Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 27, 2020 6:05 AM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000009303
        C000202034
        C000025390
        C000025388
        C000025389
        C000025392
        C000161286
        C000058952
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Short Duration Government Fund
      S000009303
      N4WK70TBFH7DTTPR0J23
      2021-03-31
      2020-09-30
      N
    
    
      1402570191.61
      353668260.71
      1048901930.90
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      170001601.57000000
      0.00000000
      0.00000000
      15589495.49000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7VD5
        
          
        
        1250.89000000
        PA
        USD
        1419.81000000
        0.000135361558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NHA8
        
          
        
        2348.46000000
        PA
        USD
        2664.20000000
        0.000253998960
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0306A7
        
          
        
        3000000.00000000
        PA
        USD
        3141281.40000000
        0.299482850346
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NEH6
        
          
        
        4733.64000000
        PA
        USD
        5370.01000000
        0.000511964926
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXC32
        
          
        
        2846.60000000
        PA
        USD
        3182.65000000
        0.000303426841
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225DJ47
        
          
        
        240722.88000000
        PA
        USD
        248180.23000000
        0.023660956538
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-12-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312932MW3
        
          
        
        7177.64000000
        PA
        USD
        8071.13000000
        0.000769483758
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312930WL0
        
          
        
        775.44000000
        PA
        USD
        872.62000000
        0.000083193668
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312934SC7
        
          
        
        16200.16000000
        PA
        USD
        18216.80000000
        0.001736749591
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292L6P4
        
          
        
        4434.06000000
        PA
        USD
        5216.21000000
        0.000497301973
        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
        36200C5B7
        
          
        
        460.59000000
        PA
        USD
        541.31000000
        0.000051607303
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N2K3
        
          
        
        1420.58000000
        PA
        USD
        1667.32000000
        0.000158958616
        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
        312934TN2
        
          
        
        7256.81000000
        PA
        USD
        8160.16000000
        0.000777971682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294XCV6
        
          
        
        45538.61000000
        PA
        USD
        53655.27000000
        0.005115375271
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214324  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214324  IRS USD P F   .85500 2 CCPVANILLA
        000000000
        
          
        
        2420000.00000000
        OU
        Notional Amount
        USD
        46961.07000000
        0.004477164987
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2045-04-09
            87.12000000
            USD
            0.00000000
            USD
            2420000.00000000
            USD
            46873.95000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292LD76
        
          
        
        1775.83000000
        PA
        USD
        2094.70000000
        0.000199704084
        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
        36292HFE8
        
          
        
        1729.13000000
        PA
        USD
        2031.50000000
        0.000193678735
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T3P8
        
          
        
        30769.62000000
        PA
        USD
        36322.44000000
        0.003462901433
        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
        36294Q6D8
        
          
        
        7173.95000000
        PA
        USD
        8442.09000000
        0.000804850267
        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
        36294SS57
        
          
        
        5939.94000000
        PA
        USD
        6662.89000000
        0.000635225258
        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
        3128LXAE0
        
          
        
        1088.43000000
        PA
        USD
        1216.92000000
        0.000116018472
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PND1
        
          
        
        1488.57000000
        PA
        USD
        1751.70000000
        0.000167003220
        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
        21H0206A8
        
          
        
        19000000.00000000
        PA
        USD
        19742556.10000000
        1.882211817749
        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
        36213CYM6
        
          
        
        2053.32000000
        PA
        USD
        2419.17000000
        0.000230638339
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SE9
        
          
        
        1400000.00000000
        PA
        USD
        2037000.00000000
        0.194203093729
        Long
        DBT
        UST
        US
        N
        
        1
        
          2048-11-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SAU1
        
          
        
        7983.78000000
        PA
        USD
        9444.72000000
        0.000900438803
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PA60
        
          
        
        8362.42000000
        PA
        USD
        9641.60000000
        0.000919208909
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285V8
        
          
        
        62560000.00000000
        PA
        USD
        64466125.00000000
        6.146058377896
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-01-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PDV2
        
          
        
        1527.32000000
        PA
        USD
        1796.73000000
        0.000171296281
        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
        31296M3H0
        
          
        
        10337.52000000
        PA
        USD
        11727.26000000
        0.001118051140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292LHG3
        
          
        
        31232.51000000
        PA
        USD
        35078.39000000
        0.003344296446
        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
        312930XX3
        
          
        
        48157.96000000
        PA
        USD
        54193.03000000
        0.005166644125
        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
        36296RE37
        
          
        
        45204.94000000
        PA
        USD
        53702.38000000
        0.005119866635
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-11-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LXG1
        
          
        
        16672.25000000
        PA
        USD
        18913.60000000
        0.001803180968
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PJ38
        
          
        
        508.65000000
        PA
        USD
        566.44000000
        0.000054003142
        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
        36295AD51
        
          
        
        8125.13000000
        PA
        USD
        9300.93000000
        0.000886730181
        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
        36294RSW0
        
          
        
        923.60000000
        PA
        USD
        1085.52000000
        0.000103491086
        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
        36294N6L7
        
          
        
        55948.18000000
        PA
        USD
        67144.76000000
        0.006401433539
        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
        36294Q6X4
        
          
        
        2945.74000000
        PA
        USD
        3468.64000000
        0.000330692498
        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
        36179VBK5
        
          
        
        4303407.96000000
        PA
        USD
        4692640.84000000
        0.447386042656
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NJN8
        
          
        
        10987.65000000
        PA
        USD
        12464.36000000
        0.001188324631
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291Q6H2
        
          
        
        1294.65000000
        PA
        USD
        1527.70000000
        0.000145647553
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJM64
        
          
        
        3737.47000000
        PA
        USD
        4202.72000000
        0.000400678068
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M6NW4
        
          
        
        3931.64000000
        PA
        USD
        4395.74000000
        0.000419080170
        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
        31296LAM3
        
          
        
        28035.27000000
        PA
        USD
        31804.22000000
        0.003032144289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294YMZ4
        
          
        
        19894.94000000
        PA
        USD
        23440.95000000
        0.002234808546
        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
        312941XA0
        
          
        
        4765.65000000
        PA
        USD
        5351.85000000
        0.000510233592
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJLL2
        
          
        
        885.53000000
        PA
        USD
        995.76000000
        0.000094933565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312938S46
        
          
        
        11692.32000000
        PA
        USD
        13147.81000000
        0.001253483248
        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 Pool
        3131YBQA9
        
          
        
        14806.57000000
        PA
        USD
        16231.11000000
        0.001547438280
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291LAX3
        
          
        
        2189.59000000
        PA
        USD
        2576.64000000
        0.000245651182
        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
        31296K7C1
        
          
        
        1662.84000000
        PA
        USD
        1886.39000000
        0.000179844268
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933QN7
        
          
        
        236054.25000000
        PA
        USD
        265438.96000000
        0.025306365846
        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
        31296MXM6
        
          
        
        2456.59000000
        PA
        USD
        2786.77000000
        0.000265684514
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NBH9
        
          
        
        82358.41000000
        PA
        USD
        93430.35000000
        0.008907443798
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYS8
        
          
        
        16181.30000000
        PA
        USD
        18989.09000000
        0.001810378019
        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
        36292DTP7
        
          
        
        2871.98000000
        PA
        USD
        3266.24000000
        0.000311396128
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BDDC7
        
          
        
        15857348.69000000
        PA
        USD
        16017580.86000000
        1.527080882219
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-06-25
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292HYK4
        
          
        
        2704.35000000
        PA
        USD
        3067.94000000
        0.000292490642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MM22
        
          
        
        34532.71000000
        PA
        USD
        39175.15000000
        0.003734872522
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132DMC60
        
          
        
        23821166.69000000
        PA
        USD
        26101241.58000000
        2.488434887101
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYW9
        
          
        
        9471.77000000
        PA
        USD
        11108.62000000
        0.001059071365
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          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
        
          
        
        10970000.00000000
        OU
        Notional Amount
        USD
        131150.74000000
        0.012503622706
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2035-05-21
            12971.54000000
            USD
            0.00000000
            USD
            10970000.00000000
            USD
            118179.20000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200JJA9
        
          
        
        2611.41000000
        PA
        USD
        3079.12000000
        0.000293556519
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FDIC STRUCTURED SALE GUARANTEED NOTES
        N/A
        FDIC Guaranteed Notes Trust 2010-S1
        30250GAB4
        
          
        
        833244.35000000
        PA
        USD
        823433.56000000
        0.078504342087
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-04-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T2N4
        
          
        
        10649.37000000
        PA
        USD
        12515.73000000
        0.001193222133
        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
        36200GGA8
        
          
        
        2162.17000000
        PA
        USD
        2546.77000000
        0.000242803442
        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
        36294RPG8
        
          
        
        3526.26000000
        PA
        USD
        4156.20000000
        0.000396242954
        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 Non Gold Pool
        31300MAH6
        
          
        
        119382.25000000
        PA
        USD
        124559.00000000
        0.011875180732
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Floating
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312946EV4
        
          
        
        10268.39000000
        PA
        USD
        11532.81000000
        0.001099512705
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201XQK7
        
          
        
        7050.45000000
        PA
        USD
        8306.67000000
        0.000791939623
        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
        
          
        
        11502.77000000
        PA
        USD
        13583.75000000
        0.001295044808
        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
        312940A41
        
          
        
        15941.32000000
        PA
        USD
        17902.34000000
        0.001706769667
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285C0
        
          
        
        620000.00000000
        PA
        USD
        703506.25000000
        0.067070736479
        Long
        DBT
        UST
        US
        N
        
        1
        
          2025-09-30
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TWR6
        
          
        
        5424.47000000
        PA
        USD
        6228.29000000
        0.000593791451
        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
        36290TUN7
        
          
        
        17878.59000000
        PA
        USD
        21418.47000000
        0.002041989757
        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
        312933G65
        
          
        
        12360.87000000
        PA
        USD
        13899.59000000
        0.001325156298
        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
        36200GCU8
        
          
        
        2306.69000000
        PA
        USD
        2721.93000000
        0.000259502811
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GGEW1
        
          
        
        11425.43000000
        PA
        USD
        12832.32000000
        0.001223405127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SL3
        
          
        
        780000.00000000
        PA
        USD
        882253.13000000
        0.084112070347
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128QSVG8
        
          
        
        46625.07000000
        PA
        USD
        49154.02000000
        0.004686236010
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Floating
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M66W3
        
          
        
        9546.09000000
        PA
        USD
        10835.26000000
        0.001033009824
        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
        312933AL8
        
          
        
        4256.73000000
        PA
        USD
        4786.62000000
        0.000456345808
        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
        
          
        
        5716.20000000
        PA
        USD
        6427.77000000
        0.000612809435
        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
        3128MJLM0
        
          
        
        1087.37000000
        PA
        USD
        1222.73000000
        0.000116572385
        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
        36200JM56
        
          
        
        836.99000000
        PA
        USD
        983.72000000
        0.000093785698
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MKF5
        
          
        
        7659.93000000
        PA
        USD
        8689.70000000
        0.000828456859
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AJHU6
        
          
        
        44850000.00000000
        PA
        USD
        45127621.50000000
        4.302368045149
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-04-14
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312941WJ2
        
          
        
        2426.22000000
        PA
        USD
        2724.66000000
        0.000259763083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TWX3
        
          
        
        3804.35000000
        PA
        USD
        4259.19000000
        0.000406061794
        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
        312932SU1
        
          
        
        1217.44000000
        PA
        USD
        1368.99000000
        0.000130516491
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NDY0
        
          
        
        175809.00000000
        PA
        USD
        199445.88000000
        0.019014730941
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MPG8
        
          
        
        1780.74000000
        PA
        USD
        2020.14000000
        0.000192595698
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GESE1
        
          
        
        7469.97000000
        PA
        USD
        8389.80000000
        0.000799865054
        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
        31385HJC7
        
          
        
        19307.50000000
        PA
        USD
        19368.41000000
        0.001846541552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Floating
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GDQH8
        
          
        
        34691.10000000
        PA
        USD
        38962.50000000
        0.003714598939
        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 I Pool
        36292KSV9
        
          
        
        3680.23000000
        PA
        USD
        4318.09000000
        0.000411677190
        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
        36294TA47
        
          
        
        1611.87000000
        PA
        USD
        1896.20000000
        0.000180779531
        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
        36294N3K2
        
          
        
        2195.76000000
        PA
        USD
        2570.67000000
        0.000245082016
        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
        36202VRZ6
        
          
        
        4632.87000000
        PA
        USD
        5468.94000000
        0.000521396694
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T2R5
        
          
        
        12251.92000000
        PA
        USD
        14556.81000000
        0.001387814205
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285P1
        
          
        
        380000.00000000
        PA
        USD
        412448.44000000
        0.039321925896
        Long
        DBT
        UST
        US
        N
        
        1
        
          2023-11-30
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MTL3
        
          
        
        3534.42000000
        PA
        USD
        4009.57000000
        0.000382263573
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RUN7
        
          
        
        10151.70000000
        PA
        USD
        11914.95000000
        0.001135945091
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T2L8
        
          
        
        6025.06000000
        PA
        USD
        7076.31000000
        0.000674639810
        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
        31401MKT7
        
          
        
        361070.70000000
        PA
        USD
        379112.10000000
        0.036143712660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Floating
          3.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933ED2
        
          
        
        1649.45000000
        PA
        USD
        1854.78000000
        0.000176830640
        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
        312946PD2
        
          
        
        14851.36000000
        PA
        USD
        16680.11000000
        0.001590244951
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TZP3
        
          
        
        5519.83000000
        PA
        USD
        6441.41000000
        0.000614109842
        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
        3128M8BM5
        
          
        
        3798.35000000
        PA
        USD
        4271.18000000
        0.000407204894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36212NPF8
        
          
        
        7434.81000000
        PA
        USD
        8734.55000000
        0.000832732760
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290UKK1
        
          
        
        9457.49000000
        PA
        USD
        11156.59000000
        0.001063644719
        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
        36201EMY3
        
          
        
        3437.34000000
        PA
        USD
        3951.05000000
        0.000376684405
        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
        312941WK9
        
          
        
        6349.04000000
        PA
        USD
        7130.07000000
        0.000679765170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MEU3
        
          
        
        5200000.00000000
        PA
        USD
        7522372.00000000
        0.717166379276
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-05-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MFJ7
        
          
        
        16080000.00000000
        PA
        USD
        24908402.40000000
        2.374712226778
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2030-01-15
          Fixed
          7.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828TE0
        
          
        
        18790353.60000000
        PA
        USD
        19270905.24000000
        1.837245663516
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-07-15
          Fixed
          0.13000000
          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
        
          
        
        2440000.00000000
        OU
        Notional Amount
        USD
        -39545.08000000
        -0.00377014083
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-04-10
            87.84000000
            USD
            0.00000000
            USD
            2440000.00000000
            USD
            -39632.92000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295JA48
        
          
        
        8840.31000000
        PA
        USD
        10139.45000000
        0.000966672831
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295PUN0
        
          
        
        4058.00000000
        PA
        USD
        4789.86000000
        0.000456654703
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RU4
        
          
        
        200000.00000000
        PA
        USD
        264343.75000000
        0.025201950936
        Long
        DBT
        UST
        US
        N
        
        1
        
          2046-11-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TTL3
        
          
        
        27858.52000000
        PA
        USD
        32893.60000000
        0.003136003379
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QAG6
        
          
        
        626.61000000
        PA
        USD
        736.91000000
        0.000070255376
        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
        312932Z74
        
          
        
        1683.48000000
        PA
        USD
        1893.04000000
        0.000180478264
        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
        312936NA1
        
          
        
        8691.57000000
        PA
        USD
        9773.52000000
        0.000931785871
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MFH7
        
          
        
        15403.67000000
        PA
        USD
        17474.48000000
        0.001665978437
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EGU44
        
          
        
        18570410.11000000
        PA
        USD
        18743946.88000000
        1.787006614042
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-07-01
          Variable
          4.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292L5P5
        
          
        
        6262.13000000
        PA
        USD
        7321.35000000
        0.000698001384
        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
        36294RR35
        
          
        
        11324.75000000
        PA
        USD
        13363.36000000
        0.001274033311
        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
        31296MBT5
        
          
        
        12721.95000000
        PA
        USD
        14432.24000000
        0.001375937976
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405PKH2
        
          
        
        117410.59000000
        PA
        USD
        122677.57000000
        0.011695809339
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Floating
          3.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3133X8EW8
        
          
        
        1800000.00000000
        PA
        USD
        2148210.00000000
        0.204805610201
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-08-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TY74
        
          
        
        4063.71000000
        PA
        USD
        4768.03000000
        0.000454573479
        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
        36290TX79
        
          
        
        7279.08000000
        PA
        USD
        8565.81000000
        0.000816645460
        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
        31358FKA6
        
          
        
        18.76000000
        PA
        USD
        19.08000000
        0.000001819045
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2020-11-25
          Floating
          21.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312935H85
        
          
        
        3224.59000000
        PA
        USD
        3626.00000000
        0.000345694854
        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 REMICS
        3137B4PT7
        
          
        
        85993.03000000
        PA
        USD
        102347.55000000
        0.009757590007
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NMF2
        
          
        
        2591.17000000
        PA
        USD
        3043.28000000
        0.000290139612
        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
        36225DEM2
        
          
        
        203075.25000000
        PA
        USD
        209232.90000000
        0.019947803873
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-08-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296K5H2
        
          
        
        47697.36000000
        PA
        USD
        54110.10000000
        0.005158737762
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200GFH4
        
          
        
        2557.70000000
        PA
        USD
        2998.40000000
        0.000285860852
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828L57
        
          
        
        46570000.00000000
        PA
        USD
        48070790.90000000
        4.582963333736
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-09-30
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T4B8
        
          
        
        16556.19000000
        PA
        USD
        19451.77000000
        0.001854488911
        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
        36294THG3
        
          
        
        428.35000000
        PA
        USD
        504.23000000
        0.000048072177
        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
        3128M9DF6
        
          
        
        18664.03000000
        PA
        USD
        20962.26000000
        0.001998495701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MUC1
        
          
        
        839.55000000
        PA
        USD
        952.42000000
        0.000090801625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294YNL4
        
          
        
        12992.98000000
        PA
        USD
        15331.90000000
        0.001461709579
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NCZ9
        
          
        
        2202.84000000
        PA
        USD
        2520.39000000
        0.000240288431
        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
        3128K6VR8
        
          
        
        1326.97000000
        PA
        USD
        1483.62000000
        0.000141445063
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296K5E9
        
          
        
        4014.51000000
        PA
        USD
        4554.20000000
        0.000434187397
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290VKV5
        
          
        
        5797.53000000
        PA
        USD
        6796.45000000
        0.000647958574
        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
        312933W67
        
          
        
        619.32000000
        PA
        USD
        696.41000000
        0.000066394195
        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
        36294P7B3
        
          
        
        10427.89000000
        PA
        USD
        11915.73000000
        0.001136019455
        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
        36292L5H3
        
          
        
        11909.60000000
        PA
        USD
        14064.18000000
        0.001340847946
        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
        36291YK63
        
          
        
        6860.16000000
        PA
        USD
        8077.90000000
        0.000770129195
        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
        3140Q9MP5
        
          
        
        6738986.40000000
        PA
        USD
        7453668.71000000
        0.710616358919
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TNV7
        
          
        
        3668.71000000
        PA
        USD
        4308.82000000
        0.000410793409
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENN VALLEY AUTHORITY
        549300HE1ISW43LNKM54
        Tennessee Valley Authority
        880591EW8
        
          
        
        49850000.00000000
        PA
        USD
        50480602.50000000
        4.812709464333
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2025-05-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36202S4V7
        
          
        
        8754.27000000
        PA
        USD
        10305.84000000
        0.000982536088
        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
        31409JNR7
        
          
        
        153966.90000000
        PA
        USD
        160319.50000000
        0.015284508043
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Floating
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290XDM9
        
          
        
        1774.36000000
        PA
        USD
        2088.67000000
        0.000199129197
        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
        312940M30
        
          
        
        8405.77000000
        PA
        USD
        9439.80000000
        0.000899969741
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LCD1
        
          
        
        6890.65000000
        PA
        USD
        7817.00000000
        0.000745255563
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294R5M7
        
          
        
        5005.72000000
        PA
        USD
        5884.92000000
        0.000561055311
        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
        3128MJQD5
        
          
        
        9427.36000000
        PA
        USD
        10588.22000000
        0.001009457575
        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
        36294QVQ1
        
          
        
        3335.45000000
        PA
        USD
        3882.87000000
        0.000370184274
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128284L1
        
          
        
        350000.00000000
        PA
        USD
        373433.60000000
        0.035602336977
        Long
        DBT
        UST
        US
        N
        
        1
        
          2023-04-30
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933G57
        
          
        
        63080.53000000
        PA
        USD
        70932.98000000
        0.006762594091
        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
        3132DV5A9
        
          
        
        325268.22000000
        PA
        USD
        356562.27000000
        0.033993861532
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312939CA7
        
          
        
        3372.08000000
        PA
        USD
        3791.85000000
        0.000361506627
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RD2
        
          
        
        7370000.00000000
        PA
        USD
        10947904.69000000
        1.043749121579
        Long
        DBT
        UST
        US
        N
        
        1
        
          2043-11-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406GLK3
        
          
        
        35070.52000000
        PA
        USD
        36563.23000000
        0.003485857821
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Floating
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312941M53
        
          
        
        2428.75000000
        PA
        USD
        2727.52000000
        0.000260035749
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411GK50
        
          
        
        3837.16000000
        PA
        USD
        4069.84000000
        0.000388009582
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Floating
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285U0
        
          
        
        7100000.00000000
        PA
        USD
        7663007.85000000
        0.730574291480
        Long
        DBT
        UST
        US
        N
        
        1
        
          2023-12-31
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292K6T8
        
          
        
        11346.21000000
        PA
        USD
        13346.32000000
        0.001272408754
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SA7
        
          
        
        110000.00000000
        PA
        USD
        149479.69000000
        0.014251064431
        Long
        DBT
        UST
        US
        N
        
        1
        
          2048-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
        
        1474419.04000000
        PA
        USD
        1589856.32000000
        0.151573400063
        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 I Pool
        36294RSZ3
        
          
        
        2477.41000000
        PA
        USD
        2905.54000000
        0.000277007784
        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
        3140X4NL6
        
          
        
        569993.68000000
        PA
        USD
        623609.34000000
        0.059453541044
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        1002289.00000000
        PA
        USD
        1266260.55000000
        0.120722492036
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296XML6
        
          
        
        2247.83000000
        PA
        USD
        2551.37000000
        0.000243241996
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N4W5
        
          
        
        50834.82000000
        PA
        USD
        59763.39000000
        0.005697709980
        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
        36292MDS8
        
          
        
        26337.02000000
        PA
        USD
        30900.99000000
        0.002946032330
        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
        36294P5V1
        
          
        
        919.74000000
        PA
        USD
        1082.32000000
        0.000103186005
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292LDV3
        
          
        
        5648.48000000
        PA
        USD
        6644.85000000
        0.000633505364
        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
        36292JPV5
        
          
        
        1366.28000000
        PA
        USD
        1608.43000000
        0.000153344173
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TMK8
        
          
        
        9992.55000000
        PA
        USD
        11758.94000000
        0.001121071441
        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
        36294TZ81
        
          
        
        13457.58000000
        PA
        USD
        15805.65000000
        0.001506875860
        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
        31296MFJ3
        
          
        
        1470.65000000
        PA
        USD
        1668.36000000
        0.000159057768
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7PU4
        
          
        
        4376.67000000
        PA
        USD
        4921.49000000
        0.000469204017
        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
        36291YKN6
        
          
        
        6005.54000000
        PA
        USD
        7069.37000000
        0.000673978166
        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
        31296MQ28
        
          
        
        79097.36000000
        PA
        USD
        89730.90000000
        0.008554746383
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9H30
        
          
        
        6260121.57000000
        PA
        USD
        6924019.36000000
        0.660120756385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GC35
        
          
        
        88060.13000000
        PA
        USD
        91679.51000000
        0.008740522569
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Floating
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NBT3
        
          
        
        34782.48000000
        PA
        USD
        39458.50000000
        0.003761886486
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292N6W5
        
          
        
        47051.82000000
        PA
        USD
        55242.90000000
        0.005266736419
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286H8
        
          
        
        51710000.00000000
        PA
        USD
        53392594.79000000
        5.090332395916
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-03-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132DV5B7
        
          
        
        908611.08000000
        PA
        USD
        996028.54000000
        0.094959167359
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312931D70
        
          
        
        7559.61000000
        PA
        USD
        8506.97000000
        0.000811035784
        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
        36292LBM5
        
          
        
        6544.16000000
        PA
        USD
        7684.95000000
        0.000732666207
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MLP2
        
          
        
        77853.77000000
        PA
        USD
        88320.93000000
        0.008420322948
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N7E2
        
          
        
        17133.96000000
        PA
        USD
        20123.48000000
        0.001918528263
        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
        31296MMR7
        
          
        
        25410.73000000
        PA
        USD
        28826.85000000
        0.002748288391
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MQZ5
        
          
        
        2830.61000000
        PA
        USD
        3211.06000000
        0.000306135388
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226B2
        
          
        
        62000000.00000000
        PA
        USD
        64988102.40000000
        6.195822553614
        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 Non Gold Pool
        3128QGHZ8
        
          
        
        13835.49000000
        PA
        USD
        14457.79000000
        0.001378373856
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Floating
          2.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJMN7
        
          
        
        7132.23000000
        PA
        USD
        8020.07000000
        0.000764615810
        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
        31296LBN0
        
          
        
        80930.29000000
        PA
        USD
        91810.24000000
        0.008752986079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TPS2
        
          
        
        3060.78000000
        PA
        USD
        3594.82000000
        0.000342722221
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MY52
        
          
        
        10818.31000000
        PA
        USD
        12272.68000000
        0.001170050281
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912833Y20
        
          
        
        2800000.00000000
        PA
        USD
        2330607.08000000
        0.222194946099
        Long
        DBT
        UST
        US
        N
        
        1
        
          2036-05-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MZQ5
        
          
        
        8063.21000000
        PA
        USD
        9147.20000000
        0.000872073902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SDJ3
        
          
        
        2194.64000000
        PA
        USD
        2522.16000000
        0.000240457179
        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
        312932Z66
        
          
        
        18804.12000000
        PA
        USD
        21144.91000000
        0.002015909150
        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
        31296MYJ2
        
          
        
        14737.80000000
        PA
        USD
        16719.09000000
        0.001593961218
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MMH48
        
          
        
        428.33000000
        PA
        USD
        442.47000000
        0.000042184115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292N7M6
        
          
        
        17166.95000000
        PA
        USD
        20141.83000000
        0.001920277712
        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
        31296NBW6
        
          
        
        7087.56000000
        PA
        USD
        8040.38000000
        0.000766552121
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403YV83
        
          
        
        326978.48000000
        PA
        USD
        343476.57000000
        0.032746299714
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Floating
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312945SX7
        
          
        
        9773.03000000
        PA
        USD
        10975.26000000
        0.001046357116
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NA99
        
          
        
        53068.42000000
        PA
        USD
        63963.59000000
        0.006098147797
        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 Non Gold Pool
        3128JPHF0
        
          
        
        266036.90000000
        PA
        USD
        279439.95000000
        0.026641189397
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Floating
          3.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U6Y3
        
          
        
        302872.55000000
        PA
        USD
        330266.64000000
        0.031486894081
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312940XF1
        
          
        
        36511.65000000
        PA
        USD
        41003.12000000
        0.003909147155
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YF36
        
          
        
        1441.93000000
        PA
        USD
        1647.49000000
        0.000157068068
        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
        36294TAS4
        
          
        
        3234.19000000
        PA
        USD
        3791.45000000
        0.000361468492
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        9300000.00000000
        OU
        Notional Amount
        USD
        5681.37000000
        0.000541649303
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            0.00000000
            USD
            0.00000000
            USD
            9300000.00000000
            USD
            5681.37000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3129356C8
        
          
        
        31585.11000000
        PA
        USD
        35516.92000000
        0.003386104930
        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
        3128M9C91
        
          
        
        304725.83000000
        PA
        USD
        342211.59000000
        0.032625699306
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297QBW8
        
          
        
        2403.74000000
        PA
        USD
        2687.48000000
        0.000256218424
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TBD6
        
          
        
        2972.98000000
        PA
        USD
        3497.40000000
        0.000333434413
        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
        36294SC96
        
          
        
        85757.36000000
        PA
        USD
        101194.88000000
        0.009647696988
        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
        36200NGB1
        
          
        
        3430.44000000
        PA
        USD
        4046.41000000
        0.000385775817
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT DEC20 XCBT 20201221
        000000000
        
          
        
        -51.00000000
        NC
        USD
        -81062.75000000
        -0.00772834405
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Ultra Long Bond
                WNZ0 Comdty
              
            
            2020-12-21
            -11210656.00000000
            USD
            -81062.75000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SST5
        
          
        
        4894.43000000
        PA
        USD
        5755.94000000
        0.000548758642
        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
        312931EM6
        
          
        
        21763.94000000
        PA
        USD
        24473.18000000
        0.002333219081
        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
        31407E2H5
        
          
        
        320888.60000000
        PA
        USD
        333524.20000000
        0.031797462677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Floating
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312938S38
        
          
        
        12118.84000000
        PA
        USD
        13627.43000000
        0.001299209163
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QAB7
        
          
        
        6848.80000000
        PA
        USD
        8041.08000000
        0.000766618857
        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
        3132GKM52
        
          
        
        12043.22000000
        PA
        USD
        13526.06000000
        0.001289544770
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TUC1
        
          
        
        8323.50000000
        PA
        USD
        9501.60000000
        0.000905861617
        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
        36294TJ48
        
          
        
        1464.51000000
        PA
        USD
        1722.29000000
        0.000164199335
        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
        31296NBY2
        
          
        
        89743.54000000
        PA
        USD
        101808.31000000
        0.009706180053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCD2
        
          
        
        17481598.60000000
        PA
        USD
        19046921.92000000
        1.815891587086
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3137EAEX3
        
          
        
        17820000.00000000
        PA
        USD
        17772242.40000000
        1.694366448992
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-09-23
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TZ24
        
          
        
        4693.25000000
        PA
        USD
        5519.35000000
        0.000526202673
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TE35
        
          
        
        7241253.81000000
        PA
        USD
        7891357.65000000
        0.752344658497
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TY45
        
          
        
        34371.22000000
        PA
        USD
        40394.96000000
        0.003851166520
        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
        31406PKU2
        
          
        
        102695.05000000
        PA
        USD
        107164.26000000
        0.010216804530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Floating
          3.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NEZ7
        
          
        
        4049.63000000
        PA
        USD
        4776.78000000
        0.000455407684
        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
        31404MEY0
        
          
        
        122321.73000000
        PA
        USD
        128660.06000000
        0.012266166760
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Floating
          3.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411DUK3
        
          
        
        86581.28000000
        PA
        USD
        91050.75000000
        0.008680577975
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Floating
          3.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312942N35
        
          
        
        6211.15000000
        PA
        USD
        6975.15000000
        0.000664995438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NA80
        
          
        
        69177.56000000
        PA
        USD
        78477.52000000
        0.007481873918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294R3R8
        
          
        
        991.12000000
        PA
        USD
        1167.05000000
        0.000111263976
        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
        36200JM64
        
          
        
        2469.25000000
        PA
        USD
        2882.88000000
        0.000274847429
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132A5JU0
        
          
        
        671019.38000000
        PA
        USD
        735246.90000000
        0.070096820144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MMY2
        
          
        
        27217.85000000
        PA
        USD
        30876.91000000
        0.002943736596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296K5G4
        
          
        
        10890.25000000
        PA
        USD
        12354.29000000
        0.001177830799
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LYN5
        
          
        
        43861.64000000
        PA
        USD
        49758.23000000
        0.004743840061
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296GNX5
        
          
        
        14019.30000000
        PA
        USD
        16598.40000000
        0.001582454899
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312931GB8
        
          
        
        2749.55000000
        PA
        USD
        3091.71000000
        0.000294756822
        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
        36290TX61
        
          
        
        6824.36000000
        PA
        USD
        7786.59000000
        0.000742356341
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -1536.00000000
        NC
        USD
        -227604.46000000
        -0.02169930794
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                5 Year US Treasury Note
                FVZ0 Comdty
              
            
            2020-12-31
            -193308395.54000000
            USD
            -227604.46000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296JYW0
        
          
        
        3375.08000000
        PA
        USD
        3828.81000000
        0.000365030312
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312941DF1
        
          
        
        7518.44000000
        PA
        USD
        8443.32000000
        0.000804967533
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417NRH6
        
          
        
        7309.00000000
        PA
        USD
        8285.13000000
        0.000789886047
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GDEC2
        
          
        
        20743.19000000
        PA
        USD
        23297.23000000
        0.002221106598
        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 I Pool
        36291YLR6
        
          
        
        4403.57000000
        PA
        USD
        5192.26000000
        0.000495018633
        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
        31391UJW6
        
          
        
        7824.00000000
        PA
        USD
        8045.02000000
        0.000766994488
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Floating
          3.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TTM1
        
          
        
        3074.38000000
        PA
        USD
        3609.59000000
        0.000344130360
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T4V4
        
          
        
        4282.22000000
        PA
        USD
        4948.58000000
        0.000471786718
        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
        3132GD5K4
        
          
        
        18788.26000000
        PA
        USD
        21101.60000000
        0.002011780070
        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
        3128M9BZ4
        
          
        
        57929.73000000
        PA
        USD
        65063.03000000
        0.006202965985
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292DTS1
        
          
        
        376.28000000
        PA
        USD
        443.07000000
        0.000042241317
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286C9
        
          
        
        71350000.00000000
        PA
        USD
        73666088.07000000
        7.023162595076
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJMW7
        
          
        
        5184.10000000
        PA
        USD
        5829.43000000
        0.000555765017
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UUM2
        
          
        
        2223589.41000000
        PA
        USD
        2415048.69000000
        0.230245423223
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YL88
        
          
        
        10719.85000000
        PA
        USD
        12230.75000000
        0.001166052768
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828W55
        
          
        
        43730000.00000000
        PA
        USD
        44804459.66000000
        4.271558507052
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-02-28
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NZL5
        
          
        
        2644.37000000
        PA
        USD
        3102.69000000
        0.000295803631
        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
        21H0226A4
        
          
        
        77000000.00000000
        PA
        USD
        80855405.40000000
        7.708576275631
        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 Non Gold Pool
        3128NHQY2
        
          
        
        10497.06000000
        PA
        USD
        11001.60000000
        0.001048868314
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Floating
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36209GR58
        
          
        
        2624.78000000
        PA
        USD
        2977.68000000
        0.000283885453
        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 REMICS
        3137BSCT8
        
          
        
        2559866.82000000
        PA
        USD
        2747902.86000000
        0.261979006716
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M8A20
        
          
        
        3396.79000000
        PA
        USD
        3814.65000000
        0.000363680329
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31298FT36
        
          
        
        4754.00000000
        PA
        USD
        5585.58000000
        0.000532516895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-01-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411DUP2
        
          
        
        26498.14000000
        PA
        USD
        27793.37000000
        0.002649758683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Floating
          4.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312945ZL5
        
          
        
        2846.29000000
        PA
        USD
        3196.77000000
        0.000304773011
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYJ8
        
          
        
        3536.27000000
        PA
        USD
        4151.89000000
        0.000395832048
        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
        31296ML23
        
          
        
        10390.56000000
        PA
        USD
        11787.43000000
        0.001123787615
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213CTP5
        
          
        
        7482.08000000
        PA
        USD
        8801.02000000
        0.000839069863
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T3L7
        
          
        
        4792.35000000
        PA
        USD
        5641.27000000
        0.000537826257
        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
        36292HCB7
        
          
        
        4248.35000000
        PA
        USD
        5015.03000000
        0.000478121915
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RGB9
        
          
        
        4600.55000000
        PA
        USD
        5412.07000000
        0.000515974834
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0406A0
        
          
        
        7000000.00000000
        PA
        USD
        7464024.40000000
        0.711603647597
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291NU33
        
          
        
        4684.97000000
        PA
        USD
        5506.04000000
        0.000524933727
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290VKU7
        
          
        
        31834.11000000
        PA
        USD
        37319.18000000
        0.003557928429
        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
        312933AQ7
        
          
        
        6776.07000000
        PA
        USD
        7619.57000000
        0.000726433022
        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
        31416BY36
        
          
        
        89067.13000000
        PA
        USD
        92274.59000000
        0.008797256185
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414NHM9
        
          
        
        93347.62000000
        PA
        USD
        105021.61000000
        0.010012528998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        2694.00000000
        NC
        USD
        151798.64000000
        0.014472148017
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUZ0 Comdty
              
            
            2020-12-31
            595074871.89000000
            USD
            151798.64000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TRU5
        
          
        
        2844.35000000
        PA
        USD
        3316.05000000
        0.000316144903
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TXK0
        
          
        
        5557.52000000
        PA
        USD
        6557.95000000
        0.000625220509
        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
        31409DVL4
        
          
        
        645261.28000000
        PA
        USD
        683817.13000000
        0.065193619141
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Floating
          3.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJL24
        
          
        
        103413.35000000
        PA
        USD
        116286.54000000
        0.011086502615
        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
        31292HYS7
        
          
        
        54456.81000000
        PA
        USD
        61778.33000000
        0.005889809922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NDR6
        
          
        
        2050.53000000
        PA
        USD
        2322.10000000
        0.000221383899
        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
        31406C6V5
        
          
        
        407528.83000000
        PA
        USD
        432207.76000000
        0.041205735947
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Floating
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MGK9
        
          
        
        6273.42000000
        PA
        USD
        7116.79000000
        0.000678499084
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294N7H5
        
          
        
        22420.26000000
        PA
        USD
        26400.07000000
        0.002516924530
        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
        36202TQH2
        
          
        
        18921.40000000
        PA
        USD
        22222.79000000
        0.002118671855
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201XRL4
        
          
        
        6928.19000000
        PA
        USD
        8114.76000000
        0.000773643346
        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 REMICS
        31394PP72
        
          
        
        482405.70000000
        PA
        USD
        545115.06000000
        0.051970069263
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225DAZ7
        
          
        
        104650.56000000
        PA
        USD
        108218.10000000
        0.010317275315
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-05-20
          Floating
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TTJ8
        
          
        
        40817.00000000
        PA
        USD
        47938.72000000
        0.004570371985
        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
        3132GEEY2
        
          
        
        3953.75000000
        PA
        USD
        4440.56000000
        0.000423353210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TSJ5
        
          
        
        182587.71000000
        PA
        USD
        198751.80000000
        0.018948558882
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NG43
        
          
        
        4033.92000000
        PA
        USD
        4576.22000000
        0.000436286736
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MY45
        
          
        
        7658.85000000
        PA
        USD
        8688.48000000
        0.000828340547
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31396VGA0
        
          
        
        257740.37000000
        PA
        USD
        259163.97000000
        0.024708122119
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RP5
        
          
        
        10000.00000000
        PA
        USD
        13435.94000000
        0.001280952928
        Long
        DBT
        UST
        US
        N
        
        1
        
          2045-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225DG24
        
          
        
        193673.65000000
        PA
        USD
        200203.94000000
        0.019087002712
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-10-20
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NBX4
        
          
        
        90552.76000000
        PA
        USD
        102726.31000000
        0.009793700151
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NJC2
        
          
        
        9574.70000000
        PA
        USD
        10861.98000000
        0.001035557250
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TY52
        
          
        
        21216.97000000
        PA
        USD
        24983.18000000
        0.002381841358
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296J3U8
        
          
        
        16041.09000000
        PA
        USD
        18196.96000000
        0.001734858089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RL31
        
          
        
        9599968.75000000
        PA
        USD
        10576672.45000000
        1.008356657416
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292M3H3
        
          
        
        4877.74000000
        PA
        USD
        5736.31000000
        0.000546887161
        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
        36294SUR6
        
          
        
        2509.53000000
        PA
        USD
        2925.70000000
        0.000278929794
        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
        31296LT84
        
          
        
        11522.62000000
        PA
        USD
        13071.23000000
        0.001246182280
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294Q6Z9
        
          
        
        5934.82000000
        PA
        USD
        6992.62000000
        0.000666660990
        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
        3128M73B0
        
          
        
        4268.36000000
        PA
        USD
        4799.70000000
        0.000457592827
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296W5V5
        
          
        
        1086.95000000
        PA
        USD
        1233.74000000
        0.000117622054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RBT5
        
          
        
        13567.97000000
        PA
        USD
        15187.58000000
        0.001447950428
        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
        3620C4RV4
        
          
        
        2845.72000000
        PA
        USD
        3288.33000000
        0.000313502140
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312943DQ3
        
          
        
        7929.94000000
        PA
        USD
        8905.44000000
        0.000849025036
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        20391750.63000000
        PA
        USD
        22160300.65000000
        2.112714258327
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285T3
        
          
        
        4500000.00000000
        PA
        USD
        5043164.09000000
        0.480804157322
        Long
        DBT
        UST
        US
        N
        
        1
        
          2025-12-31
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294V3W8
        
          
        
        8838.95000000
        PA
        USD
        10322.57000000
        0.000984131089
        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
        31416BY51
        
          
        
        47800.18000000
        PA
        USD
        49521.62000000
        0.004721282184
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GE7K0
        
          
        
        4452.63000000
        PA
        USD
        5000.91000000
        0.000476775745
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PE25
        
          
        
        2011.94000000
        PA
        USD
        2366.84000000
        0.000225649312
        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
        3132GGHW8
        
          
        
        201183.62000000
        PA
        USD
        225954.72000000
        0.021542025364
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295ERY5
        
          
        
        17933.83000000
        PA
        USD
        21117.26000000
        0.002013273059
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9VK6
        
          
        
        6305603.82000000
        PA
        USD
        7043292.63000000
        0.671492007261
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T2T1
        
          
        
        3432.42000000
        PA
        USD
        4041.71000000
        0.000385327729
        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
        36200C5K7
        
          
        
        5114.81000000
        PA
        USD
        6020.85000000
        0.000574014578
        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
        3132GDS86
        
          
        
        38601.83000000
        PA
        USD
        43355.15000000
        0.004133384516
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PBX0
        
          
        
        8074.82000000
        PA
        USD
        9477.34000000
        0.000903548722
        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
        3128K7UX4
        
          
        
        17773.76000000
        PA
        USD
        19871.81000000
        0.001894534599
        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
        31296LYL9
        
          
        
        74285.34000000
        PA
        USD
        84271.97000000
        0.008034304019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        31398CY93
        
          
        
        1248001.84000000
        PA
        USD
        1300137.49000000
        0.123952244885
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GFCQ8
        
          
        
        4570.30000000
        PA
        USD
        5133.07000000
        0.000489375588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YL47
        
          
        
        3948.48000000
        PA
        USD
        4650.16000000
        0.000443336012
        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
        312938EM1
        
          
        
        21371.42000000
        PA
        USD
        24030.96000000
        0.002291058800
        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 I Pool
        36200EHF1
        
          
        
        2200.46000000
        PA
        USD
        2583.53000000
        0.000246308060
        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
        36295HRG7
        
          
        
        59997.45000000
        PA
        USD
        71356.48000000
        0.006802969648
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306A1
        
          
        
        2000000.00000000
        PA
        USD
        2095312.00000000
        0.199762431384
        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
        31296NH26
        
          
        
        3625.69000000
        PA
        USD
        3974.04000000
        0.000378876221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PDW0
        
          
        
        2798.32000000
        PA
        USD
        3283.33000000
        0.000313025451
        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
        31292K2K2
        
          
        
        2279.66000000
        PA
        USD
        2560.09000000
        0.000244073342
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294ST49
        
          
        
        28095.46000000
        PA
        USD
        33207.63000000
        0.003165942308
        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
        36200FDT2
        
          
        
        940.67000000
        PA
        USD
        1104.06000000
        0.000105258648
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312930QZ6
        
          
        
        1346.68000000
        PA
        USD
        1515.44000000
        0.000144478712
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3137EAEQ8
        
          
        
        50330000.00000000
        PA
        USD
        50573093.90000000
        4.821527390707
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-04-20
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292HYA6
        
          
        
        8708.93000000
        PA
        USD
        9879.81000000
        0.000941919326
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206A2
        
          
        
        11000000.00000000
        PA
        USD
        11375780.90000000
        1.084541897090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NDX2
        
          
        
        312397.48000000
        PA
        USD
        354394.96000000
        0.033787234970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJMK3
        
          
        
        3608.77000000
        PA
        USD
        4058.00000000
        0.000386880782
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JUNM2
        
          
        
        346066.14000000
        PA
        USD
        379415.41000000
        0.036172629568
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LBBM9
        
          
        
        477.47000000
        PA
        USD
        537.31000000
        0.000051225952
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312939EX5
        
          
        
        4090.05000000
        PA
        USD
        4593.19000000
        0.000437904618
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MDN6
        
          
        
        81806.82000000
        PA
        USD
        92804.60000000
        0.008847786171
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312938M26
        
          
        
        2694.66000000
        PA
        USD
        3030.07000000
        0.000288880200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7L46
        
          
        
        60026.73000000
        PA
        USD
        67499.03000000
        0.006435208860
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)DEC20 XCBT 20201221
        000000000
        
          
        
        -153.00000000
        NC
        USD
        16134.35000000
        0.001538213394
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                10 Year US Treasury Note
                TYZ0 Comdty
              
            
            2020-12-21
            -21359634.35000000
            USD
            16134.35000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912833X96
        
          
        
        28900000.00000000
        PA
        USD
        24273395.82000000
        2.314172097974
        Long
        DBT
        UST
        US
        N
        
        1
        
          2035-11-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128L9LZ4
        
          
        
        1810.34000000
        PA
        USD
        2037.21000000
        0.000194223114
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128K7MY1
        
          
        
        6654.68000000
        PA
        USD
        7440.28000000
        0.000709339908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        2438734.98000000
        PA
        USD
        2637864.52000000
        0.251488193728
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B66C0
        
          
        
        760923.71000000
        PA
        USD
        922885.33000000
        0.087985854808
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        31300MS46
        
          
        
        1321374.24000000
        PA
        USD
        1371028.97000000
        0.130710882458
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-11-01
          Floating
          2.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292MAF9
        
          
        
        1955.65000000
        PA
        USD
        2284.32000000
        0.000217782037
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620C06T0
        
          
        
        13550.28000000
        PA
        USD
        16001.68000000
        0.001525564929
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201XRM2
        
          
        
        2298.69000000
        PA
        USD
        2700.54000000
        0.000257463535
        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
        31292K2A4
        
          
        
        5927.50000000
        PA
        USD
        6656.67000000
        0.000634632257
        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
        21H0506A5
        
          
        
        9000000.00000000
        PA
        USD
        9758400.30000000
        0.930344392790
        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
        31296MGV5
        
          
        
        42899.42000000
        PA
        USD
        48666.65000000
        0.004639771228
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201CL51
        
          
        
        1205.95000000
        PA
        USD
        1319.89000000
        0.000125835405
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225DFP4
        
          
        
        889277.93000000
        PA
        USD
        916216.83000000
        0.087350094704
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933WQ3
        
          
        
        359947.67000000
        PA
        USD
        404754.99000000
        0.038588449317
        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
        3129345T5
        
          
        
        6219.26000000
        PA
        USD
        6993.45000000
        0.000666740120
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312934DE9
        
          
        
        1438.74000000
        PA
        USD
        1617.84000000
        0.000154241302
        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
        
          
        
        6609.20000000
        PA
        USD
        7570.73000000
        0.000721776724
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128K7NM6
        
          
        
        687.27000000
        PA
        USD
        768.40000000
        0.000073257563
        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
        31296MQX0
        
          
        
        16462.69000000
        PA
        USD
        18676.04000000
        0.001780532521
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BWTG9
        
          
        
        12123263.81000000
        PA
        USD
        12269946.82000000
        1.169789706600
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GEK58
        
          
        
        2598.80000000
        PA
        USD
        2918.81000000
        0.000278272917
        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
        31402MQC7
        
          
        
        331143.07000000
        PA
        USD
        346168.85000000
        0.033002975759
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Floating
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0506A9
        
          
        
        5000000.00000000
        PA
        USD
        5477751.50000000
        0.522236763860
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413KBG5
        
          
        
        94548.88000000
        PA
        USD
        111974.90000000
        0.010675440353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213CZ29
        
          
        
        2013.04000000
        PA
        USD
        2359.89000000
        0.000224986715
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312934BJ0
        
          
        
        10082.38000000
        PA
        USD
        11337.36000000
        0.001080878933
        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
        36291Y3D7
        
          
        
        2890.38000000
        PA
        USD
        3411.99000000
        0.000325291612
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410AKW5
        
          
        
        687249.12000000
        PA
        USD
        713451.18000000
        0.068018864202
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Floating
          3.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HEJY9
        
          
        
        666301.71000000
        PA
        USD
        732975.22000000
        0.069880243176
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390N3Z3
        
          
        
        28227.80000000
        PA
        USD
        29297.60000000
        0.002793168659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-01
          Floating
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128K7ZU5
        
          
        
        1514.81000000
        PA
        USD
        1693.64000000
        0.000161467907
        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
        31296NBZ9
        
          
        
        52811.81000000
        PA
        USD
        59911.62000000
        0.005711841901
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        90DAY EUR FUTR  DEC20 XCME 20201214
        000000000
        
          
        
        222.00000000
        NC
        USD
        1039273.94000000
        0.099082088552
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                Eurodollar Time Deposit
                EDZ0 Comdty
              
            
            2020-12-14
            54324751.06000000
            USD
            1039273.94000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297TW66
        
          
        
        1594.30000000
        PA
        USD
        1782.51000000
        0.000169940577
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NBQ9
        
          
        
        48761.14000000
        PA
        USD
        55316.39000000
        0.005273742794
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294SDH7
        
          
        
        353.50000000
        PA
        USD
        405.83000000
        0.000038690938
        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
        36290XDT4
        
          
        
        4001.79000000
        PA
        USD
        4704.66000000
        0.000448531922
        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
        36291QYE8
        
          
        
        1439.22000000
        PA
        USD
        1697.65000000
        0.000161850212
        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
        3128MJL57
        
          
        
        10522.98000000
        PA
        USD
        11832.91000000
        0.001128123578
        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
        3128M6T65
        
          
        
        146702.22000000
        PA
        USD
        165522.59000000
        0.015780559185
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QAX9
        
          
        
        5340.66000000
        PA
        USD
        6282.11000000
        0.000598922531
        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
        36291YKJ5
        
          
        
        3324.33000000
        PA
        USD
        3900.41000000
        0.000371856499
        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
        36292KG67
        
          
        
        5251.93000000
        PA
        USD
        6172.36000000
        0.000588459208
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GDBF8
        
          
        
        3172.68000000
        PA
        USD
        3563.35000000
        0.000339721941
        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
        3132GDHH8
        
          
        
        6561.20000000
        PA
        USD
        7369.13000000
        0.000702556624
        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 I Pool
        36292LCU6
        
          
        
        2583.65000000
        PA
        USD
        3035.45000000
        0.000289393117
        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
        36294QAR2
        
          
        
        6106.78000000
        PA
        USD
        7165.03000000
        0.000683098180
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QAV3
        
          
        
        14227.95000000
        PA
        USD
        16535.73000000
        0.001576480080
        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
        312942E50
        
          
        
        10890.49000000
        PA
        USD
        12230.07000000
        0.001165987938
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7UU8
        
          
        
        4931.79000000
        PA
        USD
        5545.71000000
        0.000528715777
        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
        312940RF8
        
          
        
        17344.48000000
        PA
        USD
        19478.11000000
        0.001857000108
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M6T73
        
          
        
        90718.32000000
        PA
        USD
        101427.85000000
        0.009669907835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292M3D2
        
          
        
        1235.07000000
        PA
        USD
        1454.76000000
        0.000138693614
        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
        36292L7E8
        
          
        
        9029.97000000
        PA
        USD
        10647.26000000
        0.001015086318
        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
        312933R63
        
          
        
        4542.61000000
        PA
        USD
        5108.09000000
        0.000486994050
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        275903.55000000
        PA
        USD
        341081.68000000
        0.032517976176
        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
        31410GDS9
        
          
        
        328879.92000000
        PA
        USD
        343757.16000000
        0.032773050546
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Floating
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295ERS8
        
          
        
        3625.36000000
        PA
        USD
        4277.94000000
        0.000407849377
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402TUP8
        
          
        
        44448.76000000
        PA
        USD
        46193.05000000
        0.004403943651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Floating
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RS67
        
          
        
        14247.14000000
        PA
        USD
        16721.73000000
        0.001594212910
        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
        31296LHJ3
        
          
        
        4941.84000000
        PA
        USD
        5606.01000000
        0.000534464646
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405NU52
        
          
        
        236269.46000000
        PA
        USD
        246751.48000000
        0.023524742660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Floating
          3.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292LGU2
        
          
        
        5336.60000000
        PA
        USD
        6253.36000000
        0.000596181570
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GEJ27
        
          
        
        33259.53000000
        PA
        USD
        37355.01000000
        0.003561344383
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ANSD0
        
          
        
        4778534.70000000
        PA
        USD
        5089697.59000000
        0.485240558727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36225B7J1
        
          
        
        4719.40000000
        PA
        USD
        5518.79000000
        0.000526149284
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407UK97
        
          
        
        96978.50000000
        PA
        USD
        101071.14000000
        0.009635899889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Floating
          3.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225DFS8
        
          
        
        512502.45000000
        PA
        USD
        528064.59000000
        0.050344515005
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200QXE9
        
          
        
        698.85000000
        PA
        USD
        802.31000000
        0.000076490468
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BFDQ1
        
          
        
        18328093.30000000
        PA
        USD
        18589926.61000000
        1.772322660713
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-09-25
          Fixed
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        312907TB4
        
          
        
        9.02000000
        PA
        USD
        36.50000000
        0.000003479829
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-11-15
          Fixed
          1172.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294T4N2
        
          
        
        27353.49000000
        PA
        USD
        32586.20000000
        0.003106696540
        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
        36294PNG4
        
          
        
        5535.36000000
        PA
        USD
        6517.94000000
        0.000621406044
        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
        3138AXBQ3
        
          
        
        289402.00000000
        PA
        USD
        324988.16000000
        0.030983655423
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294NMW5
        
          
        
        18582.43000000
        PA
        USD
        21927.53000000
        0.002090522417
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YD6
        
          
        
        630000.00000000
        PA
        USD
        667061.72000000
        0.063596195254
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-08-31
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933DC5
        
          
        
        16103.87000000
        PA
        USD
        18108.53000000
        0.001726427368
        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
        36291Q5N0
        
          
        
        8310.11000000
        PA
        USD
        9782.96000000
        0.000932685860
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YLN5
        
          
        
        712.35000000
        PA
        USD
        838.80000000
        0.000079969344
        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
        36294PE58
        
          
        
        13239.43000000
        PA
        USD
        15533.70000000
        0.001480948746
        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
        31296MZR3
        
          
        
        15115.05000000
        PA
        USD
        17146.47000000
        0.001634706686
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3133TAG22
        
          
        
        201703.05000000
        PA
        USD
        229321.91000000
        0.021863045842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-07-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GE3J7
        
          
        
        5867.14000000
        PA
        USD
        6589.60000000
        0.000628237951
        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
        36294PAV5
        
          
        
        3274.63000000
        PA
        USD
        3847.09000000
        0.000366773087
        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
        36200GF43
        
          
        
        4102.13000000
        PA
        USD
        4824.18000000
        0.000459926696
        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
        36294P7G2
        
          
        
        20363.56000000
        PA
        USD
        23916.58000000
        0.002280154063
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        244124992.26000000
        NS
        USD
        244124992.26000000
        23.27433910342
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335HTC7
        
          
        
        16293.03000000
        PA
        USD
        16638.93000000
        0.001586318940
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-04-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312938K51
        
          
        
        3638.81000000
        PA
        USD
        4091.78000000
        0.000390101293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DQS4
        
          
        
        326092.32000000
        PA
        USD
        358142.80000000
        0.034144545781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290VMA9
        
          
        
        19889.63000000
        PA
        USD
        23420.23000000
        0.002232833147
        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
        31409JYV6
        
          
        
        360522.21000000
        PA
        USD
        378072.00000000
        0.036044551817
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Floating
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292DTR3
        
          
        
        894.05000000
        PA
        USD
        1048.98000000
        0.000100007442
        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
        31292K2X4
        
          
        
        6169.31000000
        PA
        USD
        6928.23000000
        0.000660522189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306B9
        
          
        
        2000000.00000000
        PA
        USD
        2095702.60000000
        0.199799670327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A1PN5
        
          
        
        5737.74000000
        PA
        USD
        6443.28000000
        0.000614288124
        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
        312941GA9
        
          
        
        23283.84000000
        PA
        USD
        26148.09000000
        0.002492901312
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7CC8
        
          
        
        1971.18000000
        PA
        USD
        2218.20000000
        0.000211478302
        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
        36290TRL5
        
          
        
        8858.06000000
        PA
        USD
        10419.56000000
        0.000993377902
        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
        3129354U0
        
          
        
        6396.18000000
        PA
        USD
        7192.39000000
        0.000685706622
        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
        31296MK40
        
          
        
        2936.69000000
        PA
        USD
        3331.49000000
        0.000317616919
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXNP1
        
          
        
        995.27000000
        PA
        USD
        1112.76000000
        0.000106088087
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294VCV0
        
          
        
        1346.18000000
        PA
        USD
        1584.14000000
        0.000151028418
        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
        3128M4XL2
        
          
        
        2458.54000000
        PA
        USD
        2748.78000000
        0.000262062631
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36212TBB9
        
          
        
        2722.19000000
        PA
        USD
        3170.53000000
        0.000302271347
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MME6
        
          
        
        6128.82000000
        PA
        USD
        6952.75000000
        0.000662859872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LSQ5
        
          
        
        1627.85000000
        PA
        USD
        1846.69000000
        0.000176059357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYH2
        
          
        
        8878.54000000
        PA
        USD
        10444.68000000
        0.000995772787
        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
        31416BY28
        
          
        
        90097.65000000
        PA
        USD
        93340.59000000
        0.008898886278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M8GK4
        
          
        
        1668.85000000
        PA
        USD
        1865.86000000
        0.000177886983
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416QZ40
        
          
        
        103252.16000000
        PA
        USD
        116086.22000000
        0.011067404547
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292LHC2
        
          
        
        190173.02000000
        PA
        USD
        213590.38000000
        0.020363236419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36211SEE3
        
          
        
        3505.38000000
        PA
        USD
        4124.99000000
        0.000393267461
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933G73
        
          
        
        6970.90000000
        PA
        USD
        7838.66000000
        0.000747320580
        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
        31402RB81
        
          
        
        144586.24000000
        PA
        USD
        151547.32000000
        0.014448187722
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Floating
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225DC85
        
          
        
        230499.70000000
        PA
        USD
        237461.48000000
        0.022639054520
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-07-20
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MF95
        
          
        
        239808.14000000
        PA
        USD
        272047.00000000
        0.025936361826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          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
        
          
        
        10960000.00000000
        OU
        Notional Amount
        USD
        -30150.96000000
        -0.00287452612
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            0.00000000
            USD
            -15491.18000000
            USD
            10960000.00000000
            USD
            -14659.78000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200GES1
        
          
        
        7378.31000000
        PA
        USD
        8696.38000000
        0.000829093716
        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
        36294S4W4
        
          
        
        12139.36000000
        PA
        USD
        14316.02000000
        0.001364857817
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291USQ9
        
          
        
        22858.46000000
        PA
        USD
        26837.81000000
        0.002558657698
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291Q6N9
        
          
        
        7831.52000000
        PA
        USD
        9210.02000000
        0.000878063022
        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
        31401K5T8
        
          
        
        138158.16000000
        PA
        USD
        144693.33000000
        0.013794743410
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Floating
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LSV4
        
          
        
        119937.96000000
        PA
        USD
        136061.94000000
        0.012971845698
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128QLPD7
        
          
        
        644139.77000000
        PA
        USD
        673749.01000000
        0.064233746754
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Floating
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3133TCC63
        
          
        
        151700.16000000
        PA
        USD
        169961.04000000
        0.016203711232
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291YKE6
        
          
        
        5520.34000000
        PA
        USD
        6489.93000000
        0.000618735632
        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
        36290VNF7
        
          
        
        22445.77000000
        PA
        USD
        26370.84000000
        0.002514137806
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        479274.09000000
        PA
        USD
        520205.44000000
        0.049595240953
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312941VC8
        
          
        
        5129.78000000
        PA
        USD
        5760.82000000
        0.000549223891
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200MT60
        
          
        
        1524.01000000
        PA
        USD
        1789.32000000
        0.000170589828
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36212USJ1
        
          
        
        4268.50000000
        PA
        USD
        5011.59000000
        0.000477793953
        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
        36291Q3N2
        
          
        
        3460.17000000
        PA
        USD
        4078.30000000
        0.000388816139
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH54
        
          
        
        6948448.31000000
        PA
        USD
        7494637.34000000
        0.714522217874
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409BB30
        
          
        
        336248.81000000
        PA
        USD
        352872.92000000
        0.033642127028
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Floating
          3.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406TLS8
        
          
        
        57327.86000000
        PA
        USD
        60424.98000000
        0.005760784513
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Floating
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        323060.49000000
        PA
        USD
        360855.14000000
        0.034403134303
        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
        31292LHH1
        
          
        
        21518.08000000
        PA
        USD
        24167.75000000
        0.002304100058
        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
        31410GM26
        
          
        
        466316.53000000
        PA
        USD
        490198.37000000
        0.046734432987
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Floating
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3129316G8
        
          
        
        30864.43000000
        PA
        USD
        34706.52000000
        0.003308843179
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290TQQ5
        
          
        
        2004.87000000
        PA
        USD
        2211.61000000
        0.000210850026
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312931AH1
        
          
        
        11820.12000000
        PA
        USD
        13291.40000000
        0.001267172803
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292LC77
        
          
        
        9235.83000000
        PA
        USD
        10847.29000000
        0.001034156738
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128L4RZ9
        
          
        
        1155.45000000
        PA
        USD
        1303.68000000
        0.000124289979
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294PNA7
        
          
        
        11298.08000000
        PA
        USD
        13295.24000000
        0.001267538900
        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
        3128K8AJ5
        
          
        
        3605.31000000
        PA
        USD
        4030.93000000
        0.000384299988
        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
        36292MDL3
        
          
        
        5020.40000000
        PA
        USD
        5926.40000000
        0.000565009923
        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
        36294PBV4
        
          
        
        738.35000000
        PA
        USD
        869.91000000
        0.000082935303
        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
        36294TZN8
        
          
        
        11776.48000000
        PA
        USD
        14000.43000000
        0.001334770161
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0426A6
        
          
        
        13000000.00000000
        PA
        USD
        14063355.80000000
        1.340769368965
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NB22
        
          
        
        112235.44000000
        PA
        USD
        127323.93000000
        0.012138783069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200RDN9
        
          
        
        2555.51000000
        PA
        USD
        2982.17000000
        0.000284313519
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AU5H6
        
          
        
        108956.36000000
        PA
        USD
        122354.12000000
        0.011664972329
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206B6
        
          
        
        24000000.00000000
        PA
        USD
        24890152.80000000
        2.372972350107
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-19
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294P5Q2
        
          
        
        23525.28000000
        PA
        USD
        27808.36000000
        0.002651187797
        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
        3128M84D3
        
          
        
        6199.17000000
        PA
        USD
        6961.76000000
        0.000663718865
        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
        3128L9C35
        
          
        
        277.12000000
        PA
        USD
        311.85000000
        0.000029731092
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NFQ5
        
          
        
        27285.48000000
        PA
        USD
        30952.57000000
        0.002950949854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GES84
        
          
        
        63085.11000000
        PA
        USD
        70853.23000000
        0.006754990901
        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
        3129413L9
        
          
        
        6308.57000000
        PA
        USD
        7084.62000000
        0.000675432067
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294QDK4
        
          
        
        3440.69000000
        PA
        USD
        4051.45000000
        0.000386256320
        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
        36294T3G8
        
          
        
        9322.16000000
        PA
        USD
        10973.50000000
        0.001046189322
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        -378.00000000
        NC
        USD
        -26014.43000000
        -0.00248015846
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            -66549235.57000000
            USD
            -26014.43000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292GT96
        
          
        
        2116.21000000
        PA
        USD
        2461.05000000
        0.000234631086
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200GDB9
        
          
        
        3263.86000000
        PA
        USD
        3832.05000000
        0.000365339207
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RG5
        
          
        
        410000.00000000
        PA
        USD
        578612.50000000
        0.055163641419
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-05-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294TYU3
        
          
        
        19399.00000000
        PA
        USD
        23059.25000000
        0.002198418109
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT DEC20 XCBT 20201221
        000000000
        
          
        
        -109.00000000
        NC
        USD
        30159.04000000
        0.002875296451
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US 10 Year Ultra Bond
                UXYZ0 Comdty
              
            
            2020-12-21
            -17448018.42000000
            USD
            30159.04000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3129382N2
        
          
        
        3307.90000000
        PA
        USD
        3719.68000000
        0.000354626099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36294RPC7
        
          
        
        1469.24000000
        PA
        USD
        1726.73000000
        0.000164622635
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-09-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2020-10-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  



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SEC Filings