — Monthly (2,490)
CMBX NA BBB-.6 Index BB/P 16,660 68,000 16,810 5/11/63 300 bp — Monthly (127)
Credit Suisse International
CMBX NA A.7 Index A-/P 110 3,000 201 1/17/47 200 bp — Monthly (90)
CMBX NA BB.7 Index B+/P 44,810 335,000 121,940 1/17/47 500 bp — Monthly (76,944)
CMBX NA BBB-.6 Index BB/P 1,768 16,000 3,955 5/11/63 300 bp — Monthly (2,182)
CMBX NA BBB-.6 Index BB/P 4,088 37,000 9,146 5/11/63 300 bp — Monthly (5,046)
CMBX NA BBB-.6 Index BB/P 125,816 1,339,000 331,001 5/11/63 300 bp — Monthly (204,739)
CMBX NA BBB-.7 Index BB+/P 1,379 21,000 4,148 1/17/47 300 bp — Monthly (2,761)
Goldman Sachs International
CMBX NA BB.6 Index B/P 34,230 241,000 103,943 5/11/63 500 bp — Monthly (69,580)
CMBX NA BB.9 Index B+/P 264,866 655,000 183,728 9/17/58 500 bp — Monthly 81,502
CMBX NA BBB-.6 Index BB/P 68 1,000 247 5/11/63 300 bp — Monthly (179)
CMBX NA BBB-.6 Index BB/P 833 6,000 1,483 5/11/63 300 bp — Monthly (648)
CMBX NA BBB-.6 Index BB/P 520 6,000 1,483 5/11/63 300 bp — Monthly (961)
CMBX NA BBB-.6 Index BB/P 580 7,000 1,730 5/11/63 300 bp — Monthly (1,148)
CMBX NA BBB-.6 Index BB/P 758 7,000 1,730 5/11/63 300 bp — Monthly (970)
CMBX NA BBB-.6 Index BB/P 780 7,000 1,730 5/11/63 300 bp — Monthly (948)
CMBX NA BBB-.6 Index BB/P 2,196 19,000 4,697 5/11/63 300 bp — Monthly (2,495)
CMBX NA BBB-.6 Index BB/P 4,985 35,000 8,652 5/11/63 300 bp — Monthly (3,655)
CMBX NA BBB-.6 Index BB/P 2,932 39,000 9,641 5/11/63 300 bp — Monthly (6,696)
CMBX NA BBB-.6 Index BB/P 4,589 41,000 10,135 5/11/63 300 bp — Monthly (5,533)
CMBX NA BBB-.6 Index BB/P 6,102 52,000 12,854 5/11/63 300 bp — Monthly (6,735)
CMBX NA BBB-.6 Index BB/P 6,807 61,000 15,079 5/11/63 300 bp — Monthly (8,252)
CMBX NA BBB-.6 Index BB/P 6,807 61,000 15,079 5/11/63 300 bp — Monthly (8,252)
CMBX NA BBB-.6 Index BB/P 8,944 80,000 19,776 5/11/63 300 bp — Monthly (10,806)
CMBX NA BBB-.6 Index BB/P 18,576 121,000 29,911 5/11/63 300 bp — Monthly (11,294)
CMBX NA BBB-.6 Index BB/P 19,769 166,000 41,035 5/11/63 300 bp — Monthly (21,211)
CMBX NA BBB-.6 Index BB/P 28,389 179,000 44,249 5/11/63 300 bp — Monthly (15,800)
CMBX NA BBB-.6 Index BB/P 22,689 192,000 47,462 5/11/63 300 bp — Monthly (24,709)
CMBX NA BBB-.6 Index BB/P 22,767 192,000 47,462 5/11/63 300 bp — Monthly (24,631)
CMBX NA BBB-.6 Index BB/P 31,086 196,000 48,451 5/11/63 300 bp — Monthly (17,300)
CMBX NA BBB-.6 Index BB/P 15,110 199,000 49,193 5/11/63 300 bp — Monthly (34,017)
CMBX NA BBB-.6 Index BB/P 23,894 270,000 66,744 5/11/63 300 bp — Monthly (42,760)
CMBX NA BBB-.6 Index BB/P 42,824 274,000 67,733 5/11/63 300 bp — Monthly (24,817)
CMBX NA BBB-.6 Index BB/P 20,957 286,000 70,699 5/11/63 300 bp — Monthly (49,647)
CMBX NA BBB-.6 Index BB/P 21,083 286,000 70,699 5/11/63 300 bp — Monthly (49,521)
CMBX NA BBB-.6 Index BB/P 22,360 295,000 72,924 5/11/63 300 bp — Monthly (50,466)
CMBX NA BBB-.6 Index BB/P 37,025 300,000 74,160 5/11/63 300 bp — Monthly (37,035)
CMBX NA BBB-.6 Index BB/P 34,253 310,000 76,632 5/11/63 300 bp — Monthly (42,276)
CMBX NA BBB-.6 Index BB/P 29,179 364,000 89,981 5/11/63 300 bp — Monthly (60,681)
CMBX NA BBB-.6 Index BB/P 36,144 430,000 106,296 5/11/63 300 bp — Monthly (70,009)
CMBX NA BBB-.6 Index BB/P 37,588 592,000 146,342 5/11/63 300 bp — Monthly (108,557)
CMBX NA BBB-.7 Index BB+/P 370 5,000 988 1/17/47 300 bp — Monthly (616)
CMBX NA BBB-.7 Index BB+/P 3,816 37,000 7,308 1/17/47 300 bp — Monthly (3,479)
CMBX NA BBB-.7 Index BB+/P 4,227 52,000 10,270 1/17/47 300 bp — Monthly (6,025)
CMBX NA BBB-.7 Index BB+/P 4,856 57,000 11,258 1/17/47 300 bp — Monthly (6,383)
CMBX NA BBB-.7 Index BB+/P 23,196 206,000 40,685 1/17/47 300 bp — Monthly (17,421)
JPMorgan Securities LLC
CMBX NA A.6 Index A-/P 560 4,000 269 5/11/63 200 bp — Monthly 292
CMBX NA BB.10 Index BB-/P 23,189 289,000 89,128 5/11/63 500 bp — Monthly (65,778)
CMBX NA BB.6 Index B/P 974,000 1,892,000 816,020 5/11/63 500 bp — Monthly 159,031
CMBX NA BBB-.13 Index BBB-/P 184,531 922,000 68,320 12/16/72 300 bp — Monthly 116,518
CMBX NA BBB-.6 Index BB/P 11,650,590 36,442,000 9,008,462 5/11/63 300 bp — Monthly 2,654,278
CMBX NA BBB-.7 Index BB+/P 21,129 90,000 17,775 1/17/47 300 bp — Monthly 3,384
Merrill Lynch International
CMBX NA BB.6 Index B/P 41,596 372,000 160,444 5/11/63 500 bp — Monthly (118,641)
CMBX NA BB.7 Index B+/P 16,216 134,000 48,776 1/17/47 500 bp — Monthly (32,485)
CMBX NA BB.7 Index B+/P 27,163 287,000 104,468 1/17/47 500 bp — Monthly (77,146)
CMBX NA BBB-.6 Index BB/P 2,593,167 9,624,000 2,379,053 5/11/63 300 bp — Monthly 217,322
Morgan Stanley & Co. International PLC
CMBX NA BB.6 Index B/P 68,880 164,000 70,733 5/11/63 500 bp — Monthly (1,762)
CMBX NA BB.6 Index B/P 29,053 239,000 103,081 5/11/63 500 bp — Monthly (73,894)
CMBX NA BB.9 Index B+/P 40,857 102,000 28,611 9/17/58 500 bp — Monthly 12,302
CMBX NA BBB-.14 Index BBB-/P 729 24,000 910 12/16/72 300 bp — Monthly (172)
CMBX NA BBB-.14 Index BBB-/P 4,369 155,000 5,875 12/16/72 300 bp — Monthly (1,454)
CMBX NA BBB-.6 Index BB/P 41,903 571,000 141,151 5/11/63 300 bp — Monthly (99,058)
CMBX NA BBB-.6 Index BB/P 59,391 711,000 175,759 5/11/63 300 bp — Monthly (116,131)
CMBX NA BBB-.6 Index BB/P 316,365 917,000 226,682 5/11/63 300 bp — Monthly 89,988
CMBX NA BBB-.6 Index BB/P 69,002 1,051,000 259,807 5/11/63 300 bp — Monthly (190,455)
CMBX NA BBB-.6 Index BB/P 69,717 1,056,000 261,043 5/11/63 300 bp — Monthly (190,974)
CMBX NA BBB-.6 Index BB/P 87,617 1,093,000 270,190 5/11/63 300 bp — Monthly (182,209)
CMBX NA BBB-.6 Index BB/P 110,571 1,476,000 364,867 5/11/63 300 bp — Monthly (253,804)
CMBX NA BBB-.6 Index BB/P 1,676,516 25,306,000 6,255,643 5/11/63 300 bp — Monthly (4,548,500)
Upfront premium received 20,954,648 Unrealized appreciation 3,777,770
Upfront premium (paid) — Unrealized (depreciation) (7,891,211)
Total $20,954,648 Total $(4,113,441)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at February 28, 2021. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 2/28/21 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index $(11,103) $110,000 $7,403 5/11/63 (200 bp) — Monthly $(3,725)
CMBX NA A.7 Index (22) 3,000 201 1/17/47 (200 bp) — Monthly 178
CMBX NA BB.10 Index (13,985) 134,000 41,326 11/17/59 (500 bp) — Monthly 27,267
CMBX NA BB.10 Index (12,061) 110,000 33,924 11/17/59 (500 bp) — Monthly 21,802
CMBX NA BB.11 Index (53,073) 735,000 124,068 11/18/54 (500 bp) — Monthly 70,587
CMBX NA BB.11 Index (78,125) 603,000 101,786 11/18/54 (500 bp) — Monthly 23,327
CMBX NA BB.11 Index (26,404) 509,000 85,919 11/18/54 (500 bp) — Monthly 59,232
CMBX NA BB.11 Index (25,963) 509,000 85,919 11/18/54 (500 bp) — Monthly 59,674
CMBX NA BB.11 Index (17,530) 255,000 43,044 11/18/54 (500 bp) — Monthly 25,372
CMBX NA BB.11 Index (13,102) 139,000 23,463 11/18/54 (500 bp) — Monthly 10,284
CMBX NA BB.12 Index (36,732) 428,000 63,729 8/17/61 (500 bp) — Monthly 26,760
CMBX NA BB.8 Index (38,367) 298,276 101,712 10/17/57 (500 bp) — Monthly 63,180
CMBX NA BB.9 Index (7,104) 181,000 50,771 9/17/58 (500 bp) — Monthly 43,565
CMBX NA BB.9 Index (8,710) 135,000 37,868 9/17/58 (500 bp) — Monthly 29,082
CMBX NA BB.9 Index (3,698) 102,000 28,611 9/17/58 (500 bp) — Monthly 24,857
CMBX NA BBB-.10 Index (479,876) 2,791,000 331,292 11/17/59 (300 bp) — Monthly (149,515)
CMBX NA BBB-.12 Index (35,041) 509,000 35,885 8/17/61 (300 bp) — Monthly 673
CMBX NA BBB-.12 Index (2,798) 41,000 2,891 8/17/61 (300 bp) — Monthly 79
CMBX NA BBB-.6 Index (648,050) 1,994,000 492,917 5/11/63 (300 bp) — Monthly (155,798)
CMBX NA BBB-.10 Index (262,173) 880,000 104,456 11/17/59 (300 bp) — Monthly (158,010)
CMBX NA BBB-.7 Index (60,813) 278,000 54,905 1/17/47 (300 bp) — Monthly (6,000)
CMBX NA BBB-.7 Index (989) 196,000 38,710 1/17/47 (300 bp) — Monthly 37,656
CMBX NA BBB-.9 Index (68,611) 290,000 32,625 9/17/58 (300 bp) — Monthly (36,083)
Credit Suisse International
CMBX NA BB.10 Index (50,421) 424,000 130,762 11/17/59 (500 bp) — Monthly 80,105
CMBX NA BB.10 Index (27,719) 223,000 68,773 11/17/59 (500 bp) — Monthly 40,931
Goldman Sachs International
CMBX NA A .6 Index (1,060) 16,000 1,077 5/11/63 (200 bp) — Monthly 13
CMBX NA BB.12 Index (103,987) 284,000 42,288 8/17/61 (500 bp) — Monthly (61,857)
CMBX NA BB.7 Index (43,198) 227,000 82,628 1/17/47 (500 bp) — Monthly 39,304
CMBX NA BB.8 Index (11,330) 96,529 32,917 10/17/57 (500 bp) — Monthly 21,533
CMBX NA BB.9 Index (16,195) 417,000 116,969 9/17/58 (500 bp) — Monthly 100,542
CMBX NA BB.9 Index (62,086) 390,000 109,395 9/17/58 (500 bp) — Monthly 47,092
CMBX NA BB.9 Index (26,089) 250,000 70,125 9/17/58 (500 bp) — Monthly 43,897
CMBX NA BB.9 Index (31,123) 197,000 55,259 9/17/58 (500 bp) — Monthly 24,026
CMBX NA BB.9 Index (30,349) 190,000 53,295 9/17/58 (500 bp) — Monthly 22,841
CMBX NA BB.9 Index (6,035) 56,000 15,708 9/17/58 (500 bp) — Monthly 9,642
CMBX NA BB.9 Index (6,258) 52,000 14,586 9/17/58 (500 bp) — Monthly 8,299
CMBX NA BB.9 Index (6,188) 52,000 14,586 9/17/58 (500 bp) — Monthly 8,369
CMBX NA BBB-.6 Index (32,934) 601,000 148,567 5/11/63 (300 bp) — Monthly 115,433
JPMorgan Securities LLC
CMBX NA BB.11 Index (2,338,620) 4,288,000 723,814 11/18/54 (500 bp) — Monthly (1,617,187)
CMBX NA BB.12 Index (320,742) 584,000 86,958 8/17/61 (500 bp) — Monthly (234,109)
CMBX NA BB.17 Index (1,282,407) 2,619,000 953,316 1/17/47 (500 bp) — Monthly (330,546)
CMBX NA BBB-.10 Index (21,935) 133,000 15,787 11/17/59 (300 bp) — Monthly (6,192)
CMBX NA BBB-.10 Index (85,802) 288,000 34,186 11/17/59 (300 bp) — Monthly (51,712)
CMBX NA BBB-.10 Index (48,454) 172,000 20,416 11/17/59 (300 bp) — Monthly (28,095)
Merrill Lynch International
CMBX NA BB.10 Index (19,061) 335,000 103,314 11/17/59 (500 bp) — Monthly 84,067
CMBX NA BB.11 Index (125,536) 254,000 42,875 11/18/54 (500 bp) — Monthly (82,802)
Morgan Stanley & Co. International PLC
CMBX NA BB.10 Index (14,053) 134,000 41,326 11/17/59 (500 bp) — Monthly 27,198
CMBX NA BB.11 Index (58,139) 592,000 99,930 11/18/54 (500 bp) — Monthly 41,462
CMBX NA BB.11 Index (11,420) 117,000 19,750 11/18/54 (500 bp) — Monthly 8,264
CMBX NA BB.11 Index (9,910) 104,000 17,555 11/18/54 (500 bp) — Monthly 7,587
CMBX NA BB.12 Index (55,505) 1,051,000 156,494 8/17/61 (500 bp) — Monthly 100,405
CMBX NA BB.12 Index (29,136) 413,000 61,496 8/17/61 (500 bp) — Monthly 32,130
CMBX NA BB.12 Index (28,670) 401,000 59,709 8/17/61 (500 bp) — Monthly 30,816
CMBX NA BB.12 Index (20,225) 277,000 41,245 8/17/61 (500 bp) — Monthly 20,866
CMBX NA BB.12 Index (104,400) 174,000 25,909 8/17/61 (500 bp) — Monthly (78,588)
CMBX NA BB.12 Index (8,086) 99,000 14,741 9/17/58 (500 bp) — Monthly 6,600
CMBX NA BB.7 Index (63,621) 340,000 123,760 1/17/47 (500 bp) — Monthly 59,950
CMBX NA BB.7 Index (34,709) 180,000 65,520 1/17/47 (500 bp) — Monthly 30,711
CMBX NA BB.9 Index (37,254) 1,056,000 296,208 9/17/58 (500 bp) — Monthly 258,367
CMBX NA BB.9 Index (6,646) 170,000 47,685 9/17/58 (500 bp) — Monthly 40,945
CMBX NA BB.9 Index (12,489) 103,000 28,892 9/17/58 (500 bp) — Monthly 16,346
CMBX NA BB.9 Index (12,822) 89,000 24,965 9/17/58 (500 bp) — Monthly 12,093
CMBX NA BB.9 Index (9,990) 66,000 18,513 9/17/58 (500 bp) — Monthly 8,486
CMBX NA BB.9 Index (5,559) 65,000 18,233 9/17/58 (500 bp) — Monthly 12,637
CMBX NA BB.9 Index (3,447) 56,000 15,708 9/17/58 (500 bp) — Monthly 12,230
CMBX NA BB.9 Index (6,305) 52,000 14,586 9/17/58 (500 bp) — Monthly 8,252
CMBX NA BB.9 Index (1,358) 10,000 2,805 9/17/58 (500 bp) — Monthly 1,441
CMBX NA BBB-.8 Index (210,480) 1,353,000 211,880 10/17/57 (300 bp) — Monthly 949
CMBX NA BBB-.8 Index (107,262) 684,000 107,114 10/17/57 (300 bp) — Monthly (375)
CMBX NA BBB-.10 Index (12,576) 58,000 6,885 11/17/59 (300 bp) — Monthly (5,711)
CMBX NA BBB-.10 Index (11,028) 51,000 6,054 11/17/59 (300 bp) — Monthly (4,992)
Upfront premium received — Unrealized appreciation 1,907,404
Upfront premium (paid) (7,476,949) Unrealized (depreciation) (3,011,297)
Total $(7,476,949) Total $(1,103,893)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.










Key to holding's abbreviations
bp Basis Points
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
OTC Over-the-counter
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from June 1, 2020 through February 28, 2021 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $179,808,240.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
5/31/20		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
2/28/21
Short-term investments
Putnam Short Term Investment Fund* $47,503,886 $98,662,593 $110,141,950 $76,987 $36,024,529
Total Short-term investments $47,503,886 $98,662,593 $110,141,950 $76,987 $36,024,529
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $869,913.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $18,898,512.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $2,289,935.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $153,354,972 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as“variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk and for yield curve positioning.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure and for gaining exposure to specific sectors.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
As of the close of the reporting period, due to a decrease in the fund's net asset value during the year, such counterparties were entitled to elect, but had not yet elected, to terminate early, and cause settlement of all outstanding derivative and foreign exchange contracts outstanding under the applicable Master Agreements, including the payment by the fund of any losses and costs resulting from such early termination, as reasonably determined by such counterparty. At the close of the reporting period, the fund had net asset position of $1,945,991 and net liability position of $18,679,719 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $18,898,512 and may include amounts related to unsettled agreements. The fund intends to seek a waiver of or other relief from this provision, from the counterparties.








ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
  Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $8,542,842 $—
Mortgage-backed securities — 124,932,580 —
Purchased options outstanding — 4,691 —
Purchased swap options outstanding — 4,852,973 —
U.S. government and agency mortgage obligations — 43,261,751 —
Short-term investments 1,812,000 59,104,325 —
Totals by level $1,812,000 $240,699,162 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $332,018 $— $—
Written options outstanding — (2,724,625) —
Written swap options outstanding — (320,934) —
Forward premium swap option contracts — 148,325 —
TBA sale commitments — (58,118,518) —
Interest rate swap contracts — (1,566,107) —
Total return swap contracts — 875 —
Credit default contracts — (18,695,033) —
Totals by level $332,018 $(81,276,017) $—
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount) $403,200,000
Purchased swap option contracts (contract amount) $131,000,000
Written TBA commitment option contracts (contract amount) $410,400,000
Written swap option contracts (contract amount) $68,700,000
Futures contracts (number of contracts) 2,000
Centrally cleared interest rate swap contracts (notional) $1,150,600,000
OTC total return swap contracts (notional) $360,000
OTC credit default contracts (notional) $149,600,000
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



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