Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 27, 2020 6:04 AM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000009304
        C000025396
        C000025394
        C000025398
        C000202035
        C000025395
        C000058954
        C000058953
        C000161287
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Government Income Fund
      S000009304
      LY03WWZZ885PZ7XM7X15
      2021-03-31
      2020-09-30
      N
    
    
      531422025.66
      191179647.35
      340242378.31
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      90367949.22000000
      0.00000000
      0.00000000
      5359116.81000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8QW8
        
          
        
        1195580.02000000
        PA
        USD
        1310334.90000000
        0.385118075681
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MQQ6
        
          
        
        2736.76000000
        PA
        USD
        3010.44000000
        0.000884792780
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNK8
        
          
        
        7330.50000000
        PA
        USD
        7549.63000000
        0.002218897609
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CK70
        
          
        
        6635.90000000
        PA
        USD
        6800.66000000
        0.001998769240
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-09-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RG5
        
          
        
        9390000.00000000
        PA
        USD
        13251637.50000000
        3.894763952045
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-05-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403BAF0
        
          
        
        276837.98000000
        PA
        USD
        288286.48000000
        0.084729739261
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CFJ0
        
          
        
        10740.32000000
        PA
        USD
        11021.77000000
        0.003239387772
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-02-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214479  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214479  IRS USD P F  1.16000 2 CCPVANILLA
        000000000
        
          
        
        5370000.00000000
        OU
        Notional Amount
        USD
        64200.50000000
        0.018869048681
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2035-05-21
            9199.33000000
            USD
            0.00000000
            USD
            5370000.00000000
            USD
            55001.17000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8DN2
        
          
        
        433114.65000000
        PA
        USD
        476581.00000000
        0.140071028884
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDN0
        
          
        
        8805.41000000
        PA
        USD
        9224.45000000
        0.002711140818
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Floating
          3.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FU63
        
          
        
        288099.49000000
        PA
        USD
        315604.98000000
        0.092758868418
        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
        36179USU7
        
          
        
        1217190.05000000
        PA
        USD
        1294218.46000000
        0.380381322993
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QDZ1
        
          
        
        5660.28000000
        PA
        USD
        6205.10000000
        0.001823729316
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QT8
        
          
        
        900000.00000000
        PA
        USD
        1215984.38000000
        0.357387691104
        Long
        DBT
        UST
        US
        N
        
        1
        
          2041-11-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9ME0
        
          
        
        477671.59000000
        PA
        USD
        523519.75000000
        0.153866708962
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KMD4
        
          
        
        14799.36000000
        PA
        USD
        15019.68000000
        0.004414406010
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPA4
        
          
        
        1222131.46000000
        PA
        USD
        1300618.33000000
        0.382262296795
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02333A SWAPTION MAY21 0.448 CALL
        000000000
        
          
        
        -5700000.00000000
        NC
        USD
        -39812.79000000
        -0.01170130252
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    5700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -39812.79000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5700000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            20008.71000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200N3F6
        
          
        
        147909.92000000
        PA
        USD
        169007.06000000
        0.049672548387
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BZY5
        
          
        
        69873.75000000
        PA
        USD
        76257.03000000
        0.022412560827
        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 I Pool
        36291NPZ8
        
          
        
        24420.62000000
        PA
        USD
        27745.84000000
        0.008154727855
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CE44
        
          
        
        32658.30000000
        PA
        USD
        33495.04000000
        0.009844464456
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-01-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RZ3
        
          
        
        5080000.00000000
        PA
        USD
        6600825.00000000
        1.940036109783
        Long
        DBT
        UST
        US
        N
        
        1
        
          2047-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02208A SWAPTION OCT20 0.395 CALL
        000000000
        
          
        
        -4800000.00000000
        NC
        USD
        -0.48000000
        -0.00000014107
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    4800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.48000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4800000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-10-02
            XXXX
            43439.52000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214480  IRS USD R F   .98000 2 CCPVANILLA / Short: SR214480  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        4980000.00000000
        OU
        Notional Amount
        USD
        -13699.98000000
        -0.00402653545
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            0.00000000
            USD
            -7048.34000000
            USD
            4980000.00000000
            USD
            -6651.64000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KD93
        
          
        
        6673.70000000
        PA
        USD
        6775.58000000
        0.001991398024
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GFKT3
        
          
        
        192249.50000000
        PA
        USD
        219112.90000000
        0.064399061953
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USV5
        
          
        
        371376.85000000
        PA
        USD
        399495.76000000
        0.117415050407
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36206JCT9
        
          
        
        29150.68000000
        PA
        USD
        32144.94000000
        0.009447659095
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-12-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EJX1
        
          
        
        700000.00000000
        PA
        USD
        827407.00000000
        0.243181641308
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2024-04-26
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213FHY2
        
          
        
        512814.18000000
        PA
        USD
        582469.34000000
        0.171192472523
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128KLSB4
        
          
        
        20679.85000000
        PA
        USD
        23694.37000000
        0.006963967897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312946ZH2
        
          
        
        1254.28000000
        PA
        USD
        1435.49000000
        0.000421902176
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213X3S1
        
          
        
        18075.78000000
        PA
        USD
        20415.12000000
        0.006000169673
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        2046930.75000000
        PA
        USD
        2308556.34000000
        0.678503469046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        54276.10000000
        PA
        USD
        67098.03000000
        0.019720656296
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EP2E3
        
          
        
        101895.29000000
        PA
        USD
        116044.92000000
        0.034106545038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KP82
        
          
        
        19191.79000000
        PA
        USD
        19587.72000000
        0.005756990089
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-11-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RGA1
        
          
        
        1761409.21000000
        PA
        USD
        1927646.78000000
        0.566551053861
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LKE0
        
          
        
        585.43000000
        PA
        USD
        670.77000000
        0.000197144754
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GYKA6
        
          
        
        284811.93000000
        PA
        USD
        313305.97000000
        0.092083170696
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371HDV7
        
          
        
        3270.14000000
        PA
        USD
        3612.18000000
        0.001061649056
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-11-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHT44
        
          
        
        145902.50000000
        PA
        USD
        159232.79000000
        0.046799811002
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292MA78
        
          
        
        6610.42000000
        PA
        USD
        7310.65000000
        0.002148659445
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MNJQ4
        
          
        
        11237.81000000
        PA
        USD
        12310.71000000
        0.003618217713
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chesapeake Funding II LLC
        5493000HT7H4OFOD6Z12
        Chesapeake Funding II LLC
        165183AL8
        
          
        
        187665.77000000
        PA
        USD
        188376.69000000
        0.055365440053
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2029-05-15
          Fixed
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206A8
        
          
        
        17000000.00000000
        PA
        USD
        17664392.30000000
        5.191708448471
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        80765.12000000
        PA
        USD
        90213.78000000
        0.026514563073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132AECU8
        
          
        
        534583.77000000
        PA
        USD
        584304.28000000
        0.171731776300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQHG1
        
          
        
        24469.13000000
        PA
        USD
        26805.25000000
        0.007878280810
        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
        36179S2P1
        
          
        
        1856360.58000000
        PA
        USD
        1986035.91000000
        0.583712093674
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200NXX4
        
          
        
        177322.29000000
        PA
        USD
        202219.65000000
        0.059433998493
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GVL67
        
          
        
        13335.85000000
        PA
        USD
        14240.95000000
        0.004185530935
        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 II Pool
        36179MAY6
        
          
        
        4585.71000000
        PA
        USD
        5058.62000000
        0.001486769527
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335HYP2
        
          
        
        29121.13000000
        PA
        USD
        31448.06000000
        0.009242840399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179N5W4
        
          
        
        4728.16000000
        PA
        USD
        5183.26000000
        0.001523402236
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300SRMXHPGI3BJ386
        SLM Student Loan Trust 2008-5
        78444YAD7
        
          
        
        692266.74000000
        PA
        USD
        687221.02000000
        0.201979842550
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-07-25
          Floating
          1.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CCU8
        
          
        
        13873.38000000
        PA
        USD
        14233.78000000
        0.004183423614
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-06-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MGK3
        
          
        
        4000000.00000000
        PA
        USD
        6143200.00000000
        1.805536403346
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2030-11-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MKQH2
        
          
        
        57459.44000000
        PA
        USD
        63017.04000000
        0.018521220170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        31331YK90
        
          
        
        720000.00000000
        PA
        USD
        966808.80000000
        0.284152963191
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-05-01
          Fixed
          5.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W0FU8
        
          
        
        32187.51000000
        PA
        USD
        35260.52000000
        0.010363353376
        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
        3140Q8G58
        
          
        
        920362.65000000
        PA
        USD
        1008701.45000000
        0.296465553471
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206A2
        
          
        
        1000000.00000000
        PA
        USD
        1034161.90000000
        0.303948586633
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9NX6
        
          
        
        15334.61000000
        PA
        USD
        16337.64000000
        0.004801765165
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0426A2
        
          
        
        -3000000.00000000
        PA
        USD
        -3214393.80000000
        -0.94473645992
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-18
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7LA2
        
          
        
        639.74000000
        PA
        USD
        732.99000000
        0.000215431717
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31283Y5M6
        
          
        
        16850.60000000
        PA
        USD
        17885.50000000
        0.005256693798
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMKE0
        
          
        
        38872.88000000
        PA
        USD
        42584.16000000
        0.012515830688
        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
        3138W1LY1
        
          
        
        13421.94000000
        PA
        USD
        14720.14000000
        0.004326368770
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397S7M0
        
          
        
        443523.48000000
        PA
        USD
        509210.06000000
        0.149660974781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRD24
        
          
        
        10095.58000000
        PA
        USD
        11059.43000000
        0.003250456352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297KC91
        
          
        
        60176.12000000
        PA
        USD
        69307.23000000
        0.020369958129
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371LA90
        
          
        
        88349.10000000
        PA
        USD
        92383.47000000
        0.027152252596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3133T5WZ2
        
          
        
        30279.50000000
        PA
        USD
        29958.45000000
        0.008805031915
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJ3P3
        
          
        
        1214263.97000000
        PA
        USD
        1302209.86000000
        0.382730060396
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0326A7
        
          
        
        6000000.00000000
        PA
        USD
        6326248.80000000
        1.859335933231
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KY70
        
          
        
        43512.75000000
        PA
        USD
        44672.36000000
        0.013129569638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130A0F70
        
          
        
        300000.00000000
        PA
        USD
        329655.00000000
        0.096888283475
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-12-08
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        -205.00000000
        NC
        USD
        -80054.74000000
        -0.02352873865
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            -36025570.26000000
            USD
            -80054.74000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SP4
        
          
        
        840000.00000000
        PA
        USD
        822018.75000000
        0.241597990844
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-08-15
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPB2
        
          
        
        310909.74000000
        PA
        USD
        334839.00000000
        0.098411903203
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CLK0
        
          
        
        17979.06000000
        PA
        USD
        18468.25000000
        0.005427968759
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-10-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CQN9
        
          
        
        24062.03000000
        PA
        USD
        24733.89000000
        0.007269491273
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-10-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNB8
        
          
        
        30895.63000000
        PA
        USD
        31784.50000000
        0.009341722850
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-03-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7P91
        
          
        
        81663.81000000
        PA
        USD
        94111.02000000
        0.027659993580
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alaska Student Loan Corp
        N/A
        ALASKA ST STUDENT LOAN CORP EDU LOAN REVENUE
        011855CM3
        
          
        
        1352401.63000000
        PA
        USD
        1326196.68000000
        0.389779981725
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-08-25
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L5TH6
        
          
        
        40337.77000000
        PA
        USD
        44457.47000000
        0.013066411721
        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
        31418CAY0
        
          
        
        24434.36000000
        PA
        USD
        26429.25000000
        0.007767771355
        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
        3138MHKP7
        
          
        
        9789.11000000
        PA
        USD
        10723.70000000
        0.003151782577
        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
        36225CL20
        
          
        
        14817.68000000
        PA
        USD
        15222.66000000
        0.004474063482
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-11-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        2445211.72000000
        PA
        USD
        2657281.75000000
        0.780996700998
        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
        3138NYHT5
        
          
        
        17116.27000000
        PA
        USD
        18750.40000000
        0.005510894937
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31329J6M4
        
          
        
        63602.60000000
        PA
        USD
        69704.54000000
        0.020486730767
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KTU9
        
          
        
        25034.45000000
        PA
        USD
        25569.69000000
        0.007515139685
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        7353983.09000000
        PA
        USD
        7954456.40000000
        2.337879378668
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CBN5
        
          
        
        11852.71000000
        PA
        USD
        12141.95000000
        0.003568617777
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-02-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7UE3
        
          
        
        1601027.35000000
        PA
        USD
        1776322.87000000
        0.522075726963
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417KUM7
        
          
        
        3380.32000000
        PA
        USD
        3725.44000000
        0.001094937091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN77
        
          
        
        10240.91000000
        PA
        USD
        10562.33000000
        0.003104354622
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-06-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNY8
        
          
        
        4640.52000000
        PA
        USD
        4782.59000000
        0.001405642067
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214873  IRS USD R F  1.00000 2 CCPVANILLA / Short: SR214873  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        1270000.00000000
        OU
        Notional Amount
        USD
        39999.54000000
        0.011756189866
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            40505.55000000
            USD
            0.00000000
            USD
            1270000.00000000
            USD
            -506.01000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRK75
        
          
        
        106170.62000000
        PA
        USD
        116306.96000000
        0.034183560724
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2013-5
        64033GAA9
        
          
        
        209762.35000000
        PA
        USD
        203396.65000000
        0.059779928358
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KMP7
        
          
        
        18765.97000000
        PA
        USD
        19101.22000000
        0.005614003786
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GTYG6
        
          
        
        10610.72000000
        PA
        USD
        11330.87000000
        0.003330234774
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CFU5
        
          
        
        12017.96000000
        PA
        USD
        12329.12000000
        0.003623628561
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-03-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B66C0
        
          
        
        464517.38000000
        PA
        USD
        563389.30000000
        0.165584693711
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KSU0
        
          
        
        29949.26000000
        PA
        USD
        30683.05000000
        0.009017997743
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295PZ70
        
          
        
        67764.42000000
        PA
        USD
        75231.33000000
        0.022111099262
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQU2
        
          
        
        14756.10000000
        PA
        USD
        15165.71000000
        0.004457325414
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-12-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MPDQ5
        
          
        
        38029.16000000
        PA
        USD
        41659.89000000
        0.012244180224
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        1329991.25000000
        PA
        USD
        1446170.91000000
        0.425041382905
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KLA1
        
          
        
        6650.50000000
        PA
        USD
        6792.95000000
        0.001996503208
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L5TJ2
        
          
        
        11958.32000000
        PA
        USD
        13180.72000000
        0.003873920722
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXBH2
        
          
        
        6389.70000000
        PA
        USD
        7359.27000000
        0.002162949258
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENN VALLEY AUTHORITY
        549300HE1ISW43LNKM54
        Tennessee Valley Authority
        880591EL2
        
          
        
        6500000.00000000
        PA
        USD
        6589765.00000000
        1.936785485903
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2021-02-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KL60
        
          
        
        11591.84000000
        PA
        USD
        11840.04000000
        0.003479883975
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-06-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416CCH7
        
          
        
        1715.21000000
        PA
        USD
        1928.41000000
        0.000566775370
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CKX3
        
          
        
        32003.69000000
        PA
        USD
        32776.71000000
        0.009633341432
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-08-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A1MA0
        
          
        
        435068.94000000
        PA
        USD
        498200.79000000
        0.146425260860
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7L3
        
          
        
        1048970.81000000
        PA
        USD
        1134622.21000000
        0.333474688143
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36210AT31
        
          
        
        125494.78000000
        PA
        USD
        143703.24000000
        0.042235550055
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138Y16W0
        
          
        
        1393088.34000000
        PA
        USD
        1551195.24000000
        0.455908886983
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)DEC20 XCBT 20201221
        000000000
        
          
        
        149.00000000
        NC
        USD
        -5703.41000000
        -0.00167627854
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYZ0 Comdty
              
            
            2020-12-21
            20791203.41000000
            USD
            -5703.41000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02748A SWAPTION US0003M MAR21 1.10 CALL
        000000000
        
          
        
        9000000.00000000
        NC
        USD
        95578.20000000
        0.028091209706
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    9000000.00000000
                    OU
                    Notional Amount
                    N/A
                    95578.20000000
                    0.03000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9000000.00000000
                  USD
                
              
            
            1.00000000
            1.10000000
            USD
            2021-03-17
            XXXX
            -12421.80000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SSU4
        
          
        
        18317.12000000
        PA
        USD
        20789.28000000
        0.006110138338
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214356  IRS USD R F   .84500 2 CCPVANILLA / Short: SR214356  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        1960000.00000000
        OU
        Notional Amount
        USD
        -31765.72000000
        -0.00933620325
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-04-10
            70.56000000
            USD
            0.00000000
            USD
            1960000.00000000
            USD
            -31836.28000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LVE8
        
          
        
        10221.24000000
        PA
        USD
        11711.18000000
        0.003442010974
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2019-BNK24
        06540VBB0
        
          
        
        1400000.00000000
        PA
        USD
        1565101.30000000
        0.459995991026
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-11-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GL20
        
          
        
        199772.47000000
        PA
        USD
        219094.90000000
        0.064393771607
        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
        31407KRF8
        
          
        
        251070.48000000
        PA
        USD
        261499.97000000
        0.076856966289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Floating
          3.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306A1
        
          
        
        10000000.00000000
        PA
        USD
        10476560.00000000
        3.079146122842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRXV8
        
          
        
        28882.84000000
        PA
        USD
        31640.35000000
        0.009299355993
        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
        3138M0XQ8
        
          
        
        97138.85000000
        PA
        USD
        109231.61000000
        0.032104057860
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KNT8
        
          
        
        5826.58000000
        PA
        USD
        5916.64000000
        0.001738948578
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-09-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVN49
        
          
        
        54807.48000000
        PA
        USD
        60108.58000000
        0.017666400140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W02A6
        
          
        
        11705.17000000
        PA
        USD
        12822.69000000
        0.003768692795
        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
        3138MR5R8
        
          
        
        11048.19000000
        PA
        USD
        12102.99000000
        0.003557167117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        236565.11000000
        PA
        USD
        298868.96000000
        0.087840016133
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828TE0
        
          
        
        3300703.60000000
        PA
        USD
        3385117.05000000
        0.994913410496
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FY67
        
          
        
        8668.53000000
        PA
        USD
        9562.49000000
        0.002810493521
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        3790889.64000000
        PA
        USD
        4080669.53000000
        1.199341936847
        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 II Pool
        36225CEL6
        
          
        
        51.94000000
        PA
        USD
        53.37000000
        0.000015685876
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-11-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WN5M7
        
          
        
        104837.80000000
        PA
        USD
        114977.94000000
        0.033792950946
        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
        36202SBG2
        
          
        
        19412.35000000
        PA
        USD
        21168.98000000
        0.006221735253
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Economic Development Authority
        5493006JS6QWDVU4R678
        NEW JERSEY ST ECON DEV AUTH LEASE REVENUE
        645913AA2
        
          
        
        2000000.00000000
        PA
        USD
        2488620.00000000
        0.731425642026
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2029-02-15
          Fixed
          7.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297KFM9
        
          
        
        98224.40000000
        PA
        USD
        113129.41000000
        0.033249652956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GMA1
        
          
        
        17132.33000000
        PA
        USD
        18789.41000000
        0.005522360293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Scholar Funding Trust
        N/A
        Scholar Funding Trust 2013-A
        80705XAA5
        
          
        
        1425387.89000000
        PA
        USD
        1382864.86000000
        0.406435220347
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-01-30
          Floating
          0.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RH3
        
          
        
        3320000.00000000
        PA
        USD
        4518312.50000000
        1.327968762281
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-08-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CMC7
        
          
        
        6846.98000000
        PA
        USD
        7038.92000000
        0.002068795790
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-12-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CL46
        
          
        
        27451.99000000
        PA
        USD
        28201.95000000
        0.008288782291
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-11-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNM4
        
          
        
        26343.98000000
        PA
        USD
        27148.21000000
        0.007979079541
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B4PT7
        
          
        
        85993.03000000
        PA
        USD
        102347.55000000
        0.030080776682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WRNS5
        
          
        
        45124.90000000
        PA
        USD
        49489.48000000
        0.014545360353
        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
        3140J7R98
        
          
        
        433820.13000000
        PA
        USD
        477492.85000000
        0.140339029009
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CEP7
        
          
        
        15388.53000000
        PA
        USD
        15769.77000000
        0.004634863557
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-12-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36210KDR3
        
          
        
        62896.31000000
        PA
        USD
        70224.80000000
        0.020639639409
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9UC4
        
          
        
        63535.36000000
        PA
        USD
        70165.02000000
        0.020622069581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
        
        2001174.31000000
        PA
        USD
        2157853.05000000
        0.634210547409
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXFW5
        
          
        
        15037.79000000
        PA
        USD
        17275.46000000
        0.005077398084
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZQ6
        
          
        
        150000.00000000
        PA
        USD
        149460.94000000
        0.043927784875
        Long
        DBT
        UST
        US
        N
        
        1
        
          2030-05-15
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912833Y20
        
          
        
        1300000.00000000
        PA
        USD
        1082067.57000000
        0.318028452356
        Long
        DBT
        UST
        US
        N
        
        1
        
          2036-05-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UML3
        
          
        
        3172115.17000000
        PA
        USD
        3379549.93000000
        0.993277188687
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0506A9
        
          
        
        -4000000.00000000
        PA
        USD
        -4382201.20000000
        -1.28796454508
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290XLG3
        
          
        
        16733.98000000
        PA
        USD
        18744.11000000
        0.005509046254
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226A4
        
          
        
        13000000.00000000
        PA
        USD
        13650912.60000000
        4.012114148685
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179NLE6
        
          
        
        342186.30000000
        PA
        USD
        375764.22000000
        0.110440157944
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0406A0
        
          
        
        2000000.00000000
        PA
        USD
        2132578.40000000
        0.626782122377
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W7WP5
        
          
        
        33875.41000000
        PA
        USD
        37151.91000000
        0.010919248267
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UEB4
        
          
        
        2264565.29000000
        PA
        USD
        2462383.45000000
        0.723714506767
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MEU3
        
          
        
        2600000.00000000
        PA
        USD
        3761186.00000000
        1.105443131064
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-05-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200NTT8
        
          
        
        239113.20000000
        PA
        USD
        272836.28000000
        0.080188799924
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-06-15
          Fixed
          5.50000000
          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
        
          
        
        11100000.00000000
        OU
        Notional Amount
        USD
        6780.99000000
        0.001992988067
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            180.00000000
            USD
            0.00000000
            USD
            11100000.00000000
            USD
            6600.99000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290QX75
        
          
        
        20544.77000000
        PA
        USD
        23398.07000000
        0.006876882919
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0406A6
        
          
        
        -4000000.00000000
        PA
        USD
        -4250212.00000000
        -1.24917184658
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-18
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHBX9
        
          
        
        12656.79000000
        PA
        USD
        13828.99000000
        0.004064452543
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31391NCY5
        
          
        
        17020.14000000
        PA
        USD
        17715.52000000
        0.005206735294
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Floating
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKV6
        
          
        
        16787.80000000
        PA
        USD
        17142.91000000
        0.005038440562
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02746A SWAPTION US0003M MAR21 0.90 CALL
        000000000
        
          
        
        -9000000.00000000
        NC
        USD
        -59229.90000000
        -0.01740814894
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    9000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -59229.90000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9000000.00000000
                  USD
                
              
            
            1.00000000
            0.90000000
            USD
            2021-03-17
            XXXX
            12770.10000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36209Q3H6
        
          
        
        79096.09000000
        PA
        USD
        88109.05000000
        0.025895965822
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-10-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CKJ4
        
          
        
        53428.62000000
        PA
        USD
        54742.11000000
        0.016089150996
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31401DNK3
        
          
        
        330463.92000000
        PA
        USD
        340141.49000000
        0.099970348105
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Floating
          2.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HBH76
        
          
        
        713656.86000000
        PA
        USD
        785054.73000000
        0.230733964975
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38373XHE9
        
          
        
        706938.47000000
        PA
        USD
        794655.68000000
        0.233555762203
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-06-16
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KRQ0
        
          
        
        7816.16000000
        PA
        USD
        7989.72000000
        0.002348243637
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-02-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132DMC60
        
          
        
        8344512.48000000
        PA
        USD
        9143218.67000000
        2.687266270420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416NFG2
        
          
        
        7518.47000000
        PA
        USD
        8430.83000000
        0.002477889451
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214324  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214324  IRS USD P F   .85500 2 CCPVANILLA
        000000000
        
          
        
        1910000.00000000
        OU
        Notional Amount
        USD
        37064.31000000
        0.010893501915
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2045-04-09
            68.76000000
            USD
            0.00000000
            USD
            1910000.00000000
            USD
            36995.55000000
          
        
        
          N
          N
          N
        
      
      
        TENN VALLEY AUTHORITY
        549300HE1ISW43LNKM54
        Tennessee Valley Authority
        880591EW8
        
          
        
        20150000.00000000
        PA
        USD
        20404897.50000000
        5.997165197748
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2025-05-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3137EAEQ8
        
          
        
        16670000.00000000
        PA
        USD
        16750516.10000000
        4.923112806582
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-04-20
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MJGD5
        
          
        
        26037.62000000
        PA
        USD
        28523.49000000
        0.008383285510
        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
        3138AMBC8
        
          
        
        1091.23000000
        PA
        USD
        1218.89000000
        0.000358241676
        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
        3140EWUP8
        
          
        
        84158.10000000
        PA
        USD
        91029.00000000
        0.026754162856
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RU4
        
          
        
        6400000.00000000
        PA
        USD
        8459000.00000000
        2.486168842933
        Long
        DBT
        UST
        US
        N
        
        1
        
          2046-11-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN28
        
          
        
        42001.60000000
        PA
        USD
        43260.18000000
        0.012714518460
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7EX0
        
          
        
        1767.66000000
        PA
        USD
        2025.33000000
        0.000595260946
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296RBF3
        
          
        
        1459.78000000
        PA
        USD
        1681.08000000
        0.000494083073
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KL45
        
          
        
        31402.18000000
        PA
        USD
        32005.45000000
        0.009406661850
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-06-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brazos Higher Education Authority Inc
        N/A
        Brazos Higher Education Authority, Inc.
        10620NAE8
        
          
        
        25101.55000000
        PA
        USD
        24984.64000000
        0.007343188736
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-03-27
          Floating
          0.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206B0
        
          
        
        7000000.00000000
        PA
        USD
        7224367.50000000
        2.123300317815
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02184A SWAPTION MAR20 0.395 CALL
        000000000
        
          
        
        -4800000.00000000
        NC
        USD
        -0.48000000
        -0.00000014107
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    4800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.48000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4800000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-09-30
            XXXX
            60959.52000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WQQ39
        
          
        
        18817.65000000
        PA
        USD
        20637.73000000
        0.006065596561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31295PAZ6
        
          
        
        3343.56000000
        PA
        USD
        3494.86000000
        0.001027167755
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Floating
          3.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MP2W4
        
          
        
        10557.28000000
        PA
        USD
        11565.21000000
        0.003399109204
        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
        36202F2M7
        
          
        
        1432.11000000
        PA
        USD
        1579.80000000
        0.000464316058
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET6A9
        
          
        
        520133.45000000
        PA
        USD
        579165.38000000
        0.170221411829
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHGK2
        
          
        
        95310.53000000
        PA
        USD
        103091.94000000
        0.030299558953
        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
        36225CPN0
        
          
        
        71903.02000000
        PA
        USD
        74313.42000000
        0.021841318053
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912834AD0
        
          
        
        6000000.00000000
        PA
        USD
        4857087.48000000
        1.427537481993
        Long
        DBT
        UST
        US
        N
        
        1
        
          2037-11-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CBA3
        
          
        
        11160.68000000
        PA
        USD
        11479.05000000
        0.003373786080
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-01-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3133TTRX1
        
          
        
        270720.30000000
        PA
        USD
        309249.94000000
        0.090891070517
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        2539975.36000000
        PA
        USD
        2760264.12000000
        0.811264056438
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NYAR6
        
          
        
        21987.85000000
        PA
        USD
        24087.08000000
        0.007079388558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NDL8
        
          
        
        2041.63000000
        PA
        USD
        2339.24000000
        0.000687521646
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3133834G3
        
          
        
        3700000.00000000
        PA
        USD
        3888922.00000000
        1.142985779524
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-06-09
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RXE4
        
          
        
        442186.68000000
        PA
        USD
        481431.90000000
        0.141496747815
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCW2
        
          
        
        29003.72000000
        PA
        USD
        31371.66000000
        0.009220385819
        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 I Pool
        36201SSM2
        
          
        
        21343.57000000
        PA
        USD
        24175.53000000
        0.007105384731
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M6P76
        
          
        
        21708.84000000
        PA
        USD
        23781.43000000
        0.006989555539
        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
        31410GDL4
        
          
        
        187528.37000000
        PA
        USD
        196402.55000000
        0.057724305530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Floating
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335HQJ5
        
          
        
        1856.47000000
        PA
        USD
        1881.65000000
        0.000553032226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W02X6
        
          
        
        10182.59000000
        PA
        USD
        11154.74000000
        0.003278468736
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31342A6D6
        
          
        
        252814.05000000
        PA
        USD
        262205.89000000
        0.077064441914
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Floating
          3.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206B6
        
          
        
        19000000.00000000
        PA
        USD
        19704704.30000000
        5.791372726076
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-19
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SL3
        
          
        
        630000.00000000
        PA
        USD
        712589.06000000
        0.209435715662
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200AGF0
        
          
        
        12314.80000000
        PA
        USD
        13619.90000000
        0.004002999293
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GCO Education Loan Funding Trust
        BMMMD49PLG3NGJVYVM66
        GCO Education Loan Funding Master Trust-II
        36156YAP6
        
          
        
        19349.85000000
        PA
        USD
        19350.14000000
        0.005687163396
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-11-25
          Floating
          0.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133EJ2D0
        
          
        
        3000000.00000000
        PA
        USD
        3560130.00000000
        1.046351138762
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2028-12-06
          Fixed
          3.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        4271.15000000
        PA
        USD
        4893.75000000
        0.001438312894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AJHU6
        
          
        
        15150000.00000000
        PA
        USD
        15243778.50000000
        4.480270381284
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-04-14
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQTN3
        
          
        
        39748.00000000
        PA
        USD
        43542.83000000
        0.012797591592
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128CUG59
        
          
        
        383.88000000
        PA
        USD
        394.45000000
        0.000115932060
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIEMAE STRIP
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        31364HPY7
        
          
        
        48.25000000
        PA
        USD
        2.52000000
        0.000000740648
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-07-25
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402N2R8
        
          
        
        333415.60000000
        PA
        USD
        386660.62000000
        0.113642698455
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RE0
        
          
        
        3830000.00000000
        PA
        USD
        5595989.06000000
        1.644706661114
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-02-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Valley Generation V
        N/A
        New Valley Generation V
        64908QAA9
        
          
        
        727494.60000000
        PA
        USD
        735737.11000000
        0.216239115672
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2021-01-15
          Fixed
          4.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        313383YJ4
        
          
        
        2100000.00000000
        PA
        USD
        2290365.00000000
        0.673156886386
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-09-08
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8KG9
        
          
        
        282199.01000000
        PA
        USD
        312989.07000000
        0.091990031210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KYL3
        
          
        
        10691.56000000
        PA
        USD
        10927.83000000
        0.003211778043
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-02-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXBF6
        
          
        
        981.07000000
        PA
        USD
        1129.94000000
        0.000332098548
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306B9
        
          
        
        7000000.00000000
        PA
        USD
        7334959.10000000
        2.155804087789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MUL4
        
          
        
        278666.62000000
        PA
        USD
        315883.08000000
        0.092840604268
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297XEA8
        
          
        
        3528.99000000
        PA
        USD
        3890.16000000
        0.001143349637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FP67
        
          
        
        5609.50000000
        PA
        USD
        6196.76000000
        0.001821278122
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FY69
        
          
        
        91299.33000000
        PA
        USD
        100130.00000000
        0.029429020716
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECMC Group Student Loan Trust
        N/A
        ECMC Group Student Loan Trust 2018-2
        26829GAA6
        
          
        
        1199038.33000000
        PA
        USD
        1176484.90000000
        0.345778472935
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2068-09-25
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291GXG6
        
          
        
        21597.67000000
        PA
        USD
        24130.51000000
        0.007092152988
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M4EM1
        
          
        
        2706.20000000
        PA
        USD
        3116.85000000
        0.000916067544
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ally Master Owner Trust
        N/A
        Ally Master Owner Trust
        02005AGP7
        
          
        
        4100000.00000000
        PA
        USD
        4127026.30000000
        1.212966568273
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-01-17
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NXRK5
        
          
        
        17974.35000000
        PA
        USD
        19690.40000000
        0.005787168576
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Credit Auto Owner Trust/Ford Credit
        N/A
        Ford Credit Auto Owner Trust 2016-REV2
        34531BAA0
        
          
        
        400000.00000000
        PA
        USD
        404676.60000000
        0.118937741386
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          2.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206A2
        
          
        
        -6000000.00000000
        PA
        USD
        -6204971.40000000
        -1.82369151979
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KM93
        
          
        
        15255.79000000
        PA
        USD
        15532.96000000
        0.004565263174
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-08-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AFC24
        
          
        
        15793.13000000
        PA
        USD
        17735.12000000
        0.005212495894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMZQ7
        
          
        
        22530.98000000
        PA
        USD
        24682.06000000
        0.007254258015
        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
        36202K3W3
        
          
        
        560.70000000
        PA
        USD
        571.64000000
        0.000168009641
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MFW52
        
          
        
        14735.27000000
        PA
        USD
        16142.08000000
        0.004744288492
        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
        21H0226B2
        
          
        
        8000000.00000000
        PA
        USD
        8385561.60000000
        2.464584700369
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-19
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312941Z42
        
          
        
        5251.33000000
        PA
        USD
        6021.27000000
        0.001769700185
        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
        3138WPGT5
        
          
        
        46622.17000000
        PA
        USD
        51131.57000000
        0.015027983948
        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
        3138WMWQ0
        
          
        
        122073.76000000
        PA
        USD
        133881.00000000
        0.039348713897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128P7LU5
        
          
        
        220411.12000000
        PA
        USD
        241297.62000000
        0.070919331447
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NXMW4
        
          
        
        16834.78000000
        PA
        USD
        18442.03000000
        0.005420262488
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292L6T7
        
          
        
        40242.63000000
        PA
        USD
        43264.73000000
        0.012715855742
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT DEC20 XCBT 20201221
        000000000
        
          
        
        59.00000000
        NC
        USD
        -1738.51000000
        -0.00051096221
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US 10 Year Ultra Bond
                UXYZ0 Comdty
              
            
            2020-12-21
            9429754.14000000
            USD
            -1738.51000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QT50
        
          
        
        394451.14000000
        PA
        USD
        432418.09000000
        0.127091190741
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        2984501.50000000
        PA
        USD
        3243343.44000000
        0.953244994380
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EPK94
        
          
        
        897726.15000000
        PA
        USD
        1021827.27000000
        0.300323338637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQ99
        
          
        
        12821.61000000
        PA
        USD
        13105.95000000
        0.003851945211
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-01-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CA97
        
          
        
        17495.49000000
        PA
        USD
        17919.62000000
        0.005266721943
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-01-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4AP6
        
          
        
        26447.04000000
        PA
        USD
        29005.06000000
        0.008524822846
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        71601501.10000000
        NS
        USD
        71601501.10000000
        21.04426305025
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GEV56
        
          
        
        5608.71000000
        PA
        USD
        6418.78000000
        0.001886531604
        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
        31371KA50
        
          
        
        31837.55000000
        PA
        USD
        37999.76000000
        0.011168438272
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        73.00000000
        NC
        USD
        3200.94000000
        0.000940782278
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUZ0 Comdty
              
            
            2020-12-31
            16125806.84000000
            USD
            3200.94000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GAX4
        
          
        
        352669.85000000
        PA
        USD
        386780.85000000
        0.113678035029
        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
        3138WWKV0
        
          
        
        38067.85000000
        PA
        USD
        41749.86000000
        0.012270623138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CLM6
        
          
        
        10447.36000000
        PA
        USD
        10732.75000000
        0.003154442445
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-10-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CEF9
        
          
        
        5027.34000000
        PA
        USD
        5148.96000000
        0.001513321187
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-11-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KL29
        
          
        
        14284.07000000
        PA
        USD
        14558.50000000
        0.004278861461
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-06-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02221A SWAPTION APR21 0.506 PUT
        000000000
        
          
        
        -4300000.00000000
        NC
        USD
        -14355.12000000
        -0.00421908642
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    4300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -14355.12000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4300000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            33159.88000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912833X96
        
          
        
        6400000.00000000
        PA
        USD
        5375423.30000000
        1.579880591800
        Long
        DBT
        UST
        US
        N
        
        1
        
          2035-11-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKL8
        
          
        
        32066.12000000
        PA
        USD
        32667.33000000
        0.009601193761
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SE9
        
          
        
        980000.00000000
        PA
        USD
        1425900.00000000
        0.419083597723
        Long
        DBT
        UST
        US
        N
        
        1
        
          2048-11-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        62.00000000
        NC
        USD
        -1071.67000000
        -0.00031497252
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                5 Year US Treasury Note
                FVZ0 Comdty
              
            
            2020-12-31
            7813071.67000000
            USD
            -1071.67000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417G4E3
        
          
        
        721727.41000000
        PA
        USD
        791534.47000000
        0.232638413219
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        90DAY EUR FUTR  DEC20 XCME 20201214
        000000000
        
          
        
        82.00000000
        NC
        USD
        356813.38000000
        0.104870352062
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                Eurodollar Time Deposit
                EDZ0 Comdty
              
            
            2020-12-14
            20092961.62000000
            USD
            356813.38000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT DEC20 XCBT 20201221
        000000000
        
          
        
        -18.00000000
        NC
        USD
        11473.53000000
        0.003372163707
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Ultra Long Bond
                WNZ0 Comdty
              
            
            2020-12-21
            -3996786.03000000
            USD
            11473.53000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KDX0
        
          
        
        13307.01000000
        PA
        USD
        13522.52000000
        0.003974378520
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-06-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KNU5
        
          
        
        8873.33000000
        PA
        USD
        9010.47000000
        0.002648250357
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-09-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02334A SWAPTION MAY21 0.448 PUT
        000000000
        
          
        
        -5700000.00000000
        NC
        USD
        -30039.00000000
        -0.00882870621
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    5700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -30039.00000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5700000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            29782.50000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB54
        
          
        
        42417.55000000
        PA
        USD
        43506.24000000
        0.012786837493
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0426A2
        
          
        
        2000000.00000000
        PA
        USD
        2142929.20000000
        0.629824306614
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-18
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2016-7
        63940GAA3
        
          
        
        653595.63000000
        PA
        USD
        653595.50000000
        0.192097028961
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-03-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MLCC Mortgage Investors Inc
        N/A
        Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E
        59020UJR7
        
          
        
        111197.29000000
        PA
        USD
        104925.91000000
        0.030838577640
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-11-25
          Floating
          0.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        N/A
        Access Group Inc 2015-1
        00435TAA9
        
          
        
        378718.94000000
        PA
        USD
        370866.16000000
        0.109000578306
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2056-07-25
          Floating
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2016-1
        69343FAA5
        
          
        
        1004061.11000000
        PA
        USD
        1000332.03000000
        0.294005712918
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EGV8
        
          
        
        500000.00000000
        PA
        USD
        580305.00000000
        0.170556355408
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2023-12-04
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust I LLC 2018-2
        03463VAA3
        
          
        
        358381.25000000
        PA
        USD
        364416.39000000
        0.107104938488
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-07-27
          Variable
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KE84
        
          
        
        6740.18000000
        PA
        USD
        6845.12000000
        0.002011836395
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-08-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YG9
        
          
        
        3090000.00000000
        PA
        USD
        3319094.55000000
        0.975508861208
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-09-30
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HRPU8
        
          
        
        14171.75000000
        PA
        USD
        15098.72000000
        0.004437636509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Higher Education Funding
        N/A
        Higher Education Funding I
        429827AY4
        
          
        
        1097590.41000000
        PA
        USD
        1097587.45000000
        0.322589871212
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417MFB4
        
          
        
        15097.94000000
        PA
        USD
        17114.30000000
        0.005030031851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0426A6
        
          
        
        -5000000.00000000
        PA
        USD
        -5408983.00000000
        -1.58974406035
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SQC6
        
          
        
        38584.30000000
        PA
        USD
        43805.95000000
        0.012874924698
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CMN3
        
          
        
        10958.07000000
        PA
        USD
        11277.86000000
        0.003314654704
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-01-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G0Q22
        
          
        
        1400000.00000000
        PA
        USD
        1514814.00000000
        0.445216144891
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2026-09-24
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TSJ5
        
          
        
        431796.95000000
        PA
        USD
        470022.98000000
        0.138143573512
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RD2
        
          
        
        3500000.00000000
        PA
        USD
        5199140.63000000
        1.528069682508
        Long
        DBT
        UST
        US
        N
        
        1
        
          2043-11-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02747A SWAPTION US0003M MAR21 0.70 CALL
        000000000
        
          
        
        -9000000.00000000
        NC
        USD
        -35186.40000000
        -0.01034156890
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    9000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -35186.40000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9000000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2021-03-17
            XXXX
            5898.60000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CM29
        
          
        
        4519.05000000
        PA
        USD
        4649.19000000
        0.001366434723
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-02-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290NBS0
        
          
        
        9758.82000000
        PA
        USD
        10900.55000000
        0.003203760229
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KM77
        
          
        
        31618.76000000
        PA
        USD
        32101.01000000
        0.009434747711
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-08-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VDP2
        
          
        
        8000006.00000000
        PA
        USD
        8426567.12000000
        2.476636555932
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38373T5Q4
        
          
        
        11841.68000000
        PA
        USD
        16462.48000000
        0.004838456656
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-02-16
          Floating
          36.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201U5P5
        
          
        
        23325.73000000
        PA
        USD
        26454.18000000
        0.007775098484
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CCG9
        
          
        
        9537.58000000
        PA
        USD
        9783.95000000
        0.002875582415
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CME3
        
          
        
        1298.87000000
        PA
        USD
        1335.30000000
        0.000392455521
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-12-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2017-4
        63940AAB4
        
          
        
        682417.11000000
        PA
        USD
        680874.30000000
        0.200114489965
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-09-27
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WXWH6
        
          
        
        29134.47000000
        PA
        USD
        31952.42000000
        0.009391075902
        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
        3138A1PN5
        
          
        
        86835.57000000
        PA
        USD
        97513.26000000
        0.028659939565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVH46
        
          
        
        36600.57000000
        PA
        USD
        40140.66000000
        0.011797666181
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7M1
        
          
        
        264719.09000000
        PA
        USD
        288422.35000000
        0.084769672558
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQS7
        
          
        
        7070.65000000
        PA
        USD
        7216.76000000
        0.002121064411
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-12-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E0EH4
        
          
        
        473647.49000000
        PA
        USD
        516917.28000000
        0.151926189373
        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
        31417GFQ4
        
          
        
        182311.02000000
        PA
        USD
        199944.54000000
        0.058765325175
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133EJ6H7
        
          
        
        1150000.00000000
        PA
        USD
        1366453.00000000
        0.401611641320
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2030-01-25
          Fixed
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KFV2
        
          
        
        14547.49000000
        PA
        USD
        14734.37000000
        0.004330551083
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-09-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LSR85
        
          
        
        18922.33000000
        PA
        USD
        20728.89000000
        0.006092389226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31281LBP2
        
          
        
        8191.62000000
        PA
        USD
        8228.41000000
        0.002418396568
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2017-4
        89173UAB3
        
          
        
        1030153.00000000
        PA
        USD
        1111048.96000000
        0.326546318397
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-06-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN36
        
          
        
        43159.60000000
        PA
        USD
        44839.11000000
        0.013178578818
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CQH2
        
          
        
        15425.62000000
        PA
        USD
        15947.31000000
        0.004687044006
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-09-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CUK0
        
          
        
        45498.55000000
        PA
        USD
        46914.56000000
        0.013788570439
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-03-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MN5G1
        
          
        
        47115.04000000
        PA
        USD
        51613.22000000
        0.015169544798
        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
        36179VBJ8
        
          
        
        876438.12000000
        PA
        USD
        940648.39000000
        0.276464206096
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02222A SWAPTION APR21 0.506 CALL
        000000000
        
          
        
        -4300000.00000000
        NC
        USD
        -36756.83000000
        -0.01080313104
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    4300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -36756.83000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4300000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            10758.17000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        1909427.96000000
        PA
        USD
        2072498.45000000
        0.609124136826
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W3FS7
        
          
        
        69065.16000000
        PA
        USD
        75658.96000000
        0.022236783194
        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
        3138A46M2
        
          
        
        13542.28000000
        PA
        USD
        15205.09000000
        0.004468899516
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB62
        
          
        
        49295.58000000
        PA
        USD
        50541.77000000
        0.014854636935
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GRYD0
        
          
        
        60165.82000000
        PA
        USD
        67749.84000000
        0.019912228552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJ3T5
        
          
        
        1314583.80000000
        PA
        USD
        1399575.93000000
        0.411346739624
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312943UP6
        
          
        
        1514.34000000
        PA
        USD
        1700.63000000
        0.000499828977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9CT8
        
          
        
        660343.23000000
        PA
        USD
        726407.33000000
        0.213497017510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERH60
        
          
        
        136166.29000000
        PA
        USD
        147283.27000000
        0.043287749965
        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 I Pool
        36200KFF9
        
          
        
        8793.59000000
        PA
        USD
        9535.92000000
        0.002802684382
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36208CFB8
        
          
        
        10859.17000000
        PA
        USD
        12018.29000000
        0.003532273098
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKG9
        
          
        
        5498.61000000
        PA
        USD
        5595.97000000
        0.001644701059
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-03-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2020-10-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
StreetInsider

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Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

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