Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 27, 2020 6:05 AM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000009305
        C000025401
        C000025402
        C000025400
        C000090760
        C000161288
        C000202036
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs U.S. Mortgages Fund
      S000009305
      MBFL9SSC0VUDGK1TUI40
      2021-03-31
      2020-09-30
      N
    
    
      704233467.01
      329239905.24
      374993561.77
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      132099980.47000000
      0.00000000
      0.00000000
      8283476.85000000
      
        
          CAD
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31349UCW6
        
          
        
        6664.40000000
        PA
        USD
        6952.52000000
        0.001854037164
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Floating
          3.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        -44.00000000
        NC
        USD
        -12096.05000000
        -0.00322566871
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            -7737403.95000000
            USD
            -12096.05000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AVA3
        
          
        
        984155.46000000
        PA
        USD
        1066492.76000000
        0.284402952137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GT6G7
        
          
        
        163090.42000000
        PA
        USD
        181841.50000000
        0.048491899205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XDS0
        
          
        
        231766.17000000
        PA
        USD
        238842.36000000
        0.063692389510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-25
          Floating
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQS7
        
          
        
        3053.23000000
        PA
        USD
        3116.32000000
        0.000831032934
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-12-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KRQ0
        
          
        
        3375.16000000
        PA
        USD
        3450.11000000
        0.000920045129
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-02-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKG9
        
          
        
        2374.40000000
        PA
        USD
        2416.44000000
        0.000644395063
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-03-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3131XV6C4
        
          
        
        2014186.67000000
        PA
        USD
        2179072.06000000
        0.581095859276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brazos Education Loan Authority Inc
        N/A
        Brazos Education Loan Authority Inc
        10620WAA6
        
          
        
        273226.44000000
        PA
        USD
        267776.61000000
        0.071408321981
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-12-26
          Floating
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E6UM6
        
          
        
        15504.24000000
        PA
        USD
        16874.05000000
        0.004499823922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GAX4
        
          
        
        810511.39000000
        PA
        USD
        888905.83000000
        0.237045624411
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cantor Commercial Real Estate Lending
        N/A
        Cantor Commercial Real Estate Lending 2019-CF3
        12529TAX1
        
          
        
        1900000.00000000
        PA
        USD
        2117788.53000000
        0.564753304031
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-01-15
          Fixed
          3.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GEV56
        
          
        
        2298.35000000
        PA
        USD
        2630.30000000
        0.000701425375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294P7B3
        
          
        
        1679.94000000
        PA
        USD
        1919.63000000
        0.000511910122
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MTQ7
        
          
        
        885104.23000000
        PA
        USD
        146051.14000000
        0.038947639343
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LUSX4
        
          
        
        45028.68000000
        PA
        USD
        49752.77000000
        0.013267633120
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36225BXT0
        
          
        
        258218.96000000
        PA
        USD
        293513.00000000
        0.078271477146
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TQP3
        
          
        
        3226826.17000000
        PA
        USD
        3443619.68000000
        0.918314347517
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GDQH8
        
          
        
        9465.18000000
        PA
        USD
        10630.60000000
        0.002834875337
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M6P76
        
          
        
        11696.22000000
        PA
        USD
        12812.88000000
        0.003416826662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N7H5
        
          
        
        3611.92000000
        PA
        USD
        4253.07000000
        0.001134171472
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GGEW1
        
          
        
        3117.34000000
        PA
        USD
        3501.20000000
        0.000933669363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GULV7
        
          
        
        357243.54000000
        PA
        USD
        396246.28000000
        0.105667488830
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJL32
        
          
        
        32360.28000000
        PA
        USD
        36969.66000000
        0.009858745260
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Battalion CLO LTD
        549300JIE0P78OIZGS60
        Battalion CLO XII Ltd
        07133RAA3
        
          
        
        800000.00000000
        PA
        USD
        790734.40000000
        0.210866126945
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-05-17
          Floating
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419CQT3
        
          
        
        5013.12000000
        PA
        USD
        5636.24000000
        0.001503023138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        9127964R7
        
          
        
        15000000.00000000
        PA
        USD
        14998624.95000000
        3.999701989336
        Long
        STIV
        UST
        US
        N
        
        1
        
          2020-11-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W5J74
        
          
        
        46909.62000000
        PA
        USD
        50816.55000000
        0.013551312657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417L5D3
        
          
        
        12250.78000000
        PA
        USD
        13773.53000000
        0.003673004393
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226A4
        
          
        
        27000000.00000000
        PA
        USD
        28351895.40000000
        7.560635245623
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132DMAL9
        
          
        
        725836.05000000
        PA
        USD
        792459.02000000
        0.211326033508
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379PRR0
        
          
        
        47622.55000000
        PA
        USD
        3041.34000000
        0.000811037924
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128K8AJ5
        
          
        
        958.45000000
        PA
        USD
        1071.60000000
        0.000285764906
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YR3Y2
        
          
        
        117475.93000000
        PA
        USD
        127010.62000000
        0.033870080168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKET8
        
          
        
        53944.21000000
        PA
        USD
        58437.02000000
        0.015583472879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        Adjustable Rate Mortgage Trust 2004-5
        007036EP7
        
          
        
        35747.71000000
        PA
        USD
        35740.90000000
        0.009531070301
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Variable
          3.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ASU83
        
          
        
        25286.00000000
        PA
        USD
        28395.28000000
        0.007572204670
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KDX0
        
          
        
        5746.21000000
        PA
        USD
        5839.27000000
        0.001557165401
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-06-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306A1
        
          
        
        20000000.00000000
        PA
        USD
        20953120.00000000
        5.587594597917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJL24
        
          
        
        28215.47000000
        PA
        USD
        31727.81000000
        0.008460894595
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PA60
        
          
        
        1296.85000000
        PA
        USD
        1495.23000000
        0.000398734845
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WGSQ8
        
          
        
        28761.88000000
        PA
        USD
        31024.37000000
        0.008273307374
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CLM6
        
          
        
        4511.36000000
        PA
        USD
        4634.60000000
        0.001235914552
        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 I Pool
        36178SD21
        
          
        
        153119.50000000
        PA
        USD
        166581.41000000
        0.044422472005
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292L6P4
        
          
        
        671.47000000
        PA
        USD
        789.91000000
        0.000210646283
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNB8
        
          
        
        13731.39000000
        PA
        USD
        14126.44000000
        0.003767115342
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-03-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CFJ0
        
          
        
        4773.48000000
        PA
        USD
        4898.57000000
        0.001306307760
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-02-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417AVT3
        
          
        
        37705.80000000
        PA
        USD
        41626.28000000
        0.011100531914
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379TYF0
        
          
        
        274716.21000000
        PA
        USD
        45887.83000000
        0.012236964758
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0406A6
        
          
        
        1000000.00000000
        PA
        USD
        1062553.00000000
        0.283352331433
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-18
          Fixed
          4.00000000
          N
          N
          N
        
        
          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
        
          
        
        2540000.00000000
        OU
        Notional Amount
        USD
        -6987.54000000
        -0.00186337599
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            0.00000000
            USD
            -4129.62000000
            USD
            2540000.00000000
            USD
            -2857.92000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933AN4
        
          
        
        90646.59000000
        PA
        USD
        103557.83000000
        0.027615895459
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406DG67
        
          
        
        10470.05000000
        PA
        USD
        10936.92000000
        0.002916562073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Floating
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397S7M0
        
          
        
        354818.78000000
        PA
        USD
        407368.04000000
        0.108633342417
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M6T73
        
          
        
        24206.02000000
        PA
        USD
        27063.60000000
        0.007217083907
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206B6
        
          
        
        22000000.00000000
        PA
        USD
        22815973.40000000
        6.084364033426
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-19
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GMN3
        
          
        
        84269.75000000
        PA
        USD
        91288.26000000
        0.024343953951
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418B6G6
        
          
        
        316380.71000000
        PA
        USD
        333334.18000000
        0.088890640795
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138Y7XZ0
        
          
        
        121202.45000000
        PA
        USD
        135736.19000000
        0.036196938784
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XCL6
        
          
        
        26029.44000000
        PA
        USD
        27385.60000000
        0.007302952048
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-10-25
          Floating
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335AZH4
        
          
        
        259765.43000000
        PA
        USD
        280286.12000000
        0.074744248588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W7WP5
        
          
        
        14514.07000000
        PA
        USD
        15917.90000000
        0.004244846211
        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
        31417GFQ4
        
          
        
        418990.50000000
        PA
        USD
        459516.18000000
        0.122539751837
        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
        31342AP86
        
          
        
        19505.60000000
        PA
        USD
        20415.60000000
        0.005444253470
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Floating
          3.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KYL3
        
          
        
        4616.81000000
        PA
        USD
        4718.84000000
        0.001258378937
        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
        3132MAUA7
        
          
        
        14609.73000000
        PA
        USD
        16395.29000000
        0.004372152397
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312946PD2
        
          
        
        4052.11000000
        PA
        USD
        4551.08000000
        0.001213642169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Student Assistance Commision
        549300FKIJ7H0L1PDN43
        Illinois Student Assistance Commission
        452281JD1
        
          
        
        753285.71000000
        PA
        USD
        738744.06000000
        0.197001798247
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-07-25
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDT7
        
          
        
        19323.05000000
        PA
        USD
        20249.14000000
        0.005399863374
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Floating
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BP42
        
          
        
        197437.70000000
        PA
        USD
        215832.99000000
        0.057556452164
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HRMV9
        
          
        
        1280612.51000000
        PA
        USD
        1396041.67000000
        0.372284170269
        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
        3138WJK56
        
          
        
        35289.88000000
        PA
        USD
        37180.91000000
        0.009915079561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0326A7
        
          
        
        5000000.00000000
        PA
        USD
        5271874.00000000
        1.405857203285
        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
        3138W4AP6
        
          
        
        11331.17000000
        PA
        USD
        12427.15000000
        0.003313963562
        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
        312945ZL5
        
          
        
        24412.47000000
        PA
        USD
        27418.55000000
        0.007311738865
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QBJA7
        
          
        
        4355621.12000000
        PA
        USD
        4808569.91000000
        1.282307324771
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292LHC2
        
          
        
        51887.12000000
        PA
        USD
        58276.35000000
        0.015540626811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KDE8
        
          
        
        1001.08000000
        PA
        USD
        1015.51000000
        0.000270807316
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-09-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N4W5
        
          
        
        8189.53000000
        PA
        USD
        9627.93000000
        0.002567492080
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HPY65
        
          
        
        142376.35000000
        PA
        USD
        155209.57000000
        0.041389929274
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Academic Loan Funding Trust
        N/A
        Academic Loan Funding Trust 2013-1
        00389VAA0
        
          
        
        3202412.35000000
        PA
        USD
        3053994.63000000
        0.814412550334
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-12-26
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CKJ4
        
          
        
        23746.05000000
        PA
        USD
        24329.82000000
        0.006488063391
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WVB1
        
          
        
        497031.61000000
        PA
        USD
        76692.08000000
        0.020451572458
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XXZJ8
        
          
        
        35612.60000000
        PA
        USD
        38292.71000000
        0.010211564651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TQQ5
        
          
        
        320.12000000
        PA
        USD
        353.13000000
        0.000094169616
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F9WG6
        
          
        
        43872.95000000
        PA
        USD
        46223.91000000
        0.012326587630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TXK0
        
          
        
        895.32000000
        PA
        USD
        1056.49000000
        0.000281735503
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WSQP6
        
          
        
        12955.97000000
        PA
        USD
        14035.02000000
        0.003742736257
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BTA2
        
          
        
        1271411.03000000
        PA
        USD
        203078.54000000
        0.054155207103
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YEC4
        
          
        
        1576069.15000000
        PA
        USD
        241966.33000000
        0.064525462479
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nassau LTD
        N/A
        Nassau 2019-I Ltd
        63171NAA8
        
          
        
        1000000.00000000
        PA
        USD
        966025.00000000
        0.257611089491
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296GNX5
        
          
        
        2245.32000000
        PA
        USD
        2658.39000000
        0.000708916171
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E22U8
        
          
        
        20112.64000000
        PA
        USD
        22585.78000000
        0.006022978072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31329J6T9
        
          
        
        24187.08000000
        PA
        USD
        26507.55000000
        0.007068801361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BZG2
        
          
        
        733353.21000000
        PA
        USD
        109494.47000000
        0.029199026640
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EDDT5
        
          
        
        93402.74000000
        PA
        USD
        103151.82000000
        0.027507624267
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH54
        
          
        
        2803129.37000000
        PA
        USD
        3023471.88000000
        0.806273010589
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HQXJ6
        
          
        
        342750.92000000
        PA
        USD
        373645.08000000
        0.099640398687
        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
        3132GTYG6
        
          
        
        30883.84000000
        PA
        USD
        32979.92000000
        0.008794796327
        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
        36179SYU5
        
          
        
        546104.78000000
        PA
        USD
        597692.73000000
        0.159387464461
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295JA48
        
          
        
        1415.86000000
        PA
        USD
        1623.93000000
        0.000433055434
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132QMXE6
        
          
        
        38281.22000000
        PA
        USD
        42443.29000000
        0.011318404987
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRK75
        
          
        
        45489.08000000
        PA
        USD
        49832.02000000
        0.013288766816
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YXM1
        
          
        
        1232142.33000000
        PA
        USD
        197375.28000000
        0.052634311658
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WWKV0
        
          
        
        19524.68000000
        PA
        USD
        21413.15000000
        0.005710271370
        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
        3138WJGV4
        
          
        
        303588.28000000
        PA
        USD
        319856.26000000
        0.085296467088
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GDEC2
        
          
        
        5659.63000000
        PA
        USD
        6356.48000000
        0.001695090435
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312946EV4
        
          
        
        2801.68000000
        PA
        USD
        3146.67000000
        0.000839126406
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KD93
        
          
        
        2966.09000000
        PA
        USD
        3011.37000000
        0.000803045787
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJG44
        
          
        
        753352.82000000
        PA
        USD
        803087.37000000
        0.214160308835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BPA8
        
          
        
        260139.61000000
        PA
        USD
        284376.84000000
        0.075835125983
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AYTL7
        
          
        
        904465.09000000
        PA
        USD
        163705.11000000
        0.043655445503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-25
          Floating
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNY8
        
          
        
        2003.85000000
        PA
        USD
        2065.20000000
        0.000550729455
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417NTY7
        
          
        
        9794.18000000
        PA
        USD
        11011.58000000
        0.002936471748
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CMC7
        
          
        
        2956.65000000
        PA
        USD
        3039.53000000
        0.000810555249
        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
        36202KM93
        
          
        
        6780.35000000
        PA
        USD
        6903.54000000
        0.001840975606
        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 I Pool
        36294T2N4
        
          
        
        1685.48000000
        PA
        USD
        1980.87000000
        0.000528241069
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HNTL3
        
          
        
        51392.05000000
        PA
        USD
        56024.32000000
        0.014940075167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933WQ3
        
          
        
        98208.77000000
        PA
        USD
        110434.08000000
        0.029449593608
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412P5Q0
        
          
        
        3215.33000000
        PA
        USD
        3616.61000000
        0.000964445891
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294V4Q0
        
          
        
        1064.75000000
        PA
        USD
        1219.65000000
        0.000325245584
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292LC77
        
          
        
        1461.76000000
        PA
        USD
        1716.81000000
        0.000457823860
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RFC8
        
          
        
        1853.11000000
        PA
        USD
        2188.36000000
        0.000583572685
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KTU9
        
          
        
        11126.42000000
        PA
        USD
        11364.30000000
        0.003030532030
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138APHA9
        
          
        
        13321.53000000
        PA
        USD
        14959.60000000
        0.003989295157
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AUP76
        
          
        
        104945.87000000
        PA
        USD
        117850.48000000
        0.031427334230
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31400GRT4
        
          
        
        2426.73000000
        PA
        USD
        2777.04000000
        0.000740556714
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elmwood CLO IV Ltd
        N/A
        Elmwood CLO IV Ltd
        29002GAB7
        
          
        
        1500000.00000000
        PA
        USD
        1488072.00000000
        0.396826012952
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDF7
        
          
        
        4070.84000000
        PA
        USD
        4190.11000000
        0.001117381850
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Floating
          2.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M6T65
        
          
        
        40026.50000000
        PA
        USD
        45161.48000000
        0.012043268099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292LHH1
        
          
        
        5870.99000000
        PA
        USD
        6593.93000000
        0.001758411522
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L9J22
        
          
        
        3911185.39000000
        PA
        USD
        4209674.11000000
        1.122599036135
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132H7DU5
        
          
        
        597847.74000000
        PA
        USD
        647821.09000000
        0.172755256634
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418QJK0
        
          
        
        3487.06000000
        PA
        USD
        3915.22000000
        0.001044076592
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FTJF9
        
          
        
        348056.92000000
        PA
        USD
        366707.78000000
        0.097790420259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BG65
        
          
        
        453072.76000000
        PA
        USD
        69747.11000000
        0.018599548661
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E0EH4
        
          
        
        473647.49000000
        PA
        USD
        516917.28000000
        0.137846974641
        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
        3138ECUR2
        
          
        
        6665.57000000
        PA
        USD
        7662.24000000
        0.002043299080
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02222A SWAPTION APR21 0.506 CALL
        000000000
        
          
        
        -3100000.00000000
        NC
        USD
        -26499.11000000
        -0.00706655065
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -26499.11000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3100000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            7755.89000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31396YQL9
        
          
        
        415922.30000000
        PA
        USD
        85002.58000000
        0.022667743840
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-25
          Floating
          6.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312932MW3
        
          
        
        1945.75000000
        PA
        USD
        2187.96000000
        0.000583466017
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397UTT6
        
          
        
        80365.81000000
        PA
        USD
        81287.04000000
        0.021676916162
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-25
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MKQH2
        
          
        
        24618.58000000
        PA
        USD
        26999.74000000
        0.007200054281
        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
        3132HQMQ2
        
          
        
        45501.60000000
        PA
        USD
        49602.93000000
        0.013227675100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201XRL4
        
          
        
        1080.75000000
        PA
        USD
        1265.85000000
        0.000337565795
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXC83
        
          
        
        3971609.36000000
        PA
        USD
        4452104.99000000
        1.187248380741
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S5N3
        
          
        
        3122156.21000000
        PA
        USD
        3412213.26000000
        0.909939158393
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292MDS8
        
          
        
        4242.90000000
        PA
        USD
        4978.16000000
        0.001327532125
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPGT5
        
          
        
        107147.59000000
        PA
        USD
        117511.14000000
        0.031336842010
        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
        36179TJX4
        
          
        
        17915.61000000
        PA
        USD
        19119.27000000
        0.005098559535
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933DC5
        
          
        
        4393.81000000
        PA
        USD
        4940.76000000
        0.001317558620
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          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
        
          
        
        1060000.00000000
        OU
        Notional Amount
        USD
        33385.44000000
        0.008902936851
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            33807.78000000
            USD
            0.00000000
            USD
            1060000.00000000
            USD
            -422.34000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SWX1
        
          
        
        11486.51000000
        PA
        USD
        12275.19000000
        0.003273440200
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNK8
        
          
        
        3165.44000000
        PA
        USD
        3260.06000000
        0.000869364259
        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
        36225CEP7
        
          
        
        6645.05000000
        PA
        USD
        6809.67000000
        0.001815943177
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-12-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132DMKC8
        
          
        
        3834930.19000000
        PA
        USD
        4203888.79000000
        1.121056257648
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GQY6
        
          
        
        225072.85000000
        PA
        USD
        39774.92000000
        0.010606827437
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-09-20
          Floating
          5.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382AES0
        
          
        
        1094096.67000000
        PA
        USD
        131564.91000000
        0.035084578353
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UUM2
        
          
        
        461617.11000000
        PA
        USD
        501364.05000000
        0.133699375432
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GJE7
        
          
        
        34555.12000000
        PA
        USD
        37433.09000000
        0.009982328716
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEDP1
        
          
        
        139207.02000000
        PA
        USD
        152176.95000000
        0.040581216723
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        2794906.57000000
        PA
        USD
        3037305.18000000
        0.809961953923
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7L46
        
          
        
        16377.78000000
        PA
        USD
        18416.53000000
        0.004911158984
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31388XVV3
        
          
        
        69196.83000000
        PA
        USD
        68799.45000000
        0.018346834989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Floating
          2.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312945ZK7
        
          
        
        9489.95000000
        PA
        USD
        10658.52000000
        0.002842320798
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312941WE3
        
          
        
        8219.48000000
        PA
        USD
        9367.20000000
        0.002497962886
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SYS0
        
          
        
        17848.30000000
        PA
        USD
        19047.43000000
        0.005079401872
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X4LZ7
        
          
        
        824432.02000000
        PA
        USD
        899847.27000000
        0.239963391838
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HQQ39
        
          
        
        12961.06000000
        PA
        USD
        14129.32000000
        0.003767883355
        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
        31410GDQ3
        
          
        
        22052.53000000
        PA
        USD
        22978.54000000
        0.006127715871
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Floating
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KNU5
        
          
        
        3943.70000000
        PA
        USD
        4004.65000000
        0.001067925001
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-09-20
          Floating
          3.25000000
          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
        
          
        
        1260000.00000000
        OU
        Notional Amount
        USD
        24450.80000000
        0.006520325278
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2045-04-09
            45.36000000
            USD
            0.00000000
            USD
            1260000.00000000
            USD
            24405.44000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L7YL7
        
          
        
        686886.08000000
        PA
        USD
        740718.72000000
        0.197528383288
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KKV6
        
          
        
        7249.28000000
        PA
        USD
        7402.62000000
        0.001974065891
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335AJ33
        
          
        
        702349.92000000
        PA
        USD
        788254.13000000
        0.210204710256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3129413L9
        
          
        
        1694.76000000
        PA
        USD
        1903.24000000
        0.000507539380
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXEE8
        
          
        
        2631431.37000000
        PA
        USD
        2950611.10000000
        0.786843135672
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB62
        
          
        
        21286.73000000
        PA
        USD
        21824.86000000
        0.005820062589
        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 I Pool
        36292LDV3
        
          
        
        856.74000000
        PA
        USD
        1007.87000000
        0.000268769947
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERH60
        
          
        
        272332.17000000
        PA
        USD
        294566.11000000
        0.078552311300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418ACX4
        
          
        
        45977.04000000
        PA
        USD
        51630.58000000
        0.013768391050
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WTX0
        
          
        
        5160.78000000
        PA
        USD
        5804.86000000
        0.001547989243
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292KSV9
        
          
        
        582.47000000
        PA
        USD
        683.42000000
        0.000182248462
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AJX7
        
          
        
        35438.20000000
        PA
        USD
        38469.51000000
        0.010258712127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132H5A73
        
          
        
        94446.71000000
        PA
        USD
        102560.72000000
        0.027349994894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CFU5
        
          
        
        5189.57000000
        PA
        USD
        5323.93000000
        0.001419739041
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-03-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TNV7
        
          
        
        572.29000000
        PA
        USD
        672.14000000
        0.000179240410
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B8EJ4
        
          
        
        449939.91000000
        PA
        USD
        66489.51000000
        0.017730840413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-25
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132WJJJ1
        
          
        
        62654.92000000
        PA
        USD
        67486.99000000
        0.017996839647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WTT97
        
          
        
        236669.45000000
        PA
        USD
        259560.64000000
        0.069217359032
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YJG0
        
          
        
        1006132.16000000
        PA
        USD
        157200.10000000
        0.041920746387
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9UC4
        
          
        
        84713.90000000
        PA
        USD
        93553.46000000
        0.024948017656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378YC49
        
          
        
        137633.18000000
        PA
        USD
        9607.99000000
        0.002562174655
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Securities Trust
        N/A
        JPMDB Commercial Mortgage Securities Trust 2017-C7
        46648KAC0
        
          
        
        670000.00000000
        PA
        USD
        505805.11000000
        0.134883678432
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FVA93
        
          
        
        949982.31000000
        PA
        USD
        131028.97000000
        0.034941658566
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RUN7
        
          
        
        1625.89000000
        PA
        USD
        1908.29000000
        0.000508886070
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417CXC4
        
          
        
        51679.85000000
        PA
        USD
        56100.44000000
        0.014960374182
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417G4E3
        
          
        
        370163.36000000
        PA
        USD
        405966.37000000
        0.108259557333
        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
        31417GW77
        
          
        
        408892.72000000
        PA
        USD
        451790.84000000
        0.120479625801
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3131XW4R1
        
          
        
        1297414.35000000
        PA
        USD
        1373268.60000000
        0.366211247339
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NMW5
        
          
        
        2941.04000000
        PA
        USD
        3470.47000000
        0.000925474555
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JGQ40
        
          
        
        14215.35000000
        PA
        USD
        16154.00000000
        0.004307807292
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KNT8
        
          
        
        2589.59000000
        PA
        USD
        2629.61000000
        0.000701241372
        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
        3138NWME6
        
          
        
        19684.06000000
        PA
        USD
        21323.47000000
        0.005686356293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AL97
        
          
        
        19519.23000000
        PA
        USD
        21188.86000000
        0.005650459677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36202TQH2
        
          
        
        3048.25000000
        PA
        USD
        3580.11000000
        0.000954712391
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HP7F5
        
          
        
        33591.47000000
        PA
        USD
        36619.27000000
        0.009765306323
        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
        3138LQ4W1
        
          
        
        8940.48000000
        PA
        USD
        9769.64000000
        0.002605282062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312931D70
        
          
        
        2062.57000000
        PA
        USD
        2321.05000000
        0.000618957293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31401KL29
        
          
        
        67846.24000000
        PA
        USD
        70862.24000000
        0.018896921767
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Floating
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan Trust
        N/A
        Morgan Stanley Mortgage Loan Trust 2004-8AR
        61748HEF4
        
          
        
        238981.20000000
        PA
        USD
        242257.73000000
        0.064603170480
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Variable
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KTJ0
        
          
        
        3422.30000000
        PA
        USD
        3544.40000000
        0.000945189560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379LKS4
        
          
        
        1628228.09000000
        PA
        USD
        268089.22000000
        0.071491686079
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-04-20
          Floating
          5.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292L7E8
        
          
        
        1446.23000000
        PA
        USD
        1705.25000000
        0.000454741140
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128KRS54
        
          
        
        1941.20000000
        PA
        USD
        2231.47000000
        0.000595068883
        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
        312933G73
        
          
        
        1872.65000000
        PA
        USD
        2105.76000000
        0.000561545640
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3129366F9
        
          
        
        1531.75000000
        PA
        USD
        1722.43000000
        0.000459322552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HQFN7
        
          
        
        14681.72000000
        PA
        USD
        16005.07000000
        0.004268091943
        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
        36179VDP2
        
          
        
        11000008.25000000
        PA
        USD
        11586529.79000000
        3.089794324817
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295PUN0
        
          
        
        649.93000000
        PA
        USD
        767.14000000
        0.000204574178
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TZ81
        
          
        
        2155.35000000
        PA
        USD
        2531.41000000
        0.000675054256
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BJMU4
        
          
        
        238913.75000000
        PA
        USD
        49855.14000000
        0.013294932255
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-15
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AYU84
        
          
        
        3752240.79000000
        PA
        USD
        4038335.64000000
        1.076907993016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-04-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        52519.57000000
        PA
        USD
        60175.32000000
        0.016047027505
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BBVK5
        
          
        
        337633.80000000
        PA
        USD
        56169.93000000
        0.014978905167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376MCC9
        
          
        
        170406.86000000
        PA
        USD
        20787.57000000
        0.005543447173
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FQJA2
        
          
        
        378240.80000000
        PA
        USD
        46511.48000000
        0.012403274280
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-25
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226B2
        
          
        
        19000000.00000000
        PA
        USD
        19915708.80000000
        5.310946861593
        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
        3128M9C91
        
          
        
        83142.01000000
        PA
        USD
        93369.70000000
        0.024899014148
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412UHQ6
        
          
        
        4200.42000000
        PA
        USD
        4721.87000000
        0.001259186951
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJQD5
        
          
        
        2572.16000000
        PA
        USD
        2888.89000000
        0.000770383893
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HPZH0
        
          
        
        18167.38000000
        PA
        USD
        19804.91000000
        0.005281400007
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AXT92
        
          
        
        21052.80000000
        PA
        USD
        23641.55000000
        0.006304521573
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2018-BNK15
        06036FAJ0
        
          
        
        800000.00000000
        PA
        USD
        590726.24000000
        0.157529701899
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJQ92
        
          
        
        195031.41000000
        PA
        USD
        205482.30000000
        0.054796220775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02184A SWAPTION MAR20 0.395 CALL
        000000000
        
          
        
        -3000000.00000000
        NC
        USD
        -0.30000000
        -0.00000008000
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.30000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3000000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-09-30
            XXXX
            38099.70000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128QLPD7
        
          
        
        32413.04000000
        PA
        USD
        33902.97000000
        0.009040947220
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Floating
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294XCV6
        
          
        
        7336.32000000
        PA
        USD
        8643.92000000
        0.002305084908
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B0WA0
        
          
        
        746021.10000000
        PA
        USD
        113078.60000000
        0.030154811049
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-25
          Floating
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KP82
        
          
        
        8287.36000000
        PA
        USD
        8458.33000000
        0.002255593392
        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
        36225CQH2
        
          
        
        6855.83000000
        PA
        USD
        7087.69000000
        0.001890083116
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-09-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GL20
        
          
        
        459120.46000000
        PA
        USD
        503527.60000000
        0.134276332005
        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
        36202KKL8
        
          
        
        13846.73000000
        PA
        USD
        14106.34000000
        0.003761755250
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294YNL4
        
          
        
        2093.19000000
        PA
        USD
        2469.99000000
        0.000658675308
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312932Z66
        
          
        
        5130.55000000
        PA
        USD
        5769.22000000
        0.001538485080
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KE84
        
          
        
        2995.64000000
        PA
        USD
        3042.28000000
        0.000811288595
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-08-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TNR2
        
          
        
        16603.55000000
        PA
        USD
        17719.06000000
        0.004725163791
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TAL9
        
          
        
        4717776.56000000
        PA
        USD
        5084890.81000000
        1.355994163206
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214698  IRS CAD R F   .84000 2 CCPVANILLA / Short: SR214698  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        14480000.00000000
        OU
        Notional Amount
        
        13928.12000000
        0.003714229101
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-24
            6102.44000000
            CAD
            0.00000000
            CAD
            14480000.00000000
            CAD
            9426.88000000
          
        
        
          N
          N
          N
        
      
      
        Arbor Realty Collateralized Loan Obligation Ltd
        N/A
        Arbor Realty Commercial Real Estate Notes 2018-FL1 Ltd
        03879XAA7
        
          
        
        1300000.00000000
        PA
        USD
        1283789.91000000
        0.342349853672
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-06-15
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CPN0
        
          
        
        31956.90000000
        PA
        USD
        33028.19000000
        0.008807668548
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MJGD5
        
          
        
        11155.70000000
        PA
        USD
        12220.76000000
        0.003258925284
        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
        312943DV2
        
          
        
        11926.40000000
        PA
        USD
        13675.50000000
        0.003646862611
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300Z3WHVYABE20I45
        Magnetite XVI Ltd
        55953RAL5
        
          
        
        1485061.34000000
        PA
        USD
        1473452.62000000
        0.392927444686
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-18
          Floating
          1.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CE44
        
          
        
        14102.45000000
        PA
        USD
        14463.77000000
        0.003857071553
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-01-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SAU1
        
          
        
        1261.02000000
        PA
        USD
        1491.77000000
        0.000397812163
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02334A SWAPTION MAY21 0.448 PUT
        000000000
        
          
        
        -4100000.00000000
        NC
        USD
        -21607.00000000
        -0.00576196559
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    4100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -21607.00000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4100000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            21422.50000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201UT53
        
          
        
        4570.55000000
        PA
        USD
        5146.19000000
        0.001372340894
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
        
        4061337.99000000
        PA
        USD
        4379313.95000000
        1.167837103476
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CEF9
        
          
        
        2170.90000000
        PA
        USD
        2223.42000000
        0.000592922179
        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
        36202KL45
        
          
        
        13560.03000000
        PA
        USD
        13820.53000000
        0.003685537942
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-06-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TLS2
        
          
        
        874837.02000000
        PA
        USD
        933612.73000000
        0.248967669096
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BBF9
        
          
        
        4573637.67000000
        PA
        USD
        478639.41000000
        0.127639367390
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T2R5
        
          
        
        1962.24000000
        PA
        USD
        2331.39000000
        0.000621714673
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EWUP8
        
          
        
        168316.58000000
        PA
        USD
        182058.40000000
        0.048549740198
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ALXD4
        
          
        
        74400.92000000
        PA
        USD
        83105.04000000
        0.022161724486
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KMP7
        
          
        
        8340.43000000
        PA
        USD
        8489.43000000
        0.002263886867
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXHZ8
        
          
        
        2149870.20000000
        PA
        USD
        2416162.58000000
        0.644321083432
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312930XX3
        
          
        
        13139.50000000
        PA
        USD
        14786.12000000
        0.003943033029
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620AQNX7
        
          
        
        263493.64000000
        PA
        USD
        295570.09000000
        0.078820043897
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AN2A4
        
          
        
        1731724.28000000
        PA
        USD
        349557.55000000
        0.093216947072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-25
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYS8
        
          
        
        2606.81000000
        PA
        USD
        3059.14000000
        0.000815784672
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TAM7
        
          
        
        536703.61000000
        PA
        USD
        586564.88000000
        0.156419986847
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-06-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206A2
        
          
        
        12000000.00000000
        PA
        USD
        12409942.80000000
        3.309374897377
        Long
        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 I Pool
        36294QAV3
        
          
        
        2278.73000000
        PA
        USD
        2648.34000000
        0.000706236125
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31349ULB2
        
          
        
        8757.12000000
        PA
        USD
        9177.19000000
        0.002447292683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Floating
          3.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GJ4Z9
        
          
        
        56358.05000000
        PA
        USD
        63105.08000000
        0.016828310252
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292MA78
        
          
        
        8813.74000000
        PA
        USD
        9747.36000000
        0.002599340627
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NA99
        
          
        
        8549.38000000
        PA
        USD
        10304.60000000
        0.002747940511
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FU63
        
          
        
        662115.21000000
        PA
        USD
        725328.81000000
        0.193424336827
        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 I Pool
        36294T4V4
        
          
        
        689.87000000
        PA
        USD
        797.22000000
        0.000212595649
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9DF6
        
          
        
        5092.32000000
        PA
        USD
        5719.37000000
        0.001525191518
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WF3A2
        
          
        
        19595.81000000
        PA
        USD
        21161.77000000
        0.005643235553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31349UEJ3
        
          
        
        9837.32000000
        PA
        USD
        10245.57000000
        0.002732198908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Floating
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0406B8
        
          
        
        -10000000.00000000
        PA
        USD
        -10676174.00000000
        -2.84702861286
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        211663.52000000
        PA
        USD
        267409.07000000
        0.071310309632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379TU80
        
          
        
        436945.46000000
        PA
        USD
        79654.50000000
        0.021241564688
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Floating
          5.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHM66
        
          
        
        212151.72000000
        PA
        USD
        223520.01000000
        0.059606359358
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B0LQ7
        
          
        
        802200.39000000
        PA
        USD
        134704.45000000
        0.035921803394
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-25
          Floating
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FQHS5
        
          
        
        329689.04000000
        PA
        USD
        39927.55000000
        0.010647529469
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-25
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379M4U5
        
          
        
        541919.73000000
        PA
        USD
        80371.30000000
        0.021432714636
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-16
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132AC3G3
        
          
        
        4351448.36000000
        PA
        USD
        4760956.42000000
        1.269610176112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379VUJ1
        
          
        
        565636.13000000
        PA
        USD
        49881.41000000
        0.013301937709
        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
        31335ARL4
        
          
        
        936739.12000000
        PA
        USD
        1038958.03000000
        0.277060231406
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FY69
        
          
        
        209825.56000000
        PA
        USD
        230120.35000000
        0.061366480244
        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 I Pool
        36295ERS8
        
          
        
        580.64000000
        PA
        USD
        685.16000000
        0.000182712470
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CBA3
        
          
        
        4819.38000000
        PA
        USD
        4956.86000000
        0.001321852027
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-01-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CCG9
        
          
        
        4118.50000000
        PA
        USD
        4224.88000000
        0.001126654009
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AER5
        
          
        
        18280.67000000
        PA
        USD
        20592.90000000
        0.005491534282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SNV5
        
          
        
        782986.73000000
        PA
        USD
        836747.80000000
        0.223136577612
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FWBW9
        
          
        
        1486085.10000000
        PA
        USD
        125674.65000000
        0.033513815385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291Q6N9
        
          
        
        1239.50000000
        PA
        USD
        1457.68000000
        0.000388721340
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KRG8
        
          
        
        6359.82000000
        PA
        USD
        6562.64000000
        0.001750067379
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-06-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36209GR58
        
          
        
        387.73000000
        PA
        USD
        439.86000000
        0.000117298013
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128K7UX4
        
          
        
        4742.51000000
        PA
        USD
        5302.33000000
        0.001413978942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HLR70
        
          
        
        11360.60000000
        PA
        USD
        12363.30000000
        0.003296936603
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132QSGY8
        
          
        
        17114.12000000
        PA
        USD
        18498.17000000
        0.004932930024
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TCZ6
        
          
        
        166944.51000000
        PA
        USD
        181932.42000000
        0.048516144954
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RD89
        
          
        
        64783.98000000
        PA
        USD
        70898.14000000
        0.018906495264
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNM2
        
          
        
        274003.82000000
        PA
        USD
        48913.60000000
        0.013043850611
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4VB4
        
          
        
        29899.96000000
        PA
        USD
        32390.21000000
        0.008637537627
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132H3K44
        
          
        
        118799.57000000
        PA
        USD
        129005.76000000
        0.034402126636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W5HR2
        
          
        
        137698.10000000
        PA
        USD
        149166.46000000
        0.039778405606
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MRS5
        
          
        
        262253.10000000
        PA
        USD
        43457.02000000
        0.011588737629
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          5.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AWBF9
        
          
        
        34462.61000000
        PA
        USD
        38002.80000000
        0.010134253991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HQKU5
        
          
        
        21637.52000000
        PA
        USD
        23587.84000000
        0.006290198660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QAB7
        
          
        
        1072.38000000
        PA
        USD
        1259.07000000
        0.000335757764
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NY2R5
        
          
        
        45302.78000000
        PA
        USD
        49174.85000000
        0.013113518474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TTL3
        
          
        
        4488.04000000
        PA
        USD
        5299.20000000
        0.001413144261
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GEX0
        
          
        
        772697.80000000
        PA
        USD
        837052.89000000
        0.223217936342
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZ30
        
          
        
        15749.85000000
        PA
        USD
        15670.86000000
        0.004178967747
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJZR2
        
          
        
        25318.58000000
        PA
        USD
        27974.83000000
        0.007460082745
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WQQ39
        
          
        
        43246.92000000
        PA
        USD
        47429.86000000
        0.012648179818
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQC3
        
          
        
        907728.67000000
        PA
        USD
        138982.79000000
        0.037062713648
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GVL67
        
          
        
        38814.78000000
        PA
        USD
        41449.13000000
        0.011053291103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TY52
        
          
        
        3418.07000000
        PA
        USD
        4024.81000000
        0.001073301093
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        3250760.92000000
        PA
        USD
        3666252.38000000
        0.977684086813
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHWZ1
        
          
        
        125945.94000000
        PA
        USD
        132694.84000000
        0.035385898193
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KFV2
        
          
        
        6465.55000000
        PA
        USD
        6548.61000000
        0.001746325981
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-09-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TZN8
        
          
        
        1897.20000000
        PA
        USD
        2255.48000000
        0.000601471659
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T2L8
        
          
        
        941.06000000
        PA
        USD
        1105.26000000
        0.000294741060
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312940M30
        
          
        
        2285.57000000
        PA
        USD
        2566.73000000
        0.000684473084
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CME3
        
          
        
        560.88000000
        PA
        USD
        576.61000000
        0.000153765306
        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
        36225CN36
        
          
        
        18637.15000000
        PA
        USD
        19362.40000000
        0.005163395315
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W3FS7
        
          
        
        37210.34000000
        PA
        USD
        40762.89000000
        0.010870290627
        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 I Pool
        36290VMA9
        
          
        
        3185.49000000
        PA
        USD
        3750.94000000
        0.001000267839
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TX61
        
          
        
        1099.41000000
        PA
        USD
        1254.43000000
        0.000334520409
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKW1
        
          
        
        89451.69000000
        PA
        USD
        95461.48000000
        0.025456831725
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WZTZ5
        
          
        
        42633.84000000
        PA
        USD
        47106.68000000
        0.012561997005
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CL20
        
          
        
        6398.55000000
        PA
        USD
        6573.43000000
        0.001752944762
        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
        36179RXE4
        
          
        
        286741.10000000
        PA
        USD
        312190.12000000
        0.083252127990
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B8QW0
        
          
        
        135164.05000000
        PA
        USD
        27736.37000000
        0.007396492320
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-15
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VSH4
        
          
        
        6983548.18000000
        PA
        USD
        7378668.68000000
        1.967678763649
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YLFS5
        
          
        
        95257.08000000
        PA
        USD
        105578.22000000
        0.028154675376
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        2679524.33000000
        PA
        USD
        2911915.99000000
        0.776524262511
        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
        31389AZC0
        
          
        
        2736.74000000
        PA
        USD
        2720.01000000
        0.000725348453
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RQ36
        
          
        
        93280.40000000
        PA
        USD
        101792.48000000
        0.027145127377
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31342A6F1
        
          
        
        10433.31000000
        PA
        USD
        10847.98000000
        0.002892844332
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Floating
          3.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X3XM9
        
          
        
        43987.22000000
        PA
        USD
        48602.05000000
        0.012960769185
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385XK48
        
          
        
        3016.67000000
        PA
        USD
        3150.79000000
        0.000840225092
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Floating
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJ6X1
        
          
        
        173813.52000000
        PA
        USD
        192048.80000000
        0.051213892604
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FFEX5
        
          
        
        948122.01000000
        PA
        USD
        998927.76000000
        0.266385309466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292DTP7
        
          
        
        424.24000000
        PA
        USD
        482.48000000
        0.000128663542
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933QN7
        
          
        
        64405.51000000
        PA
        USD
        72422.89000000
        0.019313102245
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BPDJ5
        
          
        
        1052624.06000000
        PA
        USD
        182386.49000000
        0.048637232367
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-15
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132QNRH4
        
          
        
        104298.09000000
        PA
        USD
        115637.74000000
        0.030837260099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SC96
        
          
        
        13815.57000000
        PA
        USD
        16302.56000000
        0.004347423972
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKP90
        
          
        
        311527.08000000
        PA
        USD
        328220.47000000
        0.087526961383
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002934  CDS USD R F  3.00000 2 CMBX / Short: CX002934  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1200000.00000000
        OU
        Notional Amount
        USD
        -315937.20000000
        -0.08425136647
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            
            sell protection
            2058-09-17
            0.00000000
            USD
            -5505.42000000
            USD
            1200000.00000000
            USD
            -310431.78000000
          
        
        
          N
          N
          N
        
      
      
        TCW Gem Ltd
        N/A
        TCW CLO 2020-1 Ltd
        87190CAG5
        
          
        
        1250000.00000000
        PA
        USD
        1251155.00000000
        0.333647061590
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-04-20
          Floating
          5.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        4352303.37000000
        PA
        USD
        4729772.98000000
        1.261294449343
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CKX3
        
          
        
        14223.85000000
        PA
        USD
        14567.41000000
        0.003884709361
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-08-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201CL51
        
          
        
        177.98000000
        PA
        USD
        194.80000000
        0.000051947558
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GEJ27
        
          
        
        9074.60000000
        PA
        USD
        10192.02000000
        0.002717918662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZG1
        
          
        
        507.34000000
        PA
        USD
        506.09000000
        0.000134959650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-07-01
          Floating
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -101.00000000
        NC
        USD
        -5400.22000000
        -0.00144008339
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                5 Year US Treasury Note
                FVZ0 Comdty
              
            
            2020-12-31
            -12720599.78000000
            USD
            -5400.22000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412Q7C7
        
          
        
        30790.03000000
        PA
        USD
        34632.68000000
        0.009235539894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417C3Z6
        
          
        
        85804.94000000
        PA
        USD
        92093.13000000
        0.024558589636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206A8
        
          
        
        20000000.00000000
        PA
        USD
        20781638.00000000
        5.541865279475
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SDJ3
        
          
        
        331.01000000
        PA
        USD
        380.41000000
        0.000101444408
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KL29
        
          
        
        6168.10000000
        PA
        USD
        6286.60000000
        0.001676455449
        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
        3138EBP58
        
          
        
        492322.57000000
        PA
        USD
        543709.60000000
        0.144991715973
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294R3R8
        
          
        
        156.55000000
        PA
        USD
        184.34000000
        0.000049158177
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CLK0
        
          
        
        7763.69000000
        PA
        USD
        7974.93000000
        0.002126684512
        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 I Pool
        36294TYU3
        
          
        
        3125.19000000
        PA
        USD
        3714.86000000
        0.000990646341
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FRH57
        
          
        
        112710.37000000
        PA
        USD
        118750.03000000
        0.031667218348
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294S4W4
        
          
        
        1955.66000000
        PA
        USD
        2306.32000000
        0.000615029225
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKP74
        
          
        
        22394.04000000
        PA
        USD
        23942.11000000
        0.006384672282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418UV84
        
          
        
        26366.46000000
        PA
        USD
        29657.04000000
        0.007908679781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2011-1
        69338RAA6
        
          
        
        1450417.68000000
        PA
        USD
        1435677.23000000
        0.382853834402
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-06-25
          Floating
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UML3
        
          
        
        3172115.17000000
        PA
        USD
        3379549.93000000
        0.901228787515
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201EMY3
        
          
        
        511.32000000
        PA
        USD
        587.74000000
        0.000156733357
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02746A SWAPTION US0003M MAR21 0.90 CALL
        000000000
        
          
        
        -5000000.00000000
        NC
        USD
        -32905.50000000
        -0.00877495065
        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
                    
                      
                    
                    5000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -32905.50000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5000000.00000000
                  USD
                
              
            
            1.00000000
            0.90000000
            USD
            2021-03-17
            XXXX
            7094.50000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXF23
        
          
        
        3222120.43000000
        PA
        USD
        3611940.94000000
        0.963200787488
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GSDF3
        
          
        
        554367.64000000
        PA
        USD
        612518.50000000
        0.163341071006
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A2K28
        
          
        
        215392.04000000
        PA
        USD
        38449.05000000
        0.010253256034
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QBUW6
        
          
        
        6982584.93000000
        PA
        USD
        7674517.83000000
        2.046573224824
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31408FKE8
        
          
        
        70.36000000
        PA
        USD
        70.56000000
        0.000018816323
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2005-5
        07386HUG4
        
          
        
        206020.30000000
        PA
        USD
        203546.82000000
        0.054280083913
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Variable
          3.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290VKU7
        
          
        
        5128.50000000
        PA
        USD
        6012.15000000
        0.001603267525
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B9HA6
        
          
        
        246583.65000000
        PA
        USD
        42987.54000000
        0.011463540813
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Floating
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQ99
        
          
        
        5536.59000000
        PA
        USD
        5659.37000000
        0.001509191244
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-01-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2018-L1
        61691QAD0
        
          
        
        3800000.00000000
        PA
        USD
        4503244.53000000
        1.200885825544
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-15
          Fixed
          4.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EU5D7
        
          
        
        103159.05000000
        PA
        USD
        115367.96000000
        0.030765317531
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHGK2
        
          
        
        190621.06000000
        PA
        USD
        206183.88000000
        0.054983311987
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002932  CDS USD R F  3.25000 2 CMBX / Short: CX002932  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2400000.00000000
        OU
        Notional Amount
        USD
        -550005.60000000
        -0.14667067813
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                Markit CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -32603.78000000
            USD
            2400000.00000000
            USD
            -517401.82000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WXWH6
        
          
        
        14942.95000000
        PA
        USD
        16388.26000000
        0.004370277698
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132QMS36
        
          
        
        25403.85000000
        PA
        USD
        28165.85000000
        0.007511022287
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT DEC20 XCBT 20201221
        000000000
        
          
        
        1.00000000
        NC
        USD
        -439.35000000
        -0.00011716201
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US 10 Year Ultra Bond
                UXYZ0 Comdty
              
            
            2020-12-21
            160236.23000000
            USD
            -439.35000000
          
        
        
          N
          N
          N
        
      
      
        York CLO Ltd
        549300EJZ6JIZVXIHF06
        York CLO 1 Ltd
        986255AU1
        
          
        
        2100000.00000000
        PA
        USD
        2078155.80000000
        0.554184394577
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-22
          Floating
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L5TH6
        
          
        
        53783.59000000
        PA
        USD
        59276.52000000
        0.015807343390
        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
        3138ETEF9
        
          
        
        682755.06000000
        PA
        USD
        763559.39000000
        0.203619333194
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVN49
        
          
        
        28110.14000000
        PA
        USD
        30829.01000000
        0.008221210480
        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
        31371LHE2
        
          
        
        6078.49000000
        PA
        USD
        6644.07000000
        0.001771782419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HRPU8
        
          
        
        41247.60000000
        PA
        USD
        43945.58000000
        0.011719022532
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2017-P8
        17326DAM4
        
          
        
        1000000.00000000
        PA
        USD
        698090.40000000
        0.186160636119
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        6213284.85000000
        PA
        USD
        6756038.27000000
        1.801641137013
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TTJ8
        
          
        
        6575.67000000
        PA
        USD
        7722.99000000
        0.002059499358
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02333A SWAPTION MAY21 0.448 CALL
        000000000
        
          
        
        -4100000.00000000
        NC
        USD
        -28637.27000000
        -0.00763673644
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    4100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -28637.27000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4100000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            14392.23000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KQU2
        
          
        
        6371.95000000
        PA
        USD
        6548.83000000
        0.001746384649
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-12-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VBJ8
        
          
        
        923002.33000000
        PA
        USD
        990624.02000000
        0.264170940782
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TAS4
        
          
        
        486.34000000
        PA
        USD
        570.14000000
        0.000152039943
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N7E2
        
          
        
        2760.29000000
        PA
        USD
        3241.90000000
        0.000864521509
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A2JK6
        
          
        
        72352.26000000
        PA
        USD
        81236.16000000
        0.021663347929
        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 I Pool
        36184DP80
        
          
        
        260836.90000000
        PA
        USD
        281077.20000000
        0.074955206876
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RE70
        
          
        
        30042.95000000
        PA
        USD
        31741.65000000
        0.008464585325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Floating
          3.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214699  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR214699  IRS CAD P F  1.14000 2 CCPVANILLA
        000000000
        
          
        
        2990000.00000000
        OU
        Notional Amount
        
        2518.11000000
        0.000671507528
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-06-24
            0.00000000
            CAD
            -989.87000000
            CAD
            2990000.00000000
            CAD
            3247.24000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292L6T7
        
          
        
        117130.11000000
        PA
        USD
        125926.22000000
        0.033580901870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HNBY4
        
          
        
        22006.56000000
        PA
        USD
        23990.14000000
        0.006397480502
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEKK4
        
          
        
        81188.16000000
        PA
        USD
        87828.37000000
        0.023421300777
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ENZ93
        
          
        
        503692.33000000
        PA
        USD
        546777.11000000
        0.145809732684
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YK63
        
          
        
        1051.92000000
        PA
        USD
        1238.65000000
        0.000330312337
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECMC Group Student Loan Trust
        N/A
        ECMC Group Student Loan Trust
        26828WAA2
        
          
        
        2552437.52000000
        PA
        USD
        2538307.23000000
        0.676893549323
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-12-27
          Floating
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GXD4
        
          
        
        1370409.59000000
        PA
        USD
        243266.07000000
        0.064872065763
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-10-16
          Floating
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill- When Issued
        912796TU3
        
          
        
        1000000.00000000
        PA
        USD
        999825.00000000
        0.266624577574
        Long
        STIV
        UST
        US
        N
        
        1
        
          2020-12-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZQ9
        
          
        
        6096.98000000
        PA
        USD
        6059.40000000
        0.001615867742
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Floating
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN77
        
          
        
        4422.21000000
        PA
        USD
        4561.01000000
        0.001216290215
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-06-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7P91
        
          
        
        289921.19000000
        PA
        USD
        334111.04000000
        0.089097807019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        907627.50000000
        PA
        USD
        981737.83000000
        0.261801249431
        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
        36179UQ54
        
          
        
        3850168.69000000
        PA
        USD
        4095626.95000000
        1.092185937984
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417ET50
        
          
        
        244540.42000000
        PA
        USD
        270195.86000000
        0.072053466391
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W5HP6
        
          
        
        81343.10000000
        PA
        USD
        88117.86000000
        0.023498499436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMKE0
        
          
        
        89337.76000000
        PA
        USD
        97867.03000000
        0.026098322738
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312940XF1
        
          
        
        9961.91000000
        PA
        USD
        11187.37000000
        0.002983349886
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Bancorp Commercial Mortgage Trust
        5493007HKNHP2VEB5M24
        Bancorp Commercial Mortgage 2018 CRE4 Trust
        05972LAA4
        
          
        
        206019.06000000
        PA
        USD
        203914.88000000
        0.054378234932
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-15
          Floating
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9KY5
        
          
        
        117521.28000000
        PA
        USD
        127309.18000000
        0.033949697535
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GDS86
        
          
        
        10532.18000000
        PA
        USD
        11829.08000000
        0.003154475491
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933AL8
        
          
        
        1126.99000000
        PA
        USD
        1267.28000000
        0.000337947135
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419LZL0
        
          
        
        6243.03000000
        PA
        USD
        7009.59000000
        0.001869256092
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HMWN7
        
          
        
        19587.37000000
        PA
        USD
        20867.80000000
        0.005564842207
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZ22
        
          
        
        7445.03000000
        PA
        USD
        7410.75000000
        0.001976233929
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-01
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X4V37
        
          
        
        3274843.19000000
        PA
        USD
        3565633.22000000
        0.950851850141
        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
        3140X4DF0
        
          
        
        3114652.87000000
        PA
        USD
        3296850.28000000
        0.879175168885
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292M3H3
        
          
        
        771.99000000
        PA
        USD
        907.87000000
        0.000242102823
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417G6M3
        
          
        
        144171.62000000
        PA
        USD
        159297.08000000
        0.042479950655
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M1FV5
        
          
        
        38968.74000000
        PA
        USD
        42302.04000000
        0.011280737674
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYW9
        
          
        
        1516.99000000
        PA
        USD
        1779.15000000
        0.000474448145
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312941GA9
        
          
        
        6352.77000000
        PA
        USD
        7134.25000000
        0.001902499329
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294P7G2
        
          
        
        3261.42000000
        PA
        USD
        3830.47000000
        0.001021476203
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KLA1
        
          
        
        2871.81000000
        PA
        USD
        2933.32000000
        0.000782232096
        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
        3132HREL0
        
          
        
        33502.58000000
        PA
        USD
        36522.37000000
        0.009739465879
        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
        31417GMA1
        
          
        
        39373.76000000
        PA
        USD
        43182.08000000
        0.011515419037
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36225B7J1
        
          
        
        733.57000000
        PA
        USD
        857.83000000
        0.000228758594
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WAH5
        
          
        
        530000.00000000
        PA
        USD
        531480.03000000
        0.141730441315
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N6L7
        
          
        
        9013.30000000
        PA
        USD
        10817.08000000
        0.002884604191
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WRJW1
        
          
        
        27440.96000000
        PA
        USD
        29736.75000000
        0.007929936146
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MVJ0
        
          
        
        567055.66000000
        PA
        USD
        101091.34000000
        0.026958153500
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          6.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ABMY2
        
          
        
        13453.65000000
        PA
        USD
        15107.97000000
        0.004028861169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BA4U5
        
          
        
        1036254.63000000
        PA
        USD
        127988.43000000
        0.034130833979
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WERR2
        
          
        
        835144.93000000
        PA
        USD
        934506.63000000
        0.249206046522
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GEW2
        
          
        
        453378.59000000
        PA
        USD
        491138.78000000
        0.130972589951
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        9127962S7
        
          
        
        17500000.00000000
        PA
        USD
        17499227.20000000
        4.666540704699
        Long
        STIV
        UST
        US
        N
        
        1
        
          2020-10-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FY45
        
          
        
        150920.47000000
        PA
        USD
        29886.77000000
        0.007969942166
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-11-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXD74
        
          
        
        1857643.48000000
        PA
        USD
        2082966.53000000
        0.555467277936
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TUC1
        
          
        
        1340.93000000
        PA
        USD
        1530.72000000
        0.000408199008
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ARZ31
        
          
        
        123572.87000000
        PA
        USD
        138767.94000000
        0.037005419331
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380UBH5
        
          
        
        3118586.36000000
        PA
        USD
        3132629.67000000
        0.835382254354
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-16
          Floating
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ELJT1
        
          
        
        430275.37000000
        PA
        USD
        475416.81000000
        0.126779992636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQTN3
        
          
        
        17030.18000000
        PA
        USD
        18656.09000000
        0.004975042747
        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
        3138WRNS5
        
          
        
        103706.72000000
        PA
        USD
        113737.46000000
        0.030330510066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T2T1
        
          
        
        525.83000000
        PA
        USD
        619.17000000
        0.000165114834
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SS57
        
          
        
        956.93000000
        PA
        USD
        1073.40000000
        0.000286244914
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMWQ0
        
          
        
        52302.94000000
        PA
        USD
        57361.80000000
        0.015296742623
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2014-3
        69340JAA0
        
          
        
        3315469.52000000
        PA
        USD
        3303247.37000000
        0.880881088840
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-08-25
          Floating
          0.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380UM67
        
          
        
        954596.55000000
        PA
        USD
        158177.22000000
        0.042181316194
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Floating
          5.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137ABF48
        
          
        
        305501.02000000
        PA
        USD
        52338.10000000
        0.013957066290
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-15
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HQJB9
        
          
        
        27550.36000000
        PA
        USD
        30033.64000000
        0.008009108171
        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
        36179R4G1
        
          
        
        1099776.11000000
        PA
        USD
        1213977.19000000
        0.323732808710
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YL88
        
          
        
        1696.63000000
        PA
        USD
        1935.76000000
        0.000516211529
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300G09B8CGBRMLL31
        Sound Point CLO XVIII Ltd
        83609TAC1
        
          
        
        850000.00000000
        PA
        USD
        815786.65000000
        0.217546841644
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-21
          Floating
          1.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHU26
        
          
        
        304791.97000000
        PA
        USD
        321124.45000000
        0.085634656894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3129356C8
        
          
        
        8617.74000000
        PA
        USD
        9690.50000000
        0.002584177700
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKUQ6
        
          
        
        238484.69000000
        PA
        USD
        263504.81000000
        0.070269155757
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CMN3
        
          
        
        4870.25000000
        PA
        USD
        5012.38000000
        0.001336657615
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-01-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W5HM3
        
          
        
        717368.34000000
        PA
        USD
        777115.24000000
        0.207234288592
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FPV4
        
          
        
        529624.64000000
        PA
        USD
        573735.08000000
        0.152998648107
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)DEC20 XCBT 20201221
        000000000
        
          
        
        53.00000000
        NC
        USD
        -7436.10000000
        -0.00198299404
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYZ0 Comdty
              
            
            2020-12-21
            7400936.10000000
            USD
            -7436.10000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312936NA1
        
          
        
        2371.40000000
        PA
        USD
        2666.60000000
        0.000711105542
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AWRQ8
        
          
        
        94372.34000000
        PA
        USD
        105976.78000000
        0.028260959868
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YKCT8
        
          
        
        24668.81000000
        PA
        USD
        27341.69000000
        0.007291242513
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCD2
        
          
        
        1264028.27000000
        PA
        USD
        1377210.88000000
        0.367262540055
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W0FU8
        
          
        
        17341.53000000
        PA
        USD
        18997.16000000
        0.005065996309
        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
        31418CFD1
        
          
        
        1561505.71000000
        PA
        USD
        1645180.04000000
        0.438722209585
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002933  CDS USD R F  3.00000 2 CMBX / Short: CX002933  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2450000.00000000
        OU
        Notional Amount
        USD
        -602864.15000000
        -0.16076653347
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                Markit CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -7301.76000000
            USD
            2450000.00000000
            USD
            -595562.39000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CNM4
        
          
        
        11375.81000000
        PA
        USD
        11723.09000000
        0.003126211006
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0506A9
        
          
        
        -15000000.00000000
        PA
        USD
        -16433254.50000000
        -4.38227643760
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MPDQ5
        
          
        
        16293.82000000
        PA
        USD
        17849.43000000
        0.004759929721
        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
        3132QTF76
        
          
        
        23667.68000000
        PA
        USD
        25581.73000000
        0.006821911789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJMN7
        
          
        
        1915.98000000
        PA
        USD
        2154.49000000
        0.000574540530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312938S46
        
          
        
        3190.16000000
        PA
        USD
        3587.28000000
        0.000956624423
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2005-16
        41161PYW7
        
          
        
        62775.29000000
        PA
        USD
        58339.87000000
        0.015557565768
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-19
          Floating
          0.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132H3LK7
        
          
        
        77404.57000000
        PA
        USD
        84054.47000000
        0.022414910166
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381Y7J7
        
          
        
        1624258.68000000
        PA
        USD
        188533.39000000
        0.050276433843
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128K7MY1
        
          
        
        1775.64000000
        PA
        USD
        1985.26000000
        0.000529411755
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GESE1
        
          
        
        2031.13000000
        PA
        USD
        2281.24000000
        0.000608341111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZ55
        
          
        
        7745.78000000
        PA
        USD
        7708.64000000
        0.002055672626
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933G65
        
          
        
        3372.58000000
        PA
        USD
        3792.41000000
        0.001011326696
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CCU8
        
          
        
        5990.78000000
        PA
        USD
        6146.41000000
        0.001639070807
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-06-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TUN7
        
          
        
        2880.25000000
        PA
        USD
        3450.53000000
        0.000920157131
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MN5G1
        
          
        
        20186.59000000
        PA
        USD
        22113.85000000
        0.005897127912
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380W4A4
        
          
        
        1348381.36000000
        PA
        USD
        219948.78000000
        0.058654015008
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HPZ49
        
          
        
        25221.20000000
        PA
        USD
        27494.54000000
        0.007332003213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -234.00000000
        NC
        USD
        -24925.77000000
        -0.00664698611
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                2 Year US Treasury Note
                TUZ0 Comdty
              
            
            2020-12-31
            -51676277.24000000
            USD
            -24925.77000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BDB6
        
          
        
        4131828.41000000
        PA
        USD
        357393.65000000
        0.095306609615
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XII Ltd
        55818PAL4
        
          
        
        303589.44000000
        PA
        USD
        303530.85000000
        0.080942949678
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-07-20
          Floating
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132Y0MD9
        
          
        
        2679925.03000000
        PA
        USD
        2890741.63000000
        0.770877669567
        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
        3140EU7G8
        
          
        
        663234.17000000
        PA
        USD
        719344.05000000
        0.191828373427
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371K7L9
        
          
        
        18392.56000000
        PA
        USD
        20103.91000000
        0.005361134709
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417KUM7
        
          
        
        3548.80000000
        PA
        USD
        3911.12000000
        0.001042983239
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X0BZ0
        
          
        
        315412.96000000
        PA
        USD
        341682.52000000
        0.091116903017
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HBFN3
        
          
        
        708824.62000000
        PA
        USD
        792635.62000000
        0.211373127650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYJ8
        
          
        
        559.68000000
        PA
        USD
        657.11000000
        0.000175232341
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GD5K4
        
          
        
        5126.21000000
        PA
        USD
        5757.38000000
        0.001535327692
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIEMAC STRIP
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325UP26
        
          
        
        175590.38000000
        PA
        USD
        10140.54000000
        0.002704190427
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJTG3
        
          
        
        551743.83000000
        PA
        USD
        581309.39000000
        0.155018498785
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        549300RCJSGOC0A85G53
        New Residential Mortgage Loan Trust 2015-1
        64829CAA6
        
          
        
        184974.80000000
        PA
        USD
        197521.62000000
        0.052673336328
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-28
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306B9
        
          
        
        16000000.00000000
        PA
        USD
        16765620.80000000
        4.470908972640
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132M9MM3
        
          
        
        493794.25000000
        PA
        USD
        545301.68000000
        0.145416277929
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2018-L1
        61691QAN8
        
          
        
        900000.00000000
        PA
        USD
        762320.70000000
        0.203289010190
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380WG86
        
          
        
        2026725.87000000
        PA
        USD
        255196.81000000
        0.068053651053
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2018-BNK15
        06036FBC4
        
          
        
        900000.00000000
        PA
        USD
        1079872.52000000
        0.287970949395
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-11-15
          Variable
          4.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379NJV5
        
          
        
        61617.39000000
        PA
        USD
        2739.64000000
        0.000730583209
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXES7
        
          
        
        4135191.60000000
        PA
        USD
        4611670.71000000
        1.229799969960
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31359X3X5
        
          
        
        106491.70000000
        PA
        USD
        129604.56000000
        0.034561809378
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-25
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-38
        12667GY98
        
          
        
        64920.58000000
        PA
        USD
        55709.05000000
        0.014856001723
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B6V32
        
          
        
        2589161.90000000
        PA
        USD
        472339.25000000
        0.125959295879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-12-15
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622A23Q3
        
          
        
        300634.21000000
        PA
        USD
        320832.24000000
        0.085556732890
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YKJ5
        
          
        
        521.16000000
        PA
        USD
        611.47000000
        0.000163061466
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294R5M7
        
          
        
        801.71000000
        PA
        USD
        942.52000000
        0.000251342981
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HP2U7
        
          
        
        41604.13000000
        PA
        USD
        45354.16000000
        0.012094650315
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378W2X0
        
          
        
        64091.24000000
        PA
        USD
        12611.32000000
        0.003363076406
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-09-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292L5H3
        
          
        
        1918.65000000
        PA
        USD
        2265.76000000
        0.000604213040
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933R63
        
          
        
        1200.12000000
        PA
        USD
        1349.51000000
        0.000359875511
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT DEC20 XCBT 20201221
        000000000
        
          
        
        -6.00000000
        NC
        USD
        -2484.83000000
        -0.00066263270
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Ultra Long Bond
                WNZ0 Comdty
              
            
            2020-12-21
            -1325952.67000000
            USD
            -2484.83000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295ERY5
        
          
        
        2889.17000000
        PA
        USD
        3402.03000000
        0.000907223575
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RJF7
        
          
        
        50636.12000000
        PA
        USD
        55256.80000000
        0.014735399653
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MA4F2
        
          
        
        10250.38000000
        PA
        USD
        11127.18000000
        0.002967298944
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CM29
        
          
        
        2008.46000000
        PA
        USD
        2066.30000000
        0.000551022793
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-02-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXED0
        
          
        
        2511597.05000000
        PA
        USD
        2777450.60000000
        0.740666209545
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2020-C55
        95002EAA5
        
          
        
        500000.00000000
        PA
        USD
        400659.95000000
        0.106844487705
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E23U7
        
          
        
        52100.87000000
        PA
        USD
        58507.43000000
        0.015602249202
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31394EUH9
        
          
        
        663470.39000000
        PA
        USD
        769486.85000000
        0.205200016333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMZQ7
        
          
        
        11555.47000000
        PA
        USD
        12658.70000000
        0.003375711289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L5TJ2
        
          
        
        15944.57000000
        PA
        USD
        17574.46000000
        0.004686603129
        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 REMICS
        3137FW6P0
        
          
        
        363553.46000000
        PA
        USD
        49161.33000000
        0.013109913079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ABYE3
        
          
        
        7471.22000000
        PA
        USD
        8389.91000000
        0.002237347745
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202K3W3
        
          
        
        249.20000000
        PA
        USD
        254.06000000
        0.000067750496
        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
        3138WN5M7
        
          
        
        44917.77000000
        PA
        USD
        49262.32000000
        0.013136844208
        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
        3138ET6A9
        
          
        
        2080533.81000000
        PA
        USD
        2316661.52000000
        0.617787011879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292LHG3
        
          
        
        8521.54000000
        PA
        USD
        9570.86000000
        0.002552273152
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X0Y93
        
          
        
        82526.00000000
        PA
        USD
        89399.28000000
        0.023840217303
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XXG26
        
          
        
        82170.06000000
        PA
        USD
        90713.72000000
        0.024190740654
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AY80
        
          
        
        8748.36000000
        PA
        USD
        8693.21000000
        0.002318229134
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Floating
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GES84
        
          
        
        17212.23000000
        PA
        USD
        19331.69000000
        0.005155205841
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PBX0
        
          
        
        1275.40000000
        PA
        USD
        1496.92000000
        0.000399185520
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SEG8
        
          
        
        2885012.60000000
        PA
        USD
        3047321.16000000
        0.812632927780
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TY45
        
          
        
        5537.27000000
        PA
        USD
        6507.71000000
        0.001735419128
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RAZ2
        
          
        
        1351093.11000000
        PA
        USD
        116075.65000000
        0.030954038104
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Floating
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T3P8
        
          
        
        4928.04000000
        PA
        USD
        5817.38000000
        0.001551327967
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CK70
        
          
        
        2949.29000000
        PA
        USD
        3022.52000000
        0.000806019171
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-09-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31396VQY7
        
          
        
        323296.77000000
        PA
        USD
        74378.59000000
        0.019834631199
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-25
          Floating
          6.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CN28
        
          
        
        18137.05000000
        PA
        USD
        18680.53000000
        0.004981560193
        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
        3128MJL57
        
          
        
        2871.09000000
        PA
        USD
        3228.49000000
        0.000860945447
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312938S38
        
          
        
        3306.54000000
        PA
        USD
        3718.15000000
        0.000991523689
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HQV33
        
          
        
        15099.44000000
        PA
        USD
        16460.44000000
        0.004389526028
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376VHU4
        
          
        
        284887.88000000
        PA
        USD
        56482.38000000
        0.015062226597
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-02-20
          Floating
          6.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379EW73
        
          
        
        457214.12000000
        PA
        USD
        63944.18000000
        0.017052074093
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-10-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YFQY3
        
          
        
        36965.93000000
        PA
        USD
        40994.31000000
        0.010932003687
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3133TCZR2
        
          
        
        28663.90000000
        PA
        USD
        32217.26000000
        0.008591416836
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FDX1
        
          
        
        262772.76000000
        PA
        USD
        299768.85000000
        0.079939732454
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31386QEQ0
        
          
        
        4315.52000000
        PA
        USD
        4290.02000000
        0.001144024974
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-01-01
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CL46
        
          
        
        11854.27000000
        PA
        USD
        12178.12000000
        0.003247554422
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2029-11-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WDSQ5
        
          
        
        20507.89000000
        PA
        USD
        22101.87000000
        0.005893933190
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206B0
        
          
        
        20000000.00000000
        PA
        USD
        20641050.00000000
        5.504374502477
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294V3W8
        
          
        
        1415.64000000
        PA
        USD
        1653.26000000
        0.000440876902
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312931EM6
        
          
        
        5938.11000000
        PA
        USD
        6677.30000000
        0.001780643904
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHNT5
        
          
        
        549078.96000000
        PA
        USD
        593907.25000000
        0.158377985797
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312931GB8
        
          
        
        706.45000000
        PA
        USD
        794.36000000
        0.000211832970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292L5P5
        
          
        
        984.44000000
        PA
        USD
        1150.96000000
        0.000306927936
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TWR6
        
          
        
        868.78000000
        PA
        USD
        997.52000000
        0.000266009900
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XYCR3
        
          
        
        23346.68000000
        PA
        USD
        25715.79000000
        0.006857661736
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X36W7
        
          
        
        179431.49000000
        PA
        USD
        194375.66000000
        0.051834399258
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02748A SWAPTION US0003M MAR21 1.10 CALL
        000000000
        
          
        
        5000000.00000000
        NC
        USD
        53099.00000000
        0.014159976440
        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
                    
                      
                    
                    5000000.00000000
                    OU
                    Notional Amount
                    N/A
                    53099.00000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5000000.00000000
                  USD
                
              
            
            1.00000000
            1.10000000
            USD
            2021-03-17
            XXXX
            -6901.00000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2019-3 Trust
        949831AA9
        
          
        
        236583.83000000
        PA
        USD
        242285.67000000
        0.064610621274
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M8GU1
        
          
        
        103328.35000000
        PA
        USD
        112166.84000000
        0.029911670875
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02208A SWAPTION OCT20 0.395 CALL
        000000000
        
          
        
        -3000000.00000000
        NC
        USD
        -0.30000000
        -0.00000008000
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.30000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3000000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-10-02
            XXXX
            27149.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417HBY9
        
          
        
        43279.51000000
        PA
        USD
        46884.10000000
        0.012502641319
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312938EM1
        
          
        
        5830.95000000
        PA
        USD
        6556.58000000
        0.001748451351
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CQN9
        
          
        
        10390.42000000
        PA
        USD
        10680.54000000
        0.002848192899
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-10-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BNHN7
        
          
        
        569558.52000000
        PA
        USD
        644132.35000000
        0.171771575746
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-15
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UV74
        
          
        
        6999999.84000000
        PA
        USD
        7328624.42000000
        1.954333398527
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292LD76
        
          
        
        277.01000000
        PA
        USD
        326.75000000
        0.000087134829
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132VNZ63
        
          
        
        4037254.29000000
        PA
        USD
        4267945.18000000
        1.138138254922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132QUC50
        
          
        
        42668.63000000
        PA
        USD
        46092.66000000
        0.012291587029
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cutwater Ltd
        254900Z407FNBKBWKE10
        Cutwater 2014-I Ltd
        23222TAL4
        
          
        
        488964.33000000
        PA
        USD
        487134.63000000
        0.129904798285
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-07-15
          Floating
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36206PUJ7
        
          
        
        3463.85000000
        PA
        USD
        3680.88000000
        0.000981584852
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-04-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BBVP4
        
          
        
        2219153.92000000
        PA
        USD
        189429.20000000
        0.050515320611
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CBN5
        
          
        
        5118.22000000
        PA
        USD
        5243.12000000
        0.001398189338
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-02-20
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132AD3L0
        
          
        
        3870871.15000000
        PA
        USD
        4242407.43000000
        1.131328071334
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GDL4
        
          
        
        11585.99000000
        PA
        USD
        12134.26000000
        0.003235858221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Floating
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9AY6
        
          
        
        559008.51000000
        PA
        USD
        605566.22000000
        0.161487097842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AXB95
        
          
        
        1067628.20000000
        PA
        USD
        194651.47000000
        0.051907949854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-09-25
          Floating
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390NJT0
        
          
        
        5999.37000000
        PA
        USD
        5962.15000000
        0.001589933963
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMP47
        
          
        
        8920.54000000
        PA
        USD
        9783.35000000
        0.002608938125
        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
        3138W1JV0
        
          
        
        228301.01000000
        PA
        USD
        247829.40000000
        0.066088974656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132Y1DA3
        
          
        
        2461372.77000000
        PA
        USD
        2654996.93000000
        0.708011336906
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HLMY6
        
          
        
        27075.31000000
        PA
        USD
        29465.00000000
        0.007857468235
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AK6U8
        
          
        
        29782.96000000
        PA
        USD
        33445.21000000
        0.008918875791
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9BD1
        
          
        
        123092.89000000
        PA
        USD
        133344.83000000
        0.035559231836
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AGL89
        
          
        
        36413.82000000
        PA
        USD
        40891.43000000
        0.010904568549
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YLR6
        
          
        
        696.96000000
        PA
        USD
        821.79000000
        0.000219147762
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31334YFD4
        
          
        
        1019231.61000000
        PA
        USD
        1113421.76000000
        0.296917566996
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPB2
        
          
        
        2004419.69000000
        PA
        USD
        2158690.45000000
        0.575660669962
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137AU6Q7
        
          
        
        198947.87000000
        PA
        USD
        199158.73000000
        0.053109906490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-15
          Floating
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HQBC5
        
          
        
        349520.58000000
        PA
        USD
        381024.93000000
        0.101608392475
        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 I Pool
        36290TWX3
        
          
        
        599.89000000
        PA
        USD
        671.61000000
        0.000179099074
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X3EU2
        
          
        
        248378.44000000
        PA
        USD
        269064.94000000
        0.071751882546
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294ST49
        
          
        
        4526.20000000
        PA
        USD
        5349.78000000
        0.001426632493
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9BZ4
        
          
        
        15805.67000000
        PA
        USD
        17751.93000000
        0.004733929275
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKF83
        
          
        
        435760.35000000
        PA
        USD
        468375.79000000
        0.124902355066
        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
        31418CCW2
        
          
        
        58007.02000000
        PA
        USD
        62742.87000000
        0.016731719260
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002955  CDS USD R F  2.00000 2 CMBX / Short: CX002955  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2500000.00000000
        OU
        Notional Amount
        USD
        -234037.50000000
        -0.06241107151
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                Markit CMBX.NA.A.11
                137BEOAK0
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -393255.88000000
            USD
            2500000.00000000
            USD
            159218.38000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KCK5
        
          
        
        2437.10000000
        PA
        USD
        2854.02000000
        0.000761085066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO II, Ltd.
        549300RT6H1EOIYTDV62
        Halseypoint Clo 2 Ltd
        40638TAA0
        
          
        
        1850000.00000000
        PA
        USD
        1853851.70000000
        0.494368940962
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CA97
        
          
        
        7554.87000000
        PA
        USD
        7738.02000000
        0.002063507427
        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
        3138NXP35
        
          
        
        10712.00000000
        PA
        USD
        11628.28000000
        0.003100927905
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCH5
        
          
        
        327041.81000000
        PA
        USD
        344566.56000000
        0.091885993555
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312940A41
        
          
        
        4349.44000000
        PA
        USD
        4884.49000000
        0.001302553029
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LYCW5
        
          
        
        66911.50000000
        PA
        USD
        72634.97000000
        0.019369657883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANNR0
        
          
        
        212819.45000000
        PA
        USD
        238988.68000000
        0.063731408846
        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
        31418BZY5
        
          
        
        139747.87000000
        PA
        USD
        152514.46000000
        0.040671220935
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377DKS4
        
          
        
        670219.25000000
        PA
        USD
        126688.26000000
        0.033784116026
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-08-20
          Floating
          5.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292N6W5
        
          
        
        7580.10000000
        PA
        USD
        8899.69000000
        0.002373291412
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CAY0
        
          
        
        48868.73000000
        PA
        USD
        52858.51000000
        0.014095844672
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RB1
        95000TAC0
        
          
        
        300000.00000000
        PA
        USD
        261066.45000000
        0.069618915260
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKFB6
        
          
        
        87379.50000000
        PA
        USD
        96546.74000000
        0.025746239360
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pikes Peak CLO
        635400BKNXKWEO3G2J74
        Pikes Peak CLO 6
        72132YAE5
        
          
        
        800000.00000000
        PA
        USD
        806604.80000000
        0.215098306272
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-08-18
          Floating
          4.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418RGD7
        
          
        
        71362.75000000
        PA
        USD
        80125.15000000
        0.021367073509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290VKV5
        
          
        
        928.53000000
        PA
        USD
        1088.52000000
        0.000290276983
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02221A SWAPTION APR21 0.506 PUT
        000000000
        
          
        
        -3100000.00000000
        NC
        USD
        -10349.04000000
        -0.00275979138
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -10349.04000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3100000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            23905.96000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312940RF8
        
          
        
        4732.32000000
        PA
        USD
        5314.46000000
        0.001417213664
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0FJ3
        
          
        
        850000.00000000
        PA
        USD
        860102.42000000
        0.229364583205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-25
          Floating
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAE9
        
          
        
        600000.00000000
        PA
        USD
        592739.40000000
        0.158066553783
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          3.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QAX9
        
          
        
        855.36000000
        PA
        USD
        1006.14000000
        0.000268308606
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERRV4
        
          
        
        365423.74000000
        PA
        USD
        395082.59000000
        0.105357166169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F5CV3
        
          
        
        182839.38000000
        PA
        USD
        192636.95000000
        0.051370735297
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31386G7J6
        
          
        
        6821.70000000
        PA
        USD
        6781.66000000
        0.001808473715
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS Mortgage Trust 2018-C2
        05491UBC1
        
          
        
        2650000.00000000
        PA
        USD
        3080166.60000000
        0.821391862159
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-12-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132WHNX9
        
          
        
        38122.74000000
        PA
        USD
        41062.84000000
        0.010950278667
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WU3E1
        
          
        
        72461.64000000
        PA
        USD
        78942.91000000
        0.021051804096
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294Q6Z9
        
          
        
        950.52000000
        PA
        USD
        1119.94000000
        0.000298655794
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YF7G3
        
          
        
        408097.34000000
        PA
        USD
        449728.94000000
        0.119929776361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417ACS6
        
          
        
        116787.69000000
        PA
        USD
        128784.75000000
        0.034343189624
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YDZ28
        
          
        
        17966.76000000
        PA
        USD
        19287.39000000
        0.005143392304
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GEK58
        
          
        
        679.80000000
        PA
        USD
        763.51000000
        0.000203606162
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225CB54
        
          
        
        18316.67000000
        PA
        USD
        18786.79000000
        0.005009896679
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2027-04-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M8BM5
        
          
        
        978.36000000
        PA
        USD
        1100.15000000
        0.000293378370
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31329KC51
        
          
        
        11236.06000000
        PA
        USD
        12308.71000000
        0.003282379020
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HQPN6
        
          
        
        474166.11000000
        PA
        USD
        516905.50000000
        0.137843833254
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          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
        
          
        
        1280000.00000000
        OU
        Notional Amount
        USD
        -20744.96000000
        -0.00553208431
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-04-10
            46.08000000
            USD
            0.00000000
            USD
            1280000.00000000
            USD
            -20791.04000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132XCR31
        
          
        
        410608.75000000
        PA
        USD
        448819.79000000
        0.119687332198
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FCNN4
        
          
        
        659267.93000000
        PA
        USD
        713092.35000000
        0.190161224804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S2P1
        
          
        
        2794779.95000000
        PA
        USD
        2990008.19000000
        0.797349206713
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933CV4
        
          
        
        37414.12000000
        PA
        USD
        42920.74000000
        0.011445727173
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380TZK5
        
          
        
        844371.19000000
        PA
        USD
        129729.61000000
        0.034595156617
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Floating
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TZ24
        
          
        
        742.79000000
        PA
        USD
        873.54000000
        0.000232947999
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294P5Q2
        
          
        
        3789.95000000
        PA
        USD
        4479.96000000
        0.001194676510
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312945SX7
        
          
        
        5688.62000000
        PA
        USD
        6388.40000000
        0.001703602581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M6AB3
        
          
        
        30266.45000000
        PA
        USD
        33441.79000000
        0.008917963775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0506A5
        
          
        
        3000000.00000000
        PA
        USD
        3252800.10000000
        0.867428252540
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9NX6
        
          
        
        44633.27000000
        PA
        USD
        47552.71000000
        0.012680940380
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9TQ5
        
          
        
        2097588.10000000
        PA
        USD
        2272798.98000000
        0.606090133727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CU77
        
          
        
        2647841.57000000
        PA
        USD
        2801516.73000000
        0.747083954395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A7NR9
        
          
        
        300102.76000000
        PA
        USD
        53384.62000000
        0.014236143081
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Floating
          6.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0426A6
        
          
        
        2000000.00000000
        PA
        USD
        2163593.20000000
        0.576968092408
        Long
        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 II Pool
        36179U4E9
        
          
        
        4563166.41000000
        PA
        USD
        4911980.01000000
        1.309883824888
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3129316G8
        
          
        
        8421.10000000
        PA
        USD
        9469.38000000
        0.002525211354
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HLGZ0
        
          
        
        26030.67000000
        PA
        USD
        28328.16000000
        0.007554305696
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TMK8
        
          
        
        1595.51000000
        PA
        USD
        1877.55000000
        0.000500688596
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36202S4V7
        
          
        
        1380.43000000
        PA
        USD
        1625.09000000
        0.000433364773
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Education Loan Asset-Backed Trust
        5493000CKEJUMJ3IL355
        Education Loan Asset-Backed Trust I
        28140DAB9
        
          
        
        48696.18000000
        PA
        USD
        48638.83000000
        0.012970577353
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-06-25
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137GAJB4
        
          
        
        231619.85000000
        PA
        USD
        237537.44000000
        0.063344404868
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        54276.10000000
        PA
        USD
        67098.03000000
        0.017893115199
        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
        3140JANT1
        
          
        
        1331740.87000000
        PA
        USD
        1409643.53000000
        0.375911395210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HQCZ3
        
          
        
        139685.05000000
        PA
        USD
        152275.69000000
        0.040607547841
        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
        312934SC7
        
          
        
        4420.05000000
        PA
        USD
        4970.27000000
        0.001325428089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAG4
        
          
        
        2500000.00000000
        PA
        USD
        2435732.50000000
        0.649539818364
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Variable
          4.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RBT5
        
          
        
        2185.81000000
        PA
        USD
        2446.73000000
        0.000652472535
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290VNF7
        
          
        
        3616.02000000
        PA
        USD
        4248.35000000
        0.001132912783
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKVA0
        
          
        
        307191.67000000
        PA
        USD
        339420.04000000
        0.090513564659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U6X5
        
          
        
        104402.31000000
        PA
        USD
        112051.11000000
        0.029880809012
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TZP3
        
          
        
        870.39000000
        PA
        USD
        1015.71000000
        0.000270860650
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379EWA6
        
          
        
        2911866.24000000
        PA
        USD
        534057.82000000
        0.142417863783
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-08-20
          Floating
          5.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KM77
        
          
        
        14052.79000000
        PA
        USD
        14267.12000000
        0.003804630653
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-08-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02747A SWAPTION US0003M MAR21 0.70 CALL
        000000000
        
          
        
        -5000000.00000000
        NC
        USD
        -19548.00000000
        -0.00521288949
        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
                    
                      
                    
                    5000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19548.00000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5000000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2021-03-17
            XXXX
            3277.00000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132H7BD5
        
          
        
        165001.65000000
        PA
        USD
        179177.11000000
        0.047781383006
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAC3
        
          
        
        1000000.00000000
        PA
        USD
        1003236.00000000
        0.267534193191
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KMD4
        
          
        
        6577.49000000
        PA
        USD
        6675.41000000
        0.001780139895
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9A67
        
          
        
        100584.65000000
        PA
        USD
        108961.97000000
        0.029057024202
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620C06T0
        
          
        
        2170.19000000
        PA
        USD
        2562.80000000
        0.000683425066
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X0A40
        
          
        
        353481.95000000
        PA
        USD
        382922.13000000
        0.102114321161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KL60
        
          
        
        5005.57000000
        PA
        USD
        5112.75000000
        0.001363423408
        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
        3138ER5G1
        
          
        
        1397261.00000000
        PA
        USD
        1555841.47000000
        0.414898181893
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132QWWE5
        
          
        
        493345.61000000
        PA
        USD
        529813.08000000
        0.141285913683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406TLC3
        
          
        
        13161.07000000
        PA
        USD
        13878.57000000
        0.003701015541
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Floating
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YXT6
        
          
        
        1338010.53000000
        PA
        USD
        192548.14000000
        0.051347052224
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335ATT5
        
          
        
        545277.78000000
        PA
        USD
        602175.33000000
        0.160582844984
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M6NW4
        
          
        
        1045.21000000
        PA
        USD
        1168.59000000
        0.000311629350
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXC32
        
          
        
        756.76000000
        PA
        USD
        846.10000000
        0.000225630540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T4N2
        
          
        
        4406.66000000
        PA
        USD
        5249.65000000
        0.001399930701
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B0AM8
        
          
        
        1871648.76000000
        PA
        USD
        1889545.65000000
        0.503887491049
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-12-25
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        Impac CMB Trust Series 2004-8
        45254NKQ9
        
          
        
        27308.31000000
        PA
        USD
        26032.57000000
        0.006942137853
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HQN65
        
          
        
        20982.63000000
        PA
        USD
        22873.92000000
        0.006099816725
        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
        312933AQ7
        
          
        
        1848.80000000
        PA
        USD
        2078.94000000
        0.000554393518
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412PSQ5
        
          
        
        5208.85000000
        PA
        USD
        5857.33000000
        0.001561981483
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Thacher Park CLO
        549300XMM86G232BM362
        Thacher Park CLO Ltd
        88322UAL3
        
          
        
        612877.95000000
        PA
        USD
        612278.56000000
        0.163277085907
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-10-20
          Floating
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294YMZ4
        
          
        
        3186.36000000
        PA
        USD
        3754.29000000
        0.001001161188
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 15 Ltd
        549300BTYXZYFTGVBO58
        Zais Clo 15 Ltd
        98888DAA0
        
          
        
        925000.00000000
        PA
        USD
        931301.10000000
        0.248351223846
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-28
          Floating
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335BCW4
        
          
        
        11840405.98000000
        PA
        USD
        12818386.81000000
        3.418295170054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132H3JX2
        
          
        
        51875.08000000
        PA
        USD
        56331.72000000
        0.015022049907
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SWZ6
        
          
        
        4817340.92000000
        PA
        USD
        5213137.07000000
        1.390193753032
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FDAP1
        
          
        
        58834.76000000
        PA
        USD
        61987.46000000
        0.016530273135
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414R7J8
        
          
        
        405.13000000
        PA
        USD
        418.36000000
        0.000111564582
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S5L7
        
          
        
        30997.62000000
        PA
        USD
        33080.19000000
        0.008821535453
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XDTL4
        
          
        
        97619.57000000
        PA
        USD
        107708.59000000
        0.028722783797
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T3G8
        
          
        
        1493.02000000
        PA
        USD
        1757.50000000
        0.000468674713
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TG41
        
          
        
        10888.19000000
        PA
        USD
        11619.71000000
        0.003098642532
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EPMV3
        
          
        
        46752.13000000
        PA
        USD
        52332.38000000
        0.013955540930
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200C5K7
        
          
        
        809.51000000
        PA
        USD
        952.91000000
        0.000254113696
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335APZ5
        
          
        
        2784723.92000000
        PA
        USD
        3058662.78000000
        0.815657411706
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380Y2Z7
        
          
        
        1412823.05000000
        PA
        USD
        258804.18000000
        0.069015632902
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294Q6D8
        
          
        
        1148.97000000
        PA
        USD
        1352.07000000
        0.000360558190
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417G5A0
        
          
        
        136510.93000000
        PA
        USD
        147880.41000000
        0.039435453052
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300G09B8CGBRMLL31
        Sound Point CLO XVIII Ltd
        83609TAE7
        
          
        
        550000.00000000
        PA
        USD
        510891.15000000
        0.136239979051
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-21
          Floating
          2.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292LBM5
        
          
        
        1033.65000000
        PA
        USD
        1213.84000000
        0.000323696224
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W6RN8
        
          
        
        395537.28000000
        PA
        USD
        428480.09000000
        0.114263319076
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132WDYN8
        
          
        
        405067.49000000
        PA
        USD
        439471.69000000
        0.117194462733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYH2
        
          
        
        1417.62000000
        PA
        USD
        1667.68000000
        0.000444722301
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXFW5
        
          
        
        63910.59000000
        PA
        USD
        73420.66000000
        0.019579178814
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295HRG7
        
          
        
        9665.63000000
        PA
        USD
        11495.58000000
        0.003065540631
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2016-1
        69343FAA5
        
          
        
        764998.95000000
        PA
        USD
        762157.74000000
        0.203245553444
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GD83
        
          
        
        908.48000000
        PA
        USD
        947.39000000
        0.000252641670
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Floating
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A1MA0
        
          
        
        381795.20000000
        PA
        USD
        437196.62000000
        0.116587766983
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNK6
        
          
        
        749025.61000000
        PA
        USD
        80419.58000000
        0.021445589524
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933G57
        
          
        
        17211.00000000
        PA
        USD
        19353.47000000
        0.005161013940
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        38257.26000000
        PA
        USD
        42732.95000000
        0.011395648980
        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 Gold Pool
        3132H5AH1
        
          
        
        179343.29000000
        PA
        USD
        194750.85000000
        0.051934451642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312934BJ0
        
          
        
        2750.89000000
        PA
        USD
        3093.30000000
        0.000824894162
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USU7
        
          
        
        2434380.57000000
        PA
        USD
        2588437.42000000
        0.690261829505
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YRQ0
        
          
        
        507424.32000000
        PA
        USD
        78363.52000000
        0.020897297444
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200GF43
        
          
        
        660.86000000
        PA
        USD
        777.18000000
        0.000207251558
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620A7LX1
        
          
        
        125658.70000000
        PA
        USD
        132634.17000000
        0.035369719249
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JADL9
        
          
        
        2345432.86000000
        PA
        USD
        2703846.90000000
        0.721038219226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        8583810.45000000
        NS
        USD
        8583810.45000000
        2.289055419907
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HP4P6
        
          
        
        139975.62000000
        PA
        USD
        152592.45000000
        0.040692018625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GGHW8
        
          
        
        54891.24000000
        PA
        USD
        61649.82000000
        0.016440234256
        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 Gold Pool
        3132WE6P2
        
          
        
        117302.35000000
        PA
        USD
        126495.57000000
        0.033732731144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290UKK1
        
          
        
        1523.62000000
        PA
        USD
        1797.35000000
        0.000479301562
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BHC96
        
          
        
        145966.85000000
        PA
        USD
        22523.11000000
        0.006006265785
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31378C4V1
        
          
        
        6410.94000000
        PA
        USD
        6380.92000000
        0.001701607880
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-07-01
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJFS2
        
          
        
        325036.60000000
        PA
        USD
        342453.90000000
        0.091322607882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QDK4
        
          
        
        543.45000000
        PA
        USD
        639.92000000
        0.000170648263
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHGY2
        
          
        
        526353.35000000
        PA
        USD
        574443.31000000
        0.153187512683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TPS2
        
          
        
        479.84000000
        PA
        USD
        563.56000000
        0.000150285246
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295AD51
        
          
        
        1308.96000000
        PA
        USD
        1498.38000000
        0.000399574860
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T4B8
        
          
        
        2667.20000000
        PA
        USD
        3133.68000000
        0.000835662347
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goal Capital Funding Trust
        N/A
        Goal Capital Funding Trust 2010-1
        38021EAA2
        
          
        
        1075265.13000000
        PA
        USD
        1055228.21000000
        0.281399020564
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-08-25
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX002987  CDS USD R F  3.00000 2 CMBX / Short: CX002987  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1300000.00000000
        OU
        Notional Amount
        USD
        -364812.50000000
        -0.09728500358
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -344379.25000000
            USD
            1300000.00000000
            USD
            -20433.25000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TE35
        
          
        
        1622213.28000000
        PA
        USD
        1767852.02000000
        0.471435299223
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312930WL0
        
          
        
        196.60000000
        PA
        USD
        221.24000000
        0.000058998346
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292N7M6
        
          
        
        2765.60000000
        PA
        USD
        3244.85000000
        0.000865308189
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374YSU8
        
          
        
        29304.60000000
        PA
        USD
        6443.38000000
        0.001718264166
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-07-20
          Floating
          5.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CEF7
        
          
        
        237787.21000000
        PA
        USD
        250529.20000000
        0.066808933683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X4V98
        
          
        
        448646.58000000
        PA
        USD
        486012.66000000
        0.129605601148
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPFG4
        
          
        
        430647.22000000
        PA
        USD
        457962.71000000
        0.122125486058
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KSU0
        
          
        
        12932.63000000
        PA
        USD
        13249.49000000
        0.003533257994
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-05-20
          Floating
          2.88000000
          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
        
          
        
        9700000.00000000
        OU
        Notional Amount
        USD
        5925.73000000
        0.001580221796
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            156.92000000
            USD
            0.00000000
            USD
            9700000.00000000
            USD
            5768.81000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379NLP5
        
          
        
        98156.95000000
        PA
        USD
        6896.89000000
        0.001839202243
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378WUZ4
        
          
        
        1216295.69000000
        PA
        USD
        246330.16000000
        0.065689170458
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q7W52
        
          
        
        44838.09000000
        PA
        USD
        47367.64000000
        0.012631587533
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Higher Education Funding
        N/A
        Higher Education Funding I
        429827AY4
        
          
        
        1170763.06000000
        PA
        USD
        1170759.90000000
        0.312208000178
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200GFH4
        
          
        
        393.76000000
        PA
        USD
        461.61000000
        0.000123098113
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412N3T1
        
          
        
        179192.19000000
        PA
        USD
        201465.45000000
        0.053725042384
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TX79
        
          
        
        1152.04000000
        PA
        USD
        1355.69000000
        0.000361523540
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292MAF9
        
          
        
        309.52000000
        PA
        USD
        361.54000000
        0.000096412321
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXBH2
        
          
        
        2618.38000000
        PA
        USD
        3015.69000000
        0.000804197806
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TEZ4
        
          
        
        44526.33000000
        PA
        USD
        47517.82000000
        0.012671636221
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-08-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TRL5
        
          
        
        1401.96000000
        PA
        USD
        1649.10000000
        0.000439767550
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          6.50000000
          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
        
          
        
        2740000.00000000
        OU
        Notional Amount
        USD
        32757.80000000
        0.008735563310
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2035-05-21
            3817.51000000
            USD
            0.00000000
            USD
            2740000.00000000
            USD
            28940.29000000
          
        
        
          N
          N
          N
        
      
    
    
      
      
      
    
    
      2020-10-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  



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