Form NPORT-P MORGAN STANLEY MORTGAGE For: Oct 31

December 28, 2020 10:26 AM

  
    NPORT-P
    false
    
      
      
        
          0000806564
          XXXXXXXX
        
      
      
      
      
        S000002467
        C000006614
        C000155975
        C000198813
        C000006613
        C000006611
      
      
      
    
  
  
    
      MORGAN STANLEY MORTGAGE SECURITIES TRUST
      811-04917
      0000806564
      WKCEPKI1XKBG42N8NC94
      522 FIFTH AVENUE
      NEW YORK
      
      10036
      800-869-6397
      Morgan Stanley Mortgage Securities Trust
      S000002467
      WKCEPKI1XKBG42N8NC94
      2020-10-31
      2020-10-31
      N
    
    
      197376355.23
      26405846.18
      170970509.05
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      627424.00000000
      
        
          USD
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        1266716Y7
        
          
        
        123925.77000000
        PA
        USD
        123049.37000000
        0.071971108165
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-06-25
          Floating
          0.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TLWND 2019-1
        N/A
        GAIA Aviation Ltd
        87404LAA0
        
          
        
        320367.23000000
        PA
        USD
        289074.56000000
        0.169078609876
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2044-12-15
          Variable
          3.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAVE 2017-1 LLC
        N/A
        WAVE 2017-1 Trust
        94353WAA3
        
          
        
        305446.13000000
        PA
        USD
        285106.38000000
        0.166757636497
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-11-15
          Fixed
          3.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Mortgage Funding Trust
        N/A
        Bear Stearns Mortgage Funding Trust 2007-AR1
        07401MAD3
        
          
        
        5368695.16000000
        PA
        USD
        119270.39000000
        0.069760797147
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Finance of America
        N/A
        Finance of America HECM Buyout 2020-HB1
        31735NAE6
        
          
        
        1260000.00000000
        PA
        USD
        1084860.00000000
        0.634530484835
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-02-25
          Variable
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        E-MAC
        724500SQXZRLADX2J753
        E-MAC NL 2004-I BV
        000000000
        
          
        
        233292.00000000
        PA
        
        262044.75000000
        0.153268976887
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2036-07-25
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-CR14 Mortgage Trust
        12630DAZ7
        
          
        
        2307031.84000000
        PA
        USD
        37819.40000000
        0.022120423112
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-02-10
          Variable
          0.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Clavis Securities PLC
        213800L2JGJCD5G81L96
        Clavis Securities PLC
        000000000
        
          
        
        149976.96000000
        PA
        
        168627.92000000
        0.098629828580
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2040-12-15
          Floating
          0.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRZ Excess Spread Collateralized Notes
        549300FB4YR8GY21CA08
        New Residential Mortgage LLC
        64830YAA5
        
          
        
        902924.79000000
        PA
        USD
        910552.70000000
        0.532578808508
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-06-25
          Fixed
          5.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300ZVNWG0TX42H716
        Wells Fargo Commercial Mortgage Trust 2015-NXS3
        94989VAZ2
        
          
        
        306000.00000000
        PA
        USD
        270917.74000000
        0.158458754966
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-09-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B53F8
        
          
        
        67345.18000000
        PA
        USD
        8729.56000000
        0.005105886417
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AASET 2019-1 Trust
        549300TXM3PCKZJKD061
        Aaset 2019-1 Trust
        00256DAA0
        
          
        
        221742.69000000
        PA
        USD
        208503.70000000
        0.121953020528
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2039-05-15
          Fixed
          3.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities Trust 2001-3
        07384YBN5
        
          
        
        166396.92000000
        PA
        USD
        165504.85000000
        0.096803156824
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-10-27
          Floating
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-3
        35563PGA1
        
          
        
        318366.15000000
        PA
        USD
        340976.96000000
        0.199436126086
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lansdowne Mortgage Securities PLC
        549300FRHPJ8SK8UYU55
        Lansdowne Mortgage Securities No 2 PLC
        000000000
        
          
        
        507160.00000000
        PA
        
        531731.03000000
        0.311007455586
        Long
        ABS-MBS
        CORP
        IE
        Y
        
        2
        
          2048-09-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurosail Plc
        7245005ZXA2CS61TW539
        Eurosail-NL 2007-1bv
        000000000
        
          
        
        500000.00000000
        PA
        
        404618.65000000
        0.236659908336
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2040-04-17
          Floating
          0.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7SU1
        
          
        
        41504.69000000
        PA
        USD
        49304.57000000
        0.028838055331
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        N/A
        Exeter Automobile Receivables Trust 2018-4
        30166EAJ5
        
          
        
        200000.00000000
        PA
        USD
        208059.50000000
        0.121693209639
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sprite Limited
        N/A
        Sprite 2017-1 Ltd
        85208HAC7
        
          
        
        526741.44000000
        PA
        USD
        254709.77000000
        0.148978775003
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2037-12-15
          Fixed
          6.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31404SDG7
        
          
        
        6702.81000000
        PA
        USD
        7484.99000000
        0.004377942161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC FMSR ISSUER TRUST 2018-FT1
        69346MAA7
        
          
        
        1000000.00000000
        PA
        USD
        964002.40000000
        0.563841334600
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-04-25
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UUC4
        
          
        
        329519.79000000
        PA
        USD
        349717.10000000
        0.204548200706
        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 II Pool
        36179USM5
        
          
        
        93470.95000000
        PA
        USD
        99040.74000000
        0.057928551859
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amortizing Residential Collateral Trust
        N/A
        Amortizing Residential Collateral Trust 2002-BC7
        86358R7H4
        
          
        
        293354.07000000
        PA
        USD
        273378.07000000
        0.159897792618
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-10-25
          Floating
          0.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RRJ7
        
          
        
        38515.76000000
        PA
        USD
        38600.36000000
        0.022577203644
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-02-20
          Floating
          0.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617JKEK5
        
          
        
        167633.29000000
        PA
        USD
        179126.63000000
        0.104770484100
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-04-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M4XA6
        
          
        
        12880.03000000
        PA
        USD
        15007.84000000
        0.008778028493
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIEMAE STRIP
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        31364HK48
        
          
        
        30654.11000000
        PA
        USD
        3495.86000000
        0.002044715208
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-10-25
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617JUST9
        
          
        
        259279.07000000
        PA
        USD
        275064.69000000
        0.160884290237
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FMC GMSR Issuer Trust
        N/A
        FMC GMSR Issuer Trust
        30259RAC9
        
          
        
        750000.00000000
        PA
        USD
        734354.25000000
        0.429521005745
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-09-25
          Variable
          4.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133N3U51
        
          
        
        298688.50000000
        PA
        USD
        310417.61000000
        0.181562078585
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pastor GC Hipotecario
        549300BBHS237631DL85
        GC Pastor Hipotecario 5 FTA
        000000000
        
          
        
        494230.65000000
        PA
        
        517640.54000000
        0.302765981616
        Long
        ABS-MBS
        CORP
        ES
        Y
        
        2
        
          2046-06-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QCDT0
        
          
        
        257070.41000000
        PA
        USD
        265813.90000000
        0.155473538376
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NET0
        
          
        
        7596.69000000
        PA
        USD
        8484.40000000
        0.004962493266
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        55.00000000
        NC
        USD
        -296397.16000000
        -0.17336157074
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            9782178.41000000
            USD
            -296397.16000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DD74
        
          
        
        458223.51000000
        PA
        USD
        475669.02000000
        0.278216999319
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MJT0
        
          
        
        52521.50000000
        PA
        USD
        64920.29000000
        0.037971630523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        549300HU3WTU5KNK1B36
        Cascade Funding Mortgage Trust 2019-RM3
        147271AC4
        
          
        
        934142.79000000
        PA
        USD
        885880.30000000
        0.518148015656
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-06-25
          Variable
          4.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TAQ4
        
          
        
        208969.16000000
        PA
        USD
        219883.43000000
        0.128608981292
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-11-15
          Variable
          7.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2007-4
        81744JAA7
        
          
        
        120243.84000000
        PA
        USD
        114878.96000000
        0.067192266454
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-20
          Floating
          0.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Classic RMBS Trust
        N/A
        Classic RMBS Trust
        18273RAD4
        
          
        
        141332.35000000
        PA
        
        106520.97000000
        0.062303709915
        Long
        ABS-MBS
        CORP
        CA
        N
        
        2
        
          2049-08-16
          Fixed
          3.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurosail PLC
        724500VX65TCSYFLOA51
        Eurosail-NL 2007-2 BV
        000000000
        
          
        
        300000.00000000
        PA
        
        294882.41000000
        0.172475599235
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2040-10-17
          Floating
          1.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust Series 2008-R2
        46632TAA3
        
          
        
        141259.03000000
        PA
        USD
        145558.98000000
        0.085136893379
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-27
          Variable
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UNZ1
        
          
        
        180598.49000000
        PA
        USD
        191344.20000000
        0.111916494290
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        N/A
        Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1
        59020UAE5
        
          
        
        183782.79000000
        PA
        USD
        183906.44000000
        0.107566176776
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-25
          Variable
          3.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mortgage Loan Trust
        N/A
        Structured Adjustable Rate Mortgage Loan Trust
        863579LA4
        
          
        
        346386.79000000
        PA
        USD
        336117.81000000
        0.196594027746
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-25
          Variable
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2005-AR2
        86359LJA8
        
          
        
        135806.14000000
        PA
        USD
        132336.08000000
        0.077402869497
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-25
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Securitization Trust
        N/A
        MASTR Asset Securitization Trust 2005-2
        57643MLK8
        
          
        
        195367.46000000
        PA
        USD
        197000.18000000
        0.115224655465
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-10-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust 2017-4
        35563PDD8
        
          
        
        506269.33000000
        PA
        USD
        552064.18000000
        0.322900237630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-06-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RBSSP Resecuritization Trust
        N/A
        RBSSP Resecuritization Trust 2009-8
        74927BAK6
        
          
        
        145182.53000000
        PA
        USD
        269262.04000000
        0.157490342338
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-26
          Variable
          16.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT DEC20 XCBT 20201221
        000000000
        
          
        
        40.00000000
        NC
        USD
        -92812.52000000
        -0.05428568968
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US 10 Year Ultra Bond
                UXYZ0 Comdty
              
            
            2020-12-21
            6384062.52000000
            USD
            -92812.52000000
          
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Mortgage Pass-Through Certificates Seri
        863572Z97
        
          
        
        343436.05000000
        PA
        USD
        336812.10000000
        0.197000115324
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-11-25
          Variable
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT DEC20 XCBT 20201221
        000000000
        
          
        
        8.00000000
        NC
        USD
        -51983.75000000
        -0.03040509751
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Ultra Long Bond
                WNZ0 Comdty
              
            
            2020-12-21
            1771983.75000000
            USD
            -51983.75000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1551.07000000
        0.000907214939
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            125946.00000000
            EUR
            148324.60000000
            USD
            2020-12-01
            1551.07000000
          
        
        
          N
          N
          N
        
      
      
        NRZ Excess Spread Collateralized Notes
        N/A
        NRZ Excess Spread-Collateralized Notes Series 2018-PLS1
        40423XAE2
        
          
        
        184736.73000000
        PA
        USD
        182952.93000000
        0.107008472406
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-01-25
          Fixed
          4.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-4
        35563PMT3
        
          
        
        432417.28000000
        PA
        USD
        478964.41000000
        0.280144460387
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-02-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BCNR5
        
          
        
        1036363.52000000
        PA
        USD
        60526.95000000
        0.035401982678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-15
          Floating
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2015-GC33
        29425AAK9
        
          
        
        2152881.97000000
        PA
        USD
        77092.12000000
        0.045090887562
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-09-10
          Variable
          0.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-2
        35563PFA2
        
          
        
        789321.84000000
        PA
        USD
        846249.31000000
        0.494968000447
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-11-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust
        3137G1BL0
        
          
        
        253572.47000000
        PA
        USD
        260090.58000000
        0.152125990292
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 6
        81743XAA7
        
          
        
        590318.88000000
        PA
        USD
        575482.04000000
        0.336597254811
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-04-19
          Floating
          0.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380LYZ0
        
          
        
        4860270.54000000
        PA
        USD
        371999.23000000
        0.217580933733
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2069-08-20
          Variable
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DBR2
        
          
        
        79955.92000000
        PA
        USD
        82983.75000000
        0.048536879524
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMF-NL Bv
        724500YACYYG8XY5LM10
        EMF-NL Prime 2008-ABV
        000000000
        
          
        
        338262.00000000
        PA
        
        373756.33000000
        0.218608654835
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2041-04-17
          Floating
          0.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        E-MAC Program B.V.
        724500E754K57OOQQ940
        E-MAC Program II BV
        000000000
        
          
        
        166200.00000000
        PA
        
        172446.34000000
        0.100863207905
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2048-04-25
          Floating
          3.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust 2017-SC02
        3137G1BV8
        
          
        
        44859.62000000
        PA
        USD
        46006.44000000
        0.026908991647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust Resecuritization 2008-2R
        12544NAA5
        
          
        
        86819.30000000
        PA
        USD
        73156.62000000
        0.042789028591
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AJFH4
        
          
        
        442617.74000000
        PA
        USD
        23264.79000000
        0.013607487121
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-25
          Variable
          3.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nationstar HECM Loan Trust
        N/A
        Nationstar HECM Loan Trust 2020-1
        63862XAD4
        
          
        
        590000.00000000
        PA
        USD
        591685.04000000
        0.346074327840
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-09-25
          Variable
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mortgage Trust
        N/A
        NYMT Loan Trust 2020-SP2
        62955DAA4
        
          
        
        800000.00000000
        PA
        USD
        800802.48000000
        0.468386322559
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-10-25
          Variable
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremont Home Loan Trust
        N/A
        Fremont Home Loan Trust 2003-1
        35729PAS9
        
          
        
        694219.29000000
        PA
        USD
        695084.01000000
        0.406551991838
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-02-25
          Floating
          1.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2004-AR9
        45660N3Q6
        
          
        
        199622.65000000
        PA
        USD
        201376.12000000
        0.117784126115
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Variable
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BGT3
        
          
        
        1956046.85000000
        PA
        USD
        40330.15000000
        0.023588951231
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2058-08-20
          Variable
          0.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ludgate Funding PLC
        213800LADM2GPWI3P269
        Ludgate Funding PLC
        000000000
        
          
        
        314153.28000000
        PA
        
        319561.70000000
        0.186910422022
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2060-12-01
          Floating
          0.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LHFC Depositor, LLC
        N/A
        LHOME Mortgage Trust 2019-RTL3
        501878AA0
        
          
        
        500000.00000000
        PA
        USD
        507426.50000000
        0.296791828496
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-07-25
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DBW1
        
          
        
        407122.90000000
        PA
        USD
        429923.11000000
        0.251460390677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RMF Buyout Issuance Trust
        N/A
        RMF Buyout Issuance Trust 2020-1
        74968QAE7
        
          
        
        1600000.00000000
        PA
        USD
        1560768.00000000
        0.912887262646
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-02-25
          Variable
          4.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-79CB
        12668BAC7
        
          
        
        51820.58000000
        PA
        USD
        43008.22000000
        0.025155344181
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIEMAC STRIP
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31282YCX5
        
          
        
        83055.33000000
        PA
        USD
        13296.69000000
        0.007777183371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nationstar HECM Loan Trust
        N/A
        Nationstar HECM Loan Trust 2019-2
        63862UAE8
        
          
        
        1390000.00000000
        PA
        USD
        1390222.40000000
        0.813135790332
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-11-25
          Variable
          5.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31323AEP3
        
          
        
        230786.60000000
        PA
        USD
        239886.59000000
        0.140308753441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CTP9
        
          
        
        138225.42000000
        PA
        USD
        143435.08000000
        0.083894632353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust 2017-SC02
        3137G1BS5
        
          
        
        1568090.29000000
        PA
        USD
        1582589.64000000
        0.925650656825
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities Trust
        N/A
        Mastr Asset Backed Securities Trust 2004-HE1
        57643LEP7
        
          
        
        250000.00000000
        PA
        USD
        252607.10000000
        0.147748931323
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-25
          Floating
          2.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurosail PLC
        724500VX65TCSYFLOA51
        Eurosail-NL 2007-2 BV
        000000000
        
          
        
        850000.00000000
        PA
        
        897055.42000000
        0.524684300809
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2040-10-17
          Floating
          1.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2017-3
        35563PBS7
        
          
        
        235874.40000000
        PA
        USD
        255735.47000000
        0.149578703029
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-07-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8HY4
        
          
        
        411817.46000000
        PA
        USD
        443307.31000000
        0.259288758314
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389R3J3
        
          
        
        2756.23000000
        PA
        USD
        3096.80000000
        0.001811306533
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MLCC Mortgage Investors Inc
        N/A
        Merrill Lynch Mortgage Investors Trust Series MLCC 2007-1
        59023HAD3
        
          
        
        60980.67000000
        PA
        USD
        63785.78000000
        0.037308059942
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        Credit Suisse First Boston Mortgage Securities Corp
        22540VTZ5
        
          
        
        380003.22000000
        PA
        USD
        369240.35000000
        0.215967275322
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-02-25
          Floating
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0226B6
        
          
        
        1000000.00000000
        PA
        USD
        1042148.43000000
        0.609548650109
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        METAL Cayman
        N/A
        METAL 2017-1 LLC
        59111RAA0
        
          
        
        282956.73000000
        PA
        USD
        217730.93000000
        0.127349992235
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2042-10-15
          Fixed
          4.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-3
        35563PLQ0
        
          
        
        231845.21000000
        PA
        USD
        256318.00000000
        0.149919422609
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-10-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617J6UQ5
        
          
        
        61276.52000000
        PA
        USD
        65662.29000000
        0.038405623498
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31379NGV3
        
          
        
        293.20000000
        PA
        USD
        329.52000000
        0.000192734993
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2018-GS3
        52474LAA9
        
          
        
        514532.46000000
        PA
        USD
        519166.24000000
        0.303658357739
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-06-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        288.28000000
        0.000168613874
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            30429.45000000
            USD
            23707.00000000
            GBP
            2020-12-01
            288.28000000
          
        
        
          N
          N
          N
        
      
      
        Progress Residential Trust
        N/A
        Progress Residential 2018-SFR1 Trust
        74334AAE9
        
          
        
        400000.00000000
        PA
        USD
        405676.24000000
        0.237278488702
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-03-17
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31384WAH3
        
          
        
        32999.41000000
        PA
        USD
        37061.71000000
        0.021677253115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-01
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        Impac CMB Trust Series 2004-5
        45254NJK4
        
          
        
        115350.79000000
        PA
        USD
        112804.99000000
        0.065979209295
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-10K
        63874UAL8
        
          
        
        600000.00000000
        PA
        USD
        563241.06000000
        0.329437552201
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-05-15
          Variable
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amortizing Residential Collateral Trust
        N/A
        Amortizing Residential Collateral Trust
        86358RND5
        
          
        
        206912.48000000
        PA
        USD
        198460.39000000
        0.116078726736
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-10-25
          Floating
          0.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -378.00000000
        NC
        USD
        60777.34000000
        0.035548434836
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                5 Year US Treasury Note
                FVZ0 Comdty
              
            
            2020-12-31
            -47538168.15000000
            USD
            60777.34000000
          
        
        
          N
          N
          N
        
      
      
        Nationstar HECM Loan Trust
        N/A
        Nationstar HECM Loan Trust 2019-1
        63862VAE6
        
          
        
        2000000.00000000
        PA
        USD
        2002129.60000000
        1.171037982588
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-06-25
          Variable
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurosail PLC
        213800PBNX9J895VX562
        Eurosail 2006-2bl PLC
        298805AH5
        
          
        
        500000.00000000
        PA
        USD
        480272.50000000
        0.280909557249
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2044-12-15
          Floating
          0.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MLCC Mortgage Investors Inc
        N/A
        Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A
        59020UAS4
        
          
        
        21793.46000000
        PA
        USD
        21296.05000000
        0.012455978588
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-04-25
          Floating
          0.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390EZX3
        
          
        
        966.65000000
        PA
        USD
        993.17000000
        0.000580901352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AAA Trust
        N/A
        Financial Asset Securities Corp AAA Trust 2005-1
        31738PAV0
        
          
        
        225961.69000000
        PA
        USD
        213564.46000000
        0.124913039790
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-27
          Floating
          0.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4
        46645UAV9
        
          
        
        1685426.08000000
        PA
        USD
        46026.12000000
        0.026920502404
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-15
          Variable
          0.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Certificates
        N/A
        ABFC 2004-OPT2 Trust
        04542BFU1
        
          
        
        404698.87000000
        PA
        USD
        379852.46000000
        0.222174258069
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Floating
          0.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140KBZB3
        
          
        
        603010.06000000
        PA
        USD
        627874.56000000
        0.367241440344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ondeck Asset Securitization Trust LLC
        N/A
        OnDeck Asset Securitization Trust II LLC
        68235RAL8
        
          
        
        500000.00000000
        PA
        USD
        500514.70000000
        0.292749142984
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-11-18
          Fixed
          3.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKN1
        
          
        
        74165.37000000
        PA
        USD
        78588.99000000
        0.045966401127
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USL7
        
          
        
        123739.37000000
        PA
        USD
        131102.03000000
        0.076681078349
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMRF Mortgage Acquisition Co., LLC
        N/A
        Galton Funding Mortgage Trust 2019-1
        36418WAJ8
        
          
        
        218654.11000000
        PA
        USD
        225570.90000000
        0.131935560848
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-02-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A6JT8
        
          
        
        32641.77000000
        PA
        USD
        36795.18000000
        0.021521360733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        549300BI6Y5SI6BYPB26
        Morgan Stanley Institutional Liquidity Funds - Government Portfolio
        61747C707
        
          
        
        22682449.07000000
        NS
        USD
        22682449.07000000
        13.26687812771
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Reverse Mortgage Loan Trust 2007-RM1
        86363BAF2
        
          
        
        734105.70000000
        PA
        USD
        628578.01000000
        0.367652885572
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-05-25
          Floating
          2.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Citicorp Residential Mortgage Securities, Inc.
        N/A
        Citicorp Residential Mortgage Trust Series 2007-1
        173109AE9
        
          
        
        754774.98000000
        PA
        USD
        779642.78000000
        0.456010094566
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-03-25
          Variable
          5.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merit Securities Corporation
        N/A
        MERIT Securities Corp
        589962CV9
        
          
        
        259980.19000000
        PA
        USD
        270035.11000000
        0.157942508038
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-12-28
          Variable
          7.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UMD1
        
          
        
        121630.94000000
        PA
        USD
        133652.11000000
        0.078172610435
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A6WV2
        
          
        
        822327.63000000
        PA
        USD
        159875.13000000
        0.093510355024
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-25
          Floating
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-4
        35563PGZ6
        
          
        
        509166.18000000
        PA
        USD
        547272.02000000
        0.320097321485
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-03-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRZ Excess Spread Collateralized Notes
        N/A
        New Residential Mortgage LLC 2020-FNT2
        64830YAB3
        
          
        
        920867.73000000
        PA
        USD
        923774.73000000
        0.540312323530
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-25
          Fixed
          5.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7S49
        
          
        
        20899.23000000
        PA
        USD
        24996.60000000
        0.014620416198
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WP71
        
          
        
        19775.30000000
        PA
        USD
        22010.84000000
        0.012874056538
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140K8XN6
        
          
        
        561307.72000000
        PA
        USD
        583216.12000000
        0.341120888766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375GA76
        
          
        
        454604.75000000
        PA
        USD
        91970.04000000
        0.053792926342
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-08-20
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KGS-Alpha SBA COOF Trust
        N/A
        KGS-Alpha SBA COOF Trust 2014-2
        48249GAA2
        
          
        
        1002659.03000000
        PA
        USD
        61431.01000000
        0.035930763931
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2040-04-25
          Variable
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        E-MAC Program B.V.
        724500SKQP7E7072AD15
        E-MAC Program BV
        000000000
        
          
        
        287673.68000000
        PA
        
        292553.86000000
        0.171113639203
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2048-01-25
          Floating
          2.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JGZ40
        
          
        
        499076.09000000
        PA
        USD
        547877.54000000
        0.320451487829
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Titulizacion De Activos
        95980020140005710276
        TDA 27 FTA
        000000000
        
          
        
        700000.00000000
        PA
        
        656372.44000000
        0.383909741888
        Long
        ABS-MBS
        CORP
        ES
        Y
        
        2
        
          2050-12-28
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36184YE78
        
          
        
        257037.54000000
        PA
        USD
        283127.02000000
        0.165599916367
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lansdowne Mortgage Securities PLC
        549300M5JCJD5NA85U45
        Lansdowne Mortgage Securities No 1 PLC
        000000000
        
          
        
        298724.00000000
        PA
        
        320005.24000000
        0.187169846880
        Long
        ABS-MBS
        CORP
        IE
        Y
        
        2
        
          2045-06-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWDAY PARTNERSHIP FUNDING PLC
        213800AOO7E456YT9P37
        Newday Partnership Funding 2015-1 PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        647574.24000000
        0.378763708196
        Long
        ABS-O
        CORP
        GB
        Y
        
        2
        
          2025-04-15
          Floating
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-4
        35563PHK8
        
          
        
        1050574.21000000
        PA
        USD
        1151481.65000000
        0.673497234346
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-03-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NewDay Funding
        213800BI38CCY8B9NH32
        Newday Funding 2018-1 PLC
        000000000
        
          
        
        250000.00000000
        PA
        
        320355.99000000
        0.187374999220
        Long
        ABS-O
        CORP
        GB
        N
        
        2
        
          2026-08-15
          Floating
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31388HBH1
        
          
        
        40953.20000000
        PA
        USD
        46263.91000000
        0.027059584870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DCP5
        
          
        
        218629.29000000
        PA
        USD
        230954.45000000
        0.135084378752
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust 2015-SC01
        3137G1AA5
        
          
        
        115178.11000000
        PA
        USD
        115378.80000000
        0.067484620968
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SLST
        N/A
        Seasoned Loans Structured Transaction Series 2018-1
        35564CAD9
        
          
        
        419132.00000000
        PA
        USD
        414479.89000000
        0.242427710078
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-04-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UF39
        
          
        
        5422315.62000000
        PA
        USD
        274106.51000000
        0.160323854402
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-07-20
          Variable
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BKL5
        
          
        
        83911.50000000
        PA
        USD
        84047.42000000
        0.049159016058
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2061-02-20
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132M9WH3
        
          
        
        120495.94000000
        PA
        USD
        131697.45000000
        0.077029337241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JMAN2
        
          
        
        143702.87000000
        PA
        USD
        153186.56000000
        0.089598235889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UUB6
        
          
        
        320634.87000000
        PA
        USD
        339713.10000000
        0.198696899183
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A1JH5
        
          
        
        23944.34000000
        PA
        USD
        27254.66000000
        0.015941146898
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan Trust
        N/A
        Morgan Stanley Mortgage Loan Trust 2004-2AR
        61748HAD3
        
          
        
        49429.02000000
        PA
        USD
        48588.92000000
        0.028419474370
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-25
          Variable
          3.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECAF LTD
        N/A
        ECAF I Ltd
        26827EAC9
        
          
        
        784688.92000000
        PA
        USD
        703086.61000000
        0.411232682119
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2040-06-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306B9
        
          
        
        4000000.00000000
        PA
        USD
        4180964.64000000
        2.445430304461
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-2
        35563PKL2
        
          
        
        237802.65000000
        PA
        USD
        263120.52000000
        0.153898190665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ondeck Asset Securitization Trust LLC
        N/A
        OnDeck Asset Securitization Trust II LLC
        68235RAK0
        
          
        
        325591.31000000
        PA
        USD
        309348.80000000
        0.180936935684
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-11-18
          Fixed
          3.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-1
        35563PDT3
        
          
        
        233119.13000000
        PA
        USD
        253315.20000000
        0.148163096318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-05-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Novastar Home Equity Loan
        N/A
        NovaStar Mortgage Funding Trust Series 2004-3
        66987XFS9
        
          
        
        200000.00000000
        PA
        USD
        197139.90000000
        0.115306377161
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-25
          Floating
          1.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust 2015-SC02
        3137G1AK3
        
          
        
        184834.07000000
        PA
        USD
        187866.29000000
        0.109882277969
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC GMSR ISSUER TRUST 2018-GT2
        69354WAD8
        
          
        
        700000.00000000
        PA
        USD
        677485.13000000
        0.396258473911
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-25
          Floating
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390RTP8
        
          
        
        1192.79000000
        PA
        USD
        1331.87000000
        0.000779005693
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617J7FM9
        
          
        
        30012.69000000
        PA
        USD
        31835.28000000
        0.018620334101
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31388LC81
        
          
        
        2763.95000000
        PA
        USD
        3152.48000000
        0.001843873553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375B8A3
        
          
        
        77915.22000000
        PA
        USD
        78394.59000000
        0.045852697307
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-08-20
          Floating
          0.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vericrest Opportunity Loan Transferee
        N/A
        Vericrest Opportunity Loan Trust 2019-NPL5
        91834DAA0
        
          
        
        673793.54000000
        PA
        USD
        675291.52000000
        0.394975439771
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-09-25
          Variable
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Waypoint Homes Trust
        N/A
        Starwood Waypoint Homes 2017-1 Trust
        85572MAF7
        
          
        
        600000.00000000
        PA
        USD
        602221.92000000
        0.352237308847
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-01-17
          Floating
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TCM1
        
          
        
        848507.71000000
        PA
        USD
        211712.77000000
        0.123829993357
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-06-15
          Variable
          7.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-NEMA
        63874RAJ0
        
          
        
        600000.00000000
        PA
        USD
        572023.92000000
        0.334574613585
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-02-15
          Variable
          4.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2016-GCT Mortgage Trust
        12594JAN5
        
          
        
        400000.00000000
        PA
        USD
        394622.40000000
        0.230813139758
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-08-10
          Variable
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Dean Witter Capital I Trust
        N/A
        Morgan Stanley Dean Witter Capital I Inc Trust 2003-HYB1
        61746WB82
        
          
        
        113434.86000000
        PA
        USD
        112722.52000000
        0.065930972906
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-03-25
          Variable
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M8W83
        
          
        
        86481.28000000
        PA
        USD
        97356.08000000
        0.056943200637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        Cascade Funding Mortgage Trust 2020-HB2
        12529EAE6
        
          
        
        1400000.00000000
        PA
        USD
        1476899.20000000
        0.863832720746
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-04-25
          Variable
          9.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Hall Mortgages PLC
        213800TM9KICQKGTYR78
        Great Hall Mortgages No 1 PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        596793.90000000
        0.349062480609
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2039-06-18
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C2G8
        
          
        
        76906.70000000
        PA
        USD
        81222.09000000
        0.047506491295
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A5GF3
        
          
        
        23998.71000000
        PA
        USD
        27257.05000000
        0.015942544799
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust 2016-SC01
        3137G1AV9
        
          
        
        668280.01000000
        PA
        USD
        681121.55000000
        0.398385402128
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -54.00000000
        NC
        USD
        -589.36000000
        -0.00034471442
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                2 Year US Treasury Note
                TUZ0 Comdty
              
            
            2020-12-31
            -11924973.14000000
            USD
            -589.36000000
          
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing and Securitization
        N/A
        Credit-Based Asset Servicing and Securitization LLC
        12489WEL4
        
          
        
        46017.90000000
        PA
        USD
        46535.77000000
        0.027218594749
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-08-25
          Floating
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Finance of America HECM Buyout
        N/A
        Finance of America HECM Buyout 2020-HB2
        31737VAC0
        
          
        
        1000000.00000000
        PA
        USD
        1010000.00000000
        0.590745155765
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-07-25
          Variable
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mansard Mortgages PLC
        213800OR1ZCE1EMOXP13
        Mansard Mortgages 2006-1 PLC
        000000000
        
          
        
        161188.39000000
        PA
        
        189910.05000000
        0.111077665414
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2048-10-15
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC GMSR ISSUER TRUST 2018-GT1
        69354WAC0
        
          
        
        725000.00000000
        PA
        USD
        713946.29000000
        0.417584467617
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-02-25
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust 2017-SC02
        3137G1BT3
        
          
        
        158164.12000000
        PA
        USD
        159749.53000000
        0.093436892062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMF-NL Bv
        724500YACYYG8XY5LM10
        EMF-NL Prime 2008-ABV
        000000000
        
          
        
        200000.00000000
        PA
        
        168338.99000000
        0.098460834523
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2041-04-17
          Floating
          0.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kestrel Aircraft Funding Limited
        N/A
        Kestrel Aircraft Funding LTD
        49255PAA1
        
          
        
        431019.89000000
        PA
        USD
        395633.54000000
        0.231404551696
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2038-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRPL Trust Series
        N/A
        NRPL Trust 2018-2
        62954DAA5
        
          
        
        311869.43000000
        PA
        USD
        321924.23000000
        0.188292256827
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-07-25
          Variable
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Headlands Residential
        N/A
        Headlands Residential 2019-RPL1 LLC
        42210BAA1
        
          
        
        300000.00000000
        PA
        USD
        301781.61000000
        0.176510915055
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-06-25
          Variable
          3.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UN24
        
          
        
        137810.39000000
        PA
        USD
        147674.71000000
        0.086374375803
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VA83
        
          
        
        381429.23000000
        PA
        USD
        398040.45000000
        0.232812344194
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133N3VV3
        
          
        
        793991.47000000
        PA
        USD
        819540.00000000
        0.479345826688
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        CFMT 2020-ABC1 LLC
        12529HAB5
        
          
        
        500000.00000000
        PA
        USD
        500000.00000000
        0.292448096913
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-25
          Variable
          2.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UVZ2
        
          
        
        217086.87000000
        PA
        USD
        228052.98000000
        0.133387319992
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-07-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31400HWA7
        
          
        
        216177.39000000
        PA
        USD
        241484.49000000
        0.141243359069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371HTA6
        
          
        
        1682.15000000
        PA
        USD
        1920.98000000
        0.001123573890
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cendant Mortgage Corporation
        N/A
        Cendant Mortgage Corp
        151314FP1
        
          
        
        184657.40000000
        PA
        USD
        193650.25000000
        0.113265294158
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-07-25
          Variable
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        313615MN3
        
          
        
        499.15000000
        PA
        USD
        530.03000000
        0.000310012529
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137ARKJ4
        
          
        
        54344.62000000
        PA
        USD
        801.97000000
        0.000469069200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-15
          Floating
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31378YKB9
        
          
        
        2691.66000000
        PA
        USD
        3006.99000000
        0.001758777005
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-02-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B5SC8
        
          
        
        578446.71000000
        PA
        USD
        99345.56000000
        0.058106839917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-15
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merit Securities Corporation
        N/A
        MERIT Securities Corp
        589962DH9
        
          
        
        435785.09000000
        PA
        USD
        335701.99000000
        0.196350816211
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-09-28
          Floating
          3.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133N3W91
        
          
        
        1000000.00000000
        PA
        USD
        1019446.36000000
        0.596270295774
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2007-11T1
        02150GBP2
        
          
        
        90390.46000000
        PA
        USD
        196935.27000000
        0.115186689853
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-25
          Floating
          39.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Advance Receivables Trust Advance
        549300RNWDDBV4LFKJ17
        NRZ Advance Receivables Trust 2015-ON1
        62942QDF7
        
          
        
        1000000.00000000
        PA
        USD
        1003988.60000000
        0.587229110785
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2052-10-15
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust 2005-7F
        362341NC9
        
          
        
        145300.78000000
        PA
        USD
        151268.89000000
        0.088476598005
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S-JETS Limited
        635400FR77IW5YEET913
        S-Jets 2017-1 Ltd
        784309AA4
        
          
        
        236776.87000000
        PA
        USD
        221216.60000000
        0.129388747351
        Long
        ABS-O
        CORP
        BM
        N
        
        2
        
          2042-08-15
          Fixed
          3.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DGC0
        
          
        
        314987.34000000
        PA
        USD
        323037.97000000
        0.188943679114
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140K8XM8
        
          
        
        495584.88000000
        PA
        USD
        515711.51000000
        0.301637699311
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617JUSZ5
        
          
        
        288389.63000000
        PA
        USD
        308520.19000000
        0.180452284849
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-07-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ReadyCap lending
        N/A
        ReadyCap Lending Small Business Loan Trust 2019-2
        75576QAA6
        
          
        
        490790.18000000
        PA
        USD
        458789.24000000
        0.268344080244
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-12-27
          Floating
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amortizing Residential Collateral Trust
        N/A
        Amortizing Residential Collateral Trust 2001-BC1
        8635725N9
        
          
        
        541164.70000000
        PA
        USD
        524532.33000000
        0.306796963356
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-12-25
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Real Estate Asset Liquidity Trust
        N/A
        Real Estate Asset Liquidity Trust
        75585RRY3
        
          
        
        9857064.06000000
        PA
        
        463074.11000000
        0.270850284398
        Long
        ABS-MBS
        CORP
        CA
        N
        
        2
        
          2055-02-12
          Variable
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FMC GMSR ISSUER TRUST
        N/A
        FMC GMSR Issuer Trust
        30259RAA3
        
          
        
        1200000.00000000
        PA
        USD
        1212662.40000000
        0.709281622157
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-05-25
          Variable
          5.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2016-1
        35563PAA7
        
          
        
        838110.93000000
        PA
        USD
        888661.42000000
        0.519774682158
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2055-09-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stanwich Mortgage Loan Trust
        N/A
        Stanwich Mortgage Loan Trust Series 2019-NPB2
        85503DAA2
        
          
        
        1239448.57000000
        PA
        USD
        1239319.92000000
        0.724873504141
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-11-16
          Variable
          3.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -332.20000000
        -0.00019430251
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            14106.68000000
            USD
            18350.00000000
            CAD
            2020-12-01
            -332.20000000
          
        
        
          N
          N
          N
        
      
      
        Ondeck Asset Securitization Trust LLC
        N/A
        OnDeck Asset Securitization Trust LLC
        68235RAD6
        
          
        
        424029.94000000
        PA
        USD
        424267.99000000
        0.248152732513
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-04-18
          Fixed
          4.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140K8P62
        
          
        
        332956.14000000
        PA
        USD
        346480.37000000
        0.202655049648
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WFK88
        
          
        
        226425.57000000
        PA
        USD
        239354.83000000
        0.139997729041
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        249530.85000000
        0.145949644407
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            9674268.00000000
            EUR
            11523620.42000000
            USD
            2020-12-01
            249530.85000000
          
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent
        N/A
        American Homes 4 Rent 2015-SFR1
        02666AAE8
        
          
        
        520000.00000000
        PA
        USD
        574275.68000000
        0.335891659439
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2052-04-17
          Fixed
          5.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375CAA8
        
          
        
        56187.09000000
        PA
        USD
        4434.25000000
        0.002593575947
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2006-AC2
        07387UGC9
        
          
        
        643144.54000000
        PA
        USD
        468053.33000000
        0.273762611225
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          23.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Mortgage Securities
        N/A
        Banc of America Mortgage Trust 2005-3
        05949A3F5
        
          
        
        121871.71000000
        PA
        USD
        126029.66000000
        0.073714268443
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitization Trust
        N/A
        Residential Asset Securitization Trust 2007-A2
        761120AN4
        
          
        
        13366913.57000000
        PA
        USD
        342386.81000000
        0.200260741985
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities Trust
        N/A
        Mastr Asset Backed Securities Trust 2003-WMC1
        57643LAV8
        
          
        
        145759.19000000
        PA
        USD
        144218.66000000
        0.084352945312
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-05-25
          Floating
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWDAY PARTNERSHIP FUNDING PLC
        2138003OW92Y9CL7JF85
        Newday Partnership Funding 2017-1 PLC
        000000000
        
          
        
        200000.00000000
        PA
        
        253708.82000000
        0.148393323158
        Long
        ABS-O
        CORP
        GB
        Y
        
        2
        
          2027-12-15
          Floating
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2003-1
        41161PBM4
        
          
        
        169115.09000000
        PA
        USD
        172240.20000000
        0.100742637403
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-05-19
          Variable
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ARHD9
        
          
        
        110748.48000000
        PA
        USD
        124668.56000000
        0.072918166233
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Small Business Origination Loan Trust
        635400EVPCKZIBBNER90
        Small Business Origination Loan Trust 2018-1 DAC
        000000000
        
          
        
        204521.06000000
        PA
        
        265122.02000000
        0.155068860397
        Long
        ABS-CBDO
        CORP
        IE
        Y
        
        2
        
          2026-12-15
          Floating
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Grand Canal Securities
        N/A
        Grand Canal Securities
        000000000
        
          
        
        438362.45000000
        PA
        
        491446.24000000
        0.287445035246
        Long
        ABS-O
        CORP
        IE
        Y
        
        2
        
          2058-12-24
          Floating
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617GTPK7
        
          
        
        50954.43000000
        PA
        USD
        55238.70000000
        0.032308905381
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-07-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Newtek Small Business Loan Trust
        N/A
        Newtek Small Business Loan Trust 2018-1
        65252MAA7
        
          
        
        347638.56000000
        PA
        USD
        339569.24000000
        0.198612756016
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-02-25
          Floating
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conn Funding II, L.P
        N/A
        Conn's Receivables Funding 2018-A LLC
        20826JAC2
        
          
        
        82282.56000000
        PA
        USD
        82182.89000000
        0.048068459558
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMC PLS ESR Issuer LLC
        N/A
        PMC PLS ESR Issuer LLC
        69375JAA8
        
          
        
        665709.10000000
        PA
        USD
        653788.11000000
        0.382398177108
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-11-25
          Fixed
          5.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mid-State Trust
        N/A
        Mid-State Capital Corp 2005-1 Trust
        595481AD4
        
          
        
        227482.05000000
        PA
        USD
        259155.10000000
        0.151578831600
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-01-15
          Fixed
          7.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHENTON AIRCRAFT INVESTMENT LTD
        N/A
        SHENTON AIRCRAFT INVESTMENT LTD
        82321UAB9
        
          
        
        312807.68000000
        PA
        USD
        200255.72000000
        0.117128808420
        Long
        ABS-O
        CORP
        KY
        Y
        
        2
        
          2042-10-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        Cascade Funding Mortgage Trust 2018-RM1
        147278AA3
        
          
        
        548404.91000000
        PA
        USD
        551112.06000000
        0.322343346266
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-06-25
          Variable
          4.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31381CVM6
        
          
        
        875.30000000
        PA
        USD
        976.97000000
        0.000571426034
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Argent Securities Inc.
        N/A
        Argent Sec Inc Asset Backed Pas Thr Cer Ser 2003-WI
        040104AG6
        
          
        
        480142.28000000
        PA
        USD
        478139.75000000
        0.279662119892
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-12-25
          Floating
          3.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust 2005-2F
        36242DYH0
        
          
        
        41599.37000000
        PA
        USD
        18778.05000000
        0.010983209972
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Commercial Mortgage Trust
        N/A
        Banc of America Commercial Mortgage Trust 2015-UBS7
        06054ABE8
        
          
        
        133000.00000000
        PA
        USD
        70661.57000000
        0.041329683342
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-15
          Fixed
          3.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31383RFY3
        
          
        
        455.17000000
        PA
        USD
        508.48000000
        0.000297408016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avant Loans Funding Trust
        N/A
        Avant Loans Funding Trust 2019-A
        05352EAC6
        
          
        
        300000.00000000
        PA
        USD
        295412.49000000
        0.172785641009
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31323AEC2
        
          
        
        131956.93000000
        PA
        USD
        143163.32000000
        0.083735680963
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2005-AR1
        86359LGT0
        
          
        
        77498.20000000
        PA
        USD
        73984.64000000
        0.043273334337
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-19
          Variable
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390FAS8
        
          
        
        2769.75000000
        PA
        USD
        3187.76000000
        0.001864508690
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust 2017-4
        35563PCS6
        
          
        
        241664.88000000
        PA
        USD
        261417.79000000
        0.152902270369
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-06-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UQV7
        
          
        
        399842.62000000
        PA
        USD
        425465.67000000
        0.248853250987
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-04-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIEMAC STRIP
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31352DEG1
        
          
        
        1689787.77000000
        PA
        USD
        92139.62000000
        0.053892113038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-15
          Variable
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust 2018-C9
        90291JAX5
        
          
        
        3946793.03000000
        PA
        USD
        217859.03000000
        0.127424917437
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-03-15
          Variable
          0.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Trinity Square
        213800M1WKY16QMBYQ26
        Trinity Square 2016-1 PLC
        000000000
        
          
        
        250000.00000000
        PA
        
        322595.91000000
        0.188685119903
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2051-07-15
          Floating
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP FACILITIES TRUST
        549300TYHFJ7EETO8B10
        DP Facilities Data Center Subordinated Pass-Through Trust
        23341GAA2
        
          
        
        350000.00000000
        PA
        USD
        176120.00000000
        0.103011917656
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-1
        35563PJQ3
        
          
        
        600000.00000000
        PA
        USD
        602602.80000000
        0.352460084109
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-07-25
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128L4EV2
        
          
        
        15269.02000000
        PA
        USD
        17885.39000000
        0.010461096536
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JVWS7
        
          
        
        473090.85000000
        PA
        USD
        496506.05000000
        0.290404498857
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Start Ltd.
        N/A
        START Ireland
        85573LAA9
        
          
        
        329826.71000000
        PA
        USD
        314651.65000000
        0.184038552466
        Long
        ABS-O
        CORP
        BM
        N
        
        2
        
          2044-03-15
          Fixed
          4.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent
        N/A
        American Homes 4 Rent 2014-SFR2 Trust
        02665UAE5
        
          
        
        600000.00000000
        PA
        USD
        676877.88000000
        0.395903295697
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-10-17
          Fixed
          6.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Credit Acceptance Receivables Trust
        N/A
        American Credit Acceptance Receivables Trust 2019-1
        02528CAJ1
        
          
        
        400000.00000000
        PA
        USD
        421762.36000000
        0.246687199063
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-04-14
          Fixed
          4.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0326B5
        
          
        
        1000000.00000000
        PA
        USD
        1056074.21000000
        0.617693785827
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USN3
        
          
        
        47401.31000000
        PA
        USD
        51925.12000000
        0.030370805052
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Finance of America HECM Buyout 2019-AB1
        N/A
        Finance of America HECM Buyout 2019-AB1
        31738HAB2
        
          
        
        1100000.00000000
        PA
        USD
        1100000.00000000
        0.643385813209
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-12-27
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DD90
        
          
        
        271861.98000000
        PA
        USD
        287058.92000000
        0.167899669712
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ABVH3
        
          
        
        292583.96000000
        PA
        USD
        23390.07000000
        0.013680762916
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2017-2
        35563PBE8
        
          
        
        540336.79000000
        PA
        USD
        585305.13000000
        0.342342742764
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-08-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2015-GC33
        29425AAH6
        
          
        
        220000.00000000
        PA
        USD
        213585.39000000
        0.124925281668
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-09-10
          Variable
          4.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIEMAE STRIP
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        31364JT29
        
          
        
        29035.59000000
        PA
        USD
        3625.22000000
        0.002120377379
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-25
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan Trust
        N/A
        Renaissance Home Equity Loan Trust 2005-1
        759950FF0
        
          
        
        250000.00000000
        PA
        USD
        266640.40000000
        0.155956955080
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Variable
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385HQR6
        
          
        
        11611.17000000
        PA
        USD
        13246.80000000
        0.007748002900
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-06-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UV33
        
          
        
        222915.65000000
        PA
        USD
        243877.02000000
        0.142642740759
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fairstone Financial Issuance Trust I
        549300LY2ZF7LX6T3F37
        Fairstone Financial Issuance Trust I
        30575PAE6
        
          
        
        650000.00000000
        PA
        
        490068.68000000
        0.286639305645
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2033-03-21
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHL GMSR Issuer Trust
        N/A
        CHL GMSR Issuer Trust
        17026XAA9
        
          
        
        1000000.00000000
        PA
        USD
        963191.40000000
        0.563366983786
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-05-25
          Floating
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2020-NPL1
        64831AAA6
        
          
        
        579190.21000000
        PA
        USD
        580868.82000000
        0.339747961930
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-07-25
          Variable
          4.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-4
        35563PMK2
        
          
        
        631938.40000000
        PA
        USD
        686631.09000000
        0.401607911104
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-02-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WELB3
        
          
        
        982793.41000000
        PA
        USD
        1095644.97000000
        0.640838572738
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BBZ37
        
          
        
        737151.25000000
        PA
        USD
        43852.17000000
        0.025648967324
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-15
          Variable
          2.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36176D5L3
        
          
        
        105636.58000000
        PA
        USD
        120092.73000000
        0.070241780683
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-1
        35563PDU0
        
          
        
        702752.22000000
        PA
        USD
        744883.62000000
        0.435679594182
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-05-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -221.81000000
        -0.00012973582
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            15574.16000000
            USD
            20452.00000000
            CAD
            2020-12-01
            -221.81000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WGJ21
        
          
        
        159952.36000000
        PA
        USD
        171498.18000000
        0.100308632730
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Australia and New Zealand Banking Group Limited
        JHE42UYNWWTJB8YTTU19
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        79158.54000000
        0.046299528754
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Australia and New Zealand Banking Group Limited
              JHE42UYNWWTJB8YTTU19
            
            2990942.00000000
            GBP
            3954593.60000000
            USD
            2020-12-01
            79158.54000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389UVE6
        
          
        
        1006.56000000
        PA
        USD
        1123.79000000
        0.000657300493
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AMBK0
        
          
        
        7953.40000000
        PA
        USD
        8742.47000000
        0.005113437427
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREED ABS Trust
        549300S83C1QQOPJBY76
        FREED ABS TRUST 2018-2
        35634BAB1
        
          
        
        364000.00000000
        PA
        USD
        369892.21000000
        0.216348545755
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-10-20
          Fixed
          4.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Velocity Commercial Capital Loan Trust
        N/A
        VCC 2020-MC1 Trust
        92243TAA8
        
          
        
        430619.87000000
        PA
        USD
        428599.32000000
        0.250686110944
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-06-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2020-3
        35563PTN9
        
          
        
        1000000.00000000
        PA
        USD
        1071333.30000000
        0.626618769490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2060-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796UC1
        
          
        
        733000.00000000
        PA
        USD
        732849.43000000
        0.428640842255
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-01-28
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GECE8
        
          
        
        23078.69000000
        PA
        USD
        26220.96000000
        0.015336539702
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vericrest Opportunity Loan Transferee
        N/A
        VOLT LXXX LLC
        91834YAA4
        
          
        
        636174.79000000
        PA
        USD
        637588.24000000
        0.372922934804
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-10-25
          Variable
          3.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Small Business Lending Trust
        N/A
        Small Business Lending Trust 2020-A
        83165WAB2
        
          
        
        1000000.00000000
        PA
        USD
        958410.90000000
        0.560570887532
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust
        N/A
        New Century Home Equity Loan Trust Series 2003-2
        64352VCR0
        
          
        
        145124.95000000
        PA
        USD
        143183.11000000
        0.083747256059
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-03-25
          Floating
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2013-C17
        46640UAF9
        
          
        
        3072564.60000000
        PA
        USD
        61338.22000000
        0.035876491414
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-15
          Variable
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RMF Buyout Issuance Trust
        N/A
        RMF Buyout Issuance Trust 2020-2
        74969BAD1
        
          
        
        800000.00000000
        PA
        USD
        802782.72000000
        0.469544557398
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-06-25
          Variable
          4.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377TZF1
        
          
        
        52809.08000000
        PA
        USD
        9616.27000000
        0.005624519721
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-02-16
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312944S69
        
          
        
        7893.73000000
        PA
        USD
        8682.56000000
        0.005078396296
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31386TQ73
        
          
        
        1248.92000000
        PA
        USD
        1394.26000000
        0.000815497367
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        E-MAC
        724500U6FKHMFVNU5P22
        E-Mac de 2006-Ibv
        000000000
        
          
        
        586269.42000000
        PA
        
        651641.94000000
        0.381142890444
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2057-05-25
          Floating
          3.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust 2005-8F
        362341VT3
        
          
        
        5635.80000000
        PA
        USD
        5950.62000000
        0.003480494988
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UQU9
        
          
        
        205453.37000000
        PA
        USD
        217677.99000000
        0.127319027830
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-04-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        12650.55000000
        0.007399258544
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            496864.00000000
            GBP
            656449.11000000
            USD
            2020-12-01
            12650.55000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        10762.13000000
        0.006294728874
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1429426.00000000
            CAD
            1083764.68000000
            USD
            2020-12-01
            10762.13000000
          
        
        
          N
          N
          N
        
      
      
        SFS Asset Securitization LLC
        N/A
        SFS Asset Securitization LLC
        78416EAE3
        
          
        
        1119000.00000000
        PA
        USD
        1118053.21000000
        0.653945067024
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-06-10
          Fixed
          4.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-1776
        63875BAJ4
        
          
        
        720000.00000000
        PA
        USD
        700633.08000000
        0.409797621761
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MJP8
        
          
        
        51162.65000000
        PA
        USD
        63232.72000000
        0.036984577253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conn Funding II, L.P
        N/A
        Conn's Receivables Funding 2019-A LLC
        20827DAB6
        
          
        
        325987.53000000
        PA
        USD
        326527.50000000
        0.190984691929
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-10-16
          Fixed
          4.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397NWG6
        
          
        
        33273.89000000
        PA
        USD
        33462.30000000
        0.019571971906
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-25
          Variable
          4.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rochester Financing
        213800HY8AAFEH8BLM42
        Rochester Financing No 2 PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        648258.27000000
        0.379163794739
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2045-06-18
          Floating
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377YTQ3
        
          
        
        156410.24000000
        PA
        USD
        9405.57000000
        0.005501282093
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36183FLP2
        
          
        
        168820.47000000
        PA
        USD
        185239.15000000
        0.108345673782
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Newgate Funding PLC
        2138006KF4KS6D5P1697
        Newgate Funding PLC
        000000000
        
          
        
        334426.56000000
        PA
        
        409195.02000000
        0.239336609730
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2050-12-15
          Floating
          3.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132M7C55
        
          
        
        319745.23000000
        PA
        USD
        349630.92000000
        0.204497794352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing and Securitization
        N/A
        Credit-Based Asset Servicing and Securitization LLC
        12498SAH5
        
          
        
        240000.00000000
        PA
        USD
        259249.51000000
        0.151634051650
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Variable
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust
        3137G1BK2
        
          
        
        594177.79000000
        PA
        USD
        604749.28000000
        0.353715552091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CG-CCRE Commercial Mortgage Trust
        N/A
        CG-CCRE Commercial Mortgage Trust 2014-FL2
        12528PAA0
        
          
        
        190150.58000000
        PA
        USD
        177392.07000000
        0.103755946558
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-11-15
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF Securitization Trust II
        N/A
        COOF Securitization Trust II Series 2015-2
        12593RAA6
        
          
        
        2443297.20000000
        PA
        USD
        171675.35000000
        0.100412258788
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2041-08-25
          Variable
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RMF Buyout Issuance Trust
        N/A
        RMF Buyout Issuance Trust 2020-1
        74968QAA5
        
          
        
        544195.60000000
        PA
        USD
        545991.28000000
        0.319348221534
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-02-25
          Variable
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS5 Trust
        75114TAF8
        
          
        
        260620.66000000
        PA
        USD
        248549.96000000
        0.145375925579
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Raptor Aircraft Finance LLC
        549300QFYP8PTWJMXQ65
        Raptor Aircraft Finance I LLC
        75383HAA9
        
          
        
        1531863.48000000
        PA
        USD
        1286714.92000000
        0.752594659248
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2044-08-23
          Fixed
          4.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378PFD5
        
          
        
        519686.40000000
        PA
        USD
        125589.96000000
        0.073457089586
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-12-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Dean Witter Capital I Trust
        N/A
        Morgan Stanley Dean Witter Capital I Inc Trust 2001-AM1
        61746WJD3
        
          
        
        46616.68000000
        PA
        USD
        47312.98000000
        0.027673181920
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-02-25
          Floating
          1.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KLU3
        
          
        
        13795.95000000
        PA
        USD
        15890.26000000
        0.009294152592
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIEMAE STRIP
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        31364HQ83
        
          
        
        25014.35000000
        PA
        USD
        3869.55000000
        0.002263285066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ResLoC UK PLC
        213800RE18XIC3OI1847
        Resloc UK 2007-1 PLC
        000000000
        
          
        
        499425.01000000
        PA
        
        504577.89000000
        0.295125687350
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2043-12-15
          Floating
          0.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF Securitization Trust
        N/A
        COOF Securitization Trust 2015-1
        12592NAA6
        
          
        
        1379728.43000000
        PA
        USD
        87751.28000000
        0.051325389675
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2040-10-25
          Variable
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman ABS Manufactured Housing Contract
        N/A
        Lehman ABS Manufactured Housing Contract Trust 2001-B
        52519SAL7
        
          
        
        370081.90000000
        PA
        USD
        394787.94000000
        0.230909963474
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-04-15
          Variable
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11.03000000
        -0.00000645140
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            13310.34000000
            USD
            17717.00000000
            CAD
            2020-12-01
            -11.03000000
          
        
        
          N
          N
          N
        
      
      
        RCO Mortgage LLC
        N/A
        RCO V Mortgage LLC 2019-2
        74937DAA2
        
          
        
        848781.75000000
        PA
        USD
        850103.81000000
        0.497222482826
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-11-25
          Variable
          3.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378HP26
        
          
        
        967486.37000000
        PA
        USD
        166129.21000000
        0.097168342612
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-16
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U3X8
        
          
        
        167668.03000000
        PA
        USD
        183748.61000000
        0.107473862609
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        European Residential Loan Securitization
        635400NCOLE2BYYWTZ86
        European Residential Loan Securitisation 2019-NPL1 DAC
        000000000
        
          
        
        394289.96000000
        PA
        
        453448.59000000
        0.265220354387
        Long
        ABS-O
        CORP
        IE
        Y
        
        2
        
          2054-07-24
          Floating
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rochester Financing
        213800HY8AAFEH8BLM42
        Rochester Financing No 2 PLC
        000000000
        
          
        
        300000.00000000
        PA
        
        387946.80000000
        0.226908606727
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2045-06-18
          Floating
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DFD9
        
          
        
        287229.80000000
        PA
        USD
        302673.77000000
        0.177032736044
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jol Air
        549300TS4MUGCDXPW498
        JOL Air Ltd
        46651NAA2
        
          
        
        222752.61000000
        PA
        USD
        212391.27000000
        0.124226845425
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2044-04-15
          Fixed
          3.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7S56
        
          
        
        32175.90000000
        PA
        USD
        39067.79000000
        0.022850601672
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-01
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWAP UBS BOC SWAP CASH COLLATERAL USD
        N/A
        SWAP UBS BOC SWAP CASH COLLATERAL USD
        000000000
        
          
        
        -260000.00000000
        NS
        USD
        -260000.00000000
        -0.15207301039
        Short
        STIV
        CORP
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2003-48
        12669EU79
        
          
        
        225604.90000000
        PA
        USD
        230193.03000000
        0.134639027092
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Variable
          3.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C4L5
        
          
        
        99233.56000000
        PA
        USD
        104821.76000000
        0.061309848454
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        E-MAC
        72450085LQ6DKJ7BBA61
        E-MAC DE 2005-I BV
        000000000
        
          
        
        500000.00000000
        PA
        
        497446.50000000
        0.290954564482
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2052-05-25
          Floating
          7.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LHFC Depositor, LLC
        N/A
        LHOME Mortgage Trust 2020-RTL1
        50201TAA6
        
          
        
        400000.00000000
        PA
        USD
        403444.44000000
        0.235973117376
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-10-25
          Fixed
          3.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust 2004-12
        36242DLF8
        
          
        
        245355.06000000
        PA
        USD
        241894.03000000
        0.141482897456
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-25
          Variable
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2020-3
        35563PTU3
        
          
        
        700000.00000000
        PA
        USD
        697492.04000000
        0.407960439420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2060-05-25
          Variable
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419MAB7
        
          
        
        6871.18000000
        PA
        USD
        7550.35000000
        0.004416170977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust I LLC 2017-1
        034620AC8
        
          
        
        9187.15000000
        PA
        USD
        9191.80000000
        0.005376248834
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-25
          Variable
          3.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Preston Ridge Partners Mortgage Trust
        N/A
        PRPM 2019-4 LLC
        69359NAA9
        
          
        
        263200.35000000
        PA
        USD
        264260.34000000
        0.154564867045
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-11-25
          Variable
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CarNow Auto Receivables Trust
        N/A
        Carnow Auto Receivables Trust 2019-1
        14366LAE2
        
          
        
        535000.00000000
        PA
        USD
        543234.51000000
        0.317735797254
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-06-17
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378TCN8
        
          
        
        210354.29000000
        PA
        USD
        13345.68000000
        0.007805837436
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-06-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376YU41
        
          
        
        284908.25000000
        PA
        USD
        39592.02000000
        0.023157221803
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-08-16
          Floating
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Argent Securities Inc.
        N/A
        Argent Securities Inc Asset Back Pass Thr Certs Ser 2004 W2
        040104FN6
        
          
        
        279465.19000000
        PA
        USD
        280173.47000000
        0.163872396214
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-25
          Floating
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        549300ITVQSU1IHX4H03
        GS Mortgage Securities Trust 2013-GCJ14
        36198FAV4
        
          
        
        370000.00000000
        PA
        USD
        284970.04000000
        0.166677891750
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-10
          Variable
          4.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-4
        35563PME6
        
          
        
        461206.66000000
        PA
        USD
        501295.67000000
        0.293205929364
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-02-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tricon American Homes
        N/A
        Tricon American Homes 2017-SFR1 Trust
        89613DAF0
        
          
        
        500000.00000000
        PA
        USD
        514435.80000000
        0.300891541388
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-09-17
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        N/A
        Merrill Lynch Mortgage Investors Trust Series 2003-A5
        5899293T3
        
          
        
        87752.35000000
        PA
        USD
        86712.97000000
        0.050718086108
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Variable
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AWPX9
        
          
        
        1024173.98000000
        PA
        USD
        41537.73000000
        0.024295260177
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-LC17 Mortgage Trust
        12592MBL3
        
          
        
        1104262.55000000
        PA
        USD
        25083.88000000
        0.014671465938
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-10
          Variable
          0.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AQ7J3
        
          
        
        1861661.68000000
        PA
        USD
        110141.49000000
        0.064421338283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-25
          Variable
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1557.41000000
        -0.00091092318
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            749915.27000000
            USD
            642164.00000000
            EUR
            2020-12-01
            -1557.41000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR4
        22541SFA1
        
          
        
        368144.15000000
        PA
        USD
        376723.49000000
        0.220344135426
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-05-25
          Variable
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371RFQ4
        
          
        
        24038.59000000
        PA
        USD
        27260.24000000
        0.015944410618
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133N3U77
        
          
        
        184702.80000000
        PA
        USD
        192283.46000000
        0.112465863889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIEMAC STRIP
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31282YCV9
        
          
        
        96133.86000000
        PA
        USD
        16781.46000000
        0.009815412080
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-12-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Lease-Backed Certificates
        N/A
        Commercial Mortgage Lease-Backed Certificates Series 2001-CMLB-1
        201736AJ4
        
          
        
        200000.00000000
        PA
        USD
        205690.96000000
        0.120307859608
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-06-20
          Variable
          8.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617GTNN3
        
          
        
        42250.24000000
        PA
        USD
        46146.30000000
        0.026990795229
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DT Auto Owner Trust
        549300XVMF0FUK76JG97
        DT Auto Owner Trust 2019-1
        23343GAJ1
        
          
        
        400000.00000000
        PA
        USD
        412350.16000000
        0.241182039107
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-02-17
          Fixed
          4.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        Cascade Funding Mortgage Trust 2018-RM1
        147278AB1
        
          
        
        200000.00000000
        PA
        USD
        198747.18000000
        0.116246469115
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-06-25
          Variable
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities Trust 2005-SD4
        073877EJ7
        
          
        
        116331.58000000
        PA
        USD
        116175.25000000
        0.067950461541
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-12-25
          Floating
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities Inc.
        N/A
        Asset-Backed Pass-Through Certificates Series 2004-R2
        03072SPK5
        
          
        
        617741.35000000
        PA
        USD
        591120.34000000
        0.345744036959
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-04-25
          Floating
          0.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        CFMT 2019-HB1 LLC
        12529BAE2
        
          
        
        1265000.00000000
        PA
        USD
        1005675.00000000
        0.588215479726
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-12-25
          Variable
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375GZ79
        
          
        
        401879.74000000
        PA
        USD
        84501.89000000
        0.049424833832
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-08-20
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3129457G7
        
          
        
        492415.11000000
        PA
        USD
        553881.46000000
        0.323963157785
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Small Business Loan Trust
        N/A
        CIM Small Business Loan Trust 2018-1
        17181CAA6
        
          
        
        156448.71000000
        PA
        USD
        153368.99000000
        0.089704938502
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-03-20
          Floating
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-1
        35563PDY2
        
          
        
        791421.92000000
        PA
        USD
        852476.56000000
        0.498610295270
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DCK6
        
          
        
        226700.92000000
        PA
        USD
        235297.40000000
        0.137624553677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KGS-Alpha SBA COOF Trust
        N/A
        KGS-Alpha SBA COOF Trust 2015-2
        48250BAA9
        
          
        
        726681.99000000
        PA
        USD
        89906.19000000
        0.052585788332
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2041-07-25
          Variable
          3.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BXR4
        
          
        
        9263.31000000
        PA
        USD
        10935.39000000
        0.006396067989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206B0
        
          
        
        14000000.00000000
        PA
        USD
        14441328.02000000
        8.446677792704
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conn Funding II, L.P
        N/A
        Conn's Receivables Funding 2020-A LLC
        20825XAC2
        
          
        
        500000.00000000
        PA
        USD
        500417.25000000
        0.292692144850
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-06-16
          Fixed
          4.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QAVE7
        
          
        
        44894.22000000
        PA
        USD
        46585.86000000
        0.027247892200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alba Plc
        213800OGMHK8BKUJEY32
        Alba 2005-1 PLC
        000000000
        
          
        
        278702.84000000
        PA
        
        329203.50000000
        0.192549874144
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2042-11-25
          Floating
          0.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KDL2
        
          
        
        454.07000000
        PA
        USD
        514.57000000
        0.000300970034
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2014-GC20
        36252WAZ1
        
          
        
        1443316.93000000
        PA
        USD
        35363.00000000
        0.020683684102
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-10
          Variable
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMC Mortgage Loan Trust
        N/A
        EMC Mortgage Loan Trust 2004-C
        268668ED8
        
          
        
        145386.09000000
        PA
        USD
        144810.29000000
        0.084698987447
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-11-25
          Floating
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YYTZ6
        
          
        
        165236.45000000
        PA
        USD
        178671.36000000
        0.104504198409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8Z32
        
          
        
        270105.40000000
        PA
        USD
        288414.62000000
        0.168692613482
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIEMAE STRIP
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        31364JN82
        
          
        
        41452.50000000
        PA
        USD
        6692.98000000
        0.003914698527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-25
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GJUA5
        
          
        
        89187.41000000
        PA
        USD
        100423.65000000
        0.058737410655
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Business Loan Express
        N/A
        Business Loan Express Business Loan Trust 2007-A
        12328RAA8
        
          
        
        475810.70000000
        PA
        USD
        426940.52000000
        0.249715885138
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-10-20
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Alternative Loans Trust
        N/A
        MASTR Alternative Loan Trust 2003-4
        576434EJ9
        
          
        
        151456.62000000
        PA
        USD
        149484.43000000
        0.087432874143
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2018-05-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TBN0
        
          
        
        97313.74000000
        PA
        USD
        102662.69000000
        0.060047016629
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          7.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conn Funding II, L.P
        N/A
        Conn's Receivables Funding 2019-A LLC
        20827DAC4
        
          
        
        434650.04000000
        PA
        USD
        428266.64000000
        0.250491527679
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-10-16
          Fixed
          5.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        Banc of America Funding 2005-5 Trust
        05946XE74
        
          
        
        428011.84000000
        PA
        USD
        472596.59000000
        0.276419946706
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2017-SLP
        36255MAE7
        
          
        
        6679000.00000000
        PA
        USD
        53156.83000000
        0.031091227542
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-10-10
          Variable
          0.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7546.59000000
        -0.00441397176
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            450486.94000000
            USD
            380086.00000000
            EUR
            2020-12-01
            -7546.59000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HDJW5
        
          
        
        565060.04000000
        PA
        USD
        605398.32000000
        0.354095173117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2017-3
        35563PBX6
        
          
        
        602494.35000000
        PA
        USD
        662120.56000000
        0.387271795398
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-07-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sprite Limited
        N/A
        Sprite 2017-1 Ltd
        85208HAA1
        
          
        
        386630.03000000
        PA
        USD
        341715.68000000
        0.199868200602
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2037-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BCNV6
        
          
        
        524888.06000000
        PA
        USD
        23415.73000000
        0.013695771352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-15
          Floating
          3.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-CCRE18 Mortgage Trust
        12632QAE3
        
          
        
        100000.00000000
        PA
        USD
        80050.03000000
        0.046820957862
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-07-15
          Variable
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377WJ96
        
          
        
        169574.49000000
        PA
        USD
        28214.84000000
        0.016502752525
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-04-20
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A7RQ7
        
          
        
        261396.37000000
        PA
        USD
        5240.61000000
        0.003065212842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DUR1
        
          
        
        1000000.00000000
        PA
        USD
        1015410.58000000
        0.593909783413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stanwich Mortgage Loan Trust
        N/A
        Stanwich Mortgage Loan Co 2019-NPL-B-1 LLC
        85502HAA4
        
          
        
        1031481.79000000
        PA
        USD
        1026389.67000000
        0.600331411366
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-08-15
          Variable
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378TAH3
        
          
        
        686995.01000000
        PA
        USD
        69709.45000000
        0.040772791978
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prosper Marketplace Issuance Trust
        54930091UL0OQ4F85R54
        Prosper Marketplace Issuance Trust Series 2018-2
        74360PAE3
        
          
        
        563000.00000000
        PA
        USD
        557785.27000000
        0.326246481395
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-10-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31386BAG9
        
          
        
        11819.56000000
        PA
        USD
        11927.17000000
        0.006976156336
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-10-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36176DZN6
        
          
        
        82740.90000000
        PA
        USD
        94946.16000000
        0.055533647602
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conn Funding II, L.P
        N/A
        Conn's Receivables Funding 2019-B LLC
        20824LAB1
        
          
        
        400000.00000000
        PA
        USD
        396156.08000000
        0.231710183353
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-06-17
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378WUL5
        
          
        
        305677.06000000
        PA
        USD
        13640.96000000
        0.007978545584
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-10-20
          Floating
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B9FK6
        
          
        
        391118.11000000
        PA
        USD
        21934.22000000
        0.012829241792
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-15
          Floating
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402CQQ8
        
          
        
        21914.73000000
        PA
        USD
        24873.13000000
        0.014548199065
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-3
        35563PLB3
        
          
        
        206290.98000000
        PA
        USD
        223721.41000000
        0.130853801186
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-J1
        12667FT88
        
          
        
        20455.10000000
        PA
        USD
        20931.64000000
        0.012242836566
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-02-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        5747.67000000
        0.003361790306
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            361231.00000000
            EUR
            426714.99000000
            USD
            2020-12-01
            5747.67000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2017-1
        35563PAR0
        
          
        
        377170.77000000
        PA
        USD
        408663.93000000
        0.239025977211
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-01-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Partners of America Trust
        N/A
        Home Partners of America 2018-1 Trust
        43730WAL0
        
          
        
        500000.00000000
        PA
        USD
        499222.65000000
        0.291993427857
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-17
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKP6
        
          
        
        140356.55000000
        PA
        USD
        150010.25000000
        0.087740424260
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137ARH74
        
          
        
        70392.19000000
        PA
        USD
        904.30000000
        0.000528921628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2004-1
        07384MJ60
        
          
        
        703330.02000000
        PA
        USD
        706621.32000000
        0.413300120544
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-25
          Variable
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A8YQ3
        
          
        
        54389.57000000
        PA
        USD
        62526.28000000
        0.036571383186
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GEB90
        
          
        
        21911.72000000
        PA
        USD
        24789.61000000
        0.014499348535
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust 2016-SC01
        3137G1AW7
        
          
        
        70997.20000000
        PA
        USD
        72851.77000000
        0.042610722986
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2014-GC24
        36253GAG7
        
          
        
        1767241.78000000
        PA
        USD
        41032.17000000
        0.023999560057
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-10
          Variable
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DSSV
        222100GVTIUR8J9SPS74
        Dssv Sarl
        000000000
        
          
        
        673694.06000000
        PA
        
        761079.30000000
        0.445152385770
        Long
        ABS-MBS
        CORP
        LU
        N
        
        2
        
          2024-10-15
          Floating
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRZ Excess Spread Collateralized Notes
        N/A
        NRZ Excess Spread-Collateralized Notes
        64829TAE1
        
          
        
        271857.85000000
        PA
        USD
        266105.61000000
        0.155644158444
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-05-25
          Fixed
          4.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AJ4H6
        
          
        
        557627.14000000
        PA
        USD
        26139.89000000
        0.015289122168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-25
          Variable
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-18H
        86359BG54
        
          
        
        201578.45000000
        PA
        USD
        211552.21000000
        0.123736082424
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)DEC20 XCBT 20201221
        000000000
        
          
        
        44.00000000
        NC
        USD
        -31796.89000000
        -0.01859787993
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYZ0 Comdty
              
            
            2020-12-21
            6113421.89000000
            USD
            -31796.89000000
          
        
        
          N
          N
          N
        
      
      
        Finance of America HECM Buyout 2019-AB1
        N/A
        Finance of America HECM Buyout 2019-AB1
        31738HAA4
        
          
        
        127309.09000000
        PA
        USD
        127951.01000000
        0.074838058745
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-12-27
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2004-19
        12669F4G5
        
          
        
        322417.37000000
        PA
        USD
        333563.95000000
        0.195100284752
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Reperforming Loan Trust
        N/A
        MASTR Reperforming Loan Trust 2005-2
        57643QAH8
        
          
        
        142627.22000000
        PA
        USD
        136784.55000000
        0.080004762669
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VA91
        
          
        
        394077.34000000
        PA
        USD
        413984.57000000
        0.242137999296
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Landmark Mortgage Securities PLC
        2138004ATY852FXQE186
        Landmark Mortgage Securities No 1 PLC
        000000000
        
          
        
        256126.81000000
        PA
        
        279531.27000000
        0.163496775878
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2038-06-17
          Floating
          0.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2017-2
        35563PBJ7
        
          
        
        500000.00000000
        PA
        USD
        493479.90000000
        0.288634515240
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2056-08-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avant Loans Funding Trust
        N/A
        Avant Loans Funding Trust 2018-A
        05352PAC1
        
          
        
        425767.50000000
        PA
        USD
        426799.39000000
        0.249633338738
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          4.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C19
        46641WAG2
        
          
        
        267000.00000000
        PA
        USD
        236283.57000000
        0.138201360756
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-15
          Variable
          4.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        Adjustable Rate Mortgage Trust 2004-5
        007036ES1
        
          
        
        138044.78000000
        PA
        USD
        135527.56000000
        0.079269554002
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Variable
          3.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National City Mortgage Capital Trust
        N/A
        National City Mortgage Capital Trust
        635419AE4
        
          
        
        193361.56000000
        PA
        USD
        196730.81000000
        0.115067101977
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-03-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AJZ2
        
          
        
        251852.88000000
        PA
        USD
        262640.46000000
        0.153617405398
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2004-2CB
        12667FAQ8
        
          
        
        221239.37000000
        PA
        USD
        224339.46000000
        0.131215296279
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-03-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        54930066YOFVQE068N73
        GS Mortgage Securities Trust 2015-GC32
        36250PAM7
        
          
        
        450000.00000000
        PA
        USD
        365026.10000000
        0.213502376537
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-07-10
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TVC Mortgage Trust 2020-RTL1
        N/A
        TVC Mortgage Trust 2020-RTL1
        90114YAA7
        
          
        
        250000.00000000
        PA
        USD
        253057.05000000
        0.148012105366
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-09-25
          Fixed
          3.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent
        N/A
        American Homes 4 Rent 2015-SFR1
        02666AAF5
        
          
        
        600000.00000000
        PA
        USD
        658630.68000000
        0.385230577869
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2052-04-17
          Fixed
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617J6RP1
        
          
        
        68255.67000000
        PA
        USD
        73638.91000000
        0.043071118176
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        Cascade Funding Mortgage Trust 2018-RM2
        14727QAB1
        
          
        
        1514049.11000000
        PA
        USD
        1534833.98000000
        0.897718553058
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2068-10-25
          Variable
          4.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities Trust 2006-SD3
        073888AN9
        
          
        
        270385.19000000
        PA
        USD
        271305.64000000
        0.158685636199
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-07-25
          Variable
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MJQ6
        
          
        
        55056.33000000
        PA
        USD
        67798.04000000
        0.039654815544
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A6TR5
        
          
        
        280903.88000000
        PA
        USD
        32700.67000000
        0.019126497418
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-25
          Floating
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JLQP2
        
          
        
        283043.87000000
        PA
        USD
        310700.96000000
        0.181727808922
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GLN75
        
          
        
        187326.85000000
        PA
        USD
        205024.63000000
        0.119918125727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FX3Y2
        
          
        
        12461844.25000000
        PA
        USD
        1001035.02000000
        0.585501573085
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10
        225470EA7
        
          
        
        467994.96000000
        PA
        USD
        145224.41000000
        0.084941204659
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRZ Excess Spread Collateralized Notes
        N/A
        NRZ Excess Spread-Collateralized Notes Series 2018-PLS2
        40423XAJ1
        
          
        
        244933.70000000
        PA
        USD
        243686.79000000
        0.142531475956
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-02-25
          Fixed
          4.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2004-HYB1
        12669FNP4
        
          
        
        122542.14000000
        PA
        USD
        121490.03000000
        0.071059056134
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-05-20
          Variable
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        Reperforming Loan REMIC Trust 2005-R2
        12669GP47
        
          
        
        262153.91000000
        PA
        USD
        283688.78000000
        0.165928487653
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust 2004-14
        36242DPF4
        
          
        
        426285.35000000
        PA
        USD
        435418.51000000
        0.254674629220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-25
          Variable
          3.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FCI Funding, LLC
        N/A
        FCI Funding 2019-1 LLC
        30259MAA4
        
          
        
        120943.30000000
        PA
        USD
        122731.04000000
        0.071784918160
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-02-18
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAA Home Equity Trust
        N/A
        GSAA Trust 2004-CW1
        36228FT55
        
          
        
        208283.90000000
        PA
        USD
        223254.31000000
        0.130580596174
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BCNT1
        
          
        
        369240.34000000
        PA
        USD
        19851.95000000
        0.011611329995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-15
          Floating
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS6 Trust
        74922EAN9
        
          
        
        122676.85000000
        PA
        USD
        118668.38000000
        0.069408683789
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31293SCC1
        
          
        
        6560.76000000
        PA
        USD
        7325.54000000
        0.004284680463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-1
        35563PHZ5
        
          
        
        807196.72000000
        PA
        USD
        863018.65000000
        0.504776323586
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-07-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BBHD5
        
          
        
        301611.16000000
        PA
        USD
        49670.17000000
        0.029051893379
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-15
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMRF Mortgage Acquisition Co., LLC
        N/A
        Galton Funding Mortgage Trust 2017-1
        36417JAJ8
        
          
        
        126511.61000000
        PA
        USD
        131222.02000000
        0.076751260044
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-11-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31387WTG2
        
          
        
        586.78000000
        PA
        USD
        673.39000000
        0.000393863247
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust 2004-3F
        36228FG34
        
          
        
        165397.28000000
        PA
        USD
        172246.08000000
        0.100746076593
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31359KE29
        
          
        
        30930.80000000
        PA
        USD
        31254.61000000
        0.018280702428
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-12-25
          Floating
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378W6W8
        
          
        
        409469.32000000
        PA
        USD
        59443.73000000
        0.034768411423
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-09-20
          Floating
          6.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing and Securitization
        N/A
        Credit-Based Asset Servicing and Securitization LLC
        124860GL5
        
          
        
        196579.74000000
        PA
        USD
        197412.92000000
        0.115466065520
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        Cascade Funding Mortgage Trust 2018-RM2
        14727QAC9
        
          
        
        984131.94000000
        PA
        USD
        961981.39000000
        0.562659253543
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2068-10-25
          Variable
          4.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UHT2
        
          
        
        45263.43000000
        PA
        USD
        47973.52000000
        0.028059529252
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKM3
        
          
        
        43881.88000000
        PA
        USD
        45842.11000000
        0.026812875655
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Finance of America
        N/A
        Finance of America HECM Buyout 2020-HB1
        31735NAF3
        
          
        
        2000000.00000000
        PA
        USD
        1568000.00000000
        0.917117231920
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-02-25
          Variable
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust
        N/A
        New Century Home Equity Loan Trust Series 2003-5
        64352VEG2
        
          
        
        137309.63000000
        PA
        USD
        125204.47000000
        0.073231617953
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-25
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHENTON AIRCRAFT INVESTMENT LTD
        254900877LAQRYY3YZ51
        Shenton Aircraft Investment I Ltd
        82321UAA1
        
          
        
        432320.25000000
        PA
        USD
        376899.00000000
        0.220446790557
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2042-10-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        E-MAC
        724500ZVKRLV3I0BMR76
        E-MAC NL 2005-I BV
        000000000
        
          
        
        168396.23000000
        PA
        
        160746.86000000
        0.094020226583
        Long
        ABS-MBS
        CORP
        NL
        Y
        
        2
        
          2038-04-25
          Floating
          3.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        Banc of America Funding 2007-5 Trust
        059523AR1
        
          
        
        37905.28000000
        PA
        USD
        37381.02000000
        0.021864016319
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-25
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conn Funding II, L.P
        N/A
        Conn's Receivables Funding 2019-B LLC
        20824LAC9
        
          
        
        2000000.00000000
        PA
        USD
        1974714.00000000
        1.155002702496
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-06-17
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BFBK6
        
          
        
        189758.37000000
        PA
        USD
        10010.32000000
        0.005854998066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-15
          Variable
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLS Auto Receivables Trust
        N/A
        GLS Auto Receivables Issuer Trust 2019-1
        36256DAD8
        
          
        
        450000.00000000
        PA
        USD
        467433.45000000
        0.273400045772
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          4.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust Resecuritization 2008-2R
        021482AG9
        
          
        
        369366.17000000
        PA
        USD
        287262.46000000
        0.168018719483
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-25
          Variable
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Preston Ridge Partners Mortgage Trust
        N/A
        PRPM 2020-5 LLC
        69357AAA9
        
          
        
        1000000.00000000
        PA
        USD
        999982.10000000
        0.584885724185
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-11-25
          Variable
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Hall Mortgages PLC
        213800TM9KICQKGTYR78
        Great Hall Mortgages No 1 PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        549810.92000000
        0.321582314432
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2039-03-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Certificates
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust
        92922FBV9
        
          
        
        123511.85000000
        PA
        USD
        122298.14000000
        0.071531716598
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-09-25
          Variable
          2.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335ABF4
        
          
        
        248601.47000000
        PA
        USD
        269978.04000000
        0.157909128012
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RMF Buyout Issuance Trust
        N/A
        RMF Buyout Issuance Trust 2020-HB1
        76971EAE4
        
          
        
        1000000.00000000
        PA
        USD
        989900.00000000
        0.578988742269
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-25
          Variable
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurohome Mortgages PLC
        N/A
        Eurohome Mortgages PLC
        000000000
        
          
        
        252758.28000000
        PA
        
        265207.40000000
        0.155118798834
        Long
        ABS-MBS
        CORP
        IE
        
        Y
        
        2
        
          2050-08-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SKOPOS AUTO RECEIVABLES TRUST
        N/A
        Skopos Auto Receivables Trust 2019-1
        83085DAC9
        
          
        
        300000.00000000
        PA
        USD
        306527.10000000
        0.179286534094
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-09-16
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Alternative Loans Trust
        N/A
        MASTR Alternative Loan Trust 2003-3
        576434DZ4
        
          
        
        149699.72000000
        PA
        USD
        157169.95000000
        0.091928105538
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-05-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2016-1
        35563PAE9
        
          
        
        600000.00000000
        PA
        USD
        589243.92000000
        0.344646526043
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-09-25
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312944BB6
        
          
        
        32813.73000000
        PA
        USD
        37729.15000000
        0.022067636231
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Paragon Mortgages PLC
        213800HHAAC2AVXZFP84
        Paragon Mortgages No 14 PLC
        000000000
        
          
        
        600000.00000000
        PA
        
        643190.82000000
        0.376199862522
        Long
        ABS-MBS
        CORP
        GB
        Y
        
        2
        
          2039-09-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Inc Trust 2004-HE6
        61744CFA9
        
          
        
        328777.84000000
        PA
        USD
        299378.23000000
        0.175105187241
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-25
          Floating
          0.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36181CNU8
        
          
        
        218003.83000000
        PA
        USD
        234685.26000000
        0.137266515321
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-2
        35563PKA6
        
          
        
        263806.41000000
        PA
        USD
        285790.35000000
        0.167157687947
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mortgage Equity Conversion Asset Trust
        N/A
        Mortgage Equity Conversion Asset Trust 2007-FF2
        61911CAA1
        
          
        
        265365.16000000
        PA
        USD
        260317.33000000
        0.152258615504
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-02-25
          Floating
          0.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B6US8
        
          
        
        197210.76000000
        PA
        USD
        256141.71000000
        0.149816311259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-12-15
          Floating
          11.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust 2016-SC02
        3137G1BC0
        
          
        
        80690.45000000
        PA
        USD
        80645.31000000
        0.047169134868
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2020-11-13
      MORGAN STANLEY MORTGAGE SECURITIES TRUST
      Francis Smith
      Francis Smith
      Principal Financial Officer
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Form NPORT-P MORGAN STANLEY MORTGAGE For: Oct 31

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