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Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

May 25, 2022 12:37 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000009305
        C000025402
        C000025400
        C000161288
        C000025401
        C000202036
        C000090760
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs U.S. Mortgages Fund
      S000009305
      MBFL9SSC0VUDGK1TUI40
      2022-03-31
      2022-03-31
      N
    
    
      452466555.01
      186309994.84
      266156560.17
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      55173867.20000000
      0.00000000
      0.00000000
      7943471.09000000
      
        
          CAD
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W7WP5
        
          
        
        12187.73000000
        PA
        USD
        12243.59000000
        0.004600145866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MKQH2
        
          
        
        18977.87000000
        PA
        USD
        19064.84000000
        0.007163017130
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X3EU2
        
          
        
        126214.49000000
        PA
        USD
        128691.57000000
        0.048351830936
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HNBY4
        
          
        
        18538.01000000
        PA
        USD
        18549.52000000
        0.006969401764
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WTZ1
        
          
        
        4921136.15000000
        PA
        USD
        4869755.01000000
        1.829658080525
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-12-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CLK0
        
          
        
        5309.85000000
        PA
        USD
        5355.90000000
        0.002012311850
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-10-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GEK58
        
          
        
        426.31000000
        PA
        USD
        452.84000000
        0.000170140461
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKV6
        
          
        
        3194.54000000
        PA
        USD
        3206.68000000
        0.001204809679
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X36W7
        
          
        
        91859.72000000
        PA
        USD
        93662.56000000
        0.035190776413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294R3R8
        
          
        
        148.03000000
        PA
        USD
        165.53000000
        0.000062192718
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        29.00000000
        NC
        USD
        -162614.77000000
        -0.06109741195
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            3721005.40000000
            USD
            -162614.77000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB62
        
          
        
        14139.17000000
        PA
        USD
        14281.33000000
        0.005365762914
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQV33
        
          
        
        13123.35000000
        PA
        USD
        13131.50000000
        0.004933750267
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290VMA9
        
          
        
        3011.50000000
        PA
        USD
        3367.61000000
        0.001265274092
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KGR83
        
          
        
        2082924.79000000
        PA
        USD
        2061226.75000000
        0.774441459824
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AJX7
        
          
        
        19002.87000000
        PA
        USD
        19470.65000000
        0.007315487541
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MJGD5
        
          
        
        8826.77000000
        PA
        USD
        8861.71000000
        0.003329510268
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNY8
        
          
        
        1262.96000000
        PA
        USD
        1284.64000000
        0.000482663286
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933AL8
        
          
        
        742.30000000
        PA
        USD
        788.98000000
        0.000296434549
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJG44
        
          
        
        401792.72000000
        PA
        USD
        398958.61000000
        0.149896215124
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 15 LTD
        549300BTYXZYFTGVBO58
        ZAIS CLO 15 LTD
        98888DAN2
        
          
        
        925000.00000000
        PA
        USD
        923058.43000000
        0.346810324498
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-28
          Floating
          1.62800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FDX1
        
          
        
        161533.74000000
        PA
        USD
        171360.52000000
        0.064383353876
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397S7M0
        
          
        
        227616.19000000
        PA
        USD
        241421.59000000
        0.090706608864
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SYS0
        
          
        
        7442.34000000
        PA
        USD
        7560.96000000
        0.002840794153
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZ55
        
          
        
        2944.87000000
        PA
        USD
        2975.12000000
        0.001117808254
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Floating
          1.47300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312945ZK7
        
          
        
        4816.77000000
        PA
        USD
        5116.55000000
        0.001922383576
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-C38
        95001MAP5
        
          
        
        300000.00000000
        PA
        USD
        245584.91000000
        0.092270846092
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378WUZ4
        
          
        
        717382.04000000
        PA
        USD
        118631.67000000
        0.044572138264
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390NJT0
        
          
        
        5309.02000000
        PA
        USD
        5385.34000000
        0.002023373008
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Floating
          1.47300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378YC49
        
          
        
        55521.25000000
        PA
        USD
        2985.30000000
        0.001121633071
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXES7
        
          
        
        3123637.46000000
        PA
        USD
        3177102.58000000
        1.193696889518
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERH60
        
          
        
        179004.36000000
        PA
        USD
        184853.56000000
        0.069452941487
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417C3Z6
        
          
        
        62215.68000000
        PA
        USD
        62092.52000000
        0.023329321644
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312940XF1
        
          
        
        5553.59000000
        PA
        USD
        5900.92000000
        0.002217086062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXED0
        
          
        
        1662364.47000000
        PA
        USD
        1690818.00000000
        0.635271961329
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CBN5
        
          
        
        2800.04000000
        PA
        USD
        2840.23000000
        0.001067127557
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BZY5
        
          
        
        69768.48000000
        PA
        USD
        72456.20000000
        0.027223150146
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WRNS5
        
          
        
        79605.21000000
        PA
        USD
        79970.03000000
        0.030046236676
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Securities Trust
        N/A
        JPMDB Commercial Mortgage Securities Trust 2017-C7
        46648KAC0
        
          
        
        670000.00000000
        PA
        USD
        544517.23000000
        0.204585312363
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ETEF9
        
          
        
        500455.69000000
        PA
        USD
        512775.06000000
        0.192659185132
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417G4E3
        
          
        
        283656.55000000
        PA
        USD
        284956.52000000
        0.107063496694
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6NW4
        
          
        
        693.96000000
        PA
        USD
        743.48000000
        0.000279339348
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H020642
        
          
        
        -8000000.00000000
        PA
        USD
        -7606630.40000000
        -2.85795337719
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933G65
        
          
        
        2322.20000000
        PA
        USD
        2468.23000000
        0.000927360196
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406TLC3
        
          
        
        8184.88000000
        PA
        USD
        8539.32000000
        0.003208382312
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Floating
          2.22300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M8GU1
        
          
        
        60490.01000000
        PA
        USD
        61979.05000000
        0.023286688842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJZR2
        
          
        
        16549.73000000
        PA
        USD
        16957.12000000
        0.006371107287
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GEX0
        
          
        
        381112.83000000
        PA
        USD
        388592.54000000
        0.146001488654
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NY2R5
        
          
        
        29182.04000000
        PA
        USD
        29843.06000000
        0.011212596067
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WZTZ5
        
          
        
        30517.65000000
        PA
        USD
        31202.12000000
        0.011723220340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SYU5
        
          
        
        247014.73000000
        PA
        USD
        261082.47000000
        0.098093569376
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJQD5
        
          
        
        1448.69000000
        PA
        USD
        1538.85000000
        0.000578174740
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329QCZ2
        
          
        
        355881.09000000
        PA
        USD
        369526.57000000
        0.138838046961
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GVL67
        
          
        
        19898.98000000
        PA
        USD
        19869.90000000
        0.007465493237
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132H5A73
        
          
        
        57657.59000000
        PA
        USD
        59121.37000000
        0.022213004993
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GDS86
        
          
        
        5593.03000000
        PA
        USD
        5941.12000000
        0.002232189954
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HP2U7
        
          
        
        27950.78000000
        PA
        USD
        27968.13000000
        0.010508149783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3129356C8
        
          
        
        4412.12000000
        PA
        USD
        4689.58000000
        0.001761962957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296GNX5
        
          
        
        2132.39000000
        PA
        USD
        2369.16000000
        0.000890137743
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W5J74
        
          
        
        28844.49000000
        PA
        USD
        29410.59000000
        0.011050108996
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36209GR58
        
          
        
        326.29000000
        PA
        USD
        352.82000000
        0.000132561075
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T2L8
        
          
        
        886.19000000
        PA
        USD
        988.59000000
        0.000371431761
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        38820.19000000
        PA
        USD
        42237.36000000
        0.015869366501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TRL5
        
          
        
        1240.23000000
        PA
        USD
        1377.17000000
        0.000517428538
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GD5K4
        
          
        
        2967.37000000
        PA
        USD
        3152.05000000
        0.001184284166
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UML3
        
          
        
        1035810.78000000
        PA
        USD
        1060250.84000000
        0.398356080091
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KE84
        
          
        
        1045.13000000
        PA
        USD
        1043.35000000
        0.000392006118
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-08-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6S77
        
          
        
        755195.29000000
        PA
        USD
        742857.08000000
        0.279105305360
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EU7G8
        
          
        
        368335.05000000
        PA
        USD
        373948.95000000
        0.140499617879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TZ24
        
          
        
        438.34000000
        PA
        USD
        489.74000000
        0.000184004482
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECMC Group Student Loan Trust
        N/A
        ECMC Group Student Loan Trust
        26828WAA2
        
          
        
        1422866.49000000
        PA
        USD
        1436437.22000000
        0.539696342289
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-12-27
          Floating
          1.65700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312930WL0
        
          
        
        99.69000000
        PA
        USD
        106.06000000
        0.000039848726
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396VQY7
        
          
        
        216641.70000000
        PA
        USD
        33765.71000000
        0.012686409073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-25
          Floating
          6.31300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AWBF9
        
          
        
        21407.50000000
        PA
        USD
        21838.87000000
        0.008205272109
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJL32
        
          
        
        20385.03000000
        PA
        USD
        21999.45000000
        0.008265605020
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ARZ31
        
          
        
        69097.38000000
        PA
        USD
        73329.04000000
        0.027551092467
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200GFH4
        
          
        
        365.07000000
        PA
        USD
        404.21000000
        0.000151869260
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132H3JX2
        
          
        
        28854.53000000
        PA
        USD
        29587.07000000
        0.011116415834
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KNT8
        
          
        
        1200.44000000
        PA
        USD
        1198.97000000
        0.000450475464
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-09-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QAV3
        
          
        
        348.75000000
        PA
        USD
        374.48000000
        0.000140699143
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCW2
        
          
        
        31075.13000000
        PA
        USD
        32090.55000000
        0.012057020116
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RD89
        
          
        
        35266.88000000
        PA
        USD
        36597.70000000
        0.013750440709
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GDQH8
        
          
        
        4326.70000000
        PA
        USD
        4595.98000000
        0.001726795686
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TG41
        
          
        
        4218.07000000
        PA
        USD
        4275.73000000
        0.001606471768
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TAS4
        
          
        
        445.91000000
        PA
        USD
        494.09000000
        0.000185638858
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417G5A0
        
          
        
        67032.46000000
        PA
        USD
        68348.04000000
        0.025679637562
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933DC5
        
          
        
        2432.96000000
        PA
        USD
        2585.96000000
        0.000971593560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CME3
        
          
        
        359.61000000
        PA
        USD
        362.83000000
        0.000136322020
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-12-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AGL89
        
          
        
        21106.07000000
        PA
        USD
        22398.65000000
        0.008415591930
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294P7B3
        
          
        
        408.87000000
        PA
        USD
        434.21000000
        0.000163140821
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CEF9
        
          
        
        1392.29000000
        PA
        USD
        1399.21000000
        0.000525709379
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-11-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312938S46
        
          
        
        2029.89000000
        PA
        USD
        2157.54000000
        0.000810628150
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292N6W5
        
          
        
        6462.60000000
        PA
        USD
        7209.36000000
        0.002708691454
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312934BJ0
        
          
        
        2609.37000000
        PA
        USD
        2773.46000000
        0.001042040819
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2018-BNK15
        06036FBC4
        
          
        
        900000.00000000
        PA
        USD
        953596.72000000
        0.358284131486
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-11-15
          Variable
          4.40700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TY52
        
          
        
        2786.54000000
        PA
        USD
        3116.04000000
        0.001170754535
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NWME6
        
          
        
        10661.77000000
        PA
        USD
        10871.02000000
        0.004084445633
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GMN3
        
          
        
        47442.51000000
        PA
        USD
        48373.62000000
        0.018174874205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A2K28
        
          
        
        115076.94000000
        PA
        USD
        16889.74000000
        0.006345791360
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          6.09300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NA99
        
          
        
        7335.37000000
        PA
        USD
        8257.07000000
        0.003102335705
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419LZL0
        
          
        
        4205.24000000
        PA
        USD
        4464.84000000
        0.001677523934
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W6RN8
        
          
        
        269018.67000000
        PA
        USD
        274298.42000000
        0.103059049089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380UM67
        
          
        
        497179.09000000
        PA
        USD
        60084.54000000
        0.022574885985
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Floating
          5.25100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CL20
        
          
        
        4734.63000000
        PA
        USD
        4804.16000000
        0.001805012807
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-11-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BDB6
        
          
        
        1666629.15000000
        PA
        USD
        202921.43000000
        0.076241378334
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WTT97
        
          
        
        187207.24000000
        PA
        USD
        188065.19000000
        0.070659610974
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YXM1
        
          
        
        594591.15000000
        PA
        USD
        70770.26000000
        0.026589710941
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933G73
        
          
        
        1141.07000000
        PA
        USD
        1212.83000000
        0.000455682925
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDT7
        
          
        
        13904.89000000
        PA
        USD
        14417.69000000
        0.005416995918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Floating
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QMS36
        
          
        
        20907.75000000
        PA
        USD
        21347.07000000
        0.008020493647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200GF43
        
          
        
        623.70000000
        PA
        USD
        696.62000000
        0.000261733169
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2019-3 Trust
        949831AA9
        
          
        
        40014.03000000
        PA
        USD
        40004.70000000
        0.015030514361
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335APZ5
        
          
        
        1668669.45000000
        PA
        USD
        1699039.23000000
        0.638360831277
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A1MA0
        
          
        
        244363.57000000
        PA
        USD
        258896.78000000
        0.097272364744
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2016-GC36
        17324TAM1
        
          
        
        400000.00000000
        PA
        USD
        379521.60000000
        0.142593366760
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-10
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376VHU4
        
          
        
        178031.67000000
        PA
        USD
        26906.37000000
        0.010109226683
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-02-20
          Floating
          5.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294ST49
        
          
        
        4261.21000000
        PA
        USD
        4819.08000000
        0.001810618531
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329J6V4
        
          
        
        3051.42000000
        PA
        USD
        3076.63000000
        0.001155947461
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRK75
        
          
        
        34288.81000000
        PA
        USD
        34424.52000000
        0.012933936318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UZT2
        
          
        
        2449367.18000000
        PA
        USD
        2477167.01000000
        0.930717998616
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVN49
        
          
        
        20063.13000000
        PA
        USD
        20155.08000000
        0.007572640699
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYS8
        
          
        
        2404.63000000
        PA
        USD
        2679.56000000
        0.001006760832
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJ6X1
        
          
        
        124542.07000000
        PA
        USD
        127607.83000000
        0.047944649539
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHNT5
        
          
        
        258836.36000000
        PA
        USD
        267294.17000000
        0.100427421300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YR3Y2
        
          
        
        61789.55000000
        PA
        USD
        62885.78000000
        0.023627364270
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AWRQ8
        
          
        
        56064.42000000
        PA
        USD
        59497.92000000
        0.022354481874
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CFJ0
        
          
        
        3165.32000000
        PA
        USD
        3219.19000000
        0.001209509920
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RE70
        
          
        
        21150.00000000
        PA
        USD
        22119.50000000
        0.008310710051
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Floating
          2.38300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04658A SWAPTION SOFRRATE
        000000000
        
          
        
        3400000.00000000
        NC
        USD
        1076.44000000
        0.000404438650
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3400000.00000000
                    OU
                    Notional Amount
                    N/A
                    1076.44000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3400000.00000000
                  USD
                
              
            
            1.00000000
            1.36100000
            USD
            2022-07-12
            XXXX
            -20318.19000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04768A SWAPTION SOFRRATE
        000000000
        
          
        
        -8800000.00000000
        NC
        USD
        -2956.80000000
        -0.00111092508
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    8800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2956.80000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8800000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-11-16
            XXXX
            7603.20000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TJX4
        
          
        
        6970.92000000
        PA
        USD
        7066.20000000
        0.002654903563
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ASU83
        
          
        
        13223.48000000
        PA
        USD
        14033.31000000
        0.005272577159
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPGT5
        
          
        
        83633.55000000
        PA
        USD
        84016.83000000
        0.031566695161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TUC1
        
          
        
        483.76000000
        PA
        USD
        519.33000000
        0.000195121998
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CCG9
        
          
        
        2849.43000000
        PA
        USD
        2879.42000000
        0.001081851973
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-05-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WJS8
        
          
        
        915552.32000000
        PA
        USD
        905993.12000000
        0.340398568204
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290UKK1
        
          
        
        1436.63000000
        PA
        USD
        1608.81000000
        0.000604460021
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EML8
        
          
        
        320720.07000000
        PA
        USD
        47881.26000000
        0.017989885340
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2014-3
        69340JAA0
        
          
        
        2528535.98000000
        PA
        USD
        2487002.50000000
        0.934413376251
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-08-25
          Floating
          1.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796U49
        
          
        
        15000000.00000000
        PA
        USD
        14935183.05000000
        5.611427740297
        Long
        STIV
        UST
        US
        N
        
        1
        
          2022-09-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WSQP6
        
          
        
        6496.31000000
        PA
        USD
        6623.81000000
        0.002488689362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04769A SWAPTION SOFRRATE
        000000000
        
          
        
        8800000.00000000
        NC
        USD
        8776.24000000
        0.003297397589
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    8800000.00000000
                    OU
                    Notional Amount
                    N/A
                    8776.24000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8800000.00000000
                  USD
                
              
            
            1.00000000
            1.80000000
            USD
            2022-11-16
            XXXX
            -19823.76000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2017-P8
        17326DAM4
        
          
        
        1000000.00000000
        PA
        USD
        807831.07000000
        0.303517249202
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB54
        
          
        
        12443.45000000
        PA
        USD
        12568.57000000
        0.004722246933
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T4V4
        
          
        
        455.42000000
        PA
        USD
        496.21000000
        0.000186435382
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-8
        92538GAA0
        
          
        
        95914.39000000
        PA
        USD
        90537.21000000
        0.034016523936
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-11-25
          Variable
          1.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AK6U8
        
          
        
        19058.67000000
        PA
        USD
        20225.86000000
        0.007599234070
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138Y7XZ0
        
          
        
        78456.48000000
        PA
        USD
        80461.34000000
        0.030230831037
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2005-16
        41161PYW7
        
          
        
        27233.78000000
        PA
        USD
        26302.87000000
        0.009882480440
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-19
          Floating
          0.92900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZ30
        
          
        
        9690.18000000
        PA
        USD
        9791.81000000
        0.003678966242
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Floating
          1.47300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQC3
        
          
        
        364129.17000000
        PA
        USD
        42378.26000000
        0.015922305267
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        Impac CMB Trust Series 2004-8
        45254NKQ9
        
          
        
        12686.43000000
        PA
        USD
        12379.96000000
        0.004651382626
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          1.17700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX003018  CDS USD R F  3.00000 2 CMBX / Short: CX003018  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        900000.00000000
        OU
        Notional Amount
        USD
        -117562.50000000
        -0.04417043108
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -161684.92000000
            USD
            900000.00000000
            USD
            44122.42000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHU26
        
          
        
        129607.23000000
        PA
        USD
        128693.02000000
        0.048352375728
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UV82
        
          
        
        539245.63000000
        PA
        USD
        546083.04000000
        0.205173616480
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WGSQ8
        
          
        
        15048.87000000
        PA
        USD
        15292.34000000
        0.005745618289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418B6G6
        
          
        
        142575.01000000
        PA
        USD
        141569.33000000
        0.053190246338
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933R63
        
          
        
        663.82000000
        PA
        USD
        705.57000000
        0.000265095851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BUQ4
        
          
        
        2700351.28000000
        PA
        USD
        402512.74000000
        0.151231568270
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04659A SWAPTION SOFRRATE
        000000000
        
          
        
        -1090000.00000000
        NC
        USD
        -4482.19000000
        -0.00168404265
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1090000.00000000
                    OU
                    Notional Amount
                    N/A
                    -4482.19000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1090000.00000000
                  USD
                
              
            
            1.00000000
            1.59400000
            USD
            2022-07-12
            XXXX
            16916.05000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CQH2
        
          
        
        5216.91000000
        PA
        USD
        5302.74000000
        0.001992338643
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-09-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T3P8
        
          
        
        3105.23000000
        PA
        USD
        3449.30000000
        0.001295966553
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36225BXT0
        
          
        
        185115.04000000
        PA
        USD
        200838.51000000
        0.075458786314
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQKU5
        
          
        
        14431.38000000
        PA
        USD
        14440.34000000
        0.005425505946
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QLD78
        
          
        
        2841787.71000000
        PA
        USD
        2718926.20000000
        1.021551450117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M6AB3
        
          
        
        20048.90000000
        PA
        USD
        20542.43000000
        0.007718175342
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S5L7
        
          
        
        12672.64000000
        PA
        USD
        12845.86000000
        0.004826429974
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANNR0
        
          
        
        140186.39000000
        PA
        USD
        148771.69000000
        0.055896307761
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371LBP3
        
          
        
        146.20000000
        PA
        USD
        147.30000000
        0.000055343366
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L5TH6
        
          
        
        25512.92000000
        PA
        USD
        26612.74000000
        0.009998904397
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMWQ0
        
          
        
        42223.88000000
        PA
        USD
        42417.39000000
        0.015937007140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BNHN7
        
          
        
        371302.25000000
        PA
        USD
        384879.51000000
        0.144606433805
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-15
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQU2
        
          
        
        3544.38000000
        PA
        USD
        3560.67000000
        0.001337810346
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-12-20
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CEP7
        
          
        
        4237.23000000
        PA
        USD
        4259.04000000
        0.001600201023
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-12-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382DJV2
        
          
        
        799702.19000000
        PA
        USD
        120280.25000000
        0.045191540619
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-02-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TLS2
        
          
        
        341989.16000000
        PA
        USD
        346663.76000000
        0.130248061433
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR217233  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR217233  IRS CAD P F  1.96000 2 CCPVANILLA
        000000000
        
          
        
        1190000.00000000
        OU
        Notional Amount
        
        39151.53000000
        0.014709962427
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-12-18
            16224.38000000
            CAD
            0.00000000
            CAD
            1190000.00000000
            CAD
            26352.73000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04780A SWAPTION SOFRRATE
        000000000
        
          
        
        -8800000.00000000
        NC
        USD
        -3487.44000000
        -0.00131029646
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    8800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3487.44000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8800000.00000000
                  USD
                
              
            
            1.00000000
            1.34750000
            USD
            2022-11-22
            XXXX
            7086.12000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379M4U5
        
          
        
        281967.00000000
        PA
        USD
        49632.93000000
        0.018648020536
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-16
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SC96
        
          
        
        9261.49000000
        PA
        USD
        10294.74000000
        0.003867926454
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36202S4V7
        
          
        
        1283.70000000
        PA
        USD
        1426.43000000
        0.000535936442
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31388XVV3
        
          
        
        47716.02000000
        PA
        USD
        48489.37000000
        0.018218363646
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Floating
          1.46800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F050643
        
          
        
        -1000000.00000000
        PA
        USD
        -1051333.70000000
        -0.39500574373
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QLDP8
        
          
        
        2249174.70000000
        PA
        USD
        2151934.15000000
        0.808521927329
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HMWN7
        
          
        
        9860.31000000
        PA
        USD
        9847.94000000
        0.003700055333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNM2
        
          
        
        148243.14000000
        PA
        USD
        22481.18000000
        0.008446599995
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040644
        
          
        
        -5000000.00000000
        PA
        USD
        -5102737.00000000
        -1.91719377374
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WWKV0
        
          
        
        14150.91000000
        PA
        USD
        14215.76000000
        0.005341127038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TTL3
        
          
        
        4142.25000000
        PA
        USD
        4634.69000000
        0.001741339757
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TX79
        
          
        
        1087.66000000
        PA
        USD
        1215.56000000
        0.000456708637
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L9J22
        
          
        
        3151724.24000000
        PA
        USD
        3126625.83000000
        1.174731830018
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295ERY5
        
          
        
        2712.04000000
        PA
        USD
        3030.95000000
        0.001138784630
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R01
        20754RAB2
        
          
        
        162000.00000000
        PA
        USD
        157161.93000000
        0.059048677928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          1.64900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UMM1
        
          
        
        431582.60000000
        PA
        USD
        448372.93000000
        0.168462099793
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414R7J8
        
          
        
        118.20000000
        PA
        USD
        119.75000000
        0.000044992315
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418UV84
        
          
        
        18382.38000000
        PA
        USD
        19405.91000000
        0.007291163512
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        16200000.00000000
        OU
        Notional Amount
        USD
        4484.16000000
        0.001684782819
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            5437.51000000
            USD
            0.00000000
            USD
            16200000.00000000
            USD
            -953.35000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31349UCW6
        
          
        
        4722.03000000
        PA
        USD
        4939.62000000
        0.001855907664
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Floating
          2.21300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131Y9TA1
        
          
        
        6372.68000000
        PA
        USD
        6618.06000000
        0.002486528979
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131XV6C4
        
          
        
        868989.99000000
        PA
        USD
        897395.40000000
        0.337168243918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HRMV9
        
          
        
        966909.14000000
        PA
        USD
        967509.30000000
        0.363511348126
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X3XM9
        
          
        
        27432.95000000
        PA
        USD
        28048.24000000
        0.010538248609
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQQ39
        
          
        
        9316.54000000
        PA
        USD
        9322.32000000
        0.003502570064
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TX61
        
          
        
        583.50000000
        PA
        USD
        623.41000000
        0.000234226802
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335AZH4
        
          
        
        147943.34000000
        PA
        USD
        150312.28000000
        0.056475136252
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RAZ2
        
          
        
        547143.98000000
        PA
        USD
        27946.42000000
        0.010499992929
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Floating
          3.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKL8
        
          
        
        6687.44000000
        PA
        USD
        6700.67000000
        0.002517567102
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31401KL29
        
          
        
        47908.46000000
        PA
        USD
        50044.53000000
        0.018802666358
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Floating
          2.28500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292N7M6
        
          
        
        1860.25000000
        PA
        USD
        2071.24000000
        0.000778203625
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295HRG7
        
          
        
        7235.77000000
        PA
        USD
        8221.30000000
        0.003088896247
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335BCW4
        
          
        
        7961749.14000000
        PA
        USD
        7931858.35000000
        2.980147603701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359X3X5
        
          
        
        77268.77000000
        PA
        USD
        85933.27000000
        0.032286737529
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-25
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300TRQQDPEF728F16
        Wells Fargo Commercial Mortgage Trust 2016-C37
        95000PAX2
        
          
        
        100000.00000000
        PA
        USD
        85351.20000000
        0.032068042938
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-15
          Variable
          3.19200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ER5G1
        
          
        
        704291.71000000
        PA
        USD
        746160.88000000
        0.280346604841
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380UBH5
        
          
        
        1594508.47000000
        PA
        USD
        1602809.80000000
        0.602205633772
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-16
          Floating
          0.73100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TCZ6
        
          
        
        70840.31000000
        PA
        USD
        74631.22000000
        0.028040345859
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GULV7
        
          
        
        206658.16000000
        PA
        USD
        218376.13000000
        0.082047998313
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQJB9
        
          
        
        19958.22000000
        PA
        USD
        19970.61000000
        0.007503331868
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379NLP5
        
          
        
        27870.63000000
        PA
        USD
        3154.21000000
        0.001185095718
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132WDYN8
        
          
        
        225801.99000000
        PA
        USD
        229417.64000000
        0.086196500230
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBQ3
        
          
        
        40000.00000000
        PA
        USD
        36981.25000000
        0.013894547621
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-02-28
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2022-BNK40
        06541LBG0
        
          
        
        550000.00000000
        PA
        USD
        553261.17000000
        0.207870574238
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-03-15
          Variable
          3.50700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933QN7
        
          
        
        42202.00000000
        PA
        USD
        44855.92000000
        0.016853208491
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EPMV3
        
          
        
        31775.54000000
        PA
        USD
        34186.54000000
        0.012844522779
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417ET50
        
          
        
        158015.27000000
        PA
        USD
        161707.50000000
        0.060756533634
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292L7E8
        
          
        
        772.82000000
        PA
        USD
        856.00000000
        0.000321615217
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TTJ8
        
          
        
        3957.19000000
        PA
        USD
        4418.53000000
        0.001660124400
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ECUR2
        
          
        
        2562.60000000
        PA
        USD
        2726.19000000
        0.001024280595
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYU3
        
          
        
        2427.43000000
        PA
        USD
        2710.71000000
        0.001018464470
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132H7DU5
        
          
        
        345532.31000000
        PA
        USD
        355389.10000000
        0.133526334940
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SLS4
        
          
        
        844240.82000000
        PA
        USD
        859227.47000000
        0.322827838416
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4AP6
        
          
        
        8919.10000000
        PA
        USD
        8959.98000000
        0.003366432145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        3.00000000
        NC
        USD
        -414.79000000
        -0.00015584436
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            530289.79000000
            USD
            -414.79000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335ATT5
        
          
        
        288379.25000000
        PA
        USD
        300798.88000000
        0.113015767790
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292LHG3
        
          
        
        5515.41000000
        PA
        USD
        5858.67000000
        0.002201211946
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417KUM7
        
          
        
        2017.17000000
        PA
        USD
        2102.56000000
        0.000789971135
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GEJ27
        
          
        
        4479.05000000
        PA
        USD
        4757.81000000
        0.001787598245
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36206PUJ7
        
          
        
        2484.48000000
        PA
        USD
        2543.17000000
        0.000955516557
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-04-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6T73
        
          
        
        15574.86000000
        PA
        USD
        16686.26000000
        0.006269340116
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201CL51
        
          
        
        161.65000000
        PA
        USD
        170.91000000
        0.000064214085
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217101  IRS USD R F  1.00000 2 CCPOIS / Short: SR217101  IRS USD P V 00MSOFR 1 CCPOIS
        000000000
        
          
        
        40000.00000000
        OU
        Notional Amount
        USD
        -2328.24000000
        -0.00087476333
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            USD
            -106.90000000
            USD
            40000.00000000
            USD
            -2221.34000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN28
        
          
        
        13670.44000000
        PA
        USD
        13897.07000000
        0.005221389242
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YXT6
        
          
        
        608141.95000000
        PA
        USD
        70653.45000000
        0.026545823238
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SWZ6
        
          
        
        2320877.75000000
        PA
        USD
        2466004.65000000
        0.926524091093
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X7AV1
        
          
        
        566567.10000000
        PA
        USD
        589663.04000000
        0.221547437952
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TZP3
        
          
        
        635.57000000
        PA
        USD
        703.19000000
        0.000264201641
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GFQ4
        
          
        
        308015.66000000
        PA
        USD
        309427.26000000
        0.116257611611
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36184DP80
        
          
        
        179229.37000000
        PA
        USD
        183707.08000000
        0.069022187498
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T4N2
        
          
        
        2965.78000000
        PA
        USD
        3355.33000000
        0.001260660266
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZQ9
        
          
        
        5401.71000000
        PA
        USD
        5499.81000000
        0.002066381529
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Floating
          1.47500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WF3A2
        
          
        
        9756.29000000
        PA
        USD
        9917.18000000
        0.003726070097
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KD93
        
          
        
        1040.64000000
        PA
        USD
        1038.73000000
        0.000390270297
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-07-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300G09B8CGBRMLL31
        Sound Point CLO XVIII Ltd
        83609TAC1
        
          
        
        850000.00000000
        PA
        USD
        831447.90000000
        0.312390534153
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-21
          Floating
          1.65400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCH5
        
          
        
        149385.82000000
        PA
        USD
        148332.10000000
        0.055731145572
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BBVK5
        
          
        
        191524.71000000
        PA
        USD
        35697.12000000
        0.013412075951
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQBC5
        
          
        
        267695.80000000
        PA
        USD
        267861.96000000
        0.100640750627
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417G6M3
        
          
        
        88982.20000000
        PA
        USD
        90977.96000000
        0.034182121959
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VMD9
        
          
        
        466221.52000000
        PA
        USD
        462486.03000000
        0.173764655548
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-05-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312945SX7
        
          
        
        2256.26000000
        PA
        USD
        2396.68000000
        0.000900477522
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31342A6F1
        
          
        
        6103.52000000
        PA
        USD
        6362.30000000
        0.002390435161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Floating
          2.23400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DMAL9
        
          
        
        416703.10000000
        PA
        USD
        421589.24000000
        0.158398966281
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HREL0
        
          
        
        26322.82000000
        PA
        USD
        26355.61000000
        0.009902295845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7L46
        
          
        
        8780.63000000
        PA
        USD
        9332.81000000
        0.003506511353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KMP7
        
          
        
        4030.62000000
        PA
        USD
        4037.47000000
        0.001516953028
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-07-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M6P76
        
          
        
        7362.96000000
        PA
        USD
        7392.10000000
        0.002777350291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201EMY3
        
          
        
        327.28000000
        PA
        USD
        355.90000000
        0.000133718289
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9BD1
        
          
        
        66200.25000000
        PA
        USD
        67499.49000000
        0.025360821449
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BPA8
        
          
        
        167954.77000000
        PA
        USD
        174913.94000000
        0.065718440262
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N7E2
        
          
        
        2178.32000000
        PA
        USD
        2434.47000000
        0.000914675933
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YKCT8
        
          
        
        21643.84000000
        PA
        USD
        22081.94000000
        0.008296598057
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F9WG6
        
          
        
        23056.93000000
        PA
        USD
        22894.29000000
        0.008601813152
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX003012  CDS USD R F  3.00000 2 CMBX / Short: CX003012  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        400000.00000000
        OU
        Notional Amount
        USD
        -31937.52000000
        -0.01199952388
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -45133.92000000
            USD
            400000.00000000
            USD
            13196.40000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AEAV8
        
          
        
        671671.22000000
        PA
        USD
        697533.89000000
        0.262076534786
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417HBY9
        
          
        
        29016.25000000
        PA
        USD
        29585.72000000
        0.011115908614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XDTL4
        
          
        
        55082.25000000
        PA
        USD
        56248.83000000
        0.021133737963
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312945ZL5
        
          
        
        13244.70000000
        PA
        USD
        14069.01000000
        0.005285990317
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179R4G1
        
          
        
        595238.23000000
        PA
        USD
        633787.94000000
        0.238125988551
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566AAH2
        
          
        
        116720.67000000
        PA
        USD
        117146.23000000
        0.044014030661
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          2.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        -7.00000000
        NC
        USD
        10766.14000000
        0.004045040254
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            -1493289.57000000
            USD
            10766.14000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31400GRT4
        
          
        
        1033.55000000
        PA
        USD
        1104.01000000
        0.000414797215
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292LC77
        
          
        
        575.22000000
        PA
        USD
        640.88000000
        0.000240790608
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNB8
        
          
        
        8590.20000000
        PA
        USD
        8782.59000000
        0.003299783403
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-03-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NXP35
        
          
        
        5683.85000000
        PA
        USD
        5814.88000000
        0.002184759224
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WN5M7
        
          
        
        35693.01000000
        PA
        USD
        35856.59000000
        0.013471991814
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XDYN0
        
          
        
        2949011.46000000
        PA
        USD
        2820784.61000000
        1.059821560737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2021-6
        46653PAC1
        
          
        
        458749.19000000
        PA
        USD
        423070.71000000
        0.158955582282
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9C91
        
          
        
        47240.06000000
        PA
        USD
        50194.50000000
        0.018859012893
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WQQ39
        
          
        
        31579.52000000
        PA
        USD
        31724.25000000
        0.011919394351
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKP74
        
          
        
        14931.14000000
        PA
        USD
        14825.82000000
        0.005570337996
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133TCZR2
        
          
        
        19614.11000000
        PA
        USD
        20798.36000000
        0.007814333032
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-HQA1
        35564KTB5
        
          
        
        120000.00000000
        PA
        USD
        122818.72000000
        0.046145291298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KL29
        
          
        
        3029.03000000
        PA
        USD
        3036.46000000
        0.001140854840
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-06-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GW77
        
          
        
        272742.33000000
        PA
        USD
        279115.31000000
        0.104868844796
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RFC8
        
          
        
        1728.65000000
        PA
        USD
        1925.34000000
        0.000723386265
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2017-P7
        17325HAA2
        
          
        
        125000.00000000
        PA
        USD
        97882.69000000
        0.036776358222
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-04-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B0WA0
        
          
        
        326714.10000000
        PA
        USD
        46377.49000000
        0.017424890812
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-25
          Floating
          5.69300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CMN3
        
          
        
        3477.82000000
        PA
        USD
        3554.44000000
        0.001335469618
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        549300RCJSGOC0A85G53
        New Residential Mortgage Loan Trust 2015-1
        64829CAA6
        
          
        
        101028.89000000
        PA
        USD
        101846.43000000
        0.038265609510
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-28
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GTYG6
        
          
        
        13934.99000000
        PA
        USD
        13914.62000000
        0.005227983105
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMKE0
        
          
        
        66933.91000000
        PA
        USD
        67240.66000000
        0.025263574174
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UQ54
        
          
        
        1193392.61000000
        PA
        USD
        1220898.16000000
        0.458714284261
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AK30
        
          
        
        97833.37000000
        PA
        USD
        103872.78000000
        0.039026947122
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RQ36
        
          
        
        44822.35000000
        PA
        USD
        46471.73000000
        0.017460298543
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002933  CDS USD R F  3.00000 2 CMBX / Short: CX002933  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2450000.00000000
        OU
        Notional Amount
        USD
        -267203.12000000
        -0.10039321211
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -7022.28000000
            USD
            2450000.00000000
            USD
            -260180.84000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CZJ6
        
          
        
        600001.40000000
        PA
        USD
        623119.63000000
        0.234117704858
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KDX0
        
          
        
        1697.19000000
        PA
        USD
        1696.86000000
        0.000637542053
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-06-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CCU8
        
          
        
        4614.16000000
        PA
        USD
        4663.64000000
        0.001752216814
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-06-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GAX4
        
          
        
        621019.44000000
        PA
        USD
        623865.51000000
        0.234397945931
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XDS0
        
          
        
        176704.99000000
        PA
        USD
        184423.68000000
        0.069291427527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-25
          Floating
          4.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SWX1
        
          
        
        396590.28000000
        PA
        USD
        403630.40000000
        0.151651494046
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cantor Commercial Real Estate Lending
        N/A
        Cantor Commercial Real Estate Lending 2019-CF3
        12529TAX1
        
          
        
        1900000.00000000
        PA
        USD
        1846107.15000000
        0.693617000768
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-01-15
          Fixed
          3.00600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M8BM5
        
          
        
        632.98000000
        PA
        USD
        672.79000000
        0.000252779792
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJGV4
        
          
        
        126096.81000000
        PA
        USD
        125207.36000000
        0.047042748042
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04781A SWAPTION SOFRRATE
        000000000
        
          
        
        8800000.00000000
        NC
        USD
        9754.80000000
        0.003665060892
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    8800000.00000000
                    OU
                    Notional Amount
                    N/A
                    9754.80000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8800000.00000000
                  USD
                
              
            
            1.00000000
            1.85000000
            USD
            2022-11-22
            XXXX
            -20099.95000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9KY5
        
          
        
        57199.26000000
        PA
        USD
        58321.85000000
        0.021912610368
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F5CV3
        
          
        
        92430.33000000
        PA
        USD
        91778.36000000
        0.034482847216
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GD83
        
          
        
        616.08000000
        PA
        USD
        642.12000000
        0.000241256499
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Floating
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379TYF0
        
          
        
        140625.74000000
        PA
        USD
        20813.65000000
        0.007820077771
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QLC95
        
          
        
        2225174.01000000
        PA
        USD
        2132439.33000000
        0.801197358666
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380Y2Z7
        
          
        
        816376.98000000
        PA
        USD
        112125.95000000
        0.042127817525
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBS9
        
          
        
        3910000.00000000
        PA
        USD
        3646685.94000000
        1.370128144754
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-03-31
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVA93
        
          
        
        557774.64000000
        PA
        USD
        102951.64000000
        0.038680857587
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796T90
        
          
        
        13500000.00000000
        PA
        USD
        13499063.37000000
        5.071850703727
        Long
        STIV
        UST
        US
        N
        
        1
        
          2022-04-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan Trust
        N/A
        Morgan Stanley Mortgage Loan Trust 2004-8AR
        61748HEF4
        
          
        
        120837.63000000
        PA
        USD
        119431.71000000
        0.044872728263
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Variable
          2.46200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQCZ3
        
          
        
        108244.34000000
        PA
        USD
        108311.53000000
        0.040694668555
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKP90
        
          
        
        114410.90000000
        PA
        USD
        113603.88000000
        0.042683103481
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201XRL4
        
          
        
        996.84000000
        PA
        USD
        1102.90000000
        0.000414380167
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CA97
        
          
        
        4902.03000000
        PA
        USD
        4971.06000000
        0.001867720260
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FTJF9
        
          
        
        196466.70000000
        PA
        USD
        195080.89000000
        0.073295540743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YK63
        
          
        
        994.73000000
        PA
        USD
        1112.36000000
        0.000417934466
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TWR6
        
          
        
        639.67000000
        PA
        USD
        703.84000000
        0.000264445858
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CL46
        
          
        
        7411.08000000
        PA
        USD
        7473.17000000
        0.002807809807
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-11-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNK6
        
          
        
        392727.17000000
        PA
        USD
        53254.43000000
        0.020008685852
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M1FV5
        
          
        
        25322.50000000
        PA
        USD
        25945.85000000
        0.009748341345
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294YNL4
        
          
        
        302.39000000
        PA
        USD
        328.91000000
        0.000123577641
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust 2021-LTV2
        46654VAA1
        
          
        
        628638.43000000
        PA
        USD
        579835.22000000
        0.217854942079
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          Variable
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C7F5
        
          
        
        117911.56000000
        PA
        USD
        122432.62000000
        0.046000226303
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GEV56
        
          
        
        947.17000000
        PA
        USD
        1029.46000000
        0.000386787385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412PSQ5
        
          
        
        4012.88000000
        PA
        USD
        4229.91000000
        0.001589256337
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q83V5
        
          
        
        6311.68000000
        PA
        USD
        6582.29000000
        0.002473089521
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YLR6
        
          
        
        653.54000000
        PA
        USD
        727.18000000
        0.000273215133
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2005-5
        07386HUG4
        
          
        
        94196.28000000
        PA
        USD
        91179.13000000
        0.034257705292
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Variable
          3.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FW6P0
        
          
        
        206227.79000000
        PA
        USD
        38526.05000000
        0.014474957887
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KSU0
        
          
        
        6852.31000000
        PA
        USD
        6893.82000000
        0.002590137171
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-05-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SAU1
        
          
        
        773.27000000
        PA
        USD
        853.41000000
        0.000320642106
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goal Capital Funding Trust
        N/A
        Goal Capital Funding Trust 2010-1
        38021EAA2
        
          
        
        747164.15000000
        PA
        USD
        743354.43000000
        0.279292169062
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-08-25
          Floating
          1.19800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AD3L0
        
          
        
        1775471.04000000
        PA
        USD
        1834750.29000000
        0.689350015956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201UT53
        
          
        
        4102.00000000
        PA
        USD
        4410.89000000
        0.001657253909
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        796768.09000000
        PA
        USD
        830156.98000000
        0.311905511353
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933AN4
        
          
        
        41342.88000000
        PA
        USD
        44617.08000000
        0.016763471834
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140MGLD1
        
          
        
        5985652.20000000
        PA
        USD
        5555876.98000000
        2.087446943427
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022642
        
          
        
        15000000.00000000
        PA
        USD
        14313282.00000000
        5.377767878746
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XYCR3
        
          
        
        15751.75000000
        PA
        USD
        16070.59000000
        0.006038021377
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DCB6
        
          
        
        5452.39000000
        PA
        USD
        5658.34000000
        0.002125944217
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2018-BNK15
        06036FAJ0
        
          
        
        800000.00000000
        PA
        USD
        629117.93000000
        0.236371378409
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXEE8
        
          
        
        1870213.29000000
        PA
        USD
        1950042.97000000
        0.732667633198
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03820A SWAPTION US0003M
        000000000
        
          
        
        2370000.00000000
        NC
        USD
        166.14000000
        0.000062421906
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    2370000.00000000
                    OU
                    Notional Amount
                    N/A
                    166.14000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2370000.00000000
                  USD
                
              
            
            1.00000000
            1.05250000
            USD
            2022-06-21
            XXXX
            -20980.22000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3129366F9
        
          
        
        855.74000000
        PA
        USD
        909.55000000
        0.000341734954
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WU3E1
        
          
        
        48949.10000000
        PA
        USD
        50092.86000000
        0.018820824843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2018-L1
        61691QAD0
        
          
        
        3800000.00000000
        PA
        USD
        3924655.28000000
        1.474566427178
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-15
          Fixed
          4.13900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QLDL7
        
          
        
        2208935.92000000
        PA
        USD
        2114790.54000000
        0.794566378017
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        1506563.29000000
        PA
        USD
        1569343.29000000
        0.589631639737
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290VNF7
        
          
        
        1659.59000000
        PA
        USD
        1849.61000000
        0.000694933087
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RXE4
        
          
        
        139286.93000000
        PA
        USD
        144412.44000000
        0.054258455965
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAQ2
        
          
        
        600000.00000000
        PA
        USD
        591111.00000000
        0.222091463619
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          2.35400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HP7F5
        
          
        
        24196.06000000
        PA
        USD
        24211.08000000
        0.009096555795
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132H5AH1
        
          
        
        97842.92000000
        PA
        USD
        100326.91000000
        0.037694697412
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292M3H3
        
          
        
        727.81000000
        PA
        USD
        812.66000000
        0.000305331568
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        -21.00000000
        NC
        USD
        92351.70000000
        0.034698261782
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            -2934898.58000000
            USD
            92351.70000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L7YL7
        
          
        
        344133.48000000
        PA
        USD
        349428.83000000
        0.131286949972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132M9MM3
        
          
        
        339027.69000000
        PA
        USD
        346185.65000000
        0.130068426560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KMD4
        
          
        
        3060.53000000
        PA
        USD
        3055.65000000
        0.001148064882
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-07-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KTU9
        
          
        
        7065.95000000
        PA
        USD
        7097.54000000
        0.002666678587
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-07-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9DF6
        
          
        
        2775.41000000
        PA
        USD
        2948.14000000
        0.001107671363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9TQ5
        
          
        
        1156337.76000000
        PA
        USD
        1179899.16000000
        0.443310192785
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380W4A4
        
          
        
        627860.46000000
        PA
        USD
        76471.33000000
        0.028731709619
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003015  CDS USD R F  3.00000 2 CMBX / Short: CX003015  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        400000.00000000
        OU
        Notional Amount
        USD
        -43625.00000000
        -0.01639072881
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -61962.43000000
            USD
            400000.00000000
            USD
            18337.43000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329PFH1
        
          
        
        348664.06000000
        PA
        USD
        363340.31000000
        0.136513753321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620AQNX7
        
          
        
        140313.05000000
        PA
        USD
        151766.80000000
        0.057021626633
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S5N3
        
          
        
        1366905.81000000
        PA
        USD
        1442189.51000000
        0.541857585279
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SEG8
        
          
        
        1260726.52000000
        PA
        USD
        1257893.34000000
        0.472614065644
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292KSV9
        
          
        
        541.90000000
        PA
        USD
        600.45000000
        0.000225600300
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GESE1
        
          
        
        1215.24000000
        PA
        USD
        1290.87000000
        0.000485004013
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312932Z66
        
          
        
        2515.11000000
        PA
        USD
        2673.28000000
        0.001004401318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYW9
        
          
        
        1391.77000000
        PA
        USD
        1539.85000000
        0.000578550458
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QMXE6
        
          
        
        21253.59000000
        PA
        USD
        21700.18000000
        0.008153163681
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312946EV4
        
          
        
        1934.28000000
        PA
        USD
        2054.66000000
        0.000771974208
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KYL3
        
          
        
        3025.85000000
        PA
        USD
        3059.19000000
        0.001149394926
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03819A SWAPTION US0003M
        000000000
        
          
        
        -1250000.00000000
        NC
        USD
        -565.13000000
        -0.00021232991
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1250000.00000000
                    OU
                    Notional Amount
                    N/A
                    -565.13000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1250000.00000000
                  USD
                
              
            
            1.00000000
            1.37800000
            USD
            2022-06-21
            XXXX
            20602.65000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XXZJ8
        
          
        
        22094.43000000
        PA
        USD
        22521.04000000
        0.008461576143
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406DG67
        
          
        
        7318.33000000
        PA
        USD
        7610.23000000
        0.002859305814
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Floating
          1.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TPS2
        
          
        
        268.93000000
        PA
        USD
        300.19000000
        0.000112787000
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CBA3
        
          
        
        3219.28000000
        PA
        USD
        3264.62000000
        0.001226578821
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132XCR31
        
          
        
        238829.33000000
        PA
        USD
        242728.22000000
        0.091197534205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BP42
        
          
        
        118129.31000000
        PA
        USD
        123023.97000000
        0.046222407563
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPFG4
        
          
        
        315067.46000000
        PA
        USD
        305734.69000000
        0.114870243966
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WERR2
        
          
        
        592002.65000000
        PA
        USD
        607130.57000000
        0.228110315827
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295PUN0
        
          
        
        617.10000000
        PA
        USD
        684.22000000
        0.000257074257
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TXK0
        
          
        
        815.97000000
        PA
        USD
        906.38000000
        0.000340543926
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNK8
        
          
        
        1923.27000000
        PA
        USD
        1953.60000000
        0.000734004075
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312931D70
        
          
        
        1323.83000000
        PA
        USD
        1408.45000000
        0.000529181020
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020646
        
          
        
        51000000.00000000
        PA
        USD
        47335170.60000000
        17.78470933414
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZ22
        
          
        
        5745.74000000
        PA
        USD
        5808.68000000
        0.002182429768
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Floating
          1.47300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KRG8
        
          
        
        233.22000000
        PA
        USD
        233.24000000
        0.000087632632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-06-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032641
        
          
        
        -11000000.00000000
        PA
        USD
        -11019765.90000000
        -4.14033225142
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300Z3WHVYABE20I45
        Magnetite XVI Ltd
        55953RAL5
        
          
        
        1377012.86000000
        PA
        USD
        1372852.90000000
        0.515806523469
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-18
          Floating
          1.04100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QWWE5
        
          
        
        171406.85000000
        PA
        USD
        174518.69000000
        0.065569937441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W5HP6
        
          
        
        45347.43000000
        PA
        USD
        46237.42000000
        0.017372263892
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM8
        12659FAA3
        
          
        
        112540.95000000
        PA
        USD
        107619.55000000
        0.040434678721
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          1.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QDK4
        
          
        
        513.89000000
        PA
        USD
        574.66000000
        0.000215910515
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carval CLO LTD
        N/A
        CarVal CLO IV Ltd
        14687EAA8
        
          
        
        2750000.00000000
        PA
        USD
        2723074.75000000
        1.023110137980
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.43400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294Q6Z9
        
          
        
        899.91000000
        PA
        USD
        1006.91000000
        0.000378314928
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TNR2
        
          
        
        880884.95000000
        PA
        USD
        892925.64000000
        0.335488871448
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295JA48
        
          
        
        355.22000000
        PA
        USD
        375.77000000
        0.000141183820
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BJMU4
        
          
        
        132904.96000000
        PA
        USD
        21825.09000000
        0.008200094705
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-15
          Floating
          5.70300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HPZ49
        
          
        
        20113.66000000
        PA
        USD
        20126.14000000
        0.007561767400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AXT92
        
          
        
        12858.97000000
        PA
        USD
        13646.48000000
        0.005127237890
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WDSQ5
        
          
        
        11442.74000000
        PA
        USD
        11663.63000000
        0.004382244041
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292L5H3
        
          
        
        978.92000000
        PA
        USD
        1088.13000000
        0.000408830802
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294YMZ4
        
          
        
        2771.26000000
        PA
        USD
        3100.76000000
        0.001165013553
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KP82
        
          
        
        3850.84000000
        PA
        USD
        3854.26000000
        0.001448117603
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-11-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WRJW1
        
          
        
        14747.35000000
        PA
        USD
        15087.33000000
        0.005668592196
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKW1
        
          
        
        37525.44000000
        PA
        USD
        38038.37000000
        0.014291727386
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292DTP7
        
          
        
        244.96000000
        PA
        USD
        263.80000000
        0.000099114596
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS Mortgage Trust 2018-C2
        05491UBC1
        
          
        
        2650000.00000000
        PA
        USD
        2739833.04000000
        1.029406541116
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-12-15
          Fixed
          4.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9NX6
        
          
        
        28714.55000000
        PA
        USD
        28678.53000000
        0.010775060356
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W5HR2
        
          
        
        74897.76000000
        PA
        USD
        76367.70000000
        0.028692773888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GL20
        
          
        
        344562.71000000
        PA
        USD
        346141.81000000
        0.130051955051
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        1698715.54000000
        PA
        USD
        1820217.87000000
        0.683889913830
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJTG3
        
          
        
        273391.33000000
        PA
        USD
        271462.92000000
        0.101993698681
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EU5D7
        
          
        
        76236.85000000
        PA
        USD
        78113.52000000
        0.029348711130
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128QLPD7
        
          
        
        19343.99000000
        PA
        USD
        20188.71000000
        0.007585276119
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Floating
          2.34800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        464485.34000000
        PA
        USD
        482374.30000000
        0.181237050738
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T2N4
        
          
        
        1012.77000000
        PA
        USD
        1126.52000000
        0.000423254643
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295ERS8
        
          
        
        550.10000000
        PA
        USD
        616.20000000
        0.000231517870
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GES84
        
          
        
        8175.12000000
        PA
        USD
        8683.91000000
        0.003262707481
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397UTT6
        
          
        
        56728.99000000
        PA
        USD
        57268.81000000
        0.021516963535
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-25
          Floating
          0.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jamestown CLO Ltd
        N/A
        Jamestown CLO XVI Ltd
        47048RAC9
        
          
        
        3650000.00000000
        PA
        USD
        3629030.75000000
        1.363494759506
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-25
          Floating
          1.45800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312940M30
        
          
        
        1094.20000000
        PA
        USD
        1162.63000000
        0.000436821846
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        18000722.88000000
        NS
        USD
        18000722.88000000
        6.763208417069
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q7W52
        
          
        
        28520.54000000
        PA
        USD
        28319.37000000
        0.010640117223
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHM66
        
          
        
        93323.98000000
        PA
        USD
        92665.70000000
        0.034816237458
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UV74
        
          
        
        2463015.75000000
        PA
        USD
        2450351.59000000
        0.920642943549
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXHZ8
        
          
        
        1344685.24000000
        PA
        USD
        1447825.56000000
        0.543975154726
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W3FS7
        
          
        
        26389.14000000
        PA
        USD
        26510.08000000
        0.009960333114
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9UC4
        
          
        
        39864.94000000
        PA
        USD
        41583.45000000
        0.015623680278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJMN7
        
          
        
        1091.02000000
        PA
        USD
        1159.63000000
        0.000435694690
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GJE7
        
          
        
        19718.60000000
        PA
        USD
        20105.60000000
        0.007554050137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        Bank 2019-BNK19
        06540WAJ2
        
          
        
        100000.00000000
        PA
        USD
        78871.61000000
        0.029633539729
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132WJJJ1
        
          
        
        23590.87000000
        PA
        USD
        23946.50000000
        0.008997148138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XXG26
        
          
        
        48725.42000000
        PA
        USD
        49677.87000000
        0.018664905335
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WVB1
        
          
        
        218009.45000000
        PA
        USD
        25319.94000000
        0.009513175246
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QSGY8
        
          
        
        9231.01000000
        PA
        USD
        9399.01000000
        0.003531383932
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JHAV5
        
          
        
        449150.41000000
        PA
        USD
        466372.09000000
        0.175224721007
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132MAUA7
        
          
        
        8063.39000000
        PA
        USD
        8411.74000000
        0.003160448119
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KL45
        
          
        
        6729.65000000
        PA
        USD
        6746.15000000
        0.002534654789
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-06-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HLMY6
        
          
        
        19484.66000000
        PA
        USD
        19496.75000000
        0.007325293799
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292LBM5
        
          
        
        955.23000000
        PA
        USD
        1058.82000000
        0.000397818486
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MN5G1
        
          
        
        16627.65000000
        PA
        USD
        16693.46000000
        0.006272045291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002955  CDS USD R F  2.00000 2 CMBX / Short: CX002955  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2500000.00000000
        OU
        Notional Amount
        USD
        -22656.25000000
        -0.00851237707
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                CMBX.NA.A.11
                137BEOAK0
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -376000.07000000
            USD
            2500000.00000000
            USD
            353343.82000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385XK48
        
          
        
        1817.31000000
        PA
        USD
        1896.02000000
        0.000712370192
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Floating
          2.30200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132WHNX9
        
          
        
        26440.95000000
        PA
        USD
        26839.55000000
        0.010084121158
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RBT5
        
          
        
        800.65000000
        PA
        USD
        882.17000000
        0.000331447776
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXD74
        
          
        
        1239300.38000000
        PA
        USD
        1277095.70000000
        0.479828751613
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132H3K44
        
          
        
        74815.18000000
        PA
        USD
        76714.55000000
        0.028823091924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEKK4
        
          
        
        43990.46000000
        PA
        USD
        44784.65000000
        0.016826431019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TQQ5
        
          
        
        300.57000000
        PA
        USD
        324.79000000
        0.000122029680
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CE44
        
          
        
        9575.74000000
        PA
        USD
        9736.42000000
        0.003658155182
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USU7
        
          
        
        740160.89000000
        PA
        USD
        756873.35000000
        0.284371480273
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300G09B8CGBRMLL31
        Sound Point CLO XVIII Ltd
        83609TAE7
        
          
        
        550000.00000000
        PA
        USD
        521287.25000000
        0.195857374196
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-21
          Floating
          2.05400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417ACS6
        
          
        
        72394.70000000
        PA
        USD
        73841.03000000
        0.027743456690
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WXWH6
        
          
        
        11776.39000000
        PA
        USD
        11830.36000000
        0.004444887622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MA4F2
        
          
        
        5259.97000000
        PA
        USD
        5389.45000000
        0.002024917212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KM77
        
          
        
        6354.26000000
        PA
        USD
        6345.36000000
        0.002384070486
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-08-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002932  CDS USD R F  3.25000 2 CMBX / Short: CX002932  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2400000.00000000
        OU
        Notional Amount
        USD
        -191625.12000000
        -0.07199714328
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -31173.15000000
            USD
            2400000.00000000
            USD
            -160451.97000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382LNX5
        
          
        
        469449.32000000
        PA
        USD
        50339.38000000
        0.018913447020
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RUN7
        
          
        
        1513.90000000
        PA
        USD
        1687.77000000
        0.000634126770
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQMQ2
        
          
        
        27305.38000000
        PA
        USD
        27322.33000000
        0.010265510638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQPN6
        
          
        
        350598.00000000
        PA
        USD
        350815.62000000
        0.131807992925
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQN65
        
          
        
        14258.56000000
        PA
        USD
        14267.41000000
        0.005360532909
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZC0
        
          
        
        2231.48000000
        PA
        USD
        2277.19000000
        0.000855582893
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Floating
          1.47300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294Q6D8
        
          
        
        679.41000000
        PA
        USD
        758.85000000
        0.000285114144
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBP5
        
          
        
        2560000.00000000
        PA
        USD
        2373800.01000000
        0.891881082504
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-02-29
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMZQ7
        
          
        
        10245.61000000
        PA
        USD
        10292.56000000
        0.003867107387
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312936NA1
        
          
        
        1302.20000000
        PA
        USD
        1384.09000000
        0.000520028512
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KCK5
        
          
        
        1926.91000000
        PA
        USD
        2103.39000000
        0.000790282981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3129316G8
        
          
        
        5055.63000000
        PA
        USD
        5373.56000000
        0.002018947042
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E22U8
        
          
        
        13991.99000000
        PA
        USD
        14628.52000000
        0.005496208694
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KRQ0
        
          
        
        1808.06000000
        PA
        USD
        1821.52000000
        0.000684379148
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132H3LK7
        
          
        
        44625.90000000
        PA
        USD
        45758.84000000
        0.017192452431
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294P5Q2
        
          
        
        2841.99000000
        PA
        USD
        3139.18000000
        0.001179448666
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BZG2
        
          
        
        318511.45000000
        PA
        USD
        37123.02000000
        0.013947813263
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        976868.86000000
        PA
        USD
        1017652.26000000
        0.382350996477
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMP47
        
          
        
        7437.29000000
        PA
        USD
        7471.37000000
        0.002807133513
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3129413L9
        
          
        
        694.93000000
        PA
        USD
        738.39000000
        0.000277426939
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BHC96
        
          
        
        78995.91000000
        PA
        USD
        13961.62000000
        0.005245641885
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A2JK6
        
          
        
        37674.02000000
        PA
        USD
        39999.70000000
        0.015028635767
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312941WE3
        
          
        
        2387.24000000
        PA
        USD
        2576.83000000
        0.000968163248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418D3H3
        
          
        
        3909112.00000000
        PA
        USD
        3737626.88000000
        1.404296357607
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXC83
        
          
        
        2672292.74000000
        PA
        USD
        2777173.01000000
        1.043435866553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131Y7PC5
        
          
        
        57493.75000000
        PA
        USD
        59770.09000000
        0.022456741235
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335ARL4
        
          
        
        587312.98000000
        PA
        USD
        612606.80000000
        0.230167837910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294V3W8
        
          
        
        968.36000000
        PA
        USD
        1067.24000000
        0.000400982038
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQ99
        
          
        
        2808.86000000
        PA
        USD
        2828.90000000
        0.001062870664
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-01-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132A5KC8
        
          
        
        483168.25000000
        PA
        USD
        503053.18000000
        0.189006492899
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T4B8
        
          
        
        2523.54000000
        PA
        USD
        2824.15000000
        0.001061086000
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295AD51
        
          
        
        627.13000000
        PA
        USD
        674.96000000
        0.000253595101
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TZN8
        
          
        
        1402.24000000
        PA
        USD
        1565.10000000
        0.000588037356
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        757955.48000000
        PA
        USD
        788449.70000000
        0.296235305827
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQXJ6
        
          
        
        263056.90000000
        PA
        USD
        263220.18000000
        0.098896747024
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EBP58
        
          
        
        267159.26000000
        PA
        USD
        278315.84000000
        0.104568468957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F012643
        
          
        
        7000000.00000000
        PA
        USD
        6244651.00000000
        2.346232231139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDQ3
        
          
        
        18401.12000000
        PA
        USD
        19037.30000000
        0.007152669837
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Floating
          1.91900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9AY6
        
          
        
        276540.49000000
        PA
        USD
        281967.87000000
        0.105940604965
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBC4
        
          
        
        100000.00000000
        PA
        USD
        92335.94000000
        0.034692340455
        Long
        DBT
        UST
        US
        N
        
        1
        
          2025-12-31
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GT6G7
        
          
        
        129720.12000000
        PA
        USD
        133094.46000000
        0.050006079096
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XCL6
        
          
        
        17704.67000000
        PA
        USD
        18394.73000000
        0.006911244264
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-10-25
          Floating
          5.75700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-38
        12667GY98
        
          
        
        47535.68000000
        PA
        USD
        44066.55000000
        0.016556627412
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          1.64100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HRPU8
        
          
        
        23970.77000000
        PA
        USD
        23940.70000000
        0.008994968970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N7H5
        
          
        
        3413.38000000
        PA
        USD
        3817.01000000
        0.001434122081
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292L5P5
        
          
        
        748.14000000
        PA
        USD
        830.46000000
        0.000312019361
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FCNN4
        
          
        
        314984.69000000
        PA
        USD
        325277.22000000
        0.122212738168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380TZK5
        
          
        
        430236.51000000
        PA
        USD
        49094.29000000
        0.018445643409
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Floating
          5.21100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2018-L1
        61691QAN8
        
          
        
        900000.00000000
        PA
        USD
        704370.72000000
        0.264645259748
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HLR70
        
          
        
        8780.24000000
        PA
        USD
        8785.69000000
        0.003300948131
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHGK2
        
          
        
        88939.55000000
        PA
        USD
        91845.76000000
        0.034508170657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TAL9
        
          
        
        1894314.85000000
        PA
        USD
        1955142.63000000
        0.734583670885
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TQP3
        
          
        
        1220643.26000000
        PA
        USD
        1237328.06000000
        0.464887305129
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQS7
        
          
        
        1463.73000000
        PA
        USD
        1465.33000000
        0.000550551900
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-12-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ALXD4
        
          
        
        52410.77000000
        PA
        USD
        55824.79000000
        0.020974418201
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294S4W4
        
          
        
        853.12000000
        PA
        USD
        954.55000000
        0.000358642296
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GEW2
        
          
        
        226224.24000000
        PA
        USD
        230664.11000000
        0.086664822333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X4DF0
        
          
        
        1195968.13000000
        PA
        USD
        1206683.80000000
        0.453373683229
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140K0E38
        
          
        
        5599.45000000
        PA
        USD
        5810.96000000
        0.002183286407
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312930XX3
        
          
        
        7563.81000000
        PA
        USD
        8047.29000000
        0.003023517434
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CFD1
        
          
        
        756139.15000000
        PA
        USD
        750805.59000000
        0.282091709300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030645
        
          
        
        5000000.00000000
        PA
        USD
        4891797.00000000
        1.837939668620
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QAB7
        
          
        
        1008.60000000
        PA
        USD
        1124.79000000
        0.000422604650
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CLM6
        
          
        
        3396.07000000
        PA
        USD
        3427.53000000
        0.001287787157
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-10-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WR34
        
          
        
        1955312.80000000
        PA
        USD
        1934897.56000000
        0.726977219259
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R03
        20754AAB9
        
          
        
        142000.00000000
        PA
        USD
        134547.47000000
        0.050552002142
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292LHH1
        
          
        
        2879.98000000
        PA
        USD
        3059.22000000
        0.001149406198
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LQ4W1
        
          
        
        6567.60000000
        PA
        USD
        6716.37000000
        0.002523465886
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN36
        
          
        
        12725.66000000
        PA
        USD
        12951.40000000
        0.004866083327
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SNV5
        
          
        
        358186.83000000
        PA
        USD
        364545.23000000
        0.136966464312
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shackleton CLO LTD
        549300HOHPZON6E4VH77
        Shackleton 2019-XIV Clo Ltd
        81880XAL6
        
          
        
        2750000.00000000
        PA
        USD
        2724152.75000000
        1.023515162752
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.45400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CKX3
        
          
        
        7119.57000000
        PA
        USD
        7227.74000000
        0.002715597164
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-08-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QNRH4
        
          
        
        70089.01000000
        PA
        USD
        71561.76000000
        0.026887092301
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7P91
        
          
        
        184938.23000000
        PA
        USD
        198262.88000000
        0.074491073927
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEF4
        
          
        
        2930000.00000000
        PA
        USD
        2936867.19000000
        1.103435958190
        Long
        DBT
        UST
        US
        N
        
        1
        
          2027-03-31
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BAEG5
        
          
        
        563932.68000000
        PA
        USD
        96974.88000000
        0.036435277018
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CAY0
        
          
        
        22950.16000000
        PA
        USD
        23700.09000000
        0.008904567291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418ACX4
        
          
        
        22863.59000000
        PA
        USD
        24263.80000000
        0.009116363686
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LYCW5
        
          
        
        39790.71000000
        PA
        USD
        40770.21000000
        0.015318130792
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQTN3
        
          
        
        11606.30000000
        PA
        USD
        11652.24000000
        0.004377964605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) JUN22
        000000000
        
          
        
        41.00000000
        NC
        USD
        -182122.21000000
        -0.06842672218
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-06-21
            6332122.21000000
            USD
            -182122.21000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QUC50
        
          
        
        24916.54000000
        PA
        USD
        25346.66000000
        0.009523214450
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CPN0
        
          
        
        22550.70000000
        PA
        USD
        22902.09000000
        0.008604743758
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-07-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UXS6
        
          
        
        2126869.42000000
        PA
        USD
        2114242.69000000
        0.794360540521
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WTX0
        
          
        
        3199.18000000
        PA
        USD
        3376.26000000
        0.001268524058
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412Q7C7
        
          
        
        20378.21000000
        PA
        USD
        21475.46000000
        0.008068732172
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312931EM6
        
          
        
        4048.22000000
        PA
        USD
        4302.80000000
        0.001616642474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJQ92
        
          
        
        100548.43000000
        PA
        USD
        99839.19000000
        0.037511451882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKUQ6
        
          
        
        158129.87000000
        PA
        USD
        161824.78000000
        0.060800597925
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131XW4R1
        
          
        
        444526.87000000
        PA
        USD
        448512.15000000
        0.168514407352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179V7G9
        
          
        
        1653493.85000000
        PA
        USD
        1665090.31000000
        0.625605586778
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LUSX4
        
          
        
        28844.00000000
        PA
        USD
        29572.06000000
        0.011110776296
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EWUP8
        
          
        
        75809.07000000
        PA
        USD
        78286.23000000
        0.029413601509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H022648
        
          
        
        9000000.00000000
        PA
        USD
        8728506.90000000
        3.279463370891
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412P5Q0
        
          
        
        2068.27000000
        PA
        USD
        2181.04000000
        0.000819457539
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36225B7J1
        
          
        
        514.31000000
        PA
        USD
        569.88000000
        0.000214114579
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FPV4
        
          
        
        238838.66000000
        PA
        USD
        243526.10000000
        0.091497312651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9NY5
        
          
        
        521820.18000000
        PA
        USD
        543785.05000000
        0.204310218636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXF23
        
          
        
        2122591.37000000
        PA
        USD
        2205897.35000000
        0.828796911333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6T65
        
          
        
        25087.58000000
        PA
        USD
        26638.44000000
        0.010008560368
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622A23Q3
        
          
        
        117523.17000000
        PA
        USD
        119129.58000000
        0.044759212368
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412N3T1
        
          
        
        118348.03000000
        PA
        USD
        125687.65000000
        0.047223201982
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TWX3
        
          
        
        550.76000000
        PA
        USD
        599.45000000
        0.000225224581
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDF7
        
          
        
        2245.70000000
        PA
        USD
        2311.43000000
        0.000868447502
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Floating
          1.61400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04779A SWAPTION SOFRRATE
        000000000
        
          
        
        -8800000.00000000
        NC
        USD
        -6009.52000000
        -0.00225788911
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    8800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -6009.52000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8800000.00000000
                  USD
                
              
            
            1.00000000
            1.59875000
            USD
            2022-11-22
            XXXX
            13271.68000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        -17.00000000
        NC
        USD
        56559.18000000
        0.021250342266
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            -2003324.81000000
            USD
            56559.18000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MPDQ5
        
          
        
        12659.27000000
        PA
        USD
        12709.37000000
        0.004775148127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QDMT8
        
          
        
        11390.07000000
        PA
        USD
        11820.31000000
        0.004441111649
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419CQT3
        
          
        
        3253.31000000
        PA
        USD
        3455.07000000
        0.001298134450
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TMK8
        
          
        
        1507.28000000
        PA
        USD
        1684.52000000
        0.000632905684
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        1950227.30000000
        PA
        USD
        2031952.36000000
        0.763442523716
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292L6P4
        
          
        
        633.99000000
        PA
        USD
        708.33000000
        0.000266132835
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXC32
        
          
        
        471.52000000
        PA
        USD
        505.17000000
        0.000189801821
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CK70
        
          
        
        1740.05000000
        PA
        USD
        1766.51000000
        0.000663710862
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-09-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418QJK0
        
          
        
        2345.29000000
        PA
        USD
        2490.07000000
        0.000935565893
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GGEW1
        
          
        
        1294.13000000
        PA
        USD
        1374.67000000
        0.000516489241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SS57
        
          
        
        878.25000000
        PA
        USD
        946.94000000
        0.000355783077
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYH2
        
          
        
        1039.44000000
        PA
        USD
        1161.32000000
        0.000436329654
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RB1
        95000TAC0
        
          
        
        300000.00000000
        PA
        USD
        259574.23000000
        0.097526895386
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.40100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04767A SWAPTION SOFRRATE
        000000000
        
          
        
        -8800000.00000000
        NC
        USD
        -5265.04000000
        -0.00197817404
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    8800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -5265.04000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8800000.00000000
                  USD
                
              
            
            1.00000000
            1.54500000
            USD
            2022-11-16
            XXXX
            12774.96000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417NTY7
        
          
        
        5215.67000000
        PA
        USD
        5539.13000000
        0.002081154789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26
        61690VAE8
        
          
        
        150000.00000000
        PA
        USD
        134760.88000000
        0.050632184273
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-15
          Fixed
          3.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NMW5
        
          
        
        1998.42000000
        PA
        USD
        2220.61000000
        0.000834324729
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TE35
        
          
        
        672335.40000000
        PA
        USD
        708314.42000000
        0.266126981633
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933WQ3
        
          
        
        56900.39000000
        PA
        USD
        60478.63000000
        0.022722952972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KM93
        
          
        
        3658.50000000
        PA
        USD
        3665.56000000
        0.001377219482
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-08-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138APHA9
        
          
        
        11615.34000000
        PA
        USD
        12326.69000000
        0.004631368091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X4V98
        
          
        
        246778.05000000
        PA
        USD
        251621.31000000
        0.094538834526
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417L5D3
        
          
        
        8226.41000000
        PA
        USD
        8736.59000000
        0.003282500342
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X7HL6
        
          
        
        67745.80000000
        PA
        USD
        70470.39000000
        0.026477044170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Battalion CLO LTD
        549300JIE0P78OIZGS60
        Battalion CLO XII Ltd
        07133RAA3
        
          
        
        800000.00000000
        PA
        USD
        794702.40000000
        0.298584562218
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-05-17
          Floating
          1.53900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AER5
        
          
        
        10213.13000000
        PA
        USD
        10839.01000000
        0.004072418877
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31378C4V1
        
          
        
        3054.38000000
        PA
        USD
        3092.33000000
        0.001161846244
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-07-01
          Floating
          1.47300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FV84
        
          
        
        828513.06000000
        PA
        USD
        116340.96000000
        0.043711475653
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335AJ33
        
          
        
        418721.62000000
        PA
        USD
        442774.41000000
        0.166358631069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312931GB8
        
          
        
        279.29000000
        PA
        USD
        296.85000000
        0.000111532099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ENZ93
        
          
        
        290055.83000000
        PA
        USD
        296742.72000000
        0.111491792578
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379NJV5
        
          
        
        15132.02000000
        PA
        USD
        1076.37000000
        0.000404412350
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CQN9
        
          
        
        7671.09000000
        PA
        USD
        7799.87000000
        0.002930557110
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-10-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XDZ82
        
          
        
        2960600.31000000
        PA
        USD
        2830944.37000000
        1.063638772680
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B0LQ7
        
          
        
        416296.71000000
        PA
        USD
        64607.08000000
        0.024274088889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-25
          Floating
          5.69300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2016-1
        69343FAA5
        
          
        
        582878.34000000
        PA
        USD
        580104.48000000
        0.217956108100
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HQFN7
        
          
        
        6871.02000000
        PA
        USD
        6875.28000000
        0.002583171346
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329J7B7
        
          
        
        3709.31000000
        PA
        USD
        3739.99000000
        0.001405184226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TNV7
        
          
        
        537.32000000
        PA
        USD
        599.22000000
        0.000225138166
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620C06T0
        
          
        
        1057.23000000
        PA
        USD
        1176.75000000
        0.000442126994
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KNU5
        
          
        
        1942.25000000
        PA
        USD
        1939.87000000
        0.000728845458
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-09-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2019-B13 Mortgage Trust
        08162DAR9
        
          
        
        300000.00000000
        PA
        USD
        228173.85000000
        0.085729185053
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TY45
        
          
        
        4575.50000000
        PA
        USD
        5105.79000000
        0.001918340842
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412UHQ6
        
          
        
        3379.43000000
        PA
        USD
        3563.35000000
        0.001338817272
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030645
        
          
        
        -11000000.00000000
        PA
        USD
        -10761953.40000000
        -4.04346727096
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEE7
        
          
        
        2900000.00000000
        PA
        USD
        2891843.75000000
        1.086519809300
        Long
        DBT
        UST
        US
        N
        
        1
        
          2029-03-31
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132WE6P2
        
          
        
        67969.11000000
        PA
        USD
        69014.98000000
        0.025930219400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDL4
        
          
        
        6835.81000000
        PA
        USD
        7133.42000000
        0.002680159375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Floating
          2.32800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JLY81
        
          
        
        6221.59000000
        PA
        USD
        6457.23000000
        0.002426102139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HP4P6
        
          
        
        103897.15000000
        PA
        USD
        103961.64000000
        0.039060333487
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933CV4
        
          
        
        35565.56000000
        PA
        USD
        38145.81000000
        0.014332094604
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HLGZ0
        
          
        
        15742.82000000
        PA
        USD
        15752.59000000
        0.005918542826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ABYE3
        
          
        
        5219.04000000
        PA
        USD
        5538.66000000
        0.002080978201
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YFQY3
        
          
        
        20359.63000000
        PA
        USD
        20771.74000000
        0.007804331400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292MA78
        
          
        
        5142.74000000
        PA
        USD
        5320.90000000
        0.001999161695
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137GAJB4
        
          
        
        15219.94000000
        PA
        USD
        15261.43000000
        0.005734004824
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W1JV0
        
          
        
        138033.98000000
        PA
        USD
        141216.19000000
        0.053057565032
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X4LZ7
        
          
        
        464515.37000000
        PA
        USD
        469962.14000000
        0.176573569969
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET6A9
        
          
        
        1048851.58000000
        PA
        USD
        1111204.36000000
        0.417500271002
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N6L7
        
          
        
        7895.73000000
        PA
        USD
        8957.33000000
        0.003365436491
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHWZ1
        
          
        
        55321.94000000
        PA
        USD
        54931.72000000
        0.020638875091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UUM2
        
          
        
        144803.98000000
        PA
        USD
        150747.60000000
        0.056638694121
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SDJ3
        
          
        
        311.83000000
        PA
        USD
        345.03000000
        0.000129634227
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHGY2
        
          
        
        214709.30000000
        PA
        USD
        225944.44000000
        0.084891553999
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CFU5
        
          
        
        3045.37000000
        PA
        USD
        3097.91000000
        0.001163942755
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-03-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E23U7
        
          
        
        40190.42000000
        PA
        USD
        42651.76000000
        0.016025064335
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AUP76
        
          
        
        39571.63000000
        PA
        USD
        41995.08000000
        0.015778337371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W5HM3
        
          
        
        379659.01000000
        PA
        USD
        387110.19000000
        0.145444542021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-DNA1
        35564KPU7
        
          
        
        325000.00000000
        PA
        USD
        320560.96000000
        0.120440751035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T3G8
        
          
        
        1409.09000000
        PA
        USD
        1575.25000000
        0.000591850901
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KMM77
        
          
        
        1980534.68000000
        PA
        USD
        1896429.89000000
        0.712524195829
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FY69
        
          
        
        163658.07000000
        PA
        USD
        164408.10000000
        0.061771199588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GSDF3
        
          
        
        299595.14000000
        PA
        USD
        312335.58000000
        0.117350321855
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KLA1
        
          
        
        1368.50000000
        PA
        USD
        1374.13000000
        0.000516286353
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-05-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312941GA9
        
          
        
        2653.42000000
        PA
        USD
        2819.37000000
        0.001059290065
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202K3W3
        
          
        
        153.55000000
        PA
        USD
        154.02000000
        0.000057868196
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-07-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396YQL9
        
          
        
        281403.70000000
        PA
        USD
        37075.39000000
        0.013929917780
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-25
          Floating
          5.84300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128K7MY1
        
          
        
        900.87000000
        PA
        USD
        965.16000000
        0.000362628672
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH54
        
          
        
        912013.76000000
        PA
        USD
        947708.61000000
        0.356071858380
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128K7UX4
        
          
        
        2524.60000000
        PA
        USD
        2704.75000000
        0.001016225186
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379PRR0
        
          
        
        13006.58000000
        PA
        USD
        1102.87000000
        0.000414368895
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX003073  CDS USD R F  3.00000 2 CMBX / Short: CX003073  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        350000.00000000
        OU
        Notional Amount
        USD
        -38171.87000000
        -0.01434188583
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -31067.54000000
            USD
            350000.00000000
            USD
            -7104.33000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312946PD2
        
          
        
        2111.79000000
        PA
        USD
        2243.22000000
        0.000842819729
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PBX0
        
          
        
        803.24000000
        PA
        USD
        897.42000000
        0.000337177486
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36202TQH2
        
          
        
        2201.91000000
        PA
        USD
        2450.03000000
        0.000920522116
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TEZ4
        
          
        
        17843.23000000
        PA
        USD
        18115.63000000
        0.006806381172
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-08-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Student Assistance Commision
        549300FKIJ7H0L1PDN43
        Illinois Student Assistance Commission
        452281JD1
        
          
        
        569402.60000000
        PA
        USD
        568303.60000000
        0.213522296665
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-07-25
          Floating
          1.15800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0FJ3
        
          
        
        256364.18000000
        PA
        USD
        258958.84000000
        0.097295681847
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-25
          Floating
          3.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RJF7
        
          
        
        25920.36000000
        PA
        USD
        26898.48000000
        0.010106262262
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31349UEJ3
        
          
        
        7875.35000000
        PA
        USD
        8198.54000000
        0.003080344889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Floating
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXFW5
        
          
        
        44227.99000000
        PA
        USD
        47204.02000000
        0.017735433599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKF83
        
          
        
        299542.10000000
        PA
        USD
        298949.13000000
        0.112320782102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJFS2
        
          
        
        145917.02000000
        PA
        USD
        144887.77000000
        0.054437046341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TAM7
        
          
        
        234301.58000000
        PA
        USD
        247205.97000000
        0.092879908668
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-06-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291Q6N9
        
          
        
        535.74000000
        PA
        USD
        598.56000000
        0.000224890192
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9BZ4
        
          
        
        8336.12000000
        PA
        USD
        8854.93000000
        0.003326962895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKG9
        
          
        
        1060.64000000
        PA
        USD
        1064.96000000
        0.000400125399
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-03-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933AQ7
        
          
        
        1090.18000000
        PA
        USD
        1158.74000000
        0.000435360300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BPDJ5
        
          
        
        583491.35000000
        PA
        USD
        92037.01000000
        0.034580026861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-15
          Floating
          5.60300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376MCC9
        
          
        
        92327.71000000
        PA
        USD
        14490.53000000
        0.005444363269
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QTF76
        
          
        
        11446.00000000
        PA
        USD
        11654.32000000
        0.004378746100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust
        465976AB4
        
          
        
        862735.70000000
        PA
        USD
        824791.29000000
        0.309889521217
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-07-25
          Variable
          3.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9A67
        
          
        
        53909.67000000
        PA
        USD
        54967.70000000
        0.020652393450
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YLFS5
        
          
        
        62349.63000000
        PA
        USD
        63611.67000000
        0.023900094725
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36178SD21
        
          
        
        145864.33000000
        PA
        USD
        150436.32000000
        0.056521740401
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T2R5
        
          
        
        1164.30000000
        PA
        USD
        1329.12000000
        0.000499375254
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294XCV6
        
          
        
        5415.49000000
        PA
        USD
        6061.12000000
        0.002277276200
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312934SC7
        
          
        
        2620.96000000
        PA
        USD
        2785.78000000
        0.001046669673
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292LDV3
        
          
        
        809.09000000
        PA
        USD
        903.96000000
        0.000339634686
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YDZ28
        
          
        
        12852.28000000
        PA
        USD
        13075.93000000
        0.004912871578
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJL57
        
          
        
        1638.96000000
        PA
        USD
        1742.03000000
        0.000654513268
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HPY65
        
          
        
        97514.50000000
        PA
        USD
        97575.03000000
        0.036660764603
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E0EH4
        
          
        
        231726.80000000
        PA
        USD
        240653.70000000
        0.090418098222
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ABMY2
        
          
        
        7456.52000000
        PA
        USD
        7913.17000000
        0.002973126040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN77
        
          
        
        3411.45000000
        PA
        USD
        3469.97000000
        0.001303732659
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-06-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417CXC4
        
          
        
        24778.51000000
        PA
        USD
        25388.47000000
        0.009538923250
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJK56
        
          
        
        16011.90000000
        PA
        USD
        15898.96000000
        0.005973536774
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AVA3
        
          
        
        581160.49000000
        PA
        USD
        594558.45000000
        0.223386735093
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MVJ0
        
          
        
        298793.53000000
        PA
        USD
        45338.63000000
        0.017034571671
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          5.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B0AM8
        
          
        
        1282613.58000000
        PA
        USD
        1289059.35000000
        0.484323718782
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-12-25
          Floating
          0.85700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Higher Education Funding
        635400EWI7RHQRLFJW85
        Higher Education Funding I
        429827AY4
        
          
        
        589941.86000000
        PA
        USD
        591046.29000000
        0.222067150861
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.54800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382KVX8
        
          
        
        1796925.57000000
        PA
        USD
        219117.82000000
        0.082326665125
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FFEX5
        
          
        
        515238.88000000
        PA
        USD
        511604.55000000
        0.192219402622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brazos Education Loan Authority Inc
        N/A
        Brazos Education Loan Authority Inc
        10620WAA6
        
          
        
        191229.95000000
        PA
        USD
        190410.76000000
        0.071540885514
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-12-26
          Floating
          1.15700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KFV2
        
          
        
        2488.09000000
        PA
        USD
        2481.14000000
        0.000932210725
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-09-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379VUJ1
        
          
        
        249774.57000000
        PA
        USD
        27448.15000000
        0.010312783567
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKFB6
        
          
        
        54138.01000000
        PA
        USD
        55504.52000000
        0.020854086769
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CMC7
        
          
        
        2006.58000000
        PA
        USD
        2036.41000000
        0.000765117342
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-12-20
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200C5K7
        
          
        
        765.14000000
        PA
        USD
        855.37000000
        0.000321378514
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VZT0
        
          
        
        824531.87000000
        PA
        USD
        830187.82000000
        0.311917098518
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VBG4
        
          
        
        280357.38000000
        PA
        USD
        283290.84000000
        0.106437669550
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X0A40
        
          
        
        200796.03000000
        PA
        USD
        204736.85000000
        0.076923465598
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CKJ4
        
          
        
        16124.99000000
        PA
        USD
        16366.84000000
        0.006149328045
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-07-20
          Floating
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KTJ0
        
          
        
        209.45000000
        PA
        USD
        209.52000000
        0.000078720584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217234  IRS CAD R F  2.10000 2 CCPVANILLA / Short: SR217234  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        320000.00000000
        OU
        Notional Amount
        
        -18703.21000000
        -0.00702714597
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2033-12-18
            1673.13000000
            CAD
            0.00000000
            CAD
            320000.00000000
            CAD
            -19190.87000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CM29
        
          
        
        1117.76000000
        PA
        USD
        1142.61000000
        0.000429299957
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-02-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290VKU7
        
          
        
        4562.44000000
        PA
        USD
        5060.86000000
        0.001901459801
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933G57
        
          
        
        10417.88000000
        PA
        USD
        11073.02000000
        0.004160340813
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJL24
        
          
        
        15083.75000000
        PA
        USD
        16032.31000000
        0.006023638864
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XBR28
        
          
        
        613391.29000000
        PA
        USD
        636561.02000000
        0.239167886597
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X0Y93
        
          
        
        41561.64000000
        PA
        USD
        42377.33000000
        0.015921955849
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HBFN3
        
          
        
        362904.62000000
        PA
        USD
        383793.99000000
        0.144198583628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLP Trust
        N/A
        DOLP Trust 2021-NYC
        23345LAA7
        
          
        
        800000.00000000
        PA
        USD
        751975.37000000
        0.282531217535
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-05-10
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128K8AJ5
        
          
        
        522.63000000
        PA
        USD
        559.92000000
        0.000210372421
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AYU84
        
          
        
        2212575.54000000
        PA
        USD
        2192935.17000000
        0.823926777757
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-04-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HLJY3
        
          
        
        3399.57000000
        PA
        USD
        3541.61000000
        0.001330649147
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNM4
        
          
        
        7161.76000000
        PA
        USD
        7278.56000000
        0.002734691189
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-04-20
          Floating
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YF7G3
        
          
        
        224869.18000000
        PA
        USD
        233441.71000000
        0.087708418628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PA60
        
          
        
        1219.40000000
        PA
        USD
        1347.84000000
        0.000506408708
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CEF7
        
          
        
        114466.72000000
        PA
        USD
        113659.31000000
        0.042703929569
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X0BZ0
        
          
        
        204575.19000000
        PA
        USD
        208590.18000000
        0.078371233783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379EW73
        
          
        
        215333.03000000
        PA
        USD
        18268.08000000
        0.006863659489
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-10-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31386G7J6
        
          
        
        5696.10000000
        PA
        USD
        5776.66000000
        0.002170399255
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Floating
          1.47300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QAX9
        
          
        
        785.71000000
        PA
        USD
        871.85000000
        0.000327570359
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        147707.93000000
        PA
        USD
        166287.62000000
        0.062477370422
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXBH2
        
          
        
        1748.90000000
        PA
        USD
        1881.87000000
        0.000707053772
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERRV4
        
          
        
        194265.00000000
        PA
        USD
        197711.51000000
        0.074283913901
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GMA1
        
          
        
        28400.96000000
        PA
        USD
        28531.12000000
        0.010719675660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KHE2
        
          
        
        120000.00000000
        PA
        USD
        118169.94000000
        0.044398657663
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217664  IRS USD R F  2.13000 2 CCPOIS / Short: SR217664  IRS USD P V 00MSOFR 1 CCPOIS
        000000000
        
          
        
        840000.00000000
        OU
        Notional Amount
        USD
        -2232.64000000
        -0.00083884462
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-11-15
            0.00000000
            USD
            -4241.27000000
            USD
            840000.00000000
            USD
            2008.63000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        35430.66000000
        PA
        USD
        37896.92000000
        0.014238581974
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292LHC2
        
          
        
        28033.99000000
        PA
        USD
        29778.73000000
        0.011188426083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SUV7
        
          
        
        364402.33000000
        PA
        USD
        370871.07000000
        0.139343200769
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312932MW3
        
          
        
        1163.06000000
        PA
        USD
        1236.20000000
        0.000464463471
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKVA0
        
          
        
        201114.52000000
        PA
        USD
        205813.82000000
        0.077328103379
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AL97
        
          
        
        10623.55000000
        PA
        USD
        10885.06000000
        0.004089720724
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312938EM1
        
          
        
        944.03000000
        PA
        USD
        1003.40000000
        0.000376996155
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31349ULB2
        
          
        
        5674.11000000
        PA
        USD
        5897.50000000
        0.002215801104
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Floating
          2.47800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        3650R Commercial Mortgage Trust
        N/A
        3650R 2021-PF1 Commercial Mortgage Trust
        88581EAH4
        
          
        
        400000.00000000
        PA
        USD
        368983.68000000
        0.138634073029
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-11-15
          Fixed
          2.77800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SSQ1
        
          
        
        383986.63000000
        PA
        USD
        390803.02000000
        0.146832007353
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TUN7
        
          
        
        1571.00000000
        PA
        USD
        1743.82000000
        0.000655185804
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417AVT3
        
          
        
        23210.66000000
        PA
        USD
        23672.32000000
        0.008894133582
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        York CLO Ltd
        549300EJZ6JIZVXIHF06
        York CLO 1 Ltd
        986255AU1
        
          
        
        2079492.29000000
        PA
        USD
        2074549.34000000
        0.779447006181
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-22
          Floating
          1.37900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CUC6
        
          
        
        7250.02000000
        PA
        USD
        7565.96000000
        0.002842672746
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FU63
        
          
        
        501805.85000000
        PA
        USD
        504105.58000000
        0.189401899272
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AY80
        
          
        
        5358.92000000
        PA
        USD
        5475.35000000
        0.002057191450
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Floating
          1.47500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294V4Q0
        
          
        
        927.20000000
        PA
        USD
        990.62000000
        0.000372194470
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DV5U5
        
          
        
        589736.21000000
        PA
        USD
        612025.88000000
        0.229949575396
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W0FU8
        
          
        
        12250.59000000
        PA
        USD
        12299.08000000
        0.004620994497
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GJ4Z9
        
          
        
        40393.30000000
        PA
        USD
        41895.05000000
        0.015740754228
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JANT1
        
          
        
        511324.49000000
        PA
        USD
        515905.87000000
        0.193835489033
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        21600.10000000
        PA
        USD
        23007.12000000
        0.008644205495
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HNTL3
        
          
        
        32634.37000000
        PA
        USD
        32654.63000000
        0.012268955527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H030641
        
          
        
        19000000.00000000
        PA
        USD
        18780375.20000000
        7.056138382613
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S2P1
        
          
        
        1862626.47000000
        PA
        USD
        1891062.33000000
        0.710507503099
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ELJT1
        
          
        
        284014.66000000
        PA
        USD
        290651.03000000
        0.109203030657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128KRS54
        
          
        
        1207.06000000
        PA
        USD
        1269.07000000
        0.000476813345
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312940RF8
        
          
        
        2692.90000000
        PA
        USD
        2861.32000000
        0.001075051465
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GDEC2
        
          
        
        4141.26000000
        PA
        USD
        4399.00000000
        0.001652786614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292L6T7
        
          
        
        82088.50000000
        PA
        USD
        81985.54000000
        0.030803501498
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31342AP86
        
          
        
        17159.88000000
        PA
        USD
        17884.08000000
        0.006719383504
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Floating
          2.39300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B9HA6
        
          
        
        135009.55000000
        PA
        USD
        18362.93000000
        0.006899296409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Floating
          5.65300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E6UM6
        
          
        
        8867.78000000
        PA
        USD
        9052.14000000
        0.003401058382
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YL88
        
          
        
        775.36000000
        PA
        USD
        837.88000000
        0.000314807194
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418RGD7
        
          
        
        42960.53000000
        PA
        USD
        45612.55000000
        0.017137488540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A7NR9
        
          
        
        145655.68000000
        PA
        USD
        19314.60000000
        0.007256856636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Floating
          6.21300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEDP1
        
          
        
        85775.64000000
        PA
        USD
        89329.74000000
        0.033562854863
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9MT7
        
          
        
        13347.60000000
        PA
        USD
        13870.74000000
        0.005211496568
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GGHW8
        
          
        
        35173.64000000
        PA
        USD
        37362.73000000
        0.014037876795
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AC3B4
        
          
        
        8603.25000000
        PA
        USD
        9098.47000000
        0.003418465430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKET8
        
          
        
        17877.22000000
        PA
        USD
        18282.17000000
        0.006868953366
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L5TJ2
        
          
        
        8929.13000000
        PA
        USD
        9314.60000000
        0.003499669515
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312940A41
        
          
        
        2423.54000000
        PA
        USD
        2575.11000000
        0.000967517012
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31394EUH9
        
          
        
        483545.11000000
        PA
        USD
        516271.10000000
        0.193972712778
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H032647
        
          
        
        13000000.00000000
        PA
        USD
        13076451.70000000
        4.913067591363
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCD2
        
          
        
        220515.78000000
        PA
        USD
        229928.85000000
        0.086388571393
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294P7G2
        
          
        
        2315.94000000
        PA
        USD
        2585.15000000
        0.000971289228
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BG65
        
          
        
        210835.51000000
        PA
        USD
        26861.88000000
        0.010092510957
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        Adjustable Rate Mortgage Trust 2004-5
        007036EP7
        
          
        
        22320.99000000
        PA
        USD
        21925.81000000
        0.008237937094
        Long