0001752724-23-239287.txt : 20231027 0001752724-23-239287.hdr.sgml : 20231027 20231027092706 ACCESSION NUMBER: 0001752724-23-239287 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20230831 FILED AS OF DATE: 20231027 DATE AS OF CHANGE: 20231027 PERIOD START: 20230831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY INCOME FUND /MA/ CENTRAL INDEX KEY: 0000751199 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04085 FILM NUMBER: 231352676 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY MORTGAGE SECURITIES FUND DATE OF NAME CHANGE: 19851103 0000751199 S000007069 Fidelity Government Income Fund C000019283 Fidelity Government Income Fund FGOVX C000038098 Fidelity Advisor Government Income Fund: Class A FVIAX C000038100 Fidelity Advisor Government Income Fund: Class C FVICX C000038101 Fidelity Advisor Government Income Fund: Class M FVITX C000038102 Fidelity Advisor Government Income Fund: Class I FVIIX C000205069 Fidelity Advisor Government Income Fund: Class Z FIKPX NPORT-P 1 primary_doc.xml NPORT-P false 0000751199 XXXXXXXX S000007069 C000038100 C000038102 C000205069 C000038101 C000019283 C000038098 Fidelity Income Fund 811-04085 0000751199 D66RCKM57LC8ELZCAY58 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Government Income Fund S000007069 P9RZ37TD4VUHUOID7660 2023-08-31 2023-08-31 N 4146408730.88 490817025.71 3655591705.17 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 341778734.36000000 0.00000000 0.00000000 8216.96000000 USD N Bloomberg US Government Bond Index 19808145 FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3145 GO 4/36 31396NCS3 12367.64410000 PA USD 9932.34000000 0.000271702662 Long ABS-CBDO USGSE US N 2 2036-04-15 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 01/01/2032#AS8602 3138WJRY6 1747697.15000000 PA USD 1620313.97000000 0.044324259946 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3% 02/20/2050#BQ4127 3617LNSQ8 211391.33420000 PA USD 185554.20000000 0.005075900564 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 07/51#BT1461 3140LPTT9 77484.69950000 PA USD 62335.15000000 0.001705200006 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 12/01/2047#CA0855 3140Q75R4 140582.94690000 PA USD 127706.29000000 0.003493450590 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 05/20/2046#AS9175 36193VFQ0 12801.13960000 PA USD 11750.09000000 0.000321427854 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 6/40 #745127 3620C0YY8 5830.32260000 PA USD 5668.30000000 0.000155058345 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 12/39 #711029 36297F4N9 2053.10430000 PA USD 2040.09000000 0.000055807381 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 1/38 #889371 31410KCG7 16947.66690000 PA USD 17437.52000000 0.000477009507 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 9/25 #322201 31374R3J0 136.30170000 PA USD 137.01000000 0.000003747956 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 6/35 #828385 31407EJ61 3378.47490000 PA USD 3453.22000000 0.000094464050 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.06000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT TSFR1M+51.448 08/20/2042 38375GZX2 91959.59330000 PA USD 89281.46000000 0.002442325817 Long ABS-CBDO USGA US N 2 2042-08-20 Variable 0.05828460 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 4% 03/20/2047#784299 3622A2X49 37722.85370000 PA USD 35737.16000000 0.000977602612 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 7.5% 06/01/2027#250951 31371FWL2 101.40030000 PA USD 103.21000000 0.000002823345 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 11/45#Q38550 3132QVQC8 17338.37350000 PA USD 16337.05000000 0.000446905762 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 2/30 #535143 31384VP48 203.93150000 PA USD 210.58000000 0.000005760490 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AR1584 3138NXXN2 70432.37420000 PA USD 62891.08000000 0.001720407667 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 4/42 #AK9019 3138EEAV1 14246.14370000 PA USD 13505.76000000 0.000369454826 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 6.50% 8/36 #657024 36294Q4H1 384.30530000 PA USD 398.45000000 0.000010899740 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 11/01/2031#ZS8629 3132A9SS7 1456224.24900000 PA USD 1350643.77000000 0.036947336544 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2006-15 OP 0% 3/36 31395BTU7 18279.69780000 PA USD 15227.74000000 0.000416560196 Long ABS-CBDO USGSE US N 2 2036-03-25 Fixed 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 05/01/2045#Q33578 3132QP6Q2 11867.24810000 PA USD 10849.82000000 0.000296800651 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 10/01/2047#CA0623 3140Q7VR5 19489.20850000 PA USD 18821.93000000 0.000514880531 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 1/41 #734151 3620AMTG7 21205.67510000 PA USD 20149.59000000 0.000551199138 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 01/01/2043#AR2904 3138W0GN3 21331.80560000 PA USD 19078.65000000 0.000521903197 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 6/32 #644164 31390ETV4 179.95250000 PA USD 186.73000000 0.000005108064 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 11/01/2041#FS1573 3140XGXB0 2249803.02400000 PA USD 1938460.43000000 0.053027268533 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 09/01/2032#BM1884 3140J6CW5 40282.68180000 PA USD 37934.64000000 0.001037715452 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/41 #479607 36209RYC1 14739.09300000 PA USD 14005.06000000 0.000383113354 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4% 03/20/2047#MA4322 36179SYT8 4205388.18160000 PA USD 3984021.17000000 0.108984303809 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 6.182% 6/37 #848188 31300LCZ6 7149.86100000 PA USD 7273.71000000 0.000198974901 Long ABS-MBS USGSE US N 2 2037-06-01 Variable 0.07385000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 6/28 #462816 36208WDV2 46.13920000 PA USD 46.70000000 0.000001277494 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 3/28 #420501 31379JDE3 247.09310000 PA USD 251.67000000 0.000006884521 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 10/41 #005203 36202FX84 327716.14970000 PA USD 312676.27000000 0.008553369610 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 11/41 #Q04295 3132GKNL6 19738.13620000 PA USD 18734.08000000 0.000512477363 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 10/01/2042#Q12164 3132HNMM8 5868.42970000 PA USD 5572.61000000 0.000152440711 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 3.242% 9/1/41#1B8659 3128UHAK1 25502.41740000 PA USD 25990.72000000 0.000710985309 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.04130000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 8/40 #A93451 312941ZQ3 2418.92620000 PA USD 2354.76000000 0.000064415290 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 7/28 #406815 31378R3Y3 588.32330000 PA USD 605.23000000 0.000016556280 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 03/01/2052#CB3037 3140QNLT7 575222.30710000 PA USD 461678.26000000 0.012629371582 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 1/41 #AH4987 3138A6RH5 4575.48000000 PA USD 4340.14000000 0.000118726059 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/41 #479494 36209RUT8 42323.27170000 PA USD 40173.19000000 0.001098951776 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2015-KO43 A2 3.062% 12/25/2024 3137BGK24 10774000.00000000 PA USD 10439259.36000000 0.285569620514 Long ABS-MBS USGSE US N 2 2024-12-25 Fixed 0.03062000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 11/40 #004853 36202FMA1 244483.72440000 PA USD 233465.63000000 0.006386534625 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.87% 1/35 #735833 31402RPS2 9591.35340000 PA USD 9637.76000000 0.000263644322 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 0.03846000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 7/38 #889733 31410KPS7 2970.81620000 PA USD 3063.34000000 0.000083798745 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 0.06000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.5% 01/31/2027 912828Z78 22230000.00000000 PA USD 20164172.99000000 0.551598061716 Long DBT UST US N 2 2027-01-31 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 11/35 #842191 31407VUQ6 1897.64730000 PA USD 1939.74000000 0.000053062271 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM 30YR 6% 06/01/2053#RA9277 3133KRJW5 3551306.19000000 PA USD 3597527.86000000 0.098411643042 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 12/01/2031#ZS8632 3132A9SV0 9603.92200000 PA USD 8903.78000000 0.000243566041 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 10/42 #AP7148 3138MA5J3 10319.48500000 PA USD 9492.50000000 0.000259670684 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 12/01/2048#BM5106 3140J9U82 93767.88920000 PA USD 90440.20000000 0.002474023558 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 05/01/2051#CB0545 3140QKTB4 36679.15750000 PA USD 32955.61000000 0.000901512331 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 01/01/2033#BH9235 3140GYHM4 13243.81930000 PA USD 12438.74000000 0.000340266118 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 12/01/2046#G60989 31335BC20 447167.33700000 PA USD 394428.38000000 0.010789727404 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 03/01/2048#BJ4970 3140H6QY8 60703.55750000 PA USD 56859.58000000 0.001555413858 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.4% 08/01/2042#AP5087 3138M8UM3 15036.59410000 PA USD 13675.56000000 0.000374099765 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03400000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 7/42 #AA5451 36178DBU4 16026.51650000 PA USD 14822.17000000 0.000405465686 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.375% 03/31/2029 91282CEE7 23000000.00000000 PA USD 20859023.38000000 0.570605939128 Long DBT UST US N 2 2029-03-31 Fixed 0.02375000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT SOFR30A+648.552 02/15/2036 31396HLM9 6466.69450000 PA USD 511.21000000 0.000013984329 Long ABS-CBDO USGSE US N 2 2036-02-15 Variable 0.01297010 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 09/42#AQ3065 3138MJMP1 9680.12810000 PA USD 8914.07000000 0.000243847527 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 3.5% 09/01/2053 #TBA 01F032690 -14600000.00000000 PA USD -13045898.62000000 -0.35687515653 Short ABS-MBS USGA US N 2 2053-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 2/26 #331387 31375DCY7 58.88640000 PA USD 59.14000000 0.000001617795 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 05/01/2043#AT5177 3138WSXF0 15999.69510000 PA USD 14271.19000000 0.000390393434 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AB7766 31417ETY7 44236.44540000 PA USD 39494.30000000 0.001080380501 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A FNS 343 16 5.5% 5/34 3136FA6N5 4282.31930000 PA USD 687.66000000 0.000018811181 Long ABS-CBDO USGSE US N 2 2034-05-25 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 3/26 #339167 31375MW41 11.91260000 PA USD 12.25000000 0.000000335103 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNR 1993-207 H 6.5% 11/23 31359E3G4 106.75480000 PA USD 106.39000000 0.000002910335 Long ABS-CBDO USGSE US N 2 2023-11-25 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 9/28 #458926 36208RYX6 103.55430000 PA USD 104.97000000 0.000002871491 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 2/1/43#AR5364 3138W26A8 30218.47950000 PA USD 27714.42000000 0.000758137730 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 02/01/2052#RA6823 3133KNSL8 1410707.14770000 PA USD 1132245.41000000 0.030972972402 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 5/37 #917965 31411XZ65 850.96430000 PA USD 874.35000000 0.000023918152 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.0% 10/20/2044#MA2304 36179QRZ6 193728.77720000 PA USD 184560.29000000 0.005048711806 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047 3137H5J57 1101743.07900000 PA USD 951877.82000000 0.026038953383 Long ABS-CBDO USGSE US N 2 2047-11-25 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 2.986% 10/01/2041#1B8864 3128UHGY5 305586.41060000 PA USD 309965.77000000 0.008479222927 Long ABS-MBS USGSE US N 2 2041-10-01 Variable 0.04130000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 6/36 #745640 31403DLV9 9872.30810000 PA USD 10123.31000000 0.000276926714 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 03/01/2052# 3133KNWK5 5722045.07000000 PA USD 5146080.03000000 0.140772833648 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 7/40 #745236 3620C04V7 10453.30320000 PA USD 10162.06000000 0.000277986734 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 09/01/2040#G06016 3128M8AR5 7059.88650000 PA USD 6871.65000000 0.000187976408 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 6.0% 05/15/2040#783362 36241LWX0 54841.41280000 PA USD 56338.92000000 0.001541171020 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2.5% 11/01/2050#SD7530 3132DVLK9 1631929.92280000 PA USD 1369374.27000000 0.037459715976 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM 38375BPJ5 756966.77840000 PA USD 755070.65000000 0.020655223856 Long ABS-CBDO USGA US N 2 2062-01-20 Variable 0.05955260 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 4/42 #G06973 3128M9CJ9 123129.47680000 PA USD 116749.79000000 0.003193731669 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 1.5% 02/01/2051#FM5977 3140X9UB9 11833793.47600000 PA USD 8943168.13000000 0.244643517418 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 7% 2/32 #003202 36202DRX1 1611.38050000 PA USD 1662.49000000 0.000045478000 Long ABS-MBS USGA US N 2 2032-02-20 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 12/01/2042#AR1624 3138NXYW1 7993.91330000 PA USD 7129.95000000 0.000195042296 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 02/01/2048#BK0167 3140HDFH2 17198.54050000 PA USD 16109.46000000 0.000440679958 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 6.39% 12/36 #1J1448 3128NHTD5 3539.35030000 PA USD 3598.64000000 0.000098442066 Long ABS-MBS USGSE US N 2 2036-12-01 Variable 0.04450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 2/32 #551697 36213D3E6 26.93760000 PA USD 26.95000000 0.000000737226 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2011-69 GX 4.5% 5/40 38377VH66 2289031.43870000 PA USD 2258380.39000000 0.061778791838 Long ABS-CBDO USGA US N 2 2040-05-16 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 4/42 #AK8228 3138EDEA5 31088.81130000 PA USD 29465.31000000 0.000806033944 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 06/15/2042#799330 36177ULL6 3685.00340000 PA USD 3493.82000000 0.000095574677 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2011-H12 FA TSFR1M+60.448 5/61 38375BLS9 491783.77130000 PA USD 489258.81000000 0.013383847252 Long ABS-CBDO USGA US N 2 2061-02-20 Variable 0.05707710 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG 2010-169 Z 4.5% 12/20/2040 38377RM51 4070902.69270000 PA USD 3693604.10000000 0.101039842463 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 3.5% 07/01/2032#G31067 3132J4MR7 1216555.75720000 PA USD 1157170.32000000 0.031654802103 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 2/41 #A96783 312945RC4 5243.67870000 PA USD 5104.19000000 0.000139626917 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 10/01/2033#BM5832 3140JAPS1 87809.12930000 PA USD 82471.29000000 0.002256031216 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044 38378Y2R9 178891.18140000 PA USD 161177.04000000 0.004409054757 Long ABS-CBDO USGA US N 2 2044-02-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 6.22% 3/37 #910296 31411KKH5 79815.51590000 PA USD 80246.47000000 0.002195170480 Long ABS-MBS USGSE US N 2 2037-03-01 Variable 0.04065000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2137 PG 6% 3/29 3133TJR70 2812.83430000 PA USD 2824.95000000 0.000077277503 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 7.00% 9/36 #C02621 31292J4E7 309.38940000 PA USD 318.28000000 0.000008706661 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2303 ZV 6% 4/31 3133TSTH6 11065.54650000 PA USD 11127.98000000 0.000304409816 Long ABS-CBDO USGSE US N 2 2031-04-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 7/39 #782727 36241LA48 8557.30900000 PA USD 8498.33000000 0.000232474813 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 10/01/2051#RA5998 3133KMUX1 7172430.36100000 PA USD 6235257.66000000 0.170567671744 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2004-32 GS 650-1ML 5/34 38374GZM7 6664.26730000 PA USD 415.10000000 0.000011355206 Long ABS-CBDO USGA US N 2 2034-05-16 Variable 0.01072910 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 02/01/2046#BC6378 3140F2CQ1 5818.03870000 PA USD 5475.07000000 0.000149772470 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2010-H27 FA TSFR1M+38 12/60 38375BJK9 421988.47150000 PA USD 419152.03000000 0.011466051567 Long ABS-CBDO USGA US N 2 2060-12-20 Variable 0.05635260 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 12/01/2042#AQ9061 3138MRB75 11611.33850000 PA USD 10996.45000000 0.000300811766 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM TSFR1M+66.448 09/20/2061 38375BNA6 2111143.43080000 PA USD 2101943.28000000 0.057499399537 Long ABS-CBDO USGA US N 2 2061-09-20 Variable 0.05805260 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2131 BG 6% 3/29 3133TK2P4 18041.04210000 PA USD 18121.08000000 0.000495708532 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 11/01/2042#AB6904 31417DU68 87094.89730000 PA USD 77792.13000000 0.002128031144 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 2/42 #Q06088 3132GRCZ2 7353.52530000 PA USD 6978.86000000 0.000190909175 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/28 #323317 31374TDW6 138.34270000 PA USD 142.32000000 0.000003893213 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2017-30 AI 5.5% 05/47 3136AWQD2 71440.19360000 PA USD 12159.89000000 0.000332638078 Long ABS-CBDO USGSE US N 2 2047-05-25 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 07/15/2046#AT7536 36194GLR3 10054.45850000 PA USD 9471.81000000 0.000259104702 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4.5% 06/15/2041#366975 36204DT82 94026.53470000 PA USD 91420.24000000 0.002500832898 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 11/31 #545304 31385HX98 128.65350000 PA USD 133.85000000 0.000003661513 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 5/39 #698329 36296QY29 2159.62820000 PA USD 2098.89000000 0.000057415875 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 07/01/2043#Q20360 3132JMMH9 4288.02600000 PA USD 4055.98000000 0.000110952762 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE8538 31419KPY5 13065.44700000 PA USD 12377.25000000 0.000338584037 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2002-49 FB SOFR30A+71.448 11/31 31392DYV8 19059.96290000 PA USD 18889.24000000 0.000516721820 Long ABS-CBDO USGSE US N 2 2031-11-18 Variable 0.05944490 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 02/01/2049#CA3129 3140QAPP9 175725.51260000 PA USD 164213.51000000 0.004492118465 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 4% 10/20/2042#AC0073 36178YCJ2 71614.76630000 PA USD 68095.37000000 0.001862772855 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.19% 9/33 #748643 31403GWC2 24471.24200000 PA USD 24736.78000000 0.000676683338 Long ABS-MBS USGSE US N 2 2033-09-01 Variable 0.06074000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2010-135 ZA 4.5% 12/40 31398SE82 15702.88330000 PA USD 15475.91000000 0.000423348974 Long ABS-CBDO USGSE US N 2 2040-12-25 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 04/01/2044#AW3253 3138XSTK3 17693.87350000 PA USD 17165.47000000 0.000469567484 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 11/01/2051#FM9568 3140XDT22 1145492.03000000 PA USD 921887.29000000 0.025218551861 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.0% 04/01/2041#AH9677 3138ABXF1 1638.77290000 PA USD 1636.78000000 0.000044774694 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 08/01/2043#AS0203 3138W9GM6 57732.37510000 PA USD 51430.07000000 0.001406887698 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 05/01/2047#Q48095 3132WM7H1 129369.32930000 PA USD 125180.89000000 0.003424367382 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.0% 02/01/2043#Q15789 3132J62X1 17431.44240000 PA USD 15605.79000000 0.000426901887 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AB7846 31417EWG2 56318.53590000 PA USD 50282.38000000 0.001375492233 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 08/01/2045#BA2698 3140E67L0 32334.70480000 PA USD 30469.03000000 0.000833491058 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.64% 4/36 #1J0058 3128LUB39 2075.06050000 PA USD 2091.95000000 0.000057226029 Long ABS-MBS USGSE US N 2 2036-04-01 Variable 0.05239000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 06/15/2043#AE4597 36180XDA8 3003.53840000 PA USD 2789.85000000 0.000076317330 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 01/01/2041# 312946FC5 7747.66000000 PA USD 7369.58000000 0.000201597459 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 10/20/2040#004828 36202FLH7 46293.52570000 PA USD 44841.64000000 0.001226658872 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 6.25% 6/36 #886983 31410EM88 15424.87260000 PA USD 15587.69000000 0.000426406755 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.05803000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 07/20/2039#004488 36202E6Z7 1411.91400000 PA USD 1368.94000000 0.000037447836 Long ABS-MBS USGA US N 2 2039-07-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/2043#Q21524 3132JNVR5 2488.71800000 PA USD 2359.77000000 0.000064552340 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.50% 3/39 #782604 36241K3M8 812.91420000 PA USD 822.22000000 0.000022492118 Long ABS-MBS USGA US N 2 2039-03-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2046#BE4460 3140FP5W5 11652.64670000 PA USD 10947.53000000 0.000299473543 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.01% 7/35 #1M1050 3128QFEX8 3445.32140000 PA USD 3474.26000000 0.000095039607 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.07040000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 12/01/2051#CB2420 3140QMVN1 1077244.80100000 PA USD 935815.27000000 0.025599556664 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 6/32 #644809 31390FKW8 472.30230000 PA USD 485.87000000 0.000013291145 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 6.34% 5/36 #872506 31409JKT6 432.28460000 PA USD 436.85000000 0.000011950185 Long ABS-MBS USGSE US N 2 2036-05-01 Variable 0.05180000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 10/01/2052#SD8257 3132DWE66 18530662.85900000 PA USD 17570465.06000000 0.480646266790 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 7/27 #250990 31371FXT4 8.86300000 PA USD 9.03000000 0.000000247018 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 04/01/2047#AS9394 3138WKNL5 20442.76860000 PA USD 19749.23000000 0.000540247149 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 02/01/2050#SD0265 3132DMJJ5 1112868.22200000 PA USD 972326.10000000 0.026598323292 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.0% 11/01/2044#AL7307 3138EQDM1 63535.27300000 PA USD 63009.19000000 0.001723638608 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 03/01/2043#Q16049 3132J7EX6 9234.13760000 PA USD 8759.24000000 0.000239612098 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 04/01/2046#AS7000 3138WGX66 111655.60100000 PA USD 98950.51000000 0.002706826089 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 4/42 #Q07441 3132GSS67 3785.16800000 PA USD 3589.31000000 0.000098186840 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 12/01/42#G07240 3128M9LV2 19048.73480000 PA USD 17031.89000000 0.000465913356 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 1/28 #449219 36208FAU4 21.66980000 PA USD 21.78000000 0.000000595799 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM 1.65% 02/20/2063 38375BK84 484.82040000 PA USD 438.54000000 0.000011996416 Long ABS-CBDO USGA US N 2 2063-02-20 Fixed 0.01650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 10/29 #323968 31374TZ93 32.98610000 PA USD 33.93000000 0.000000928167 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034 3137BGB32 65006.41320000 PA USD 3639.85000000 0.000099569380 Long ABS-CBDO USGSE US N 2 2034-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/31 #254058 31371KE72 43.80660000 PA USD 45.07000000 0.000001232905 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 4% 08/01/2038#K94341 3132LQWA1 42937.49060000 PA USD 41103.47000000 0.001124399914 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM 30YR 5.5% 8/53 #RA9560 3133KRTR5 2391264.16000000 PA USD 2382989.67000000 0.065187522628 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 11/01/2051#QD1240 3133AXLV2 840867.34750000 PA USD 725741.51000000 0.019852914891 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.50% 8/32 #C01385 31292HRE6 735.34960000 PA USD 758.18000000 0.000020740281 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2.127% 11/25/2031 3137H4SH4 2490000.00000000 PA USD 2040283.84000000 0.055812683815 Long ABS-MBS USGSE US N 2 2031-11-25 Fixed 0.02127000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 02/01/2050#CA5122 3140QCVQ6 749971.05320000 PA USD 655258.56000000 0.017924828942 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6.5% 01/01/2053#RA8433 3133KQLN4 4907222.08000000 PA USD 4989652.62000000 0.136493706694 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 1/1/43 #AR1183 3138NXJ57 16746.65040000 PA USD 14953.21000000 0.000409050331 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3415 PC 5% 12/37 31397R3R5 188967.36490000 PA USD 185105.34000000 0.005063621840 Long ABS-CBDO USGSE US N 2 2037-12-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 2/41 #A96807 312945R42 36886.78760000 PA USD 35048.87000000 0.000958774196 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 12/01/2040#FM5042 3140X8S81 1050086.82400000 PA USD 879889.70000000 0.024069692978 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.02000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.25% 03/31/2026 9128286L9 928300.00000000 PA USD 875249.10000000 0.023942747729 Long DBT UST US N 2 2026-03-31 Fixed 0.02250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2.5% 06/20/2051#MA7418 36179WG36 6199589.03300000 PA USD 5289604.06000000 0.144698984093 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 03/15/2042#796180 36177Q2N2 3344.39840000 PA USD 3172.51000000 0.000086785129 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2007-66 SA SOFR30A+3891.312 7/37 31396WYX8 5956.52600000 PA USD 7033.12000000 0.000192393477 Long ABS-CBDO USGSE US N 2 2037-07-25 Variable 0.07187641 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 01/01/2043#AR2466 3138NYW43 8651.84470000 PA USD 7435.57000000 0.000203402639 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3.625% 02/15/2053 912810TN8 140154000.00000000 PA USD 126269994.38000000 3.454160217111 Long DBT UST US N 2 2053-02-15 Fixed 0.03625000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2002-7 FC SOFR30A+86.448 1/32 31392B2Z8 468.80640000 PA USD 466.42000000 0.000012759083 Long ABS-CBDO USGSE US N 2 2032-01-25 Variable 0.06152060 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 6.00% 5/32 #003238 36202DS36 6299.69930000 PA USD 6397.74000000 0.000175012433 Long ABS-MBS USGA US N 2 2032-05-20 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 7.00% 8/26 #C90997 3128P7DA8 1112.28040000 PA USD 1120.56000000 0.000030653313 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 04/01/2046#AS7024 3138WGYW8 34115.45490000 PA USD 32061.75000000 0.000877060475 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 02/01/2033#SB0621 3132CWVN1 290526.34900000 PA USD 275252.68000000 0.007529634111 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 0.0% 05/01/2041#1B8124 3128UGMY0 47138.46560000 PA USD 47574.50000000 0.001301417221 Long ABS-MBS USGSE US N 2 2041-05-01 Variable 0.05212000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 6.50% 8/27 #928600 31412LUZ1 455.98660000 PA USD 458.98000000 0.000012555559 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.50% 9/39 #710868 36297FW57 20071.94840000 PA USD 20342.45000000 0.000556474892 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 12/39 #728451 3620AFH42 3491.43250000 PA USD 3471.23000000 0.000094956720 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM 2.75% 02/20/2064 38375UDD9 849007.03030000 PA USD 833283.00000000 0.022794750267 Long ABS-CBDO USGA US N 2 2064-02-20 Fixed 0.02750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 05/01/2043#AB9376 31417GM29 93383.78560000 PA USD 85668.91000000 0.002343503238 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA SOFR30A+632.552 05/25/2037 31396VYS1 4866.12660000 PA USD 499.54000000 0.000013665092 Long ABS-CBDO USGSE US N 2 2037-05-25 Variable 0.01037940 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 01/15/2042#794559 36177PB53 2275.89140000 PA USD 2161.28000000 0.000059122576 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 05/01/2043#AB9239 31417GHR0 8406.05740000 PA USD 7495.82000000 0.000205050799 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.00% 8/27 #780618 36225AVK3 16.06280000 PA USD 16.37000000 0.000000447807 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 8/40 #748482 3620C4RB8 6763.66780000 PA USD 6727.88000000 0.000184043529 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 4% 03/01/2039#MA3612 31418DAN2 17764.35270000 PA USD 16983.63000000 0.000464593186 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 09/01/2045#BA0270 3140E4JQ1 20897.58640000 PA USD 19665.70000000 0.000537962157 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 11/01/2042#Q13425 3132HPYW8 25877.76370000 PA USD 24521.90000000 0.000670805220 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 12/01/2032#BJ2987 3140H4J96 12598.04980000 PA USD 11599.37000000 0.000317304856 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2877 ZD 5% 10/34 31395HNX4 1753167.60580000 PA USD 1720413.70000000 0.047062523354 Long ABS-CBDO USGSE US N 2 2034-10-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 6/29 #500286 31383DXP3 228.23300000 PA USD 234.79000000 0.000006422763 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 03/01/2041#MA4287 31418DXR8 1198356.96100000 PA USD 997762.07000000 0.027294133220 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 11/28 #527248 31384LWH3 32.45400000 PA USD 33.39000000 0.000000913395 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 04/01/2036#FM9743 3140XDZH2 1751874.92300000 PA USD 1625668.45000000 0.044470733635 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 06/01/2048#G67713 3132XCSA4 12438.12130000 PA USD 11731.46000000 0.000320918224 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 12/31 #622219 31389DG43 320.30890000 PA USD 329.51000000 0.000009013862 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 10/27 #401788 31378LJ94 14.10650000 PA USD 14.37000000 0.000000393096 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 11/35 #843567 31407XFG1 342.85500000 PA USD 352.27000000 0.000009636470 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 11/01/2051#RA6239 3133KM4Y8 791168.80570000 PA USD 636234.93000000 0.017404430836 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.25% 02/15/2052 912810TD0 18700000.00000000 PA USD 12615195.41000000 0.345093118363 Long DBT UST US N 2 2052-02-15 Fixed 0.02250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 03/01/2037#MA2922 31418CG81 247287.50590000 PA USD 226567.73000000 0.006197840138 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2001-38 QF SOFR30A+109.448 8/31 313920QV5 23035.13500000 PA USD 23092.06000000 0.000631691443 Long ABS-CBDO USGSE US N 2 2031-08-25 Variable 0.06382060 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 3/31 #544721 36212VD22 38.74510000 PA USD 39.79000000 0.000001088469 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 06/20/2039#004461 36202E5W5 3284.56770000 PA USD 3181.78000000 0.000087038713 Long ABS-MBS USGA US N 2 2039-06-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 08/01/43#AL7261 3138EQB76 75548.07740000 PA USD 69483.45000000 0.001900744273 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 11/27 #417739 31379FBG8 217.94040000 PA USD 221.83000000 0.000006068237 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 5/41 #005055 36202FTL0 207992.70640000 PA USD 203766.02000000 0.005574091321 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 04/01/2045#Q32912 3132QPGW8 7179.32280000 PA USD 6773.68000000 0.000185296404 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 05/01/2051#CB0388 3140QKNE4 2012419.31900000 PA USD 1676070.40000000 0.045849496748 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.11% 4/38 #1B3803 3128JPDH0 1718.49680000 PA USD 1731.59000000 0.000047368254 Long ABS-MBS USGSE US N 2 2038-04-01 Variable 0.04936000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/41 #779843 36176YEQ6 4277.47440000 PA USD 4062.07000000 0.000111119357 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 3/42 #Q07242 3132GSLX5 10571.65440000 PA USD 10028.08000000 0.000274321664 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 6.50% 8/34 #605311 36200NN49 2576.19590000 PA USD 2643.24000000 0.000072306762 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 2/41 #A96766 312945QT8 2523.90180000 PA USD 2456.06000000 0.000067186387 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.50% 1/31 #435013 36207LGW2 292.43020000 PA USD 308.35000000 0.000008435022 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.08500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 3.627% 6/1/41#1B8372 3128UGVQ7 51404.47140000 PA USD 51968.93000000 0.001421628403 Long ABS-MBS USGSE US N 2 2041-06-01 Variable 0.05698000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2010-H03 FA TSFR1M+66.448 3/60 38376XNT6 103595.04250000 PA USD 103171.12000000 0.002822282364 Long ABS-CBDO USGA US N 2 2060-03-20 Variable 0.05980000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 1/31 #474760 36209LMH6 79.61500000 PA USD 81.48000000 0.000002228914 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 05/20/2046#AS6967 36193SW47 8833.32280000 PA USD 8108.05000000 0.000221798566 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 12/01/2042#C04320 31292LYR0 216952.80710000 PA USD 194082.21000000 0.005309187284 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 12/33 #A16699 31296RNQ7 2778.78050000 PA USD 2761.05000000 0.000075529496 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027 3136A7HT2 4720.63610000 PA USD 114.00000000 0.000003118510 Long ABS-CBDO USGSE US N 2 2027-07-25 Fixed 0.04500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2017-134 BA 2.5% 11/46 38380GF25 359639.04970000 PA USD 317632.81000000 0.008688957509 Long ABS-CBDO USGA US N 2 2046-11-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 1/26 #425073 36206YFN6 34.24370000 PA USD 34.37000000 0.000000940203 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 12/20/2049#BR8987 3617M76Y9 7348.69880000 PA USD 6713.18000000 0.000183641405 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 03/01/2035#CA5427 3140QDA53 1720863.54390000 PA USD 1562397.48000000 0.042739933942 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048 3137H5BQ9 9183522.09300000 PA USD 7879116.66000000 0.215536014288 Long ABS-CBDO USGSE US N 2 2048-10-25 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 2/41 #A97152 3129455M6 4683.53990000 PA USD 4558.97000000 0.000124712231 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 01/01/2046#G60393 31335ANJ3 14128.44910000 PA USD 12908.33000000 0.000353111918 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 2/42 #778882 36176XCT4 24207.34280000 PA USD 22413.77000000 0.000613136581 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 2.686% 04/01/2044#AL5128 3138EMVW8 104140.75150000 PA USD 105006.57000000 0.002872491746 Long ABS-MBS USGSE US N 2 2044-04-01 Variable 0.04164000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AQ9994 3138MSC80 28777.89800000 PA USD 25734.78000000 0.000703983980 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 9/41 #AI9692 3138APXW3 2954.05960000 PA USD 2795.73000000 0.000076478179 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNCL 2011-39 ZA 6% 11/32 31397SVY7 21329.17870000 PA USD 21619.04000000 0.000591396461 Long ABS-CBDO USGSE US N 2 2032-11-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 11/01/2051#FM9539 3140XDS56 717130.05800000 PA USD 576695.12000000 0.015775698341 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 12/40 #AB1898 31416XDC1 5444.18540000 PA USD 5292.84000000 0.000144787504 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 3/24 #050994 313615UT1 7.61640000 PA USD 7.60000000 0.000000207900 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/2043#Q21255 3132JNMC8 12792.29980000 PA USD 12129.48000000 0.000331806202 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.0% 07/20/2044#MA2074 36179QJT9 10328.11440000 PA USD 9839.32000000 0.000269158067 Long ABS-MBS USGA US N 2 2044-07-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 4/40 #782918 36241LG34 36994.70210000 PA USD 36766.00000000 0.001005746893 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2.5% 11/01/2041#QK1167 3133D4JL8 1545816.33300000 PA USD 1332862.20000000 0.036460915427 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 04/01/2046#BC0796 3140EU3E7 175715.04920000 PA USD 165356.86000000 0.004523395207 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 8/46#BC1509 3140EVVB0 426990.24580000 PA USD 376135.41000000 0.010289316760 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 03/01/2041#A97673 312946Q25 52871.43410000 PA USD 51466.93000000 0.001407896016 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 8/39 #724223 3620AASL3 40937.94860000 PA USD 39787.98000000 0.001088414221 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2033#741529 31402XY26 1923.34670000 PA USD 1871.87000000 0.000051205663 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 10/39 #723224 3620A9PH8 4555.95160000 PA USD 4525.27000000 0.000123790356 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 12/01/2042#AL2884 3138EKF26 10566.98950000 PA USD 9436.80000000 0.000258146991 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 12/24 #313987 31374GXQ5 14.65620000 PA USD 14.62000000 0.000000399935 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 12/15/2041#792596 36177L3E2 718.11810000 PA USD 681.83000000 0.000018651700 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 12/49#BR8986 3617M76X1 2188.53810000 PA USD 1972.60000000 0.000053961168 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4.0% 02/15/2041#750185 3620C6NA9 3060.40040000 PA USD 2905.74000000 0.000079487542 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 02/01/2037#AS8773 3138WJXB9 97196.88090000 PA USD 89052.93000000 0.002436074298 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 11/42 #AQ0206 3138MFGQ4 9458.48210000 PA USD 8685.38000000 0.000237591632 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 01/01/2032# 31287NDD7 703.16040000 PA USD 712.75000000 0.000019497527 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 4/42 #Q07351 3132GSQC6 3675.12030000 PA USD 3496.32000000 0.000095643066 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 07/01/2043#AB9858 31417G5U6 202822.42000000 PA USD 180676.34000000 0.004942464984 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5.0% 07/01/2041#Q02345 3132GFTA5 1355.98050000 PA USD 1348.36000000 0.000036884863 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.05% 7/34 #801635 31405WSY2 6698.31840000 PA USD 6740.05000000 0.000184376444 Long ABS-MBS USGSE US N 2 2034-07-01 Variable 0.05730000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2006-104 GI SOFR30A+656.552 11/36 31396LMA5 13249.17510000 PA USD 1087.30000000 0.000029743474 Long ABS-CBDO USGSE US N 2 2036-11-25 Variable 0.01277940 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 12/01/2047#Q53034 3132XVLQ4 88961.30130000 PA USD 80806.08000000 0.002210478809 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 01/01/2041#A96413 312945DS4 14640.63700000 PA USD 13911.78000000 0.000380561646 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.125% 10/31/2026 91282CDG3 47300000.00000000 PA USD 42640211.17000000 1.166438010834 Long DBT UST US N 2 2026-10-31 Fixed 0.01125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 1.5% 03/01/2041#MA4286 31418DXQ0 1917863.65100000 PA USD 1544683.44000000 0.042255360132 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 4.5% 10/01/2042#RB5189 3133KYXS3 4297926.38200000 PA USD 4133311.07000000 0.113068181661 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 09/01/2043#AS0407 3138W9NZ9 10342.40310000 PA USD 9188.18000000 0.000251345903 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 06/01/2044#AL7195 3138EP7H1 96340.33090000 PA USD 85951.37000000 0.002351230031 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036 31397CDM8 86595.36740000 PA USD 86237.18000000 0.002359048464 Long ABS-CBDO USGSE US N 2 2036-11-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 10/40#AE3576 31419D6N6 17297.72110000 PA USD 16406.42000000 0.000448803403 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 07/01/2033# 3140JAUL0 193908.16680000 PA USD 182605.43000000 0.004995235921 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 6.50% 11/27 #256993 31371NNJ0 1692.12730000 PA USD 1703.29000000 0.000046594098 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 11/42 #AQ0170 3138MFFL6 9068.18250000 PA USD 8314.93000000 0.000227457841 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 12/15/2042#AA5897 36178DRS2 50156.62090000 PA USD 44852.57000000 0.001226957866 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2045#AZ7335 3140E0EH4 65068.49710000 PA USD 61232.79000000 0.001675044560 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 12/1/42 #AQ7097 3138MN3F5 11545.12170000 PA USD 10617.47000000 0.000290444635 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031 3137AQ6B9 16908.05260000 PA USD 322.31000000 0.000008816903 Long ABS-CBDO USGSE US N 2 2031-05-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 11/26 #572166 31386STX5 30.13570000 PA USD 31.00000000 0.000000848015 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 12/01/2042#AB7425 31417EHB0 8014.95070000 PA USD 7158.05000000 0.000195810981 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 7/27 #447756 36208DMD4 78.34460000 PA USD 79.64000000 0.000002178580 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 04/01/2043#Q17646 3132J85G1 54565.89190000 PA USD 50166.31000000 0.001372317097 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 10/15/2041#775540 36176TLV8 5711.67010000 PA USD 5420.52000000 0.000148280235 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6% 11/35 #AD0687 31418MXR8 29765.90290000 PA USD 30357.79000000 0.000830448049 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2011-H13 FA TSFR1M+61.448 4/61 38375BLW0 342314.82240000 PA USD 340568.50000000 0.009316371396 Long ABS-CBDO USGA US N 2 2061-04-20 Variable 0.05755260 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 02/01/2037#G02671 3128M4JQ7 423.84940000 PA USD 412.93000000 0.000011295845 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 4% 09/01/2039#MA3773 31418DFP2 20160.48430000 PA USD 19224.05000000 0.000525880665 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 6/32 #569840 36200RBH4 62.25570000 PA USD 63.84000000 0.000001746365 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 7/27 #394197 31378B3E2 39.49200000 PA USD 40.11000000 0.000001097223 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 9/27 #313711 31374GN45 16.06390000 PA USD 16.35000000 0.000000447260 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 02/01/2052#CB2842 3140QNEQ1 4578398.86980000 PA USD 3666076.89000000 0.100286825927 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 2/42 #783532 36241L4R4 8249.51120000 PA USD 7639.56000000 0.000208982857 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045 38380T6K7 261825.01140000 PA USD 235210.63000000 0.006434269715 Long ABS-CBDO USGA US N 2 2045-11-16 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 07/01/2042 #AB5652 31417CH65 6621.74290000 PA USD 5914.12000000 0.000161782837 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 3.224% 4/41#1B8179 3128UGPP6 6659.17990000 PA USD 6704.57000000 0.000183405876 Long ABS-MBS USGSE US N 2 2041-04-01 Variable 0.05255000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 01/01/2044#V80950 3132L6BT7 13305.61540000 PA USD 12599.56000000 0.000344665406 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 01/01/2049#CA2963 3140QAJH4 5773.21550000 PA USD 5561.12000000 0.000152126398 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 3/41 #AH6233 3138A74T2 7217.72210000 PA USD 6849.10000000 0.000187359545 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 08/01/2045#AZ7222 3140E0AY1 33003.72320000 PA USD 31099.45000000 0.000850736419 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 6/40 #733726 3620AMD74 89734.41440000 PA USD 89201.00000000 0.002440124805 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2011-67 AI IO 4% 7/26 31397U4B2 14100.19980000 PA USD 309.21000000 0.000008458548 Long ABS-CBDO USGSE US N 2 2026-07-25 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 02/01/2042#FS1810 3140XHAL1 1670306.23800000 PA USD 1440202.18000000 0.039397238426 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 02/01/2035# 3140XC4X3 403866.38100000 PA USD 382632.30000000 0.010467041476 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 01/15/2043#AD2150 36180DL70 24821.74380000 PA USD 22952.81000000 0.000627882210 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 9/42 #AA5658 36178DJB8 4758.51760000 PA USD 4396.13000000 0.000120257686 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 11/39 #722701 3620A83J0 5230.51470000 PA USD 5085.03000000 0.000139102788 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 9/35 #A37119 31297S4C6 5419.18200000 PA USD 5394.10000000 0.000147557507 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 8/32 #582029 36201FSS7 94.22630000 PA USD 96.40000000 0.000002637055 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046 38379WN73 95943.35060000 PA USD 87065.81000000 0.002381715930 Long ABS-CBDO USGA US N 2 2046-02-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 07/51#QC4163 3133ANTU8 97005.09240000 PA USD 78038.99000000 0.002134784086 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 6/28 #460857 36208T5S5 93.31000000 PA USD 94.59000000 0.000002587542 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.869% 5/36 #995608 31416CAH9 26700.61950000 PA USD 27019.51000000 0.000739128222 Long ABS-MBS USGSE US N 2 2036-05-01 Variable 0.05467000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 01/01/2053#BT8034 3140LW4U8 495051.42300000 PA USD 469554.20000000 0.012844820698 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 05/01/2045#Q33623 3132QQAZ5 5275.38440000 PA USD 4823.10000000 0.000131937601 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5.0% 07/01/2041#Q02067 3132GFJL2 5004.68170000 PA USD 5007.50000000 0.000136981928 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 06/01/2043#Q19744 3132JBHW6 12064.20230000 PA USD 11445.92000000 0.000313107177 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 03/01/2033#BK4845 3140HJL33 52002.83690000 PA USD 48890.38000000 0.001337413582 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.875% 01/15/2026 91282CGE5 17280000.00000000 PA USD 16953300.00000000 0.463763498971 Long DBT UST US N 2 2026-01-15 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.50% 7/32 #G01433 31283HSW6 80.74990000 PA USD 83.20000000 0.000002275965 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 4/32 #643105 31390DNW0 86.68400000 PA USD 90.60000000 0.000002478394 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG 2012-14 CLASS JS SOFR30A+653.552 12/25/2030 3136A4WY1 2395.62580000 PA USD 3.76000000 0.000000102856 Long ABS-CBDO USGSE US N 2 2030-12-25 Variable 0.01247940 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 8/40 #719262 3620A5B73 6330.96550000 PA USD 6295.84000000 0.000172224923 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 12/01/2032# 31283HUA1 219.38860000 PA USD 223.21000000 0.000006105988 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3123 LO 0% 3/36 31396JPR0 12024.70540000 PA USD 9603.80000000 0.000262715335 Long ABS-CBDO USGSE US N 2 2036-03-15 Fixed 0.00000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.75% 05/31/2030 91282CHF1 55440000.00000000 PA USD 53943552.99000000 1.475644911703 Long DBT UST US N 2 2030-05-31 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/31 #597037 31387XHN8 44.96330000 PA USD 46.26000000 0.000001265458 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 06/01/2051# 3133AMTD8 2383733.04000000 PA USD 2139509.82000000 0.058527045484 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 03/01/2035#CA5428 3140QDA61 1567417.80720000 PA USD 1423081.82000000 0.038928904942 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 3/40 #711495 36297GNL0 84544.38610000 PA USD 80425.72000000 0.002200073927 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A FHR 2056 Z 6% 5/28 3133TDZM1 4675.40510000 PA USD 4719.88000000 0.000129113981 Long ABS-CBDO USGSE US N 2 2028-05-15 Fixed 0.06000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A FHR 1686 FA SOFR30A+101.448 2/24 3133T4DV5 28.58950000 PA USD 28.59000000 0.000000782089 Long ABS-CBDO USGSE US N 2 2024-02-15 Variable 0.06202990 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 03/01/2052#CB3036 3140QNLS9 584656.10350000 PA USD 469615.31000000 0.012846492384 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2.5% 09/20/2051#MA7589 36179WNE4 15067999.57000000 PA USD 12832752.24000000 0.351044462155 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 11/01/2039#MA3831 31418DHH8 61830.69880000 PA USD 55915.78000000 0.001529595876 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/44#Q28370 3132M86F8 12822.21140000 PA USD 12133.80000000 0.000331924377 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 10/39 #717997 3620A3UW2 2716.94290000 PA USD 2701.60000000 0.000073903220 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 11/29 #527286 31384LXP4 212.72240000 PA USD 218.83000000 0.000005986171 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2005-81 PC 5.5% 9/35 31394FCS2 10603.38260000 PA USD 10698.47000000 0.000292660418 Long ABS-CBDO USGSE US N 2 2035-09-25 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.5% 06/01/2053#CB6636 3140QSLS8 4894951.44600000 PA USD 4870365.08000000 0.133230553978 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 06/20/2046#AU2287 36194PRG1 6094.40200000 PA USD 5594.02000000 0.000153026389 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 02/01/2031#FS1234 3140XGLQ0 1083671.82900000 PA USD 1029250.05000000 0.028155498015 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 6/28 #447984 36208DUH6 100.34230000 PA USD 101.72000000 0.000002782586 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 2/35 #A47133 3128K74S4 2904.62560000 PA USD 2881.67000000 0.000078829098 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 6/40 #743475 3620AX6L7 2201.92820000 PA USD 2189.54000000 0.000059895638 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 05/01/2041#CB0471 3140QKQZ4 1778700.38400000 PA USD 1542001.43000000 0.042181992803 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 12/01/2046#BD9690 3140FHXU6 52979.21940000 PA USD 48209.38000000 0.001318784587 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 05/50#FM3269 3140X6T35 201613.71100000 PA USD 176152.28000000 0.004818707727 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 8/32 #659161 31390XJE1 1645.08630000 PA USD 1720.29000000 0.000047059139 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 03/01/2041#CA9362 3140QHML6 2061023.15100000 PA USD 1786754.35000000 0.048877295226 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2002-39 FD SOFR30A+111.448 3/32 31392DPW6 936.38930000 PA USD 938.20000000 0.000025664791 Long ABS-CBDO USGSE US N 2 2032-03-18 Variable 0.06344490 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 2/28 #458387 36208RF41 45.07890000 PA USD 45.67000000 0.000001249318 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2011-H21 FA TSFR1M+71.448 10/61 38375BNE8 1490188.32210000 PA USD 1485017.67000000 0.040623181957 Long ABS-CBDO USGA US N 2 2061-10-20 Variable 0.05855260 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 11/01/2036#AS8355 3138WJH92 126093.56580000 PA USD 115883.05000000 0.003170021691 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 01/42#G60517 31335ASE9 146706.98480000 PA USD 142814.23000000 0.003906733615 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 10/01/2031#G15963 3128MEZ46 71698.35380000 PA USD 66716.90000000 0.001825064322 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 4.75% 02/15/2037 912810PT9 55003200.00000000 PA USD 58728807.65000000 1.606547240134 Long DBT UST US N 2 2037-02-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 7/35 #745092 31403CXV8 13853.69120000 PA USD 14298.20000000 0.000391132302 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 12/01/2051#QD3433 3133B0Y64 1379933.60140000 PA USD 1108408.76000000 0.030320912437 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 05/20/2046#AR3062 36192XMK2 7629.02350000 PA USD 7002.64000000 0.000191559686 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 8/36 #888544 31410GER0 102560.65380000 PA USD 105643.35000000 0.002889911087 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 06/01/2047#BE3663 3140FPB99 227696.64460000 PA USD 219971.79000000 0.006017405874 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 12/40 #746823 3620C2VQ4 2506.92260000 PA USD 2388.19000000 0.000065329779 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 02/01/2052#RA6913 3133KNVE0 512229.53300000 PA USD 408718.65000000 0.011180642778 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 4.24% 6/33 #847147 3128HD5G0 6805.90020000 PA USD 6832.17000000 0.000186896419 Long ABS-MBS USGSE US N 2 2033-06-01 Variable 0.05196000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 2/41 #A96695 312945NL8 4890.55400000 PA USD 4759.74000000 0.000130204365 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 2/28 #416823 31379EAY3 40.67140000 PA USD 41.84000000 0.000001144547 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA SOFR30A+652.552 12/25/2036 31396LZK9 8536.42390000 PA USD 754.67000000 0.000020644263 Long ABS-CBDO USGSE US N 2 2036-12-25 Variable 0.01237940 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 11/01/2041# 3132GK4R4 4443.78190000 PA USD 4231.51000000 0.000115754448 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 11/01/2051#RA6241 3133KM5A9 14823601.22050000 PA USD 11911443.98000000 0.325841749863 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 04/15/2045#AK8698 36183SUX7 18268.30390000 PA USD 16411.91000000 0.000448953584 Long ABS-MBS USGA US N 2 2045-04-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 4/40 #A91937 312940EJ4 15711.13690000 PA USD 15712.89000000 0.000429831646 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 04/01/2052#QE2312 3133BBR92 418626.21500000 PA USD 333507.32000000 0.009123210328 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2.5% 10/01/2041#RB5132 3133KYVZ9 1553336.48100000 PA USD 1336919.27000000 0.036571898007 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 11/01/2051#CB2048 3140QMH23 1692810.60200000 PA USD 1413054.01000000 0.038654590664 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 8/31 #565049 36213UWJ5 214.97310000 PA USD 220.52000000 0.000006032402 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.75% 02/15/2024 912828B66 28749000.00000000 PA USD 28403113.59000000 0.776977186752 Long DBT UST US N 2 2024-02-15 Fixed 0.02750000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2121 MG 6% 2/29 3133TJA60 2543.71440000 PA USD 2554.21000000 0.000069871315 Long ABS-CBDO USGSE US N 2 2029-02-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 6% 01/01/2035#787546 31405E5F8 208012.12150000 PA USD 212915.94000000 0.005824390609 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 0.0% 07/01/2041#AI6050 3138AKWL9 20429.88760000 PA USD 20710.28000000 0.000566537011 Long ABS-MBS USGSE US N 2 2041-07-01 Variable 0.06050000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 9/26 #358466 31376LFF6 44.27060000 PA USD 44.87000000 0.000001227434 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 06/01/2050#RA2677 3133KH6N1 1419885.26710000 PA USD 1144936.41000000 0.031320139182 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 10/01/2042#Q11868 3132HNCD9 3100.94010000 PA USD 2954.39000000 0.000080818380 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 09/01/2051#CB1549 3140QLWK8 4199642.59460000 PA USD 3513477.27000000 0.096112409518 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2424 FM SOFR30A+111.448 3/32 31339WJT4 489.44970000 PA USD 490.09000000 0.000013406584 Long ABS-CBDO USGSE US N 2 2032-03-15 Variable 0.06302990 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.0% 06/20/2045#MA2893 36179RGA1 188390.03520000 PA USD 179474.21000000 0.004909580294 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2423 FA SOFR30A+101.448 3/32 31339WBA3 568.20570000 PA USD 567.38000000 0.000015520879 Long ABS-CBDO USGSE US N 2 2032-03-15 Variable 0.06202990 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 5.50% 12/23 #995460 31416BZZ4 1.09250000 PA USD 1.09000000 0.000000029817 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 11/40 #AE6775 31419HQ54 35746.53600000 PA USD 33948.21000000 0.000928665254 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3% 07/31/2024 91282CFA4 37100000.00000000 PA USD 36300031.25000000 0.993000153673 Long DBT UST US N 2 2024-07-31 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 10/01/2052#SD1733 3132DN4S9 5073720.61400000 PA USD 4954394.82000000 0.135529217144 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.875% 12/31/2027 91282CGC9 7700000.00000000 PA USD 7557436.04000000 0.206736327509 Long DBT UST US N 2 2027-12-31 Fixed 0.03875000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2.26% 01/25/2029 3137H5YC5 6287000.00000000 PA USD 5533142.80000000 0.151361072194 Long ABS-MBS USGSE US N 2 2029-01-25 Fixed 0.02260000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 8/29 #477009 36209N3S9 73.92190000 PA USD 74.97000000 0.000002050830 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 12/41 #741817 3620AWDW7 11044.53340000 PA USD 10236.64000000 0.000280026896 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/25 #250345 31371FBN1 12.24160000 PA USD 12.59000000 0.000000344403 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 8/39 #724220 3620AASH2 32004.53390000 PA USD 31104.37000000 0.000850871008 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 06/01/2045#Q34164 3132QQTW2 247750.92640000 PA USD 226510.22000000 0.006196266932 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 11/01/2041#FM9585 3140XDUK0 746307.27800000 PA USD 643028.35000000 0.017590267236 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 04/01/2046#Q40046 3132WDBQ6 97435.43170000 PA USD 88960.10000000 0.002433534901 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 03/01/2045#Q31974 3132QNFQ7 22679.27920000 PA USD 20749.07000000 0.000567598125 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 0.0% 09/01/2041#AI9813 3138AP3X4 16921.19720000 PA USD 17307.97000000 0.000473465621 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.04068000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 9/39 #710849 36297FWJ7 24981.89090000 PA USD 24807.76000000 0.000678625021 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 11/01/2040#A94862 312943MK6 2941.18870000 PA USD 2862.97000000 0.000078317553 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 02/01/2052# 31418EBU3 34065783.20500000 PA USD 30479262.60000000 0.833770974939 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 3/36 #AH8017 3138A94B7 3252.00880000 PA USD 3099.83000000 0.000084796942 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 01/01/2052#BV1314 3140MEN85 66436.13880000 PA USD 57303.82000000 0.001567566200 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 1/28 #462883 36208WFY4 114.11270000 PA USD 115.51000000 0.000003159816 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.25% 09/30/2025 91282CAM3 870000.00000000 PA USD 792651.56000000 0.021683262900 Long DBT UST US N 2 2025-09-30 Fixed 0.00250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 5/34 #A23334 31297AV35 953.96130000 PA USD 947.06000000 0.000025907160 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 05/20/2046#AS6968 36193SW54 14898.81750000 PA USD 13675.54000000 0.000374099218 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 9/35 #255844 31371MER4 10612.11170000 PA USD 10874.52000000 0.000297476328 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 1/28 #405455 31378QMC2 2688.36400000 PA USD 2755.19000000 0.000075369193 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 01/01/2043#AR1812 3138NYAN5 10725.22050000 PA USD 9607.44000000 0.000262814908 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 5/42 #766751 36176HTG9 6997.82420000 PA USD 6481.51000000 0.000177303991 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 05/01/2046#V82275 3132L7Q44 339017.18610000 PA USD 299669.12000000 0.008197554436 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 6.5% 3/31 #003053 36202DMA6 274.41870000 PA USD 279.85000000 0.000007655395 Long ABS-MBS USGA US N 2 2031-03-20 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 09/01/2052#SD1572 3132DNW90 472317.04800000 PA USD 461208.91000000 0.012616532348 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2135 JE 6% 3/29 3133TJWJ8 957.38840000 PA USD 971.12000000 0.000026565330 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 10/39 #710924 36297FYV8 3384.74950000 PA USD 3363.56000000 0.000092011369 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 04/01/2047#AS9417 3138WKPB5 12821.08750000 PA USD 12374.70000000 0.000338514281 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 06/01/2031#J34501 31307RAA3 47693.41590000 PA USD 44424.77000000 0.001215255246 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 10/40 #AA4740 31416NHS4 4298.53470000 PA USD 4078.15000000 0.000111559231 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 10/01/2043#Q22499 3132JPX49 26793.28760000 PA USD 25405.02000000 0.000694963279 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.0% 03/01/2045#AY1124 3138YEHA8 10497.29230000 PA USD 9901.45000000 0.000270857655 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 4% 08/01/2038#K94337 3132LQV61 74819.32960000 PA USD 71737.49000000 0.001962404332 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 0.04000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.5% 02/15/2045 912810RK6 141860700.00000000 PA USD 104173410.48000000 2.849700373613 Long DBT UST US N 2 2045-02-15 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 1/32 #624486 31389FXP2 227.77350000 PA USD 235.99000000 0.000006455589 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 08/15/2042#AB2238 36178MPX3 1420.61710000 PA USD 1312.83000000 0.000035912927 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 02/01/2048#V83994 3132L9NK7 50260.38680000 PA USD 47137.88000000 0.001289473327 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 04/01/2050#RA2457 3133KHWS1 384101.18680000 PA USD 335353.68000000 0.009173718156 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 11/01/2051#CB2166 3140QMMQ4 5838242.28600000 PA USD 5068101.06000000 0.138639691430 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 06/01/2050#SD7518 3132DVK79 184296.95220000 PA USD 161195.20000000 0.004409551530 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 06/01/2041#AL7018 3138EPYQ1 60199.38480000 PA USD 58574.34000000 0.001602321723 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.00% 12/27 #436017 36207MK62 35.82210000 PA USD 36.56000000 0.000001000111 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2015-70 JC 3% 10/45 3136AQCV0 144532.62760000 PA USD 134726.88000000 0.003685501305 Long ABS-CBDO USGSE US N 2 2045-10-25 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.50% 11/41 #005232 36202FY59 139581.58880000 PA USD 129660.88000000 0.003546919088 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 8/39 #698480 36296Q6R5 1069.88890000 PA USD 1039.90000000 0.000028446831 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047 3137H3SE3 1138464.69200000 PA USD 973430.23000000 0.026628527158 Long ABS-CBDO USGSE US N 2 2047-11-25 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028 3137B6MF5 9543.10320000 PA USD 122.38000000 0.000003347748 Long ABS-CBDO USGSE US N 2 2028-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 04/01/2041#CB0116 3140QKDW5 484285.55300000 PA USD 407306.38000000 0.011142009634 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 09/01/2042#AO7372 3138LYFN2 5814.92790000 PA USD 5352.30000000 0.000146414053 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 2/42 #AK1110 3138E5GU6 7287.20320000 PA USD 6899.84000000 0.000188747555 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 9/28 #484261 36209W5W8 124.06330000 PA USD 127.34000000 0.000003483430 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.0% 07/01/2045#Q34979 3132QRQ94 8551.54440000 PA USD 7604.44000000 0.000208022137 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 12/40#V82128 3132L7LH0 30484.16690000 PA USD 27851.58000000 0.000761889790 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 02/01/2052#CB2890 3140QNF80 96797.45660000 PA USD 83491.67000000 0.002283944070 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5.5% 05/01/2053#SD2891 3132DQF84 6253060.85200000 PA USD 6207974.41000000 0.169821328821 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 06/01/2046#BC1130 3140EVHG5 189286.38210000 PA USD 178128.18000000 0.004872759169 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 8/40 #004771 36202FJQ0 1223.40940000 PA USD 1198.13000000 0.000032775268 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 8.5% 08/01/2027# 31283G6U6 18.10260000 PA USD 18.45000000 0.000000504706 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 2/39 #782562 36241KZ35 749.16510000 PA USD 744.12000000 0.000020355664 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 06/01/2041# 3132GEQJ2 2598.93400000 PA USD 2529.15000000 0.000069185789 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 07/01/46#BC1443 3140EVS99 179614.84770000 PA USD 169475.81000000 0.004636070537 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 05/01/2048#Q55992 3132XYUS4 306218.59000000 PA USD 287959.82000000 0.007877242406 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.344% 7/35 #834917 31407MSE6 9198.88400000 PA USD 9304.89000000 0.000254538546 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.07103000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNR 1994-42 FK 1MT10Y-50 4/24 31359HYF5 1781.72180000 PA USD 1772.71000000 0.000048493107 Long ABS-CBDO USGSE US N 2 2024-04-25 Variable 0.03310000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 08/01/2041#CB1343 3140QLP59 1252956.34800000 PA USD 1078389.33000000 0.029499720345 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 9/41 #AJ0165 3138ARFF6 5789.62490000 PA USD 5487.02000000 0.000150099366 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061 38375BWC2 17638.97300000 PA USD 17378.39000000 0.000475391985 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.04871050 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 04/01/2033# 31283HWZ4 1373.34680000 PA USD 1394.35000000 0.000038142935 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.5% 11/01/2052#CB5139 3140QQV93 3145265.93200000 PA USD 3110792.87000000 0.085096835776 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 08/01/2045#AZ4663 3138YWFD4 21349.22510000 PA USD 20117.40000000 0.000550318570 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A FHMS K044 A2 2.811% 01/25/25 3137BHCY1 7923738.07800000 PA USD 7643209.22000000 0.209082683090 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 0.02811000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 7/40 #719217 3620A5AS8 5491.63250000 PA USD 5458.99000000 0.000149332596 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 07/01/2032# 31288AFU4 900.67220000 PA USD 912.12000000 0.000024951364 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 07/01/2043#Q19988 3132JBRJ4 11395.29750000 PA USD 10784.98000000 0.000295026930 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 7/32 #593188 36201T6Z5 99.35730000 PA USD 102.48000000 0.000002803376 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2.5% 12/01/2051#RA6434 3133KNEF6 1289425.06220000 PA USD 1075929.67000000 0.029432435479 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 3/41 #A97661 312946QN9 22909.57050000 PA USD 22300.98000000 0.000610051170 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 1/41 #004922 36202FPF7 2205.47890000 PA USD 2105.95000000 0.000057609004 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 4.50% 6/25 #G18356 3128MMME0 214.71960000 PA USD 212.21000000 0.000005805079 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2003-118 S SOFR30A+798.552 12/33 31393UNH2 18449.43190000 PA USD 2484.21000000 0.000067956440 Long ABS-CBDO USGSE US N 2 2033-12-25 Variable 0.02697940 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 07/01/2040# 312941SD0 3932.60830000 PA USD 3828.76000000 0.000104737079 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 02/50#RA2141 3133KHLW4 34875.19840000 PA USD 32497.84000000 0.000888989871 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.80% 7/34 #849923 31408FG86 2559.78790000 PA USD 2597.42000000 0.000071053339 Long ABS-MBS USGSE US N 2 2034-07-01 Variable 0.05330000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 11/01/2052#SD1862 3132DPB72 3613274.88400000 PA USD 3540717.07000000 0.096857563851 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 11/25 #415760 36206MZZ3 11.18100000 PA USD 11.18000000 0.000000305832 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 8/29 #511373 31383SCJ7 130.49170000 PA USD 134.28000000 0.000003673276 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.0% 03/01/2045#AY9025 3138YPA36 15822.90930000 PA USD 14924.78000000 0.000408272619 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3121 KO 0 3/36 31396JG74 3747.81160000 PA USD 3056.11000000 0.000083600966 Long ABS-CBDO USGSE US N 2 2036-03-15 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 3/42 #AK1385 3138E5RF7 5797.18840000 PA USD 5494.67000000 0.000150308635 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2015-H13 HA 2.5% 08/64 38376RCQ7 2523.81870000 PA USD 2348.11000000 0.000064233376 Long ABS-CBDO USGA US N 2 2064-08-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 1/28 #413578 31379AM36 55.71060000 PA USD 56.98000000 0.000001558707 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2016-26 CG 3% 05/46 3136AR5M6 4750762.01140000 PA USD 4425826.52000000 0.121070044932 Long ABS-CBDO USGSE US N 2 2046-05-25 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.75% 08/15/2032 91282CFF3 5691000.00000000 PA USD 5108339.43000000 0.139740426229 Long DBT UST US N 2 2032-08-15 Fixed 0.02750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 12/01/2038#AB8124 31417FA24 3237.66920000 PA USD 3152.53000000 0.000086238569 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 9/41 #772063 36176PQQ2 17868.71960000 PA USD 16968.90000000 0.000464190242 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 4.5% 09/01/2042#MA4766 31418EJL5 7855420.44500000 PA USD 7554549.20000000 0.206657356983 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 06/01/2045#Q34467 3132QQ6D9 15595.84570000 PA USD 14724.40000000 0.000402791153 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 8/39 #704665 36296XZ64 4346.71580000 PA USD 4318.13000000 0.000118123968 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 1.5% 02/01/2051#MA4254 31418DWQ1 13289274.84200000 PA USD 10043120.95000000 0.274733114636 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 8.5% 08/01/2026# 31292GQ41 19.27240000 PA USD 19.64000000 0.000000537259 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.0% 06/01/2039#AL7550 3138EQL83 71675.23030000 PA USD 71076.19000000 0.001944314237 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 7/28 #475895 36209MUU6 215.71750000 PA USD 221.30000000 0.000006053739 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 3.151% 11/25/2025 3137BMTX4 13881112.00000000 PA USD 13296996.20000000 0.363744019366 Long ABS-MBS USGSE US N 2 2025-11-25 Fixed 0.03151000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 11/41 #AB3872 31417AJS9 95012.40320000 PA USD 90098.18000000 0.002464667481 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 06/01/2047#BH3647 3140GSBR2 2509.36650000 PA USD 2425.02000000 0.000066337277 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 7/32 #648070 31390J6F3 127.00570000 PA USD 132.87000000 0.000003634705 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2010-H010 FA TSFR1M+44.448 5/60 38375BBV3 56967.49070000 PA USD 56551.61000000 0.001546989230 Long ABS-CBDO USGA US N 2 2060-05-20 Variable 0.05760000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 04/01/2049#BN6036 3140JNV64 48750.45610000 PA USD 45541.52000000 0.001245804336 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 4% 04/20/2048#BG3507 3617GM3Q3 17116.49130000 PA USD 16044.33000000 0.000438898304 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/26 #313264 31374F5Z8 7.17050000 PA USD 7.38000000 0.000000201882 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 5/32 #552576 36213E2H8 191.16520000 PA USD 196.17000000 0.000005366299 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 3/41 #783267 36241LTY2 43428.43030000 PA USD 41295.17000000 0.001129643935 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 1/31 #781247 36225BL48 32.63930000 PA USD 33.77000000 0.000000923790 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 10/01/2031#AS8226 3138WJD88 1717207.76740000 PA USD 1592835.73000000 0.043572583003 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 12/26 #323242 31374TBK4 27.49650000 PA USD 28.29000000 0.000000773882 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 21-59 H 2% 06/25/2048 3136BGB34 1235478.41700000 PA USD 1007145.08000000 0.027550808767 Long ABS-CBDO USGSE US N 2 2048-06-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 10/24 #255532 31371LY52 126.38320000 PA USD 125.97000000 0.000003445953 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.0% 06/01/2035#310165 31374CQS8 34090.05290000 PA USD 33831.92000000 0.000925484100 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3.5% 05/38#MA3360 31418CWW0 19847.87740000 PA USD 18569.53000000 0.000507976040 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 6/40 #745138 3620C0ZB7 7840.87520000 PA USD 7622.06000000 0.000208504138 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 6.03% 1/37 #1A1202 3128NFKP1 4736.81020000 PA USD 4741.18000000 0.000129696650 Long ABS-MBS USGSE US N 2 2037-01-01 Variable 0.04165000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.12% 7/35 #1L0109 3128Q2DN0 215058.06380000 PA USD 217898.87000000 0.005960700416 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.06046000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 08/01/2033#CA2266 3140Q9QU0 14653.89440000 PA USD 13469.34000000 0.000368458544 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 05/20/2046#AT2645 36194A5E3 5170.42290000 PA USD 4738.15000000 0.000129613763 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 02/01/2035#FM2518 3140X5YQ0 150090.41690000 PA USD 136269.31000000 0.003727695021 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 12/41 #552552 36213EZR0 4886.62600000 PA USD 4640.11000000 0.000126931845 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 04/46#G60551 31335ATG3 409875.00320000 PA USD 386972.58000000 0.010585771366 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 8/36 #A51069 3128KDFJ9 265.83800000 PA USD 264.61000000 0.000007238499 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 07/01/2045#AZ4344 3138YVZJ1 15952.34210000 PA USD 15031.91000000 0.000411203198 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 08/01/2040#V81886 3132L7CX5 48016.87410000 PA USD 43900.19000000 0.001200905175 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 02/01/2035#QN1578 3133G7XF5 251935.63500000 PA USD 228736.09000000 0.006257156390 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5.0% 06/01/2041#Q01604 3132GEX96 3950.52480000 PA USD 3952.80000000 0.000108130237 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 5.0% 12/25/2023 31393UQG1 894.18970000 PA USD 890.72000000 0.000024365959 Long ABS-CBDO USGSE US N 2 2023-12-25 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984 3617M76V5 9492.34130000 PA USD 8618.04000000 0.000235749522 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2412 FK SOFR30A+91.448 1/32 31339DTC2 380.00580000 PA USD 378.34000000 0.000010349624 Long ABS-CBDO USGSE US N 2 2032-01-15 Variable 0.06102990 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT CSTR 08/25/2025 3137BLW95 12319059.00000000 PA USD 11871587.66000000 0.324751466177 Long ABS-MBS USGSE US N 2 2025-08-25 Variable 0.03334000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 4.50% 6/24 #AA6863 31416QTV7 147.63550000 PA USD 146.53000000 0.000004008379 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 12/01/2034#FM0046 3140X3BQ0 296359.78670000 PA USD 275658.58000000 0.007540737648 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 06/45#AZ3341 3138YUWB3 29384.75060000 PA USD 27689.29000000 0.000757450290 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3244 SG SOFR30A+654.552 11/36 31397CDA4 26691.36120000 PA USD 2234.73000000 0.000061131827 Long ABS-CBDO USGSE US N 2 2036-11-15 Variable 0.01357010 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 3/41 #004977 36202FQ66 20143.22310000 PA USD 19233.57000000 0.000526141088 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 12/01/2045#AS6352 3138WGBW3 37832.40760000 PA USD 35602.23000000 0.000973911554 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 8/41 #Q02763 3132GGB87 3240.22100000 PA USD 3154.26000000 0.000086285894 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 9/39 #A88585 312935RE1 15743.67090000 PA USD 15319.32000000 0.000419065399 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 3.283 6/1/41 3128UGXF9 16677.86310000 PA USD 16884.77000000 0.000461888836 Long ABS-MBS USGSE US N 2 2041-06-01 Variable 0.06160000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 11/51#MA4468 31418D6E7 1224691.68700000 PA USD 1098451.57000000 0.030048529994 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 11/27 #404971 31378P2C6 16.63780000 PA USD 17.03000000 0.000000465861 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 8/41 #005139 36202FV86 2257.15450000 PA USD 2153.65000000 0.000058913855 Long ABS-MBS USGA US N 2 2041-08-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 04/01/2041# 3132GDGH9 7971.69470000 PA USD 7759.64000000 0.000212267688 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 05/01/2045#Q33769 3132QQFK3 39182.33300000 PA USD 37999.48000000 0.001039489173 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 6/30 #546336 31385J4V7 32.14320000 PA USD 33.07000000 0.000000904641 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 4% 04/20/2048#BG7744 3617GSS91 16804.15770000 PA USD 15751.56000000 0.000430889477 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2526 FC SOFR30A+51.448 11/32 31393FGG5 6426.89910000 PA USD 6366.06000000 0.000174145815 Long ABS-CBDO USGSE US N 2 2032-11-15 Variable 0.05702990 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 11/01/2052#CB5128 3140QQVW2 6293330.96100000 PA USD 6159088.55000000 0.168484038884 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 6.679% 02/01/2039#AL8741 3138ETWB8 27443.34760000 PA USD 27806.61000000 0.000760659620 Long ABS-MBS USGSE US N 2 2039-02-01 Variable 0.06688000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 01/01/2042#AJ7531 3138E0LM9 19714.54850000 PA USD 18141.52000000 0.000496267676 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 02/01/2049#MA3593 31418C7F5 15619.87950000 PA USD 15011.86000000 0.000410654723 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 8/42 #AO9892 3138M17E2 19905.40960000 PA USD 18311.40000000 0.000500914803 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/41 #738885 3620AS2S7 11508.39220000 PA USD 10935.25000000 0.000299137619 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 1999-17 PG 6% 4/29 31359VSD6 4965.32900000 PA USD 4968.07000000 0.000135903306 Long ABS-CBDO USGSE US N 2 2029-04-25 Fixed 0.06000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 4.889% 3/33 #847126 3128HD4K2 1439.96570000 PA USD 1451.10000000 0.000039695352 Long ABS-MBS USGSE US N 2 2033-03-01 Variable 0.04158000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 07/01/2033#ZS8703 3132A9U47 138993.64400000 PA USD 127497.45000000 0.003487737698 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 9/41 #Q03090 3132GJC31 35938.51480000 PA USD 34985.76000000 0.000957047800 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 11/01/2036#MA2804 31418CDJ0 21329.91920000 PA USD 19602.71000000 0.000536239043 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.44% 2/37 #888171 31410FW84 23615.91250000 PA USD 23844.15000000 0.000652265130 Long ABS-MBS USGSE US N 2 2037-02-01 Variable 0.03995000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/2043#Q21845 3132JPBN1 13035.58150000 PA USD 12360.15000000 0.000338116261 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 3/29 #323688 31374TRH4 112.48440000 PA USD 114.34000000 0.000003127811 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 06/01/2051#FM7507 3140XBKV1 3103669.84250000 PA USD 2602391.16000000 0.071189327744 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 8/25 #250329 31371FA69 2.08610000 PA USD 2.15000000 0.000000058814 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM 30YR 6% 07/01/2053#RA9383 3133KRM84 3129285.25500000 PA USD 3170014.15000000 0.086716854771 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 3/26 #339830 31375NPP0 359.54820000 PA USD 361.96000000 0.000009901543 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2% 09/01/2053 #TBA 21H020691 107500000.00000000 PA USD 88687543.00000000 2.426079008620 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 12/01/2041#AJ7242 3138E0BL2 30626.64840000 PA USD 29774.26000000 0.000814485380 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 07/01/2047#Q49393 3132WPNK9 79274.22380000 PA USD 76682.88000000 0.002097687219 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 9/41 #783501 36241L3J3 66678.03450000 PA USD 66255.28000000 0.001812436544 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 12/01/2032#J38057 31307U5S3 11817.07810000 PA USD 11124.64000000 0.000304318449 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 8/35 #830779 31407G6Q6 566.59560000 PA USD 591.60000000 0.000016183426 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 05/47#BM1277 3140J5M30 190601.42360000 PA USD 179246.57000000 0.004903353121 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 02/01/2048#Q54192 3132XWUS8 13799.53350000 PA USD 12981.03000000 0.000355100652 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 03/01/2048#Q54900 3132XXNS4 105953.76180000 PA USD 96108.37000000 0.002629078347 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 06/20/2046#AR3124 36192XPH6 9797.98230000 PA USD 8993.51000000 0.000246020637 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 03/01/2046#BM4548 3140J9BS9 170396.65710000 PA USD 165635.45000000 0.004531016135 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 07/01/2042#AB5542 31417CEQ4 23789.98160000 PA USD 21274.19000000 0.000581962968 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03000000 N N N N N N ISRAEL, STATE OF 213800T8ZHTFZIBYPE21 ISRAEL STATE OF 5.5% 04/26/2024 46513EJX1 4828000.00000000 PA USD 4804777.32000000 0.131436377678 Long DBT NUSS IL N 2 2024-04-26 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 9/39 #710839 36297FV82 11412.14410000 PA USD 11092.00000000 0.000303425570 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2002-74 FV SOFR30A+56.448 11/32 31392FRJ8 20058.35820000 PA USD 20008.22000000 0.000547331912 Long ABS-CBDO USGSE US N 2 2032-11-25 Variable 0.05852060 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A FNS 351 12 5.5% 4/34 3136FCJB3 2044.77290000 PA USD 339.88000000 0.000009297537 Long ABS-CBDO USGSE US N 2 2034-04-25 Variable 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 5/31 #520104 36211QX97 152.59820000 PA USD 156.82000000 0.000004289866 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 3.5% 05/01/2034#C91764 3128P75Z2 72927.78330000 PA USD 69253.91000000 0.001894465125 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 02/01/2052#QD7359 3133B5E81 384746.20100000 PA USD 306516.10000000 0.008384855988 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 01/01/2048#CA0983 3140Q8CV5 6713.88540000 PA USD 6481.91000000 0.000177314933 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 12/01/2045#BC0997 3140EVDB0 8454.24100000 PA USD 7955.87000000 0.000217635628 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 01/15/2047#AX5831 36196HPQ7 12062.17050000 PA USD 11359.40000000 0.000310740392 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.875% 05/15/2049 912810SH2 4458100.00000000 PA USD 3455549.94000000 0.094527786982 Long DBT UST US N 2 2049-05-15 Fixed 0.02875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 6/28 #466842 36209BS74 27.00390000 PA USD 27.41000000 0.000000749810 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 04/01/2044#AV7161 3138XJ5X1 14551.16910000 PA USD 13761.60000000 0.000376453420 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 7/39 #692706 36296JR31 6905.21280000 PA USD 6710.55000000 0.000183569461 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3832 PE 5% 3/41 3137A7WV8 82780.98130000 PA USD 82452.85000000 0.002255526783 Long ABS-CBDO USGSE US N 2 2041-03-15 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 1% 08/15/2038 3137FFWL7 17473164.45200000 PA USD 16138242.64000000 0.441467317511 Long ABS-CBDO USGSE US N 2 2038-08-15 Fixed 0.01000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 3/28 #251570 31371GMT4 101.66330000 PA USD 104.26000000 0.000002852069 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 4/42 #C03856 31292LH99 98359.32500000 PA USD 93339.40000000 0.002553332197 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 12/01/2040#MA4204 31418DU67 17594.90000000 PA USD 14699.15000000 0.000402100430 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 10/01/2051#RA6010 3133KMVB8 4191929.57800000 PA USD 3780788.90000000 0.103424813407 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.91% 3/36 #865849 31409A5J4 62990.91050000 PA USD 63276.45000000 0.001730949600 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.03940000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 9/42 #AP5129 3138M8VX8 19682.72130000 PA USD 18080.84000000 0.000494607753 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 8/28 #464767 36208YJL4 42.33900000 PA USD 43.41000000 0.000001187495 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2% 06/01/2035#FM3591 3140X67D7 15239415.07200000 PA USD 13472218.97000000 0.368537300020 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 05/01/2045#G61807 31335CAG9 80903.71180000 PA USD 76807.99000000 0.002101109647 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 02/35#BO9279 3140K5JZ1 109665.09400000 PA USD 99566.56000000 0.002723678354 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.00% 12/23 #780657 36225AWS5 1.92300000 PA USD 1.92000000 0.000000052522 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 7/32 #545759 31385JJC3 34018.57100000 PA USD 34981.81000000 0.000956939746 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 12/01/2051#QD3432 3133B0Y56 1226339.10140000 PA USD 981970.68000000 0.026862154179 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 4/1/43 #AB8881 31417F2P2 24568.97580000 PA USD 21922.21000000 0.000599689783 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 10/01/2052#CB4893 3140QQNK7 5831787.30800000 PA USD 5692810.57000000 0.155728840339 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2947 XZ 6% 3/35 31395RA81 38442.52370000 PA USD 39148.56000000 0.001070922661 Long ABS-CBDO USGSE US N 2 2035-03-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 8/30 #567034 31386L4T6 2556.38840000 PA USD 2614.45000000 0.000071519201 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 1.5% 03/01/2051#QC0226 3133AJHB2 538378.24000000 PA USD 406364.56000000 0.011116245816 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2.5% 05/01/2041#SC0167 3132D9FG4 10629554.22000000 PA USD 9181818.50000000 0.251171882434 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 10/39 #AC0435 31417JPV6 2949.38910000 PA USD 2867.46000000 0.000078440379 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 12/01/2032#SB0030 3132CWA79 114635.98020000 PA USD 108331.61000000 0.002963449387 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3119 PO 0 2/36 31396HSG5 21061.16820000 PA USD 16651.83000000 0.000455516680 Long ABS-CBDO USGSE US N 2 2036-02-15 Fixed 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 11/01/2032#ZS8675 3132A9T80 12828.25480000 PA USD 11811.32000000 0.000323102823 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 12/01/2050#BQ8507 3140KUNZ1 47529.71200000 PA USD 41616.39000000 0.001138431021 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.65% 7/37 #942609 31413DVA2 4213.90030000 PA USD 4284.90000000 0.000117214950 Long ABS-MBS USGSE US N 2 2037-07-01 Variable 0.05771000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 9/42 #AL2537 3138EJZB7 39932.60700000 PA USD 36679.96000000 0.001003393238 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3% 10/01/2053 #TBA 21H0306A7 19750000.00000000 PA USD 17377624.08000000 0.475371033789 Long ABS-MBS USGA US N 2 2053-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 11/01/2032#BJ3109 3140H4N34 11105.70530000 PA USD 10225.33000000 0.000279717507 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.0% 07/01/2045#Q34759 3132QRJD3 22630.42450000 PA USD 20088.69000000 0.000549533197 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 05/01/2043#AT3998 3138WRNQ9 2075.74830000 PA USD 1900.11000000 0.000051978178 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2011-H17 FA TSFR1M+64.448 6/61 38375BML3 434276.63280000 PA USD 432375.11000000 0.011827773582 Long ABS-CBDO USGA US N 2 2061-06-20 Variable 0.05785260 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 10/39 #G08368 3128MJMS6 29691.84670000 PA USD 28902.47000000 0.000790637257 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 05/01/2043#Q18481 3132J92P2 15319.44220000 PA USD 14506.87000000 0.000396840543 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 10/01/2031#AS8010 3138WH3U4 52844.38380000 PA USD 49064.18000000 0.001342167943 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 6.29% 3/36 #1G1852 3128QSBV7 3055.47560000 PA USD 3055.39000000 0.000083581270 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.03824000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 2/44 #AG9361 36182EMJ9 14255.57550000 PA USD 13155.62000000 0.000359876623 Long ABS-MBS USGA US N 2 2044-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 4.5% 08/01/2039#FM1353 3140X4QF6 72040.63710000 PA USD 70384.52000000 0.001925393361 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043 3136AA4A0 312218.00860000 PA USD 280412.27000000 0.007670776514 Long ABS-CBDO USGSE US N 2 2043-01-25 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 10/29 #252805 31371HYA0 40.21530000 PA USD 41.37000000 0.000001131690 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 6.5% 11/31 #003161 36202DQN4 211.39590000 PA USD 216.24000000 0.000005915321 Long ABS-MBS USGA US N 2 2031-11-20 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 10/01/2031#MA2775 31418CCM4 13611.67450000 PA USD 12631.40000000 0.000345536400 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 8/40 #737311 3620ARDQ1 6647.63800000 PA USD 6611.82000000 0.000180868667 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.25% 05/15/2024 91282CCC3 4258000.00000000 PA USD 4105809.75000000 0.112315873356 Long DBT UST US N 2 2024-05-15 Fixed 0.00250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 5/41 #Q00753 3132GDZS4 7095.69940000 PA USD 6907.15000000 0.000188947523 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 01/01/2045#Q30829 3132QL4P5 4443.61610000 PA USD 4320.58000000 0.000118190989 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 05/15/2043#AD0745 36180BZJ3 3976.41100000 PA USD 3577.10000000 0.000097852831 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 6.50% 9/34 #574764 36200WQR5 858.09020000 PA USD 881.47000000 0.000024112922 Long ABS-MBS USGA US N 2 2034-09-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/31 #622547 31389DTC1 509.28420000 PA USD 527.67000000 0.000014434598 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2% 06/01/2035#BP5637 3140KDHP8 37791996.20400000 PA USD 33409553.18000000 0.913930106930 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 9/41 #Q03358 3132GJMF3 14703.88220000 PA USD 13957.35000000 0.000381808230 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 7/41 #AL0913 3138EHAP7 35582.07440000 PA USD 36657.92000000 0.001002790326 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.06000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2002-75 FA SOFR30A+111.448 11/32 31392FMU8 18028.25980000 PA USD 18059.65000000 0.000494028093 Long ABS-CBDO USGSE US N 2 2032-11-25 Variable 0.06402060 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 11/01/2051#RA6302 3133KNAB9 1860181.52110000 PA USD 1490672.09000000 0.040777860609 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 6/28 #251822 31371GVP2 114.43900000 PA USD 117.53000000 0.000003215074 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 07/01/2043#Q20358 3132JMMF3 7085.65730000 PA USD 6701.64000000 0.000183325725 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 07/51#BQ1010 3140KLDQ2 150523.03420000 PA USD 121046.24000000 0.003311262574 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 2/40 #737007 3620AQYC1 7727.50430000 PA USD 7509.54000000 0.000205426114 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.75% 05/31/2029 91282CES6 18900000.00000000 PA USD 17458875.00000000 0.477593681354 Long DBT UST US N 2 2029-05-31 Fixed 0.02750000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2015-H13 FL TSFR1M+39.448 05/63 38376RCN4 30652.32070000 PA USD 28560.80000000 0.000781290754 Long ABS-CBDO USGA US N 2 2063-05-20 Variable 0.04909620 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2003-21 SK SOFR30A+798.552 3/33 31392JY37 1200.67620000 PA USD 128.24000000 0.000003508050 Long ABS-CBDO USGSE US N 2 2033-03-25 Variable 0.02697940 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 05/01/2045#Q33347 3132QPWH3 9327.38630000 PA USD 8527.71000000 0.000233278513 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 6/24 #389975 36205GFQ9 10.64440000 PA USD 10.64000000 0.000000291060 Long ABS-MBS USGA US N 2 2024-06-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 8/27 #455273 36208MXA8 42.21760000 PA USD 42.91000000 0.000001173818 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 1/27 #256630 31371NA70 600.52150000 PA USD 604.95000000 0.000016548620 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 03/01/2043#AR9089 3138W7C36 38891.89240000 PA USD 34722.96000000 0.000949858813 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 05/01/2040#V81750 3132L65K3 76127.13210000 PA USD 69600.44000000 0.001903944576 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 02/01/2041# 31418DW65 18862.39200000 PA USD 15758.04000000 0.000431066740 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050 3137H4N30 7020572.50500000 PA USD 6012133.96000000 0.164464044261 Long ABS-CBDO USGSE US N 2 2050-04-25 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 4.5% 12/25/2048 3136BNB47 15071461.06000000 PA USD 14468460.95000000 0.395789850642 Long ABS-CBDO USGSE US N 2 2048-12-25 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2.5% 01/01/2042#RB5142 3133KYWB1 3136303.90900000 PA USD 2690520.33000000 0.073600132262 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 1/28 #251410 31371GGT1 62.37160000 PA USD 63.66000000 0.000001741441 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 05/01/2050#CA6009 3140QDVB7 66857.07760000 PA USD 60174.44000000 0.001646093022 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 3/28 #456151 36208NWL3 74.03060000 PA USD 74.53000000 0.000002038794 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.5% 02/28/2026 9128286F2 68418300.00000000 PA USD 64957295.98000000 1.776929734470 Long DBT UST US N 2 2026-02-28 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 3.5% 02/34#G30703 3132J4AD1 675677.26330000 PA USD 641638.74000000 0.017552253964 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 12/01/2032#BM5109 3140J9VB4 1444394.42300000 PA USD 1364495.72000000 0.037326261520 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2047#CA0324 3140Q7LE5 36421.77100000 PA USD 35174.74000000 0.000962217414 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE7376 31419JFS2 6817.49110000 PA USD 6464.82000000 0.000176847430 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 01/01/2048#BJ6169 3140H72B2 3468.99680000 PA USD 3249.33000000 0.000088886567 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 04/01/2046#Q40085 3132WDCX0 84965.66830000 PA USD 77575.01000000 0.002122091750 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 6/41 #Q01208 3132GEKV1 4907.09240000 PA USD 4775.05000000 0.000130623176 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 01/01/2052#FS0288 3140XFKA8 1922545.79240000 PA USD 1539446.63000000 0.042112105348 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6.5% 08/01/2032# 31283HS89 1155.06160000 PA USD 1189.37000000 0.000032535635 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.06500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.375% 05/15/2033 91282CHC8 14050000.00000000 PA USD 13235539.06000000 0.362062837632 Long DBT UST US N 2 2033-05-15 Fixed 0.03375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 7/40 #739706 3620ATYB7 4065.61940000 PA USD 4043.71000000 0.000110617112 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE7679 31419JQ92 18169.73630000 PA USD 17223.40000000 0.000471152179 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 12/01/2030#ZS8591 3132A9RL3 289980.78100000 PA USD 274438.30000000 0.007507356459 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 7/39 #931506 31412P3P4 7128.89790000 PA USD 6930.45000000 0.000189584903 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.898% 5/35 #995272 31416BT57 2665.34930000 PA USD 2684.83000000 0.000073444471 Long ABS-MBS USGSE US N 2 2035-05-01 Variable 0.04537000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 07/01/2047#BE8819 3140FUYR3 172849.05440000 PA USD 162497.76000000 0.004445183518 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 10/01/2033# 31296PYK2 2224.45970000 PA USD 2208.91000000 0.000060425511 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 10/40 #A94662 312943FB4 8034.95660000 PA USD 7822.34000000 0.000213982868 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TENNESSEE VALLEY AUTHORITY 5.25% 09/15/2039 880591EH1 2235000.00000000 PA USD 2297480.12000000 0.062848378738 Long DBT USGSE US N 2 2039-09-15 Fixed 0.05250000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 2017-74 SH SOFR30A+608.552 10/25/2047 3136AX5D3 596594.12250000 PA USD 62315.33000000 0.001704657823 Long ABS-CBDO USGSE US N 2 2047-10-25 Variable 0.00797940 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 5/40 #741269 3620AVQW5 1366.39250000 PA USD 1327.76000000 0.000036321342 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 1/28 #413862 31379AWX9 221.95430000 PA USD 225.46000000 0.000006167537 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2011-H05 FA TSFR1M+61.448 12/60 38375BKD3 364987.64510000 PA USD 363248.95000000 0.009936803103 Long ABS-CBDO USGA US N 2 2060-12-20 Variable 0.05755260 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.5% 06/01/2053#CB6642 3140QSLY5 1144294.67300000 PA USD 1143553.40000000 0.031282306456 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 10/01/2048#G67716 3132XCSD8 187064.27810000 PA USD 181066.38000000 0.004953134666 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2% 11/01/2036#SB0572 3132CWT53 2942640.49700000 PA USD 2593129.25000000 0.070935964931 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 11/01/2034#FS1799 3140XG7M5 589897.71200000 PA USD 558888.85000000 0.015288601547 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 6.00% 11/31 #003160 36202DQM6 1228.55880000 PA USD 1245.83000000 0.000034080118 Long ABS-MBS USGA US N 2 2031-11-20 Fixed 0.06000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2002-63 FN SOFR30A+111.448 10/32 31392ED23 1266.81490000 PA USD 1269.00000000 0.000034713942 Long ABS-CBDO USGSE US N 2 2032-10-25 Variable 0.06402060 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2008-83 FB TSFR1M+101.448 9/38 38375YFB3 427859.17710000 PA USD 427771.81000000 0.011701848688 Long ABS-CBDO USGA US N 2 2038-09-20 Variable 0.06328460 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 12/01/2051#CB2446 3140QMWG5 125923.04610000 PA USD 112943.01000000 0.003089595860 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 3.859% 11/25/2028 3137FKSH0 4017000.00000000 PA USD 3847101.39000000 0.105238814951 Long ABS-MBS USGSE US N 2 2028-11-25 Fixed 0.03859000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2010-150 ZC 4.75% 01/41 31397QAV0 151141.41120000 PA USD 147721.35000000 0.004040969613 Long ABS-CBDO USGSE US N 2 2041-01-25 Fixed 0.04750000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034 3137B9ED3 4468.32880000 PA USD 112.89000000 0.000003088145 Long ABS-CBDO USGSE US N 2 2034-03-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 05/20/2046#AT1323 36193YPG5 9708.41340000 PA USD 8911.30000000 0.000243771753 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 5/40 #004696 36202FGD2 5624.23010000 PA USD 5507.14000000 0.000150649756 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.875% 04/30/2029 91282CEM9 7778200.00000000 PA USD 7239498.90000000 0.198039044944 Long DBT UST US N 2 2029-04-30 Fixed 0.02875000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.375% 10/31/2024 91282CFQ9 35300000.00000000 PA USD 34934589.93000000 0.955648024931 Long DBT UST US N 2 2024-10-31 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 01/01/2052# 31418EAQ3 163660.22200000 PA USD 146409.26000000 0.004005076928 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.03500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM TSFR1M+60 08/20/2063 38375B5Q1 112820.93420000 PA USD 112752.26000000 0.003084377827 Long ABS-CBDO USGA US N 2 2063-08-20 Variable 0.05855260 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 12/01/2042#AB7273 31417ECK5 9308.45890000 PA USD 8312.73000000 0.000227397660 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 10/01/2045#Q37045 3132QTZK5 9134.80440000 PA USD 8607.25000000 0.000235454358 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 12/01/2042#AR0530 3138NWSU4 8265.84260000 PA USD 7375.55000000 0.000201760770 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 8/36 #AE0746 31419AZL4 82060.16510000 PA USD 84469.98000000 0.002310706085 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 08/01/2043#Q20707 3132JMYC7 11601.24120000 PA USD 11000.13000000 0.000300912434 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 09/42#AP5393 3138M87F4 14056.80390000 PA USD 12934.47000000 0.000353826987 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 07/01/2052#BV2623 3140MF4H3 476539.05200000 PA USD 451846.37000000 0.012360416765 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.125% 11/15/2032 91282CFV8 12312000.00000000 PA USD 12306228.75000000 0.336641226442 Long DBT UST US N 2 2032-11-15 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 4/41 #734392 3620AM2Z4 7157.57250000 PA USD 7119.89000000 0.000194767101 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2048#CA2631 3140Q94R1 64156.60580000 PA USD 59751.13000000 0.001634513228 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 1/40 #AD0732 31418MY63 15987.46400000 PA USD 16477.92000000 0.000450759311 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/40 #682568 36295WJM0 22130.16360000 PA USD 21049.80000000 0.000575824700 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 11/01/2042#Q13654 3132HQBX9 7343.30430000 PA USD 6952.67000000 0.000190192739 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 01/01/2032# 31287NUQ9 446.62500000 PA USD 452.72000000 0.000012384315 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 12/1/42 #AL3046 3138EKL45 46358.31910000 PA USD 41474.09000000 0.001134538355 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 11/01/2041#MA4475 31418D6M9 2103176.29000000 PA USD 1810153.15000000 0.049517377650 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033 31394KF41 19918.97820000 PA USD 19819.77000000 0.000542176796 Long ABS-CBDO USGSE US N 2 2033-10-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 07/01/2041#CB1074 3140QLFQ4 1836514.57200000 PA USD 1588104.67000000 0.043443163188 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4.0% 10/15/2040#705890 36297AF73 20910.34710000 PA USD 19887.41000000 0.000544027112 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 2/40 #678655 36295R5Q7 9670.20660000 PA USD 9397.30000000 0.000257066454 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.50% 4/32 #C01343 31292HP40 302.03870000 PA USD 311.01000000 0.000008507788 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048 3136BG6Y2 1418344.53700000 PA USD 1159995.63000000 0.031732089455 Long ABS-CBDO USGSE US N 2 2048-01-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.264% 08/01/2041#AL6552 3138EPH64 53181.80050000 PA USD 52790.83000000 0.001444111767 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.05279000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.893% 10/35 #847787 31408C2U9 5657.54770000 PA USD 5682.91000000 0.000155458006 Long ABS-MBS USGSE US N 2 2035-10-01 Variable 0.03932000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2587 AD 4.71 3/33 31393N5L9 397271.84370000 PA USD 392712.35000000 0.010742784798 Long ABS-CBDO USGSE US N 2 2033-03-15 Fixed 0.04710000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 1.5% 03/01/2041#RB5104 3133KYU56 1910813.65900000 PA USD 1539005.24000000 0.042100030969 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 09/01/2052#CB4682 3140QQFY6 1578950.28800000 PA USD 1541322.48000000 0.042163419886 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 5.5% 02/15/2035 31395MRB7 73981.63020000 PA USD 74913.47000000 0.002049284385 Long ABS-CBDO USGSE US N 2 2035-02-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 09/01/2043#AL5059 3138EMTR2 78034.45670000 PA USD 69633.34000000 0.001904844567 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 1/36 #745154 31403CZT1 850.88800000 PA USD 871.94000000 0.000023852226 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 07/01/2031#V61246 3132KFL34 72954.06680000 PA USD 67919.21000000 0.001857953936 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 0.02500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2012-H07 FA TSFR1M+74.448 3/20/62 38375BQA3 643253.77950000 PA USD 640402.04000000 0.017518423600 Long ABS-CBDO USGA US N 2 2062-03-20 Variable 0.05885260 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 5% 04/48#784805 3622AAGN8 367659.03940000 PA USD 366584.52000000 0.010028048796 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035 31394EWW4 73173.21100000 PA USD 72863.01000000 0.001993193328 Long ABS-CBDO USGSE US N 2 2035-08-25 Fixed 0.05500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2010-H18 AF TSFR1M+41.448 9/60 38375BER9 953820.30120000 PA USD 946337.10000000 0.025887385034 Long ABS-CBDO USGA US N 2 2060-09-20 Variable 0.05555260 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 11/01/2041#FS0106 3140XFDL2 5278900.04600000 PA USD 4400205.49000000 0.120369172623 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 04/15/2043#AA6309 36178EAJ8 17493.92350000 PA USD 16159.21000000 0.000442040887 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 11/39 #678648 36295R5H7 12183.38550000 PA USD 11843.22000000 0.000323975458 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 2/28 #251500 31371GKM1 13.35560000 PA USD 13.54000000 0.000000370391 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 1/28 #313947 31374GWG8 13.35550000 PA USD 13.74000000 0.000000375862 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 06/47#BH4269 3140GSW73 10511.94510000 PA USD 9882.42000000 0.000270337083 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 03/01/2048#BJ9357 3140HBMF2 30212.82390000 PA USD 28280.75000000 0.000773629887 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 01/01/2035#FM2286 3140X5RG0 542139.92280000 PA USD 504270.58000000 0.013794499513 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 7/40 #A93142 312941P35 9437.01200000 PA USD 9186.17000000 0.000251290919 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.0% 08/45#AS5634 3138WFHL3 34322.20760000 PA USD 30363.12000000 0.000830593853 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 8/39 #722204 3620A8KR3 6623.90100000 PA USD 6436.97000000 0.000176085583 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 9/31 #468613 36209DSA3 152.67210000 PA USD 157.13000000 0.000004298346 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 02/01/2033#ZS8686 3132A9UK1 42733.07860000 PA USD 40135.37000000 0.001097917197 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 3.417% 12/01/2040#848392 31300LKD6 29029.85120000 PA USD 29344.85000000 0.000802738718 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 2/32 #578193 36201BKE5 679.84080000 PA USD 689.83000000 0.000018870542 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 12/01/2051#SD8184 3132DWCV3 514307.33490000 PA USD 443891.87000000 0.012142818613 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2010-139 NI 4.5% 2/40 31398SVQ3 169108.72290000 PA USD 2335.88000000 0.000063898820 Long ABS-CBDO USGSE US N 2 2040-02-25 Fixed 0.04500000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A FNS 339 5 5.5% 8/33 3136FAZ78 4563.63140000 PA USD 728.42000000 0.000019926185 Long ABS-CBDO USGSE US N 2 2033-07-25 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.0% 8/45#AZ5626 3138YXHC2 40812.82250000 PA USD 38457.97000000 0.001052031329 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2% 08/15/2051 912810SZ2 96662000.00000000 PA USD 61369042.18000000 1.678771786608 Long DBT UST US N 2 2051-08-15 Fixed 0.02000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2357 ZB 6.5% 9/31 3133TUUS5 30048.97840000 PA USD 30439.21000000 0.000832675321 Long ABS-CBDO USGSE US N 2 2031-09-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2.5% 05/01/2051#SD7540 3132DVLV5 831653.33880000 PA USD 697851.46000000 0.019089972739 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHR 2101 PD 6% 11/28 3133TGPD5 3112.60460000 PA USD 3121.52000000 0.000085390280 Long ABS-CBDO USGSE US N 2 2028-11-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 07/01/2052#MA4656 31418EE63 433111.12800000 PA USD 411074.78000000 0.011245095545 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 2/41 #AE6390 31419HC42 101194.09140000 PA USD 96019.24000000 0.002626640165 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.0% 01/01/2043#Q15247 3132J6HZ0 12707.59770000 PA USD 11307.00000000 0.000309306971 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 12/01/2044#Q30263 3132QLJH7 7700.19620000 PA USD 7470.15000000 0.000204348587 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4% 12/15/2025 91282CGA3 23900000.00000000 PA USD 23513492.07000000 0.643219866068 Long DBT UST US N 2 2025-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 02/48#G61343 31335BP42 151736.92390000 PA USD 142594.53000000 0.003900723644 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 4/41 #Q00114 3132GDDT6 8213.49330000 PA USD 7992.97000000 0.000218650512 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 11/01/2052#FS3295 3140XJUV3 1494623.82900000 PA USD 1458071.46000000 0.039886058881 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 06/01/2041#Q01212 3132GEKZ2 2548.73180000 PA USD 2481.35000000 0.000067878204 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 12/40 #AE9416 31419LPA5 2147.68030000 PA USD 2034.07000000 0.000055642702 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE9771 31419L2D4 14395.13770000 PA USD 13645.63000000 0.000373281019 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 03/01/2046#BC2555 3140EWZV0 25056.47670000 PA USD 23548.11000000 0.000644166851 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 5.5% 09/01/2053 #TBA 01F052698 -4500000.00000000 PA USD -4445156.25000000 -0.12159881651 Short ABS-MBS USGA US N 2 2053-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 6.50% 7/27 #256821 31371NG66 5327.97890000 PA USD 5353.52000000 0.000146447427 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 3/28 #456712 36208PKZ0 1651.54670000 PA USD 1686.90000000 0.000046145744 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 6/40 #G05898 3128M73F1 10042.22170000 PA USD 10042.45000000 0.000274714760 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3% 09/01/2053 #TBA 21H030690 53750000.00000000 PA USD 47262036.38000000 1.292869669037 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.00% 11/31 #C01258 31292HMF8 604.88650000 PA USD 613.56000000 0.000016784150 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 02/01/2043#Q15107 3132J6DM3 6850.84510000 PA USD 6482.51000000 0.000177331346 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 3.5% 08/01/2034#C91782 3128P76T5 119656.47600000 PA USD 113329.41000000 0.003100165968 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.00% 12/37 #A69706 3128L1YB0 8883.35130000 PA USD 9173.96000000 0.000250956910 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 07/01/2046#AL9515 3138ERSD3 163684.18290000 PA USD 149254.24000000 0.004082902359 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.75% 06/30/2030 91282CHJ3 37950000.00000000 PA USD 36924164.06000000 1.010073526750 Long DBT UST US N 2 2030-06-30 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 4% 01/01/2039#K94441 3132LQZE0 18887.39160000 PA USD 18079.90000000 0.000494582039 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 06/01/2045#Q33724 3132QQD66 20470.29780000 PA USD 18747.28000000 0.000512838454 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2011-68 EC 3.5% 4/20/41 38377VW93 48354.48390000 PA USD 46215.70000000 0.001264246768 Long ABS-CBDO USGA US N 2 2041-04-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4.0% 07/15/2045#AN5744 36186NLZ0 10951.24090000 PA USD 10330.31000000 0.000282589272 Long ABS-MBS USGA US N 2 2045-07-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 02/01/2035#FM6733 3140XAPT3 986038.29400000 PA USD 915024.60000000 0.025030820556 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 6/40 #A92350 312940TF6 7231.70990000 PA USD 7232.33000000 0.000197842937 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/31 #604620 31388GVM0 45.65220000 PA USD 47.36000000 0.000001295549 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 4% 01/15/2041 3137ADSL2 12284952.31660000 PA USD 11657820.24000000 0.318903783032 Long ABS-CBDO USGSE US N 2 2041-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 07/01/2047#AS9990 3138WLC43 31198.74640000 PA USD 30130.55000000 0.000824231818 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 06/15/2043#AC2222 36179BPF5 4455.96030000 PA USD 4007.53000000 0.000109627396 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 3.228% 7/41#AI3469 3138AG2B3 33126.55320000 PA USD 33622.34000000 0.000919750965 Long ABS-MBS USGSE US N 2 2041-07-01 Variable 0.06050000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 6/39 #720064 3620A55Z8 7149.08400000 PA USD 6946.89000000 0.000190034625 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2% 03/01/2041#SC0136 3132D9EH3 1188242.02600000 PA USD 999366.08000000 0.027338011479 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 7.00% 9/26 #G30299 3128CUKL9 1191.80150000 PA USD 1200.68000000 0.000032845024 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 06/15/2043#AE4598 36180XDB6 5478.06360000 PA USD 5050.56000000 0.000138159849 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 11/01/2042#AQ3314 3138MJVG1 13724.69560000 PA USD 13327.69000000 0.000364583659 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 01/15/2047#AX5857 36196HQJ2 13768.17420000 PA USD 12966.01000000 0.000354689775 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 03/01/2052#CB3174 3140QNQ47 5764474.94490000 PA USD 5162622.26000000 0.141225352183 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 2/41 #AH4471 3138A56H0 5055.72790000 PA USD 4796.37000000 0.000131206392 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 01/01/2047#AL9776 3138ER2J8 536500.47830000 PA USD 488198.16000000 0.013354832797 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 01/01/2043#AR0739 3138NWZD4 13580.51480000 PA USD 12106.61000000 0.000331180585 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 9/27 #448957 36208EWS8 28.45660000 PA USD 28.96000000 0.000000792211 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 02/15/2045#777576 36176VT94 24027.28330000 PA USD 21593.18000000 0.000590689052 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 04/40#V81744 3132L65D9 36365.81250000 PA USD 33248.02000000 0.000909511309 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 10/01/2045#AL7413 3138EQGX4 16898.27010000 PA USD 15933.82000000 0.000435875264 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 11/01/2042#Q13121 3132HPPE8 24230.51500000 PA USD 22975.00000000 0.000628489225 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 7/28 #475908 36209MU93 105.68250000 PA USD 107.03000000 0.000002927843 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4.5% 09/15/2039#713871 36297KCG4 5561.47980000 PA USD 5405.46000000 0.000147868264 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 3/41 #738106 3620ASAF6 3972.24540000 PA USD 3951.44000000 0.000108093034 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 5176 AG 2% 01/25/2047 3137H4DC1 5331566.21400000 PA USD 4543718.54000000 0.124295022706 Long ABS-CBDO USGSE US N 2 2047-01-25 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 7/40 #004923 36202FPG5 22541.37360000 PA USD 22080.27000000 0.000604013571 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 07/01/2043#Q19606 3132JBDL4 9987.74810000 PA USD 9462.53000000 0.000258850844 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2.5% 07/01/2050#RA2976 3133KJJV5 1655659.01520000 PA USD 1390320.45000000 0.038032706115 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 08/01/2033#727029 31402EVW5 678.75020000 PA USD 661.26000000 0.000018089000 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 11/39 #935695 31412U7G9 4609.33230000 PA USD 4481.31000000 0.000122587815 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 08/01/2045#AZ2035 3138YTHM9 16073.56120000 PA USD 15146.14000000 0.000414327999 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 3/36 #888342 31410F5B7 9697.95010000 PA USD 9884.28000000 0.000270387964 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 11/01/2042#AQ2171 3138MHMV2 12268.96560000 PA USD 10957.68000000 0.000299751199 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2013-133 IB 3% 04/32 3136AHQ94 18647.04770000 PA USD 439.17000000 0.000012013650 Long ABS-CBDO USGSE US N 2 2032-04-25 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 02/01/2052# 3133B3Q42 145851.72390000 PA USD 130714.91000000 0.003575752451 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4.0% 06/15/2045#AN5671 36186NJQ3 4028.55730000 PA USD 3800.14000000 0.000103954169 Long ABS-MBS USGA US N 2 2045-06-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 01/01/2028#FS3867 3140XKJM3 1304814.69100000 PA USD 1243625.41000000 0.034019811573 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 09/01/2033# 31283HX75 6886.88660000 PA USD 7010.24000000 0.000191767586 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3366 FD SOFR30A+36.448 5/37 31397KMB4 23047.71830000 PA USD 22333.03000000 0.000610927909 Long ABS-CBDO USGSE US N 2 2037-05-15 Variable 0.05552990 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 10/29 #520559 31384DJC7 307.02060000 PA USD 318.85000000 0.000008722254 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 12/41 #778681 36176W2N0 10603.54460000 PA USD 10063.95000000 0.000275302900 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 12/01/2051#CB2348 3140QMTE4 3672421.64990000 PA USD 2953254.62000000 0.080787321401 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 12/35 #AD0723 31418MYV8 119635.62530000 PA USD 123193.13000000 0.003369991507 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 06/01/2047#Q48759 3132WNWV0 167649.57310000 PA USD 162169.39000000 0.004436200841 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 03/01/2043#AT0162 3138WMFC0 6861.15110000 PA USD 5887.99000000 0.000161068042 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE7382 31419JFY9 7784.50860000 PA USD 7408.67000000 0.000202666780 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 01/01/43#AQ1113 3138MGGX7 28000.19420000 PA USD 25145.36000000 0.000687860188 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 11/01/2051#RA6299 3133KM7L3 66841.46700000 PA USD 53334.20000000 0.001458975845 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 6/41 #005082 36202FUF1 130072.50610000 PA USD 127425.76000000 0.003485776593 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 07/01/2043#Q19690 3132JBF81 21081.22900000 PA USD 19974.74000000 0.000546416055 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 2.543% 01/44#AV5544 3138XHES6 56751.29790000 PA USD 57352.43000000 0.001568895944 Long ABS-MBS USGSE US N 2 2044-01-01 Variable 0.03830000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 6.50% 5/27 #256738 31371NEK7 17420.47910000 PA USD 17475.51000000 0.000478048737 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 12/01/2051#FM9865 3140XD6B7 24675311.25500000 PA USD 20620562.94000000 0.564082769715 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 11/01/2032#C73584 31288B6V0 5190.35370000 PA USD 5269.61000000 0.000144152039 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 06/46#AS7008 36193SYD5 9363.42020000 PA USD 8594.63000000 0.000235109133 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 6.50% 2/27 #256628 31371NA54 9542.36280000 PA USD 9564.92000000 0.000261651759 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 3/31 #474767 36209LMQ6 28.28870000 PA USD 29.04000000 0.000000794399 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 9/33 #C01622 31292HYT5 3000.51780000 PA USD 2978.54000000 0.000081479011 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 5/26 #339193 31375MXW8 25.29140000 PA USD 26.02000000 0.000000711786 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 01/01/2030#SB0800 3132CW3H5 7687709.02300000 PA USD 7220407.79000000 0.197516800899 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.5% 11/30/2024 91282CFX4 77700000.00000000 PA USD 77001913.67000000 2.106414498126 Long DBT UST US N 2 2024-11-30 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.5% 12/01/2052#MA4842 31418ELY4 10057282.06100000 PA USD 9943908.33000000 0.272019118435 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNR 2006-62 KP PO 0% 4/36 31395N6X0 8679.75410000 PA USD 7013.76000000 0.000191863877 Long ABS-CBDO USGSE US N 2 2036-04-25 Fixed 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 8/27 #451362 36208HMK9 11.39110000 PA USD 11.58000000 0.000000316774 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 05/01/2040# 312940LA5 2342.32590000 PA USD 2340.05000000 0.000064012892 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 5.0% 04/15/2041 3137A9MV5 2816143.68980000 PA USD 2800589.85000000 0.076611122791 Long ABS-CBDO USGSE US N 2 2041-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 09/01/2031#BD6126 3140FDYY6 119666.66730000 PA USD 110996.76000000 0.003036355505 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040 3137BJGM9 61501.22610000 PA USD 59459.03000000 0.001626522729 Long ABS-CBDO USGSE US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5.5% 10/01/2052#RA7615 3133KPN87 3603927.12300000 PA USD 3567805.68000000 0.097598582329 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 05/01/2040#V81771 3132L66G1 12536.16010000 PA USD 11461.38000000 0.000313530091 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 02/01/2044#Q24546 3132M4WF8 9987.80690000 PA USD 9460.93000000 0.000258807075 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 4/1/43 #AT0648 3138WMWJ6 72661.18020000 PA USD 66689.35000000 0.001824310682 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047 38380UVE0 249936.07720000 PA USD 227193.44000000 0.006214956656 Long ABS-CBDO USGA US N 2 2047-04-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 03/01/2048#MA3307 31418CU93 28489.90290000 PA USD 27496.64000000 0.000752180282 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 01/01/2035#FM2349 3140X5TF0 1446179.57840000 PA USD 1345161.62000000 0.036797370398 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 11/01/2051#FM9411 3140XDN51 153477.77500000 PA USD 122463.12000000 0.003350021826 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNR 1996-28 PK 6.5% 7/25 31359KKK2 135.43780000 PA USD 135.08000000 0.000003695161 Long ABS-CBDO USGSE US N 2 2025-07-25 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 12/41 #552550 36213EZP4 7048.34250000 PA USD 6692.77000000 0.000183083083 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 1.5% 02/01/2051#SD8127 3132DWA45 16596436.89100000 PA USD 12542446.83000000 0.343103055307 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 05/01/2047#AS9602 3138WKU45 13377.69930000 PA USD 12928.03000000 0.000353650818 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 4/26 #303856 31373UQH3 284.54730000 PA USD 292.72000000 0.000008007458 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 10/01/2051#CB1801 3140QMAB0 1991528.54560000 PA USD 1602151.66000000 0.043827423553 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM 30YR 6% 07/01/2053#RA9382 3133KRM76 3534635.41100000 PA USD 3589476.69000000 0.098191400448 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 03/01/2046#BC8334 3140F4HL3 15233.69130000 PA USD 14335.68000000 0.000392157580 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048 3136BLRV4 2836607.92500000 PA USD 2522060.16000000 0.068991844916 Long ABS-CBDO USGSE US N 2 2048-05-25 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 9/41 #G06719 3128M8YQ1 27190.87560000 PA USD 26472.42000000 0.000724162382 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 01/01/2043#AQ7316 3138MPDW2 32898.14780000 PA USD 28238.51000000 0.000772474397 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 04/15/2043#AA6286 36178D6X4 6292.81880000 PA USD 5667.79000000 0.000155044393 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 12/20/2039#004592 36202FC53 16510.41940000 PA USD 15993.53000000 0.000437508652 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 08/01/2037#AB8009 31417E3T6 1687.33700000 PA USD 1644.03000000 0.000044973020 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.0% 12/20/2042#AA5872 36178DQZ7 61186.81840000 PA USD 54709.99000000 0.001496611066 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 4/32 #582105 36201FU62 189.90020000 PA USD 195.73000000 0.000005354263 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.0% 11/20/2044#MA2372 36179QT50 414506.59560000 PA USD 394889.49000000 0.010802341230 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 2/40 #711174 36297GCK4 4392.03900000 PA USD 4268.58000000 0.000116768510 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 8/25 #319563 31374N5Y4 18.45310000 PA USD 18.98000000 0.000000519204 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/2043#Q21835 3132JPBC5 19411.39270000 PA USD 18405.61000000 0.000503491951 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 9/25 #414186 36206LCX5 55.37990000 PA USD 55.41000000 0.000001515760 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 10/01/2050#CA7323 3140QFD55 599648.49800000 PA USD 485405.50000000 0.013278438598 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.0% 04/01/2045#AX9641 3138YBWB5 8826.51270000 PA USD 8325.51000000 0.000227747261 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 07/01/2040#C03486 31292K2T3 3962.33660000 PA USD 3856.67000000 0.000105500567 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 10/01/2043#Q22677 3132JP6N7 13343.16840000 PA USD 12651.80000000 0.000346094449 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 07/01/2043#AU1335 3138X0PV4 7357.61770000 PA USD 6742.33000000 0.000184438814 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 12/41 #552554 36213EZT6 20612.06890000 PA USD 19574.10000000 0.000535456407 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 04/01/2042#MA1028 31418AEA2 4846.55570000 PA USD 4589.46000000 0.000125546296 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2011-H14 FC TSFR1M+61.448 5/61 38375BMB5 396089.15070000 PA USD 394241.12000000 0.010784604840 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.05755260 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE8185 31419KCX1 7572.41350000 PA USD 7172.54000000 0.000196207360 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 11/01/2034#CA4460 3140QB5W4 7181482.48100000 PA USD 6678722.69000000 0.182698813999 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 8/35 #735744 31402RLZ0 463.17440000 PA USD 474.08000000 0.000012968625 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.5% 01/31/2028 91282CGH8 5750000.00000000 PA USD 5560205.09000000 0.152101370679 Long DBT UST US N 2 2028-01-31 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 12/01/2047#BJ4340 3140H5ZE4 28543.83860000 PA USD 26754.17000000 0.000731869753 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 02/01/2047#Q46222 3132WK4G0 43475.76490000 PA USD 42068.20000000 0.001150790443 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 4/41 #AH8876 3138AA2J9 1259.54140000 PA USD 1224.12000000 0.000033486234 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 1/41 #AB2079 31416XJZ4 117938.18000000 PA USD 111898.97000000 0.003061035778 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.125% 06/15/2026 91282CHH7 39440000.00000000 PA USD 38983975.00000000 1.066420381271 Long DBT UST US N 2 2026-06-15 Fixed 0.04125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 7/32 #545762 31385JJF6 6897.01520000 PA USD 7089.89000000 0.000193946440 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 01/01/2029# 3140XLYD4 2509392.09000000 PA USD 2377018.14000000 0.065024169319 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2010-135 LS SOFR30A+593.552 12/40 31398SD91 30846.17990000 PA USD 1686.27000000 0.000046128510 Long ABS-CBDO USGSE US N 2 2040-12-25 Variable 0.00647940 N N N N N N LONDON CLEARING HOUSE N/A LCH OIS SOFRV3.5% MAC 09/20/2033 N/A 5800000.00000000 NC USD -176320.93000000 -0.00482332120 N/A DO CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2033-09-20 0.00000000 USD 0.00000000 USD 5832364.00000000 USD -176320.93000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 02/01/2043#Q15893 3132J67F5 10768.90830000 PA USD 10196.45000000 0.000278927484 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 01/01/2043#AR2887 3138W0F53 9229.45080000 PA USD 7929.79000000 0.000216922201 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 7/27 #451321 36208HLA2 15.91040000 PA USD 16.12000000 0.000000440968 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2012-H01 FA TSFR1M+81.448 11/61 38375BNX6 1470251.48430000 PA USD 1466472.06000000 0.040115860256 Long ABS-CBDO USGA US N 2 2061-11-20 Variable 0.05955260 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 10/40 #AE4645 31419FET9 7239.14230000 PA USD 6882.87000000 0.000188283335 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 02/15/2043#AD1736 36180C4V8 104060.18850000 PA USD 96350.14000000 0.002635692051 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 08/01/2032#J37406 31307UGP7 11590.70880000 PA USD 10929.65000000 0.000298984429 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2% 02/20/2051#MA7192 36179V7D6 19728692.31700000 PA USD 16330129.14000000 0.446716440375 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 02/15/2043#AD2180 36180DM53 4600.62060000 PA USD 4254.90000000 0.000116394289 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.66% 4/36 #868559 31409D5U3 18429.62140000 PA USD 18597.78000000 0.000508748829 Long ABS-MBS USGSE US N 2 2036-04-01 Variable 0.04429000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 20-101 BA 1.5% 09/25/2045 3136BDDV7 3028316.49700000 PA USD 2528220.61000000 0.069160366198 Long ABS-CBDO USGSE US N 2 2045-09-25 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 4/36 #A79236 3128LDHM9 18243.50250000 PA USD 18144.70000000 0.000496354666 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 02/01/2042#Q06232 3132GRHH7 50498.66100000 PA USD 47885.97000000 0.001309937593 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 10/01/2042#Q12215 3132HNN88 1962.08120000 PA USD 1857.56000000 0.000050814208 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 05/20/2046#AS9183 36193VFY3 5163.74830000 PA USD 4739.77000000 0.000129658079 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.21% 3/36 #1G1851 3128QSBU9 5231.03760000 PA USD 5222.73000000 0.000142869620 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.03634000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 6.00% 6/36 #782394 36241KUT3 1337520.59920000 PA USD 1364177.79000000 0.037317564433 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 11/01/2045#BA3906 3140E8KU1 9835.60630000 PA USD 9042.29000000 0.000247355031 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 04/01/2043#AT2008 3138WPGS7 50389.59330000 PA USD 43279.49000000 0.001183925708 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2004-73 AL TSFR1M+708.552 8/34 38374H2N9 6610.01810000 PA USD 651.39000000 0.000017819003 Long ABS-CBDO USGA US N 2 2034-08-17 Variable 0.01772910 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 10/40 #AE4113 31419ESB6 33481.83040000 PA USD 31808.05000000 0.000870120422 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2% 02/01/2028#FS3865 3140XKJK7 1193558.92400000 PA USD 1124796.20000000 0.030769196636 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.0% 02/01/2043#Q15062 3132J6B86 10557.82250000 PA USD 9431.94000000 0.000258014044 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 09/01/2041#FM9587 3140XDUM6 1456432.36600000 PA USD 1298899.98000000 0.035531866924 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 6/41 #Q01393 3132GERN2 7677.56960000 PA USD 7471.25000000 0.000204378677 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 02/01/2051# 3140QHK87 3855332.99500000 PA USD 3467567.07000000 0.094856519810 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 4/42 #AK9701 3138EEX79 7915.88940000 PA USD 7493.22000000 0.000204979675 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 4.05% 07/25/2033 3137HAGS9 3540000.00000000 PA USD 3334447.42000000 0.091214984848 Long ABS-MBS USGSE US N 2 2033-07-25 Fixed 0.04050000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 12/01/2031#AS8511 3138WJN53 3081270.39200000 PA USD 2851453.22000000 0.078002508211 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 04/01/2046#Q39975 3132QXCM7 12931.10510000 PA USD 12184.31000000 0.000333306096 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.0% 10/01/2041#AL4242 3138ELWC3 38843.50640000 PA USD 38797.41000000 0.001061316829 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 10/41 #AJ4047 3138AVP90 152935.52420000 PA USD 145003.91000000 0.003966633084 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5.0% 07/01/2041#Q02189 3132GFNE3 2319.02450000 PA USD 2302.94000000 0.000062997735 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 04/01/2045#Q32823 3132QPD50 7061.13320000 PA USD 6668.79000000 0.000182427101 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 12/01/2051#CB2320 3140QMSJ4 5675536.36030000 PA USD 4742908.96000000 0.129743946877 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 09/01/2035# 31297TTR4 285.37110000 PA USD 283.78000000 0.000007762901 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.05000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM 1.65% 01/20/2063 38375BE73 51.13390000 PA USD 44.39000000 0.000001214304 Long ABS-CBDO USGA US N 2 2063-01-20 Fixed 0.01650000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2933 ZM 5.75% 02/15/2035 31395MT74 94430.79290000 PA USD 96013.41000000 0.002626480683 Long ABS-CBDO USGSE US N 2 2035-02-15 Fixed 0.05750000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2011-H14 FB TSFR1M+61.448 5/61 38375BLZ3 529651.63780000 PA USD 527369.32000000 0.014426373690 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.05755260 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 01/01/2043#AR1910 3138NYDQ5 20054.23800000 PA USD 17905.43000000 0.000489809350 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 01/01/2043#AQ9947 3138MSBR9 9534.72690000 PA USD 8772.42000000 0.000239972642 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 02/01/2041# 3132GE5T3 4900.85140000 PA USD 4770.06000000 0.000130486673 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 05/47#Q47942 3132WMZG2 41448.17730000 PA USD 40106.26000000 0.001097120883 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 10/01/2041#G06800 3128M83H5 11003.67260000 PA USD 10447.16000000 0.000285785745 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA SOFR30A+593.552 01/25/2044 3136AHTW0 20596.61840000 PA USD 1933.07000000 0.000052879811 Long ABS-CBDO USGSE US N 2 2044-01-25 Variable 0.00647940 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 10/41 #Q04113 3132GKGW0 13906.42790000 PA USD 13188.78000000 0.000360783727 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 9/29 #357040 31376JS59 133.06440000 PA USD 137.64000000 0.000003765190 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 12/40 #AH0851 3138A15M9 2161.32260000 PA USD 2048.53000000 0.000056038260 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3% 02/15/2049 912810SF6 95773600.00000000 PA USD 76024035.92000000 2.079664307490 Long DBT UST US N 2 2049-02-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 10/26 #250736 31371FPV8 11.80430000 PA USD 11.94000000 0.000000326622 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 02/01/2029# 31293JRN1 38.59420000 PA USD 38.70000000 0.000001058652 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 8/33 #726956 31402ETM0 2431.35680000 PA USD 2365.91000000 0.000064720302 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.280% 3/35 #843014 31407WSB0 26666.85170000 PA USD 26707.13000000 0.000730582957 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.04372000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2% 10/01/2053 #TBA 21H0206A8 50000000.00000000 PA USD 41292985.00000000 1.129584163942 Long ABS-MBS USGA US N 2 2053-10-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.81% 1/36 #1J1262 3128NHMK6 5852.48450000 PA USD 5807.99000000 0.000158879614 Long ABS-MBS USGSE US N 2 2036-01-01 Variable 0.03575000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 01/01/2047#Q45635 3132WKHM3 11770.23320000 PA USD 11389.16000000 0.000311554487 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM 30YR 6% 06/01/2053#RA9278 3133KRJX3 4134426.27000000 PA USD 4180485.43000000 0.114358652912 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.16% 9/35 #850124 31408FPH6 372.80220000 PA USD 377.00000000 0.000010312967 Long ABS-MBS USGSE US N 2 2035-09-01 Variable 0.04424000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 04/01/2031# 31292HJK1 367.61010000 PA USD 371.81000000 0.000010170993 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 07/01/2050#CA6416 3140QEDW9 5922079.07800000 PA USD 5166787.77000000 0.141339301177 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 07/01/2033#720240 31401WEM7 371.62010000 PA USD 362.07000000 0.000009904552 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 11/41 #AJ5385 3138AW6X6 42189.68460000 PA USD 39989.08000000 0.001093915382 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2006-12 BO 0% 10/35 31394VS43 13684.42070000 PA USD 11689.27000000 0.000319764102 Long ABS-CBDO USGSE US N 2 2035-10-25 Fixed 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.61% 3/35 #1L0297 3128Q2KJ1 12658.51600000 PA USD 12825.62000000 0.000350849357 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.05024000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/44#Q28495 3132M9C85 8874.08330000 PA USD 8397.64000000 0.000229720403 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.293% 3/35 #815586 31406PCX5 12574.63370000 PA USD 12675.21000000 0.000346734838 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.04583000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 1/28 #409486 31378U2T8 85.91700000 PA USD 87.57000000 0.000002395508 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 10/40 #004834 36202FLP9 4807.28980000 PA USD 4708.14000000 0.000128792829 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.625% 09/30/2026 912828YG9 1028000.00000000 PA USD 944113.60000000 0.025826560407 Long DBT UST US N 2 2026-09-30 Fixed 0.01625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 02/01/2045#Q31307 3132QMNZ0 5436.35340000 PA USD 4973.67000000 0.000136056496 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 04/01/2051#MA4305 31418DYB2 5936088.07430000 PA USD 4747658.90000000 0.129873883160 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 03/01/2045#AX9831 3138YB4R1 12152.22700000 PA USD 10761.85000000 0.000294394201 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 3/1/43#AR6743 3138W4P54 33197.92650000 PA USD 30433.99000000 0.000832532527 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT K-150 A2 3.71% 09/25/2032 3137H9C98 2200000.00000000 PA USD 2022945.76000000 0.055338394524 Long ABS-MBS USGSE US N 2 2032-09-25 Fixed 0.03710000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 08/01/2051#RA5746 3133KML37 5179264.78500000 PA USD 4672905.68000000 0.127828982470 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 6/42 #AB5423 31417CAZ8 77166.93270000 PA USD 70931.81000000 0.001940364672 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 02/01/2052#CB2886 3140QNF49 2896065.52100000 PA USD 2508832.31000000 0.068629992415 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2.5% 04/01/2041#SC0158 3132D9E75 4564000.19400000 PA USD 3935256.22000000 0.107650321408 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 1/41 #AE9338 31419LLU5 3762.66630000 PA USD 3571.71000000 0.000097705386 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 05/43 #MA1012 36179NDR6 341527.33460000 PA USD 316548.50000000 0.008659295827 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 04/15/2043#666342 36295CHT1 6013.65040000 PA USD 5393.48000000 0.000147540547 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 7.00% 12/33 #G03583 3128M5J43 2509.26870000 PA USD 2626.46000000 0.000071847739 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 1/36 #839064 31407SFD9 394.00170000 PA USD 404.15000000 0.000011055665 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 3.47% 3/40 #AD0820 31418M4E9 140723.50910000 PA USD 142646.58000000 0.003902147490 Long ABS-MBS USGSE US N 2 2040-03-01 Variable 0.04021000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 04/01/2037#BM1257 3140J5MF3 829165.07790000 PA USD 743181.41000000 0.020329989504 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/41 #479596 36209RXZ1 1053.41570000 PA USD 1003.56000000 0.000027452737 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047 38380UAT0 201561.52690000 PA USD 179864.54000000 0.004920257909 Long ABS-CBDO USGA US N 2 2047-10-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 03/01/2045#Q32328 3132QNSS9 33811.60600000 PA USD 30933.93000000 0.000846208561 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 3/32 #565867 36213VTY4 228.59620000 PA USD 235.84000000 0.000006451486 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 09/01/2040#AE3951 31419EL98 4849.40630000 PA USD 4597.19000000 0.000125757753 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 09/15/2042#AB2330 36178MST9 2638.02270000 PA USD 2437.12000000 0.000066668276 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 02/01/2045#AY1700 3138YE3J4 8319.66230000 PA USD 7847.43000000 0.000214669214 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 10/01/2042#AB6493 31417DGB3 15193.09750000 PA USD 13573.65000000 0.000371311981 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 6/33 #003401 36202DX63 1037.37910000 PA USD 1014.23000000 0.000027744619 Long ABS-MBS USGA US N 2 2033-06-20 Fixed 0.04500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM TSFR1M+60 08/20/2063 38375B5N8 122166.46600000 PA USD 121809.32000000 0.003332136896 Long ABS-CBDO USGA US N 2 2063-08-20 Variable 0.05855260 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 11/01/2047#CA1780 3140Q86S9 6287.88570000 PA USD 6072.60000000 0.000166118114 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 01/01/2043#AQ9328 3138MRLJ8 63271.08790000 PA USD 58153.04000000 0.001590796913 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 4/42 #MA0023 36179MAY6 64091.05240000 PA USD 61120.25000000 0.001671965988 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 3.5% 02/43 #Q15871 3132J66H2 23700.52190000 PA USD 21891.25000000 0.000598842862 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 2/27 #356391 31376H2Y8 93.78940000 PA USD 95.05000000 0.000002600126 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 03/20/44#MA1760 36179N5V6 5039.10240000 PA USD 4672.60000000 0.000127820620 Long ABS-MBS USGA US N 2 2044-03-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 12/15/2046#AX5803 36196HNU0 2607.27140000 PA USD 2456.18000000 0.000067189669 Long ABS-MBS USGA US N 2 2046-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.50% 8/29 #781078 36225BFT0 29.09650000 PA USD 30.15000000 0.000000824763 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 10/01/2052#BX0507 3140N4R58 447001.78500000 PA USD 423979.32000000 0.011598103787 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.04500000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 2.5% 09/01/2053 #TBA 01F022691 -15600000.00000000 PA USD -12929109.96000000 -0.35368036155 Short ABS-MBS USGA US N 2 2053-09-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 9/40 #733919 3620AMK84 2249.34870000 PA USD 2237.41000000 0.000061205139 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 07/01/2050#FM3897 3140X7KK4 282802.02020000 PA USD 228039.78000000 0.006238108585 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 2/42 #757489 36230SKA1 15937.78410000 PA USD 14742.46000000 0.000403285191 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 06/01/2041# 3132GEVS6 4826.99900000 PA USD 4582.98000000 0.000125369033 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 05/01/2041#MA4333 31418DY71 11230101.84800000 PA USD 9350277.13000000 0.255780127654 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 04/01/2039#AB0050 31416VBU7 41783.71500000 PA USD 40666.08000000 0.001112434956 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2.5% 02/01/2051#RA4575 3133KLCL9 1604438.23400000 PA USD 1337280.66000000 0.036581783958 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 2/42 #757488 36230SJ96 17108.87690000 PA USD 15810.79000000 0.000432509735 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 4% 06/01/2038#K94293 3132LQUS4 14752.59130000 PA USD 14144.93000000 0.000386939547 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2802 ZG 5.5% 5/15/34 31394YRN6 1827765.93680000 PA USD 1863649.73000000 0.050980795458 Long ABS-CBDO USGSE US N 2 2034-05-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 05/01/2043#AT2721 3138WQAX0 124144.18920000 PA USD 110729.18000000 0.003029035760 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 9/33 #734922 31402QPF2 1594.32480000 PA USD 1551.65000000 0.000042445932 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 07/01/2045#Q34458 3132QQ5U2 58305.18430000 PA USD 55047.29000000 0.001505838026 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 FNR 2010-39 FG SOFR30A+103.448 3/36 31398PU56 1117148.31490000 PA USD 1116344.08000000 0.030537985914 Long ABS-CBDO USGSE US N 2 2036-03-25 Variable 0.06322060 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 10/27 #460697 36208TX21 216.16500000 PA USD 219.34000000 0.000006000123 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2% 11/20/2050#MA6994 36179VXX3 3521677.49700000 PA USD 2915015.72000000 0.079741282810 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 5.47% 8/59 #725598 3620ACDB7 1138.15440000 PA USD 1070.64000000 0.000029287734 Long ABS-MBS USGA US N 2 2059-08-20 Variable 0.05470000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.48% 6/47 #939994 31413AXX6 14678.95040000 PA USD 14975.24000000 0.000409652970 Long ABS-MBS USGSE US N 2 2047-06-01 Variable 0.03895000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 9/40 #004801 36202FKN5 49618.22320000 PA USD 48594.91000000 0.001329330896 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 7/26 #256384 31371MXM4 107.46720000 PA USD 107.73000000 0.000002946992 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 01/01/2040#A90709 312938YE7 5394.57500000 PA USD 5250.81000000 0.000143637758 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 05/01/2033#G18687 3128MMXR9 10627.04300000 PA USD 9781.48000000 0.000267575834 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2006-72 CY 6% 8/26 31396KHM7 294551.72430000 PA USD 294256.79000000 0.008049498240 Long ABS-CBDO USGSE US N 2 2026-08-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 05/01/2043#AB9238 31417GHQ2 7688.51520000 PA USD 6856.09000000 0.000187550759 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 12/01/2051#CB2346 3140QMTC8 4503262.88780000 PA USD 3629836.59000000 0.099295459743 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 8/35 #824358 31406YZX1 340.42540000 PA USD 348.91000000 0.000009544556 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 6/39 #713471 36297JT46 7116.29290000 PA USD 6916.02000000 0.000189190165 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 12/01/2042#AB7280 31417ECS8 20107.96550000 PA USD 17975.89000000 0.000491736808 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 12/01/2035# 3128LXFN5 5085.42450000 PA USD 5060.27000000 0.000138425470 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 07/01/2043#AL3931 3138ELLM3 3479.48330000 PA USD 3288.23000000 0.000089950691 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042 3136AA2T1 341592.22630000 PA USD 306034.32000000 0.008371676726 Long ABS-CBDO USGSE US N 2 2042-06-25 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 3.752% 10/33 #755148 31403Q5H9 14457.48160000 PA USD 14447.01000000 0.000395203052 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.04059000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.5% 05/01/2053#FS4631 3140XLED6 6947472.90200000 PA USD 6899550.62000000 0.188739639884 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 02/01/2052#SD8193 3132DWC68 1224770.49000000 PA USD 976504.49000000 0.026712624624 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047 38380HES7 3554397.86790000 PA USD 3172525.09000000 0.086785542420 Long ABS-CBDO USGA US N 2 2047-09-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 12/01/2032#BM5345 3140J95F4 202417.24080000 PA USD 191154.18000000 0.005229089991 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 10/37 #995073 31416BMW5 15520.76380000 PA USD 15942.44000000 0.000436111067 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 7.00% 12/26 #C91019 3128P7DY6 752.17920000 PA USD 757.78000000 0.000020729339 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 01/01/2028#SB0799 3132CW3G7 1187051.97200000 PA USD 1132998.25000000 0.030993566606 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2802 OB 6% 5/34 31394YPA6 17615.56680000 PA USD 17724.06000000 0.000484847910 Long ABS-CBDO USGSE US N 2 2034-05-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 02/47#AL9779 3138ER2M1 30531.97210000 PA USD 28779.86000000 0.000787283217 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 01/45#Q31029 3132QMEB3 123078.05470000 PA USD 116239.33000000 0.003179767856 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 11/31#G05173 3128M7CJ3 1820.12380000 PA USD 1776.58000000 0.000048598972 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 02/01/2048#BM3532 3140J74S1 53466.92990000 PA USD 50114.62000000 0.001370903099 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 4/1/43 #AT3073 3138WQMX7 12573.18820000 PA USD 11525.09000000 0.000315272900 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 08/01/2046#AS7822 3138WHVQ2 82541.48050000 PA USD 75213.27000000 0.002057485519 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 03/01/2043#Q16131 3132J7HH8 3372.08960000 PA USD 3191.43000000 0.000087302692 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/41 #772072 36176PQZ2 6968.39850000 PA USD 6613.19000000 0.000180906144 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 10/01/2051#MA4438 31418D4Y5 4011918.07100000 PA USD 3328842.48000000 0.091061659738 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 06/01/2051# 3140XBR69 19805.55620000 PA USD 17794.96000000 0.000486787405 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 0.03500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2010-H18 PL 5.01% 9/60 38375BEV0 60944.01300000 PA USD 60223.83000000 0.001647444103 Long ABS-CBDO USGA US N 2 2060-09-20 Variable 0.05010000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 5/27 #447102 36208CU39 48.96820000 PA USD 49.66000000 0.000001358466 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 4/39 #930854 31412PE31 911.40510000 PA USD 885.99000000 0.000024236568 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 6/27 #780580 36225AUD0 202.22360000 PA USD 205.08000000 0.000005610035 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2007-66 SB SOFR30A+3891.312 7/37 31396WYZ3 1814.08980000 PA USD 1942.08000000 0.000053126283 Long ABS-CBDO USGSE US N 2 2037-07-25 Variable 0.07187641 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 03/01/2052# 3133KNWJ8 5523310.64300000 PA USD 4960445.52000000 0.135694736175 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.5% 10/01/2052#CB4843 3140QQLZ6 7155301.58900000 PA USD 7083585.43000000 0.193773977000 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.50% 1/42 #005279 36202F2L9 3008.50240000 PA USD 2794.33000000 0.000076439882 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 5% 9/33 #003442 36202DZF1 43299.98560000 PA USD 42951.57000000 0.001174955341 Long ABS-MBS USGA US N 2 2033-09-20 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2017-K063 A2 3.43% 01/25/2027 3137BVZ82 4900000.00000000 PA USD 4665642.80000000 0.127630303827 Long ABS-MBS USGSE US N 2 2027-01-25 Fixed 0.03430000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 FNR 2010-118 PB 4.5% 10/40 31398NUY8 1646861.73540000 PA USD 1596938.77000000 0.043684823109 Long ABS-CBDO USGSE US N 2 2040-10-25 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.75% 08/31/2026 91282CCW9 125830000.00000000 PA USD 112652256.96000000 3.081642208583 Long DBT UST US N 2 2026-08-31 Fixed 0.00750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 07/01/2041#CB1071 3140QLFM3 4903087.75000000 PA USD 4086948.69000000 0.111799922409 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 4/27 #780545 36225ATA8 116.16840000 PA USD 117.74000000 0.000003220819 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 10/01/2046#BC4754 3140F0H80 122336.21480000 PA USD 115430.48000000 0.003157641479 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4.0% 02/15/2042#778869 36176XCE7 5504.04970000 PA USD 5226.38000000 0.000142969467 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 11/01/2050#CA7616 3140QFPA1 410533.11020000 PA USD 329625.61000000 0.009017024782 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.4% 09/01/2042#AP9959 3138MEB58 9791.47990000 PA USD 8924.08000000 0.000244121354 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 01/01/2035#CA5039 3140QCS56 200121.58150000 PA USD 186455.46000000 0.005100554849 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 3/32 #254240 31371KLV1 1173.54990000 PA USD 1221.22000000 0.000033406903 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 10/01/2032# 31283HTS4 412.02050000 PA USD 418.35000000 0.000011444111 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 01/01/2046#G08687 3128MJXR6 41658.27970000 PA USD 38060.71000000 0.001041164141 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.625% 05/15/2026 91282CHB0 26990000.00000000 PA USD 26317514.46000000 0.719924887201 Long DBT UST US N 2 2026-05-15 Fixed 0.03625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 03/01/2048#ZS4758 3132A5JB2 7369.86360000 PA USD 6448.35000000 0.000176396887 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 10/01/2051#CB1799 3140QL7M2 1501888.38390000 PA USD 1211998.99000000 0.033154659703 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 06/01/2044#AL5512 3138ENDS5 46372.87550000 PA USD 44988.01000000 0.001230662875 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5.5% 12/01/2052#SD8277 3132DWFS7 12458477.32300000 PA USD 12318035.40000000 0.336964201515 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 03/01/2051#MA4281 31418DXK3 4222764.75800000 PA USD 3377349.94000000 0.092388598410 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 12/01/2044#AY0510 3138YDR84 13246.64180000 PA USD 12494.75000000 0.000341798291 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AR3691 3138W1C54 9854.24200000 PA USD 8765.84000000 0.000239792643 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 1.5% 02/01/2041#MA4266 31418DW40 1881890.49600000 PA USD 1515709.99000000 0.041462781192 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 5/27 #250912 31371FVD1 12.80500000 PA USD 12.98000000 0.000000355072 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 05/01/2051#MA4326 31418DYY2 1748232.65100000 PA USD 1456038.99000000 0.039830459948 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3002 NE 5% 7/35 31395WMR5 20899.34220000 PA USD 20834.35000000 0.000569930990 Long ABS-CBDO USGSE US N 2 2035-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 05/01/2045#AS4972 3138WEQ28 15829.21260000 PA USD 14003.30000000 0.000383065208 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2682 FB SOFR30A+101.448 10/33 31394KHG2 592088.86070000 PA USD 590966.50000000 0.016166096973 Long ABS-CBDO USGSE US N 2 2033-10-15 Variable 0.06202990 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 03/01/2047#AS9422 3138WKPG4 10925.39230000 PA USD 10554.74000000 0.000288728634 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 1/37 #G02667 3128M4JL8 1338.07610000 PA USD 1331.16000000 0.000036414351 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 12/29 #524241 31384HLW1 38.44070000 PA USD 39.85000000 0.000001090110 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 8/27 #313644 31374GLZ8 252.39270000 PA USD 259.64000000 0.000007102543 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 8/33 #727160 31402EZZ4 856.12570000 PA USD 833.49000000 0.000022800412 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 6% 06/01/2053#CB6539 3140QSHR5 5250676.83000000 PA USD 5319016.49000000 0.145503571486 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.5% 02/01/2053#CB5600 3140QRGJ6 1266035.18200000 PA USD 1254532.87000000 0.034318188987 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 0.05500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2011-H07 FA TSFR1M+61.448 3/61 38375BKP6 343042.12820000 PA USD 341266.65000000 0.009335469536 Long ABS-CBDO USGA US N 2 2061-02-20 Variable 0.05717710 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 7.00% 9/35 #A47784 3128K8UH7 5565.42870000 PA USD 5806.23000000 0.000158831468 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 6/40 #745088 3620C0XR4 7281.88500000 PA USD 7078.19000000 0.000193626383 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 08/01/44#Q27794 3132M8KF2 6155.32470000 PA USD 5824.85000000 0.000159340825 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 1/42 #757487 36230SJ88 20890.44570000 PA USD 19299.53000000 0.000527945447 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 9/40 #737454 3620ARH79 4103.19080000 PA USD 4078.80000000 0.000111577012 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 9/25 #410104 36206FRZ7 1.45030000 PA USD 1.45000000 0.000000039665 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 4.00% 4/34 #781481 31349SUE1 7887.84780000 PA USD 7932.90000000 0.000217007276 Long ABS-MBS USGSE US N 2 2034-04-01 Variable 0.05065000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 2.691% 02/01/2042#AK2344 3138E6TA4 86325.19300000 PA USD 87345.80000000 0.002389375155 Long ABS-MBS USGSE US N 2 2042-02-01 Variable 0.04304000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 07/01/2047#G61047 31335BEU6 90124.86520000 PA USD 87375.98000000 0.002390200740 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A FEDERAL HOME LN MTG CORP 4.5% 11/15/2040 3137BE3R3 192952.83770000 PA USD 185347.33000000 0.005070241562 Long ABS-CBDO USGSE US N 2 2040-11-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 12/01/2052#SD8276 3132DWFR9 5695343.05800000 PA USD 5525801.81000000 0.151160256824 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 08/01/2043#AS0076 3138W9CN8 12548.03800000 PA USD 11513.23000000 0.000314948466 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 10/29 #323961 31374TZ28 123.26520000 PA USD 126.81000000 0.000003468932 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 09/01/2051#MA4414 31418D3Y6 84058.88100000 PA USD 69799.42000000 0.001909387744 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 11/01/2052#SD8266 3132DWFF5 4873711.27000000 PA USD 4622694.67000000 0.126455442588 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% #BM4385 08/48 3140J82T9 203185.08100000 PA USD 197519.41000000 0.005403213102 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 8/39 #713740 36297J4Z4 12394.09320000 PA USD 12047.14000000 0.000329553762 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 12/01/2051#CB3005 3140QNKT8 47428.41840000 PA USD 40934.84000000 0.001119786981 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.50% 3/30 #G02183 3128LXM80 95.46750000 PA USD 96.95000000 0.000002652101 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 3/41 #AI2509 3138AFYF1 1978.90630000 PA USD 1878.07000000 0.000051375267 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.0% 01/20/2043#MA0698 36179MX39 333340.34800000 PA USD 299652.67000000 0.008197104440 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2012-H06 FA TSFR1M+74.448 1/62 38375BPQ9 1370943.47640000 PA USD 1366108.43000000 0.037370377771 Long ABS-CBDO USGA US N 2 2062-01-20 Variable 0.05885260 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/2043#Q21258 3132JNMF1 17414.25350000 PA USD 16511.95000000 0.000451690214 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 8% 07/01/2024# 31292GL87 6.82250000 PA USD 6.84000000 0.000000187110 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 12/26 #256571 31371M6G7 550.64380000 PA USD 551.73000000 0.000015092768 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 01/01/2041# 312944YF2 4794.63220000 PA USD 4667.60000000 0.000127683843 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 5.5% 09/01/2053 #TBA 21H052694 15500000.00000000 PA USD 15347421.10000000 0.419834115453 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/40 #733989 3620AMNE8 2561.44270000 PA USD 2435.88000000 0.000066634356 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 3/42 #794582 36177PCU7 5728.93890000 PA USD 5315.50000000 0.000145407376 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.5% 06/01/2053#CB6527 3140QSHD6 3060884.87800000 PA USD 3045510.67000000 0.083311018177 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 7/42 #AA8273 36178GFN9 5469.46340000 PA USD 5058.45000000 0.000138375683 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 05/15/2042#779220 36176XPD5 8161.23490000 PA USD 7365.47000000 0.000201485028 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2011-94 SA TSFR1M+598.552 07/41 38377WN83 22368.84400000 PA USD 1881.80000000 0.000051477302 Long ABS-CBDO USGA US N 2 2041-07-20 Variable 0.00671540 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 8/25 #303450 31373UBT3 73.39380000 PA USD 75.50000000 0.000002065329 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 07/01/2035# 3128MJCD0 6758.85120000 PA USD 6722.52000000 0.000183896904 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.50% 1/39 #701582 36296UM72 3835.96750000 PA USD 3882.22000000 0.000106199496 Long ABS-MBS USGA US N 2 2039-01-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 3.50% 4/42 #C03811 31292LGU3 401326.78440000 PA USD 369907.39000000 0.010118947077 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 11/40 #AE9065 31419LCB7 3721.93460000 PA USD 3530.80000000 0.000096586278 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2% 12/01/2036#BU1384 3140M2RE4 368151.94860000 PA USD 323849.57000000 0.008859019171 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 10/01/2043#BM1167 3140J5JM2 43604.73710000 PA USD 41294.33000000 0.001129620956 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 01/01/2040#MA3890 31418DKC5 8292.39140000 PA USD 7468.02000000 0.000204290320 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048 3136BLMF4 1991835.45500000 PA USD 1770748.69000000 0.048439454753 Long ABS-CBDO USGSE US N 2 2048-05-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 8/29 #479545 31382DWE0 35.12400000 PA USD 36.14000000 0.000000988622 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2996 ZD 5.5% 06/35 31395UZR5 64099.48920000 PA USD 64726.59000000 0.001770618691 Long ABS-CBDO USGSE US N 2 2035-06-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 12/01/2032#ZS8678 3132A9UB1 5857.17510000 PA USD 5392.86000000 0.000147523586 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 6.50% 12/27 #257025 31371NPJ8 803.50450000 PA USD 809.57000000 0.000022146072 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.06500000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 4% 09/01/2053 #TBA 01F040693 27900000.00000000 PA USD 25755187.50000000 0.704542234943 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 8/40 #741372 3620AVT51 3268.92970000 PA USD 3178.08000000 0.000086937498 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 5/36 #745550 31403DH36 345.33160000 PA USD 353.96000000 0.000009682700 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 05/51#SD7541 3132DVLW3 6338295.29310000 PA USD 5112918.37000000 0.139865684747 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 4/28 #251615 31371GN89 83.02040000 PA USD 84.90000000 0.000002322469 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2711 FC SOFR30A+101.448 2/33 31394LYV8 397880.86960000 PA USD 397246.25000000 0.010866811231 Long ABS-CBDO USGSE US N 2 2033-02-15 Variable 0.06202990 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 04/47#BH0885 3140GN6X6 3489.55580000 PA USD 3372.26000000 0.000092249361 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 11/31 #554171 36213GT43 180.84380000 PA USD 186.06000000 0.000005089736 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.78% 10/35 #1N0063 3128QGB84 13768.52300000 PA USD 14159.76000000 0.000387345227 Long ABS-MBS USGSE US N 2 2035-10-01 Variable 0.07524000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 12/39 #711476 36297GMZ0 11268.51130000 PA USD 10720.72000000 0.000293269075 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2008-73 FA TSFR1M+97.448 8/38 38375XJZ8 583651.10810000 PA USD 582738.86000000 0.015941026980 Long ABS-CBDO USGA US N 2 2038-08-20 Variable 0.06288460 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 6/26 #349356 31376ABZ0 87.46860000 PA USD 88.54000000 0.000002422042 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 3.5% 12/01/2033#C91737 3128P74W0 63523.93180000 PA USD 60323.79000000 0.001650178544 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 01/01/2037#MA2866 31418CFG4 184456.61540000 PA USD 169001.33000000 0.004623090969 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 04/01/2051# 3140QKGV4 1139962.96010000 PA USD 1025306.51000000 0.028047621088 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2770 FH SOFR30A+51.448 3/34 31394TZB4 145777.64480000 PA USD 143473.88000000 0.003924778574 Long ABS-CBDO USGSE US N 2 2034-03-15 Variable 0.05702990 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 11/41 #AL1193 3138EHKF8 49653.93970000 PA USD 47072.81000000 0.001287693314 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 3/42 #Q06886 3132GR6X4 11382.18400000 PA USD 10804.31000000 0.000295555709 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA GTD MTG 2013-51 GI 3% 10/25/2032 3136AECM7 22673.79610000 PA USD 1270.13000000 0.000034744853 Long ABS-CBDO USGSE US N 2 2032-10-25 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 2/41 #A96731 312945PQ5 21888.50440000 PA USD 21304.53000000 0.000582792929 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 12/01/2044#AW9502 3138XZRY9 11576.56730000 PA USD 10919.47000000 0.000298705951 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNMA 2017-H06 FA T1Y+35 08/66 38376RV60 5087980.38810000 PA USD 5064774.62000000 0.138548695491 Long ABS-CBDO USGA US N 2 2066-08-20 Variable 0.05700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE8603 31419KRZ0 10793.91950000 PA USD 10234.33000000 0.000279963705 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 FANNIEMAE 20YR 3.5% 12/01/2036#BM3680 3140J8CS0 44339.73560000 PA USD 41941.19000000 0.001147316040 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049 3137H5UF2 1504746.69600000 PA USD 1286596.34000000 0.035195296514 Long ABS-CBDO USGSE US N 2 2049-05-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 7/35 #787578 31405E6P5 1334.83790000 PA USD 1367.11000000 0.000037397776 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 06/01/2041#MA4364 31418DZ62 20537.41800000 PA USD 17099.63000000 0.000467766407 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 2/28 #331338 31375DBF9 96.45470000 PA USD 99.23000000 0.000002714471 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 02/01/2044#Q24973 3132M5FN7 5931.74510000 PA USD 5616.98000000 0.000153654468 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/40#AE7364 31419JFE3 9202.44550000 PA USD 8735.49000000 0.000238962408 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.0% 03/01/2043#Q16470 3132J7T44 9497.21430000 PA USD 8490.54000000 0.000232261715 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 08/01/2043#AU2854 3138X2E42 11317.77210000 PA USD 10717.80000000 0.000293189197 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 0.0% 01/01/2042#AJ8357 3138E1JB4 148160.66980000 PA USD 150104.20000000 0.004106153315 Long ABS-MBS USGSE US N 2 2042-01-01 Variable 0.04055000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 06/01/2031# 31292HJ70 151.83480000 PA USD 154.01000000 0.000004212997 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.06000000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 2% 10/01/2053 #TBA 01F0206A2 1300000.00000000 PA USD 1036356.49000000 0.028349897187 Long ABS-MBS USGA US N 2 2053-10-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 07/01/2043#Q19764 3132JBJJ3 7370.82910000 PA USD 6972.82000000 0.000190743949 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2% 04/51#MA7311 36179WDQ8 154948.57900000 PA USD 128232.14000000 0.003507835402 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 08/01/2032#MA3090 31418CNG5 330416.99930000 PA USD 311157.29000000 0.008511817377 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2006-37 OW 0% 5/36 31395DMG1 2071.94730000 PA USD 1601.86000000 0.000043819445 Long ABS-CBDO USGSE US N 2 2036-05-25 Fixed 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5.5% 03/01/2053#SD7559 3132DVMG7 15184698.23600000 PA USD 15222313.77000000 0.416411760330 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 05/01/2044#AW2449 3138XRWK1 34009.45810000 PA USD 34323.33000000 0.000938926794 Long ABS-MBS USGSE US N 2 2044-05-01 Variable 0.05215000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 8/34 #725703 31402DGL8 200186.47760000 PA USD 204304.81000000 0.005588830112 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3007 EW 5.5 7/25 31395WEK9 307469.73530000 PA USD 306060.17000000 0.008372383862 Long ABS-CBDO USGSE US N 2 2025-07-15 Fixed 0.05500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM TSFR1M+41.448 03/01/2061 38375UVP2 17884.46830000 PA USD 17818.07000000 0.000487419587 Long ABS-CBDO USGA US N 2 2065-03-20 Variable 0.04736370 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 4.5% 10/25/2044 3137H9AA7 1658389.05900000 PA USD 1608011.18000000 0.043987712788 Long ABS-CBDO USGSE US N 2 2044-10-25 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 07/01/2043#Q19597 3132JBDB6 23758.43630000 PA USD 22482.61000000 0.000615019723 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 10/42 #AQ1181 3138MGJ30 12988.81300000 PA USD 11932.74000000 0.000326424309 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 08/01/2043#AS0205 3138W9GP9 28460.73690000 PA USD 25354.36000000 0.000693577457 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 10/01/2044#AS3651 3138WDBV2 147151.78710000 PA USD 142619.35000000 0.003901402604 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 3.0% 8/45#Q35375 3132QR6M7 5591.93440000 PA USD 4963.88000000 0.000135788687 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 12/01/2044#AX6333 3138Y8BB5 2348.15800000 PA USD 2280.97000000 0.000062396738 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 4/32 #569328 36200QPM0 86.30820000 PA USD 88.86000000 0.000002430796 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.375% 04/30/2025 912828ZL7 236870000.00000000 PA USD 219502618.17000000 6.004571513267 Long DBT UST US N 2 2025-04-30 Fixed 0.00375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 03/01/2046#BC0286 3140EUJ83 267605.25130000 PA USD 251830.24000000 0.006888905006 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TENNESSEE VALLEY AUTHORITY 5.375% 04/01/2056 880591DZ2 2737000.00000000 PA USD 2897355.19000000 0.079258172785 Long DBT USGSE US N 2 2056-04-01 Fixed 0.05375000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.25% 12/31/2024 91282CGD7 29400000.00000000 PA USD 29040539.14000000 0.794414187419 Long DBT UST US N 2 2024-12-31 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 2/40 #678654 36295R5P9 12581.35990000 PA USD 11960.85000000 0.000327193268 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.0% 08/20/2043#MA1225 36179NLE6 23945.31000000 PA USD 22804.95000000 0.000623837447 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 5/29 #494945 31382WZJ4 708.99320000 PA USD 729.36000000 0.000019951899 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 12/38 #970918 31414NDX9 5997.38540000 PA USD 6174.50000000 0.000168905624 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 2.562% 02/44#AL5596 3138ENGE3 22589.46260000 PA USD 22761.68000000 0.000622653781 Long ABS-MBS USGSE US N 2 2044-02-01 Variable 0.03985000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 10/01/44#Q28991 3132M9UQ5 19300.30640000 PA USD 18246.00000000 0.000499125763 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 09/01/2046#AS7844 3138WHWE8 345228.28250000 PA USD 304111.35000000 0.008319073204 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 12M+1.75 9/1/41 #1B8787 3128UHEK7 279836.24550000 PA USD 283863.12000000 0.007765175733 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 03/01/2052#CB3038 3140QNLU4 526016.96330000 PA USD 421199.35000000 0.011522056727 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 7/29 #505740 31383KZD2 245.01280000 PA USD 252.05000000 0.000006894916 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2% 04/01/2041# 3133KYU98 19699.37200000 PA USD 16401.86000000 0.000448678663 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.50% 7/30 #781205 36225BKS6 48.83080000 PA USD 51.16000000 0.000001399499 Long ABS-MBS USGA US N 2 2030-07-15 Fixed 0.08500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 3/41 #004978 36202FQ74 5310.00940000 PA USD 5201.63000000 0.000142292422 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 05/01/2043#Q18363 3132J9WZ7 4072.38020000 PA USD 3852.85000000 0.000105396070 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 6.49% 8/37 #1A1800 3128NF7M3 2273.26700000 PA USD 2243.72000000 0.000061377751 Long ABS-MBS USGSE US N 2 2037-08-01 Variable 0.04029000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 5.5% 07/25/2034 31394AEQ5 145405.99750000 PA USD 144347.33000000 0.003948672106 Long ABS-CBDO USGSE US N 2 2034-07-25 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 09/42#G07184 3128M9J52 79160.65690000 PA USD 75068.55000000 0.002053526653 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.50% 10/32 #G01766 31283H6B6 2806.26340000 PA USD 2893.36000000 0.000079148882 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2% 11/01/2041#RB5135 3133KYV48 858653.86800000 PA USD 712239.13000000 0.019483552525 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 01/01/2033#ZS8682 3132A9UF2 67188.40820000 PA USD 63167.07000000 0.001727957471 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2010-31 BP 5% 3/20/40 38376XL68 4085948.17610000 PA USD 4015556.28000000 0.109846957862 Long ABS-CBDO USGA US N 2 2040-03-20 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 1.5% 01/01/2051#MA4236 31418DV66 16489655.20700000 PA USD 12461748.57000000 0.340895525952 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 11/47#Q52377 3132XUUB9 141445.34840000 PA USD 132746.23000000 0.003631319925 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 12/23 #765384 31404DJ58 64.19670000 PA USD 63.95000000 0.000001749374 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 7.00% 11/34 #A45143 3128K5WC2 2046.89170000 PA USD 2134.65000000 0.000058394103 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 12/01/2040#AE9804 31419L3N1 41437.73800000 PA USD 39293.25000000 0.001074880707 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.5% 03/31/2027 91282CEF4 46600000.00000000 PA USD 43665656.25000000 1.194489422553 Long DBT UST US N 2 2027-03-31 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 12/01/2051#CB2321 3140QMSK1 5173545.27040000 PA USD 4316940.17000000 0.118091420436 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2218 ZB 6% 3/30 3133TNM84 3383.11690000 PA USD 3398.09000000 0.000092955950 Long ABS-CBDO USGSE US N 2 2030-03-15 Fixed 0.06000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 01/20/2064 38375UEJ5 1550821.77510000 PA USD 1544902.75000000 0.042261359435 Long ABS-CBDO USGA US N 2 2064-01-20 Variable 0.05817710 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.125% 08/31/2028 91282CCV1 290798000.00000000 PA USD 249938609.87000000 6.837158797480 Long DBT UST US N 2 2028-08-31 Fixed 0.01125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 08/01/2045#AZ8288 3140E1F65 33554.61490000 PA USD 29684.07000000 0.000812018200 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 3% 09/01/2053 #TBA 01F030694 5000000.00000000 PA USD 4307617.00000000 0.117836381834 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.50% 9/39 #710869 36297FW65 12054.20710000 PA USD 12211.02000000 0.000334036757 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/28 #660494 31390YXX1 72.77950000 PA USD 74.87000000 0.000002048095 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040 3137FXBN7 4678285.58500000 PA USD 4212604.83000000 0.115237290423 Long ABS-CBDO USGSE US N 2 2040-10-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 11/36 #995606 31416CAF3 13277.20580000 PA USD 13372.95000000 0.000365821762 Long ABS-MBS USGSE US N 2 2036-11-01 Variable 0.04911000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050 3137H5MS3 1669035.40000000 PA USD 1431783.52000000 0.039166943014 Long ABS-CBDO USGSE US N 2 2050-04-25 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG2012-9 SH SOFR30A+643.552 06/25/2041 3136A3M81 5667.75980000 PA USD 35.90000000 0.000000982057 Long ABS-CBDO USGSE US N 2 2041-06-25 Variable 0.01147940 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 08/01/2031#V61273 3132KFMW9 119639.40720000 PA USD 111324.21000000 0.003045313015 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 08/01/2041#CB1337 3140QLPX8 2964697.70700000 PA USD 2471211.62000000 0.067600865176 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 7.00% 12/26 #256589 31371M7A9 132.03330000 PA USD 133.07000000 0.000003640176 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 5/42 #Q08167 3132GTMQ7 17457.79990000 PA USD 16585.61000000 0.000453705209 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 07/01/2045#AS5393 3138WE7F0 6749.95090000 PA USD 6539.94000000 0.000178902364 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 8/40 #G05969 3128M76E1 9053.47940000 PA USD 9045.79000000 0.000247450774 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 11/01/2052#FS3248 3140XJTE3 2543681.13900000 PA USD 2483062.93000000 0.067925061939 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 3.753% 10/33 #746320 31403EDZ7 20053.65870000 PA USD 20422.63000000 0.000558668244 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.04404000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 4% 01/01/2036#G30933 3132J4HK8 203897.43880000 PA USD 196462.56000000 0.005374302598 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 12/28 #780931 36225BA81 63.87790000 PA USD 64.63000000 0.000001767976 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 10YR 3% 01/01/2028#MA3250 31418CTG9 3793.55100000 PA USD 3651.37000000 0.000099884513 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHR 2095 PE 6% 11/28 3133TGWC9 6011.55930000 PA USD 6081.21000000 0.000166353643 Long ABS-CBDO USGSE US N 2 2028-11-15 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 01/20/2043#MA0852 36179M5M8 33022.42720000 PA USD 30611.29000000 0.000837382631 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 5.0% 05/15/2039#783724 3622A2D58 9547.59290000 PA USD 9482.54000000 0.000259398225 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 6/40 #745083 3620C0XL7 14512.41300000 PA USD 14108.07000000 0.000385931229 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 10/26 #313182 31374F2P3 14.61880000 PA USD 14.81000000 0.000000405132 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.89% 3/33 #725130 31402CST0 9193.65840000 PA USD 9238.04000000 0.000252709841 Long ABS-MBS USGSE US N 2 2033-03-01 Variable 0.04293000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 09/01/2046#BC2817 3140EXDX8 1010069.88370000 PA USD 889769.85000000 0.024339967965 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2052#FS3425 3140XJYX5 9930721.19700000 PA USD 9416144.00000000 0.257581939106 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 12/20/2049#BR8985 3617M76W3 23656.49430000 PA USD 21507.16000000 0.000588335944 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 9/41 #Q03295 3132GJKG3 4918.86100000 PA USD 4669.00000000 0.000127722141 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 02/52#RA6820 3133KNSH7 3167124.73570000 PA USD 2536022.56000000 0.069373791291 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 3% 02/01/2037#C91917 3128P8DW8 64758.70110000 PA USD 59410.66000000 0.001625199551 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 07/47#BE3749 3140FPEX3 191378.61160000 PA USD 184885.88000000 0.005057618435 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.358% 10/33 #754672 31403QMV9 9296.05200000 PA USD 9408.81000000 0.000257381314 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.06154000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 10/01/2048#Q58998 3132Y27L4 23894.73110000 PA USD 23045.51000000 0.000630418051 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AR5360 3138W25W1 8225.95260000 PA USD 7327.97000000 0.000200459203 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 2% 09/01/2053 #TBA 01F020695 28250000.00000000 PA USD 22488822.13000000 0.615189658576 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 3/34 #725228 31402CVV1 8477.45040000 PA USD 8633.90000000 0.000236183378 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 01/15/2047#AX5815 36196HN89 8848.42070000 PA USD 8332.89000000 0.000227949143 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 02/01/2045#AL7147 3138EP5H3 33260.16140000 PA USD 32266.89000000 0.000882672152 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 04/15/2046#784232 3622A2VZ2 122241.18420000 PA USD 115424.77000000 0.003157485280 Long ABS-MBS USGA US N 2 2046-04-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 03/01/2050# 31418DMJ8 853422.15070000 PA USD 741644.59000000 0.020287949251 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 5.5% 06/25/2035 31394EFK9 85843.33640000 PA USD 85342.84000000 0.002334583478 Long ABS-CBDO USGSE US N 2 2035-06-25 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 02/01/2052#FS0631 3140XFVZ1 4243619.47150000 PA USD 3676204.69000000 0.100563875467 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 05/51#QC1514 3133AKVF4 170557.99520000 PA USD 137424.27000000 0.003759289359 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2043#AU6807 3138X6R56 9595.23080000 PA USD 9314.68000000 0.000254806355 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 08/01/2051#MA4399 31418D3H3 288525.82300000 PA USD 239581.28000000 0.006553830387 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 10/28 #434034 36207KEF3 275.57010000 PA USD 279.34000000 0.000007641444 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025 3137BLMZ8 306000.00000000 PA USD 293640.02000000 0.008032626280 Long ABS-MBS USGSE US N 2 2025-07-25 Fixed 0.03010000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 2/40 #711491 36297GNG1 16218.95990000 PA USD 15422.26000000 0.000421881359 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 01/01/2043#AL3181 3138EKRB3 167916.98490000 PA USD 149939.19000000 0.004101639408 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 5/27 #379219 31377KG41 19.32120000 PA USD 19.61000000 0.000000536438 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.349% 12/34 #843013 31407WSA2 14730.80480000 PA USD 14720.19000000 0.000402675987 Long ABS-MBS USGSE US N 2 2034-12-01 Variable 0.04461000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 11/01/2051#RA6308 3133KNAH6 317979.39030000 PA USD 255709.77000000 0.006995030917 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE8186 31419KCY9 15730.95930000 PA USD 14937.71000000 0.000408626323 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 5.37% 6/36 #916726 31411WPK7 1928.64530000 PA USD 1964.78000000 0.000053747249 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.04395000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 07/01/2046#BC1216 3140EVK63 270427.96000000 PA USD 246587.79000000 0.006745495938 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 4.5% 03/01/2039#FM1774 3140X46L5 52710.38300000 PA USD 51498.65000000 0.001408763728 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 12/01/2051#BT9493 3140LYRP0 5919198.90900000 PA USD 4760047.51000000 0.130212777955 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 05/01/2047#Q47935 3132WMY99 87318.91650000 PA USD 84491.90000000 0.002311305715 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 5/46#Q40310 3132WDKY9 54497.13810000 PA USD 48171.92000000 0.001317759856 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 02/01/2045#G07949 3128MAEW5 166603.23810000 PA USD 157658.46000000 0.004312802761 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 11/01/2042#Q13381 3132HPXJ8 930.12760000 PA USD 886.83000000 0.000024259547 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 05/01/2031#BC0919 3140EVAV9 51366.68890000 PA USD 47805.77000000 0.001307743693 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 4/34 #A19922 31296VAX7 1222.75640000 PA USD 1214.56000000 0.000033224717 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 05/01/2051#MA4347 31418DZM7 489431.12910000 PA USD 439745.74000000 0.012029399765 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 05/01/2046#AS7241 3138WHBK7 488615.73910000 PA USD 445540.74000000 0.012187924033 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2002-60 FV SOFR30A+111.448 4/32 31392EVD9 9854.66980000 PA USD 9871.83000000 0.000270047390 Long ABS-CBDO USGSE US N 2 2032-04-25 Variable 0.06402060 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2% 01/20/2051#MA7135 36179V4U1 17142667.63300000 PA USD 14189585.99000000 0.388161127784 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNR 1993-165SH SOFR30A+19.47601 9/23 31359D5R0 1.02380000 PA USD 1.02000000 0.000000027902 Long ABS-CBDO USGSE US N 2 2023-09-25 Variable 0.04519839 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 12/41 #AJ8098 3138E07L7 18316.32290000 PA USD 17357.47000000 0.000474819711 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/41 #738886 3620AS2T5 7411.39790000 PA USD 7048.08000000 0.000192802713 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2005-117 JN 4.5% 1/36 31394VDE7 94953.71800000 PA USD 92961.73000000 0.002543000901 Long ABS-CBDO USGSE US N 2 2036-01-25 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 03/01/2048#BK0200 3140HDGJ7 4819.55450000 PA USD 4651.53000000 0.000127244243 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 7/41 #748144 3620C4ER7 985.90580000 PA USD 935.57000000 0.000025592847 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.00% 7/37 #G03508 3128M5GR5 720.60190000 PA USD 742.68000000 0.000020316273 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 01/01/2043#AB7755 31417ETM3 33646.28150000 PA USD 30023.60000000 0.000821306163 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 04/01/2050#BK2255 3140HFQH5 529587.91620000 PA USD 462376.22000000 0.012648464524 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.25% 10/31/2025 91282CAT8 17700000.00000000 PA USD 16068972.61000000 0.439572411417 Long DBT UST US N 2 2025-10-31 Fixed 0.00250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 06/01/2031#G18604 3128MMU68 41179.75930000 PA USD 38316.88000000 0.001048171762 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048 3136BKJA1 1191009.70300000 PA USD 1027415.95000000 0.028105325563 Long ABS-CBDO USGSE US N 2 2048-08-25 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 03/01/2041# 312946BR6 5582.24240000 PA USD 5433.79000000 0.000148643241 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.428% 7/36 #555923 31385XSL2 2318.95090000 PA USD 2339.42000000 0.000063995658 Long ABS-MBS USGSE US N 2 2036-07-01 Variable 0.04546000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4.0% 05/15/2045#AN1263 36185GML6 15006.20810000 PA USD 14155.36000000 0.000387224863 Long ABS-MBS USGA US N 2 2045-05-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 10/32 #555144 31385WWD7 62.90930000 PA USD 65.08000000 0.000001780286 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 09/32#MA3125 31418CPK4 30917.24860000 PA USD 29115.11000000 0.000796454099 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.0% 08/20/2042#MA0317 36179MK66 4655.74140000 PA USD 4187.72000000 0.000114556557 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 05/01/2043#AT3989 3138WRNF3 64655.54620000 PA USD 59305.45000000 0.001622321494 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4% 09/01/2053 #TBA 21H040699 2250000.00000000 PA USD 2096750.03000000 0.057357336352 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 01/01/2052#FS1648 3140XGZN2 7855778.03100000 PA USD 6514557.91000000 0.178208028560 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHR 3225 EO 0% 10/36 31397BQR5 6364.13760000 PA USD 4974.85000000 0.000136088775 Long ABS-CBDO USGSE US N 2 2036-10-15 Fixed 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 04/01/2042# 3132GSMY2 3846.45030000 PA USD 3642.79000000 0.000099649804 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 9/29 #793986 31405NCX1 908.92190000 PA USD 915.42000000 0.000025041636 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3949 MK 4.5% 10/34 3137AFZS4 14879.78380000 PA USD 14598.07000000 0.000399335351 Long ABS-CBDO USGSE US N 2 2034-10-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 9/28 #468222 36209DD35 108.55280000 PA USD 110.54000000 0.000003023860 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 11/39 #728315 3620AFDU8 4098.57140000 PA USD 3983.03000000 0.000108957190 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2.5% 01/01/2052#RA6620 3133KNK93 10529229.30800000 PA USD 8780925.54000000 0.240205314165 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.0% 06/01/2041#AI5034 3138AJSY9 4220.57970000 PA USD 4215.41000000 0.000115314026 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 04/01/2045#AY5316 3138YJ4A1 9373.21010000 PA USD 9072.79000000 0.000248189369 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04500000 N N N N N N CHICAGO BOARD OF TRADE N/A US 2YR NOTE (CBT) FUT DEC23 TUZ3 N/A 1538.00000000 NC USD 910169.18000000 0.024897998830 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2023-12-29 312541440.20000000 USD 910169.18000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 02/01/2040# 312939LZ2 2214.25460000 PA USD 2214.75000000 0.000060585267 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 07/15/2042#AA8275 36178GFQ2 1518.33550000 PA USD 1403.79000000 0.000038401170 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 09/01/2041#FM8850 3140XCZQ4 2681224.19300000 PA USD 2307665.05000000 0.063126991089 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 8% 02/01/2030# 31292HAX2 22.40540000 PA USD 23.20000000 0.000000634644 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 3/39 #935009 31412UGS3 744.67580000 PA USD 766.86000000 0.000020977725 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040 3137FXC30 3545018.54600000 PA USD 3192786.92000000 0.087339811923 Long ABS-CBDO USGSE US N 2 2040-10-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 12/01/2042#AQ8634 3138MQSY0 8486.46420000 PA USD 7565.60000000 0.000206959655 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 03/01/2046#G60440 31335APZ5 438278.64800000 PA USD 401388.03000000 0.010980111083 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2035#AB8198 31417FDC9 10579.83570000 PA USD 10294.30000000 0.000281604206 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.0% 05/44#AW4672 3138XUFN7 3237.31550000 PA USD 3221.88000000 0.000088135663 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/30 #710936 31401KY90 428.40820000 PA USD 440.72000000 0.000012056050 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 1/41 #004946 36202FP75 79908.58790000 PA USD 78273.90000000 0.002141210132 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 12/20/2040#004880 36202FM52 8970.22810000 PA USD 8688.40000000 0.000237674245 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 12/01/2046#AL9489 3138ERRK8 81128.19520000 PA USD 73824.05000000 0.002019482916 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.5% 10/31/2024 912828YM6 24300000.00000000 PA USD 23273894.59000000 0.636665592524 Long DBT UST US N 2 2024-10-31 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 04/01/2052#CB3343 3140QNWD0 478005.31600000 PA USD 380812.93000000 0.010417271968 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 6.0% 01/01/2024#G14293 3128MC7E9 4894.01470000 PA USD 4882.42000000 0.000133560320 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.5% 11/15/2031 3137BAMN9 2199868.11450000 PA USD 2103586.93000000 0.057544362162 Long ABS-CBDO USGSE US N 2 2031-11-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 11/45#BM1415 3140J5SD2 36819.64680000 PA USD 35799.01000000 0.000979294540 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 07/01/2042#Q09230 3132GUST2 203323.14330000 PA USD 192658.56000000 0.005270242837 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 03/46#BC1776 3140EV6N2 15564.49310000 PA USD 14646.98000000 0.000400673302 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 01/01/2047#BE6108 3140FRYE9 9283.92710000 PA USD 8713.44000000 0.000238359223 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 03/01/2043#AB8830 31417FY44 7892.41260000 PA USD 7037.00000000 0.000192499616 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 9/39 #706762 36297BFB2 3128.96040000 PA USD 2981.92000000 0.000081571472 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 01/01/2044#AV6341 3138XJBK2 1812.66860000 PA USD 1759.67000000 0.000048136393 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 11/27 #462269 36208VQW8 69.97390000 PA USD 70.83000000 0.000001937579 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 11/01/2051#BQ6772 3140KSQ26 650800.99980000 PA USD 521524.85000000 0.014266496153 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 4% 09/01/2039#CA4213 3140QBVF2 101873.44880000 PA USD 97396.23000000 0.002664308212 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 10/42 #AP9735 3138MDY97 155154.81500000 PA USD 142609.14000000 0.003901123306 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 04/01/2048#BM3700 3140J8DE0 166094.24770000 PA USD 156147.48000000 0.004271469370 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 11/40 #AE8271 31419KFM2 1841.90680000 PA USD 1748.16000000 0.000047821533 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2519 ZD 5.50% 11/32 31393FCL8 5417.83480000 PA USD 5452.80000000 0.000149163266 Long ABS-CBDO USGSE US N 2 2032-11-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 06/20/2046#AR3125 36192XPJ2 10813.33050000 PA USD 9925.49000000 0.000271515278 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 11/01/2041#CB2110 3140QMKY9 4234014.15200000 PA USD 3529245.14000000 0.096543745161 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 01/01/2042#AJ6217 3138AX4B4 13061.88640000 PA USD 12385.50000000 0.000338809719 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 11/34 #735061 31402QTS0 146063.65270000 PA USD 149225.93000000 0.004082127929 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2042#AL5881 3138ENRB7 85027.22880000 PA USD 82658.82000000 0.002261161165 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 05/01/2045#Q33138 3132QPPY4 20056.54580000 PA USD 18923.32000000 0.000517654090 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 02/01/2048#CA1713 3140Q83X1 30503.80920000 PA USD 29440.34000000 0.000805350880 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 1.5% 11/01/2041#MA4473 31418D6K3 20999309.48120000 PA USD 16834491.23000000 0.460513443177 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 1/35 #G06928 3128M9A51 29704.74910000 PA USD 29494.69000000 0.000806837644 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 12/01/2040# 312944H79 4614.11590000 PA USD 4388.36000000 0.000120045135 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 06/01/2045#Q34311 3132QQYH9 414056.71650000 PA USD 378557.94000000 0.010355585922 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 10/01/2051#FM9210 3140XDGU4 11080983.34900000 PA USD 9622718.18000000 0.263232848635 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 8% 07/01/2030# 31297XWP5 91.98460000 PA USD 96.79000000 0.000002647724 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 09/01/2046#AL9058 3138ERB41 605217.89700000 PA USD 551863.58000000 0.015096422809 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 08/01/2031#AS7695 3138WHRR5 127164.78420000 PA USD 118182.17000000 0.003232914929 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 1/45#Q30720 3132QLYS6 10423.67460000 PA USD 9844.49000000 0.000269299494 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 11/01/2042#AL6997 3138EPX33 395590.10570000 PA USD 384603.90000000 0.010520975289 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 07/01/2045#AZ0833 3138YR4T2 6994.98420000 PA USD 6591.38000000 0.000180309523 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 7/29 #481600 36209T7M5 39.07650000 PA USD 40.11000000 0.000001097223 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 2/30 #531078 31384Q6P3 99.27940000 PA USD 102.13000000 0.000002793802 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 3/41 #783295 36241LUU8 60921.97810000 PA USD 59190.96000000 0.001619189580 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 2.457% 02/01/2044#AL5114 3138EMVG3 55510.44530000 PA USD 56060.13000000 0.001533544622 Long ABS-MBS USGSE US N 2 2044-02-01 Variable 0.03935000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3% 09/01/2053 #TBA 21H030690 -19750000.00000000 PA USD -17366050.58000000 -0.47505443661 Short ABS-MBS USGA US N 2 2053-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 11/01/2051#FM9501 3140XDRX6 2465960.92560000 PA USD 2060744.12000000 0.056372381989 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 4/35 #A32122 31297MLB2 2477.09330000 PA USD 2465.88000000 0.000067455016 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 2/1/43 #AR5859 3138W3QM8 7322.66250000 PA USD 6729.63000000 0.000184091401 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 10/43#Q22414 3132JPVF6 6485.79820000 PA USD 6304.19000000 0.000172453340 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 2/31 #689547 31400KBQ8 261.35030000 PA USD 268.86000000 0.000007354760 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 3/42 #AK5316 3138E94A5 5228.64340000 PA USD 4945.33000000 0.000135281245 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 6% 06/01/2053#CB6538 3140QSHQ7 7382769.18500000 PA USD 7497315.80000000 0.205091717146 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 01/01/2033#MA3246 31418CTC8 19687.65030000 PA USD 18126.96000000 0.000495869382 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 8.5% 08/01/2027# 31283G3U9 194.46870000 PA USD 199.25000000 0.000005450554 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.08500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.25% 07/31/2025 91282CAB7 11803000.00000000 PA USD 10812193.51000000 0.295771365678 Long DBT UST US N 2 2025-07-31 Fixed 0.00250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 3/41 #AH6075 3138A7XD5 2966.86090000 PA USD 2813.04000000 0.000076951701 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 7.00% 4/32 #781432 36225BSV1 5332.90420000 PA USD 5495.52000000 0.000150331887 Long ABS-MBS USGA US N 2 2032-04-20 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 11/27 #313835 31374GSY4 100.50580000 PA USD 102.23000000 0.000002796537 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 1/1/43 #Q14696 3132HRGD6 12450.49050000 PA USD 11126.32000000 0.000304364406 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 11/01/2044#AX6510 3138Y8GU8 17552.32980000 PA USD 17006.21000000 0.000465210870 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 11/40 #756928 36230RVV5 2993.14880000 PA USD 2778.15000000 0.000075997272 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 03/01/2043#AB8610 31417FR83 10149.91730000 PA USD 9057.24000000 0.000247763993 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2% 07/01/2041#SC0162 3132D9FB5 12592512.57200000 PA USD 10551529.47000000 0.288640808957 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 7/35 #357843 31376KP42 2611.24520000 PA USD 2676.69000000 0.000073221798 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 03/01/2037#AS9292 3138WKKE4 232469.90770000 PA USD 212991.67000000 0.005826462230 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.0% 09/01/2033#AL7521 3138EQLB6 171748.92070000 PA USD 170312.76000000 0.004658965599 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 6/32 #611797 31388QUW7 1084.66050000 PA USD 1133.76000000 0.000031014404 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 1/42 #757490 36230SKB9 18043.36100000 PA USD 16687.45000000 0.000456491078 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 2.5% 09/01/2053 #TBA 01F022691 16550000.00000000 PA USD 13716459.61000000 0.375218588842 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 6/27 #436794 36207NGB4 12.99080000 PA USD 13.07000000 0.000000357534 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A FNS 351 13 6% 3/34 3136FCJC1 2663.91090000 PA USD 484.25000000 0.000013246829 Long ABS-CBDO USGSE US N 2 2034-03-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 5/40 #AL2129 3138EJLK2 20001.24920000 PA USD 20590.54000000 0.000563261481 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 4.50% 7/25 #G13844 3128MCP58 5514.94130000 PA USD 5452.40000000 0.000149152324 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNR 2006-45 OP 0 6/36 31395NEN3 172941.24640000 PA USD 135665.14000000 0.003711167738 Long ABS-CBDO USGSE US N 2 2036-06-25 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 10/01/2040#FM4644 3140X8ES2 402374.07000000 PA USD 337157.64000000 0.009223066118 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 07/01/2047#Q49499 3132WPRV1 39541.12790000 PA USD 38260.95000000 0.001046641777 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNR 1997-41 J 7.5% 6/27 31359PQC3 896.25860000 PA USD 902.41000000 0.000024685743 Long ABS-CBDO USGSE US N 2 2027-06-18 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 7/40 #745232 3620C04R6 12022.43760000 PA USD 11688.04000000 0.000319730455 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 5/32 #646736 31390HPV1 220.33940000 PA USD 230.26000000 0.000006298843 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 9/39 #723339 3620A9S44 3472.50200000 PA USD 3450.21000000 0.000094381711 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 9/40 #AE4923 31419FPH3 1790.43750000 PA USD 1696.09000000 0.000046397139 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.50% 1/36 #G03506 3128M5GP9 32651.76640000 PA USD 33558.34000000 0.000918000222 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 3/42 #AK1510 3138E5VC9 6891.56020000 PA USD 6528.06000000 0.000178577382 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 07/20/2043#635118 36291QSF2 28065.79260000 PA USD 25822.24000000 0.000706376479 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 09/01/2046#G61420 31335BSH0 1052236.78520000 PA USD 962024.21000000 0.026316511459 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 01/01/2048#MA3240 31418CS62 48527.15260000 PA USD 46850.49000000 0.001281611672 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 4% 05/01/2038#C91994 3128P8GB1 268391.22640000 PA USD 257346.58000000 0.007039806432 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 6.50% 5/26 #C90975 3128P7CL5 207.43300000 PA USD 207.79000000 0.000005684168 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 7.5% 01/01/2027# 31283GW60 30.70070000 PA USD 31.08000000 0.000000850204 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 83945636.49100000 NS USD 83962425.62000000 2.296821756687 Long STIV RF US N 1 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2274 ZM 6.5% 1/31 3133TR4H5 1815.35650000 PA USD 1818.48000000 0.000049745161 Long ABS-CBDO USGSE US N 2 2031-01-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 12/01/2042#Q13420 3132HPYR9 11181.27190000 PA USD 10589.40000000 0.000289676770 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.50% 1/32 #C62372 31287MT59 4145.47120000 PA USD 4271.32000000 0.000116843464 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2001-20 Z 6% 5/31 31359SXB1 5697.34620000 PA USD 5724.59000000 0.000156598177 Long ABS-CBDO USGSE US N 2 2031-05-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 3/42 #AL1521 3138EHVP4 51069.76260000 PA USD 48373.54000000 0.001323275242 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 12/33 #G04895 3128M6XY9 494.38950000 PA USD 490.77000000 0.000013425186 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2.5% 07/20/2051#MA7472 36179WJR0 570804.32490000 PA USD 486485.68000000 0.013307987303 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 3/40 #545934 36212WPT8 3021.28180000 PA USD 2937.54000000 0.000080357442 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 7.5% 11/01/2030# 31298C2P3 29.37840000 PA USD 30.76000000 0.000000841450 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 0.07500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 FNR 2010-15 FJ SOFR30A+104.448 6/36 31398MRG3 1608012.14680000 PA USD 1608142.07000000 0.043991293330 Long ABS-CBDO USGSE US N 2 2036-06-25 Variable 0.06332060 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 7/40 #743665 3620AYFE1 2608.11670000 PA USD 2593.23000000 0.000070938720 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/40 #737559 3620ARMG3 21186.96500000 PA USD 20146.23000000 0.000551107224 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 10/40 #004833 36202FLN4 19614.04950000 PA USD 18731.38000000 0.000512403504 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 05/01/2051#CB0511 3140QKR91 921264.67300000 PA USD 767287.63000000 0.020989423652 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM 30YR 4.5% 10/01/2040# 3129424K8 1813.45880000 PA USD 1765.30000000 0.000048290403 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA SOFR30A+660.552 06/25/2035 31394D4V9 25110.15830000 PA USD 1719.03000000 0.000047024671 Long ABS-CBDO USGSE US N 2 2035-06-25 Variable 0.01317940 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 2.501% 04/01/2044#AV5913 3138XHSB8 38148.71420000 PA USD 38404.71000000 0.001050574382 Long ABS-MBS USGSE US N 2 2044-04-01 Variable 0.04080000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 10/42 #AP7882 3138MBXL5 52935.32080000 PA USD 48646.02000000 0.001330729028 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2520 BE 6% 11/32 31392XV96 9140.90200000 PA USD 9300.47000000 0.000254417636 Long ABS-CBDO USGSE US N 2 2032-11-15 Fixed 0.06000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 2009-118 XZ 5% 12/39 38376PLJ7 9592527.06820000 PA USD 9524139.06000000 0.260536182050 Long ABS-CBDO USGA US N 2 2039-12-20 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 12/32 #735415 31402RAQ2 11979.49120000 PA USD 12314.68000000 0.000336872413 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 05/01/2035# 31297P2R1 337.48090000 PA USD 335.04000000 0.000009165137 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 12/01/2051#QD3168 3133B0QV8 2708201.75450000 PA USD 2177857.04000000 0.059576047207 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 7.00% 3/32 #003216 36202DSD4 743.55310000 PA USD 767.75000000 0.000021002071 Long ABS-MBS USGA US N 2 2032-03-20 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 4% 06/01/2038#K94286 3132LQUK1 10817.15060000 PA USD 10372.01000000 0.000283729990 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2010-H16 BA 3.55% 07/60 38375BDK5 124219.43690000 PA USD 120222.06000000 0.003288716839 Long ABS-CBDO USGA US N 2 2060-07-20 Fixed 0.03550000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2047#BJ0993 3140H2C71 4537.87790000 PA USD 4253.36000000 0.000116352162 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035 31394E3H9 1499485.73890000 PA USD 1499722.36000000 0.041025433936 Long ABS-CBDO USGSE US N 2 2035-08-25 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 4/39 #AB0043 31416VBM5 71136.20670000 PA USD 69226.05000000 0.001893703005 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 10/39#004553 36202FBW5 2932.58760000 PA USD 2840.70000000 0.000077708350 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 04/01/2052#RA7736 3133KPSZ2 305927.86500000 PA USD 244106.24000000 0.006677612263 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 0.02000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2011-136 WI 4.5% 5/40 38377YTR1 31458.49620000 PA USD 2062.71000000 0.000056426159 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 9/42 #AP3391 3138M6XV4 8575.17020000 PA USD 7896.12000000 0.000216001146 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.0% 12/01/2042#Q15249 3132J6H31 16646.13050000 PA USD 14908.64000000 0.000407831103 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 10/01/2039#G05645 3128M7TA4 2846.60110000 PA USD 2770.85000000 0.000075797578 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2.5% 01/01/2041#SC0119 3132D9DY7 2354445.86600000 PA USD 2033772.46000000 0.055634562720 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 02/01/2049#BM5577 3140JAFT0 275575.62020000 PA USD 273572.63000000 0.007483675751 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.60% 2/35 #779905 31404VNW4 3667.93470000 PA USD 3695.09000000 0.000101080489 Long ABS-MBS USGSE US N 2 2035-02-01 Variable 0.04295000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 03/01/2045#Q32124 3132QNLE7 9025.10280000 PA USD 8256.98000000 0.000225872599 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 6/40 #677235 36295QLQ1 5729.82800000 PA USD 5570.19000000 0.000152374511 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/2042#Q11138 3132HMHP9 14063.69080000 PA USD 13375.73000000 0.000365897810 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 3.5% 02/43 #Q15869 3132J66F6 45288.77310000 PA USD 41719.56000000 0.001141253273 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 11/01/2041#CB2113 3140QMK37 661444.73600000 PA USD 569909.65000000 0.015590079417 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 03/01/2044#Q25226 3132M5PK2 13301.50520000 PA USD 12595.67000000 0.000344558993 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 12/01/2042#Q13899 3132HQKL5 7332.18610000 PA USD 6967.02000000 0.000190585288 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 04/01/2048#Q55720 3132XYLA3 11586.17640000 PA USD 10880.85000000 0.000297649488 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3297 BI SOFR30A+664.552 4/37 31397GRY8 56274.54550000 PA USD 6022.36000000 0.000164743781 Long ABS-CBDO USGSE US N 2 2037-04-15 Variable 0.01457010 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 10/26 #256507 31371M3Q8 342.66530000 PA USD 344.54000000 0.000009425013 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 11/01/2041#FM9558 3140XDTQ9 3180004.66100000 PA USD 2736953.37000000 0.074870324443 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 10/41 #005280 36202F2M7 18018.71490000 PA USD 17187.93000000 0.000470181885 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.0% 12/20/2042#MA0624 36179MVR8 29168.53510000 PA USD 26219.93000000 0.000717255429 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FGLMC 30YR 3.5% 09/46#Q43176 3132WGQ67 110920.18890000 PA USD 101202.57000000 0.002768431984 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 01/01/45#AX3256 3138Y4TN9 18417.89300000 PA USD 16310.64000000 0.000446183308 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 06/15/2043#AC9654 36179KWP5 6862.92030000 PA USD 6344.19000000 0.000173547554 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 9/41 #AI9685 3138APXP8 1571.95650000 PA USD 1492.61000000 0.000040830872 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 1.5% 12/01/2040#RB5089 3133KYUN7 1102893.90100000 PA USD 892082.68000000 0.024403236245 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.01500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3110 OP PO 0% 9/35 31396HU49 4669.25430000 PA USD 4314.32000000 0.000118019744 Long ABS-CBDO USGSE US N 2 2035-09-15 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/25 #324193 31374UC61 15.34620000 PA USD 15.79000000 0.000000431941 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 06/01/2041#FM7891 3140XBXV7 361786.39100000 PA USD 304278.96000000 0.008323658234 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 01/01/2043#AQ9316 3138MRK67 112144.71220000 PA USD 96464.48000000 0.002638819862 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 06/01/2041# 3132GET67 7393.54440000 PA USD 7194.43000000 0.000196806169 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4.0% 04/15/2043#AC1092 36179AF92 15800.46000000 PA USD 14981.95000000 0.000409836524 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5.0% 03/01/2041#A97686 312946RF5 4759.21590000 PA USD 4761.47000000 0.000130251690 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 9/31 #564867 36213UQU7 16.37360000 PA USD 16.86000000 0.000000461211 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 02/01/2035#FM2502 3140X5X81 324358.29370000 PA USD 294489.70000000 0.008055869576 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 1.5% 01/01/2041#MA4231 31418DVZ2 1845387.71500000 PA USD 1492653.48000000 0.040832062231 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.0% 12/20/44#MA2446 36179QWF4 11150.09000000 PA USD 10622.40000000 0.000290579497 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2007-59 FC TSFR1M+61.448 7/37 38375LQB9 84254.16970000 PA USD 82889.40000000 0.002267468762 Long ABS-CBDO USGA US N 2 2037-07-20 Variable 0.05928460 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 07/01/2044#G61831 31335CA87 16457.53870000 PA USD 15631.64000000 0.000427609023 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 11/15/2042#AB9211 36178WGU7 56649.65870000 PA USD 52376.00000000 0.001432763946 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 7/40 #004746 36202FHX7 9205.85430000 PA USD 9015.36000000 0.000246618351 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 11/27 #190289 31368HKA0 26.15220000 PA USD 26.90000000 0.000000735858 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 1.5% 12/01/2040#MA4202 31418DU42 1838310.64000000 PA USD 1486929.14000000 0.040675470892 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 12/01/2034#CA4890 3140QCNG7 213310.06160000 PA USD 198743.31000000 0.005436693318 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 12/01/2032#MA3217 31418CSF2 10819.85860000 PA USD 9962.14000000 0.000272517852 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 8/33 #C01614 31292HYK4 1356.54930000 PA USD 1322.08000000 0.000036165964 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 04/20/2043#MA0934 36179NBB3 35824.97310000 PA USD 33205.05000000 0.000908335850 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 04/15/2043#783836 3622A2HM7 117269.49430000 PA USD 108672.67000000 0.002972779204 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068 38380LGR8 926574.16730000 PA USD 882601.64000000 0.024143879053 Long ABS-CBDO USGA US N 2 2068-08-20 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2047#BH9459 3140GYQM4 8473.65920000 PA USD 8183.53000000 0.000223863348 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 12/46#BC9077 3140F5CP6 166968.45760000 PA USD 151935.92000000 0.004156260661 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/25 #322438 31374SEK3 15.80480000 PA USD 16.26000000 0.000000444798 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 7/40 #739184 3620ATFZ5 1136.10340000 PA USD 1104.67000000 0.000030218637 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 07/01/2033# 31283HYM1 1367.23000000 PA USD 1392.05000000 0.000038080018 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2033#727139 31402EZC5 10230.17130000 PA USD 9956.65000000 0.000272367671 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 10/28 #457547 31381DHY4 144.88220000 PA USD 149.04000000 0.000004077041 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 07/46#AS7533 3138WHLP5 1005728.73720000 PA USD 887831.48000000 0.024286943171 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 7/41 #Q02385 3132GFUJ4 3567.07210000 PA USD 3472.22000000 0.000094983802 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 03/01/2039#AB0051 31416VBV5 13543.76310000 PA USD 13180.08000000 0.000360545735 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 10/35 #835485 31407NF24 862.54260000 PA USD 885.15000000 0.000024213590 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 08/01/2031#BC2778 3140EXCQ4 74498.23480000 PA USD 69263.15000000 0.001894717889 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.5% 03/43 #AR8173 3138W6CK0 31004.71740000 PA USD 28475.43000000 0.000778955427 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 11/01/2042#Q13653 3132HQBW1 11418.06710000 PA USD 10819.31000000 0.000295966039 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.0% 10/01/2042#C04268 31292LW50 5923.48690000 PA USD 5297.21000000 0.000144907047 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2.5% 08/01/2041#QK0985 3133D4CW1 1254994.58600000 PA USD 1082104.52000000 0.029601350677 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 12/01/2051#RA6510 3133KNGT4 5122109.06860000 PA USD 4119051.06000000 0.112678094059 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 12/01/2051#CB2350 3140QMTG9 5255463.00100000 PA USD 4223005.75000000 0.115521811257 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 06/47#Q48876 3132WN2J0 53056.04060000 PA USD 51338.31000000 0.001404377571 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 8/28 #251975 31371G2G4 24.88620000 PA USD 25.50000000 0.000000697561 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 07/01/2046#Q43088 3132WGNE3 10195.07010000 PA USD 9308.26000000 0.000254630734 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.625% 05/31/2027 91282CET4 45180000.00000000 PA USD 42409195.54000000 1.160118496822 Long DBT UST US N 2 2027-05-31 Fixed 0.02625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AR5858 3138W3QL0 20621.14460000 PA USD 18379.85000000 0.000502787277 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2007-57 SA 4062-6*1ML 6/37 31396WJV9 3914.25270000 PA USD 4610.45000000 0.000126120485 Long ABS-CBDO USGSE US N 2 2037-06-25 Variable 0.08207640 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 07/01/2029# 31292G4T0 80.31600000 PA USD 80.75000000 0.000002208944 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.125% 10/31/2027 91282CFU0 24500000.00000000 PA USD 24271269.47000000 0.663949134025 Long DBT UST US N 2 2027-10-31 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 11/01/2032#G18665 3128MMW33 14348.47140000 PA USD 13229.22000000 0.000361889977 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 7/40 #745228 3620C04M7 25192.57920000 PA USD 24491.86000000 0.000669983465 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 05/01/2041#FM7587 3140XBND8 2196854.25400000 PA USD 1897644.68000000 0.051910739301 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 09/01/2051#QC7496 3133ASKH5 844828.72620000 PA USD 729952.55000000 0.019968109375 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2530 FE SOFR30A+71.448 2/32 31393FAU0 10790.96700000 PA USD 10713.62000000 0.000293074852 Long ABS-CBDO USGSE US N 2 2032-02-15 Variable 0.05902990 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/2043#Q21605 3132JNYA9 18661.10940000 PA USD 17694.20000000 0.000484031079 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 03/15/2045#777581 36176VUE1 37753.26050000 PA USD 33928.63000000 0.000928129636 Long ABS-MBS USGA US N 2 2045-03-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 2.947% 07/01/2043#AL5652 3138ENH69 22079.36950000 PA USD 22320.91000000 0.000610596363 Long ABS-MBS USGSE US N 2 2043-07-01 Variable 0.04653000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 3/38 #889219 31410G4C4 5740.60880000 PA USD 5919.06000000 0.000161917973 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 02/01/2052#RA6114 3133KMYK5 280001.30500000 PA USD 223243.89000000 0.006106915323 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 06/01/2044#Q26541 3132M65A4 11167.50070000 PA USD 10574.91000000 0.000289280391 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 12/01/2047#G61305 31335BNW2 234163.22900000 PA USD 219761.82000000 0.006011662070 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 06/20/2046#AS4297 36193NX21 37017.63510000 PA USD 33978.27000000 0.000929487556 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 8/39 #698474 36296Q6K0 61527.43090000 PA USD 59800.23000000 0.001635856376 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 5.5% 08/01/2025#AL0517 3138EGSF2 341.93940000 PA USD 341.54000000 0.000009342947 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 5/40 #A92286 312940RF8 873.02810000 PA USD 849.59000000 0.000023240834 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 8/41 #Q02511 3132GFYG6 2755.18360000 PA USD 2681.96000000 0.000073365961 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 5/39 #G05457 3128M7ME3 18832.20360000 PA USD 18328.09000000 0.000501371364 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.00% 9/25 #405143 36206ABL6 99.87920000 PA USD 100.61000000 0.000002752222 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 4.5% 06/01/2039#FM1045 3140X4ET9 25979.84270000 PA USD 25382.60000000 0.000694349972 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 2/42 #AK2525 3138E6YX8 3355.53990000 PA USD 3188.04000000 0.000087209958 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 05/01/2047#Q47872 3132WMXA7 13719.71400000 PA USD 12888.79000000 0.000352577394 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 05/01/2052#CB3647 3140QPBR7 3201059.47800000 PA USD 3145782.30000000 0.086053983970 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2011-4 PZ 5% 2/41 31397QKY3 47614.98470000 PA USD 45315.49000000 0.001239621206 Long ABS-CBDO USGSE US N 2 2041-02-25 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 02/15/2045#AK7288 36183RCZ4 26379.74300000 PA USD 23707.32000000 0.000648522097 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 10/01/2040#FM7397 3140XBGF1 4050329.70100000 PA USD 3647673.46000000 0.099783393611 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 10/41 #AJ3485 3138AU2T3 5254.58810000 PA USD 4974.95000000 0.000136091511 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 03/46#BC0287 3140EUJ91 14384.25860000 PA USD 13918.73000000 0.000380751766 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5.0% 07/01/2041#Q02130 3132GFLK1 4043.37100000 PA USD 4045.53000000 0.000110666899 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2010-170 B 4% 12/40 38377NRP1 53571.93290000 PA USD 51192.73000000 0.001400395178 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3336 LI SOFR30A+646.552 6/37 31397J7J7 17107.51470000 PA USD 1709.47000000 0.000046763154 Long ABS-CBDO USGSE US N 2 2037-06-15 Variable 0.01277010 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 11/40 #004854 36202FMB9 4696.50080000 PA USD 4600.02000000 0.000125835168 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/27 #313687 31374GNC7 51.34850000 PA USD 52.82000000 0.000001444909 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 07/01/2041#CB1069 3140QLFK7 3392038.16800000 PA USD 2838019.63000000 0.077635027620 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 4/28 #433689 36207JXS7 26.86560000 PA USD 27.11000000 0.000000741603 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 11/01/2039#AC6492 31417TGA0 1782.89700000 PA USD 1732.80000000 0.000047401354 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.50% 8/32 #C70220 31287XG59 695.94530000 PA USD 717.78000000 0.000019635124 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 06/01/2035# 3128MJB82 666.58590000 PA USD 662.96000000 0.000018135504 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 4.50% 7/26 #AB3303 31416YU55 1129.66880000 PA USD 1112.06000000 0.000030420793 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2432 FE SOFR30A+101.448 6/31 31339NNM4 900.90520000 PA USD 899.74000000 0.000024612704 Long ABS-CBDO USGSE US N 2 2031-06-15 Variable 0.06202990 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 5/39 #713327 36297JPL2 4909.17100000 PA USD 4874.95000000 0.000133355976 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 7.00% 7/29 #C47273 31298GCJ7 4511.66280000 PA USD 4641.29000000 0.000126964124 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNMA 13-149 MA 2.5% 5/20/40 38378UQY6 168902.38380000 PA USD 160602.62000000 0.004393341296 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2996 MK 5.5% 6/35 31395UYX3 5425.71130000 PA USD 5441.95000000 0.000148866460 Long ABS-CBDO USGSE US N 2 2035-06-15 Fixed 0.05500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047 3137H5F77 1450628.53000000 PA USD 1252988.23000000 0.034275934815 Long ABS-CBDO USGSE US N 2 2047-11-25 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.0% 08/20/2045#MA3035 36179RLQ0 615351.00700000 PA USD 586036.36000000 0.016031231255 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT K729 A2 3.136% 10/25/2024 3137FCM43 7600000.00000000 PA USD 7401800.36000000 0.202478858608 Long ABS-MBS USGSE US N 2 2024-10-25 Fixed 0.03136000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/40#AE6588 31419HKA9 9983.59590000 PA USD 9483.17000000 0.000259415458 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 15YR 5% 09/01/2038 #TBA 01F050494 10100000.00000000 PA USD 9976117.44000000 0.272900209995 Long ABS-MBS USGA US N 2 2038-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 7/26 #256310 31371MVB0 6455.49730000 PA USD 6458.94000000 0.000176686581 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 4.25% 03/25/2042 3136A4CM9 2367707.32120000 PA USD 2216352.34000000 0.060629099712 Long ABS-CBDO USGSE US N 2 2042-03-25 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.00% 8/37 #G06089 3128M8C28 8082.12650000 PA USD 8312.15000000 0.000227381793 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 07/01/2033#709470 31401JFK9 11529.44460000 PA USD 11427.64000000 0.000312607121 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 04/01/2043#G07345 3128M9P63 191803.73880000 PA USD 181686.38000000 0.004970094984 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.80% 5/37 #1N1474 3128QHT75 3257.17660000 PA USD 3313.65000000 0.000090646064 Long ABS-MBS USGSE US N 2 2037-05-01 Variable 0.06760000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 10/46#AL9397 3138ERNP1 63335.00340000 PA USD 55791.76000000 0.001526203266 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2682 LD 4.5% 10/33 31394KK78 133426.35330000 PA USD 131328.01000000 0.003592524017 Long ABS-CBDO USGSE US N 2 2033-10-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.0% 02/01/2045#AX6813 3138Y8SB7 13806.77120000 PA USD 13023.08000000 0.000356250945 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 12/01/2046#Q45028 3132WJSS1 15034.29630000 PA USD 14552.25000000 0.000398081929 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 11/41 #489862 36210EFB0 35658.94490000 PA USD 33873.05000000 0.000926609225 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 06/47#Q48877 3132WN2K7 64724.46600000 PA USD 61047.20000000 0.001669967680 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 07/01/2040#FM7867 3140XBW55 132593.76080000 PA USD 119412.19000000 0.003266562560 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.0% 3/45#AY0609 3138YDVB2 23204.19400000 PA USD 20549.33000000 0.000562134167 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 11/01/2042#AQ1978 3138MHFU2 6784.56090000 PA USD 6044.27000000 0.000165343136 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 08/01/2043#Q20763 3132JMZ44 11095.77270000 PA USD 10514.33000000 0.000287623204 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 5/40 #736729 3620AQPN7 14200.64950000 PA USD 13806.01000000 0.000377668271 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 4/26 #313275 31374F6L8 46.15960000 PA USD 46.47000000 0.000001271203 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 7/40 #745196 3620C03D8 9685.45380000 PA USD 9416.77000000 0.000257599063 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.625% 10/15/2024 91282CDB4 25100000.00000000 PA USD 23834214.78000000 0.651993348882 Long DBT UST US N 2 2024-10-15 Fixed 0.00625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 02/01/2043#AR2626 3138NY4L6 64268.83420000 PA USD 55218.01000000 0.001510508132 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 03/01/2033#G18683 3128MMXM0 40931.76300000 PA USD 37674.94000000 0.001030611267 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3.5% 05/01/2035#FM3340 3140X6WA5 2961106.05600000 PA USD 2838812.67000000 0.077656721509 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 8/30 #549602 31385QRX2 40.31040000 PA USD 42.01000000 0.000001149198 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 1/29 #323500 31374TKM0 33.67380000 PA USD 34.64000000 0.000000947589 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.00% 8/27 #780622 36225AVP2 19.91960000 PA USD 20.29000000 0.000000555040 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 11/25 #329280 31375AXH7 21.50300000 PA USD 22.12000000 0.000000605100 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 7/32 #254379 31371KQ87 153.08300000 PA USD 159.23000000 0.000004355792 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 12/41 #AJ4198 3138AVUY9 14231.53330000 PA USD 13498.01000000 0.000369242822 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 21-68 A 2% 07/25/2049 3136BJET8 2178908.57000000 PA USD 1747487.94000000 0.047803148735 Long ABS-CBDO USGSE US N 2 2049-07-25 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 4.50% 6/25 #MA0442 31417YP43 701.59570000 PA USD 692.83000000 0.000018952608 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 03/01/2047#BE5550 3140FREY7 12696.26500000 PA USD 12265.53000000 0.000335527897 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 2/28 #433616 36207JVH3 56.67930000 PA USD 57.06000000 0.000001560896 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N CHICAGO BOARD OF TRADE N/A US LONG BOND(CBT) FUT DEC23 USZ3 N/A 231.00000000 NC USD 400149.75000000 0.010946237497 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2023-12-19 27709662.75000000 USD 400149.75000000 N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 03/01/2033#ZS8690 3132A9UP0 82021.91020000 PA USD 77035.87000000 0.002107343385 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 8/33 #A12833 31296MEE5 821.48830000 PA USD 815.90000000 0.000022319232 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 04/46#Q39901 3132QXAB3 9423.63710000 PA USD 8603.93000000 0.000235363538 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 02/20/2041#004948 36202FP91 982.10450000 PA USD 951.27000000 0.000026022326 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044 38376MAY3 255161.41090000 PA USD 229271.28000000 0.006271796701 Long ABS-CBDO USGA US N 2 2044-01-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 11/01/2051#QD0399 3133AWNQ3 208204.43870000 PA USD 167431.95000000 0.004580160026 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 12/01/2052#RA8291 3133KQF84 1438529.59000000 PA USD 1403798.59000000 0.038401405387 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE8135 31419KBD6 5306.43290000 PA USD 5026.66000000 0.000137506056 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 01/01/2052#MA4512 31418EAN0 626950.04800000 PA USD 520204.53000000 0.014230378334 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2.5% 03/01/2051#RA4749 3133KLH26 1503275.59400000 PA USD 1252493.00000000 0.034262387624 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 9/41 #AH4609 3138A6DP2 697.13700000 PA USD 659.80000000 0.000018049061 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2016-H13 FB T1Y+50 05/20/2066 38376RUU8 4218895.13860000 PA USD 4206507.20000000 0.115070487605 Long ABS-CBDO USGA US N 2 2066-05-20 Variable 0.05850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 1/27 #368817 31376XVJ4 198.13540000 PA USD 200.99000000 0.000005498152 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 02/01/2041#A96822 312945SK5 2005.20380000 PA USD 1903.08000000 0.000052059424 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 8/33 #G01584 31283HXM2 280.66750000 PA USD 278.58000000 0.000007620654 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 7.00% 8/26 #256430 31371MY35 470.65390000 PA USD 473.66000000 0.000012957136 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 1.5% 09/01/2053 #TBA 01F012692 1700000.00000000 PA USD 1281578.49000000 0.035058031458 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 04/48#CA1564 3140Q8W27 19233.42390000 PA USD 18556.87000000 0.000507629721 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 6/40 #704995 36296YGC0 1303.54410000 PA USD 1296.67000000 0.000035470865 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 6/41 #768770 36176K2B2 3588.19450000 PA USD 3408.16000000 0.000093231418 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 9/37 #942981 31413ECS2 1395.76330000 PA USD 1437.51000000 0.000039323592 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 08/01/2035#G02836 3128M4PV9 406.19110000 PA USD 395.75000000 0.000010825880 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2046#BE2414 3140FMVG8 9549.61430000 PA USD 8983.69000000 0.000245752007 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2002-18 FD SOFR30A+91.448 2/32 31392CHM9 502.28880000 PA USD 500.36000000 0.000013687524 Long ABS-CBDO USGSE US N 2 2032-02-25 Variable 0.06202060 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 6% 05/01/2029# 31293PXU4 97.05310000 PA USD 97.53000000 0.000002667967 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 4/41 #A97942 312946ZF6 68698.17910000 PA USD 66877.53000000 0.001829458413 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 04/01/2048#Q55141 3132XXWB1 2224.97210000 PA USD 2089.52000000 0.000057159556 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 7/29 #323819 31374TVL0 52.28550000 PA USD 53.59000000 0.000001465973 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2033#727060 31402EWV6 4330.28040000 PA USD 4214.65000000 0.000115293236 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 04/01/2046#Q39717 3132QWYP8 18386.77020000 PA USD 16252.71000000 0.000444598612 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N FNMA STRIPPED MTG BKD SECS N/A FNS 384 6 5% 7/37 3136FER61 18022.61190000 PA USD 3055.66000000 0.000083588656 Long ABS-CBDO USGSE US N 2 2037-07-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 11/01/2051#FM9633 3140XDV37 643801.70170000 PA USD 559076.95000000 0.015293747089 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM TSFR1M+61.448 06/20/2064 38375UKG4 115550.19810000 PA USD 115007.57000000 0.003146072627 Long ABS-CBDO USGA US N 2 2064-06-20 Variable 0.05717710 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 0.0% 10/01/2041#AI6819 3138ALSH1 13868.09450000 PA USD 13712.75000000 0.000375117111 Long ABS-MBS USGSE US N 2 2041-10-01 Variable 0.04080000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047 3137H5KC0 5444727.46900000 PA USD 4762867.37000000 0.130289916219 Long ABS-CBDO USGSE US N 2 2047-11-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 01/01/2043#AL7626 3138EQPL0 26292.27510000 PA USD 24910.00000000 0.000681421832 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 06/01/2031#J34584 31307RCV5 5236.87460000 PA USD 4962.00000000 0.000135737259 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 08/01/2045#AZ3728 3138YVEA3 14285.79350000 PA USD 12637.92000000 0.000345714757 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.50% 7/38 #711379 36297GJY7 593.25560000 PA USD 596.15000000 0.000016307893 Long ABS-MBS USGA US N 2 2038-07-15 Fixed 0.05500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.625% 02/28/2025 91282CGN5 18900000.00000000 PA USD 18769324.27000000 0.513441483179 Long DBT UST US N 2 2025-02-28 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 7.00% 1/36 #A54473 3128KG6J2 1452.04300000 PA USD 1511.52000000 0.000041348162 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044 38378YG78 481224.39160000 PA USD 431834.89000000 0.011812995674 Long ABS-CBDO USGA US N 2 2044-01-20 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040 38377LAL2 18508.38880000 PA USD 17755.19000000 0.000485699482 Long ABS-CBDO USGA US N 2 2040-09-16 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 04/01/2041# 31418DYH9 19965.94400000 PA USD 16623.81000000 0.000454750183 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.02000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM 30YR 5.5% 08/01/2053#RA9619 3133KRVL5 9882656.00000000 PA USD 9848459.05000000 0.269408069727 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 8/35 #830989 31407HF68 696.14100000 PA USD 712.17000000 0.000019481661 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 4/1/43 #AT0668 3138WMW64 9965.11450000 PA USD 9140.72000000 0.000250047618 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 4/42 #AK6409 3138EBDP7 7065.99310000 PA USD 6687.49000000 0.000182938646 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 6/40 #745094 3620C0XX1 29188.48480000 PA USD 28374.58000000 0.000776196640 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FGLMC 3871 KB 5.5% 06/41 3137AC7K9 4607426.39940000 PA USD 4700846.58000000 0.128593315641 Long ABS-CBDO USGSE US N 2 2041-06-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 2/40 #735358 3620AN5T3 6846.66890000 PA USD 6655.91000000 0.000182074764 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 08/01/2043#Q20785 3132JM2S7 9549.04680000 PA USD 9054.27000000 0.000247682748 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2040 3136BA7B4 698064.62100000 PA USD 628501.16000000 0.017192870831 Long ABS-CBDO USGSE US N 2 2040-07-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 11/01/2031#MA2803 31418CDH4 1122955.37800000 PA USD 1041586.93000000 0.028492977717 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 01/01/2041# 3129444V0 2836.93700000 PA USD 2761.02000000 0.000075528675 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 04/01/2033#BJ8594 3140HARQ5 4738.24000000 PA USD 4450.21000000 0.000121737063 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 6.36% 7/36 #1B7105 3128QPH96 107249.11400000 PA USD 108548.93000000 0.002969394252 Long ABS-MBS USGSE US N 2 2036-07-01 Variable 0.06256000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 9/39 #710848 36297FWH1 4708.68940000 PA USD 4678.46000000 0.000127980922 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2004-91 Z 5 12/34 31394BZJ6 1425012.87540000 PA USD 1396239.16000000 0.038194614514 Long ABS-CBDO USGSE US N 2 2034-12-25 Fixed 0.05000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 2004-22 AZ 5.5% 04/20/2034 38374GDS8 811494.86660000 PA USD 838301.95000000 0.022932045414 Long ABS-CBDO USGA US N 2 2034-04-20 Fixed 0.05500000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A FNS 348 14 6.5% 8/34 3136FCEU6 2863.94420000 PA USD 553.72000000 0.000015147205 Long ABS-CBDO USGSE US N 2 2034-08-25 Variable 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM 30YR 6% 06/01/2053#RA9276 3133KRJV7 4017052.64000000 PA USD 4079378.82000000 0.111592845946 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 08/01/2033#729380 31402HJZ5 4801.09960000 PA USD 4672.36000000 0.000127814055 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2% 12/01/2035#MA4206 31418DU83 7704144.28700000 PA USD 6791494.41000000 0.185783724161 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 10/34 #357634 31376KHK5 5726.57260000 PA USD 5849.06000000 0.000160003098 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 01/01/2052#SD8190 3132DWC35 69135.74930000 PA USD 59670.15000000 0.001632297992 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.00% 9/24 #403965 36205XW26 11.60600000 PA USD 11.64000000 0.000000318416 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 3/28 #454375 36208LXC6 35.66810000 PA USD 35.99000000 0.000000984519 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.0% 05/01/2045#Q33468 3132QP2A1 12261.04260000 PA USD 10860.95000000 0.000297105116 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 4.87% 10/35 #1M1052 3128QFEZ3 17479.37930000 PA USD 17540.96000000 0.000479839145 Long ABS-MBS USGSE US N 2 2035-10-01 Variable 0.05001000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 4/42 #AK6572 3138EBJS5 11333.14500000 PA USD 10418.34000000 0.000284997364 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 10/41 #Q03643 3132GJWC9 33134.83890000 PA USD 32251.25000000 0.000882244315 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 11/42#AB6934 31417DV42 16125.70300000 PA USD 14815.99000000 0.000405296630 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2003-70 BJ 5% 7/33 31393DAN1 29989.06650000 PA USD 29379.88000000 0.000803696976 Long ABS-CBDO USGSE US N 2 2033-07-25 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/2043#Q21526 3132JNVT1 9089.11570000 PA USD 8618.17000000 0.000235753078 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2154 PT 6% 5/29 3133TKW97 4774.59440000 PA USD 4795.17000000 0.000131173566 Long ABS-CBDO USGSE US N 2 2029-05-15 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047 3137H62Q7 1176296.85400000 PA USD 1013815.09000000 0.027733269242 Long ABS-CBDO USGSE US N 2 2047-10-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 10/41 #AB3687 31417ACZ0 100295.32880000 PA USD 95042.03000000 0.002599908240 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 12/01/2045#G61796 31335B7H3 27621.52890000 PA USD 26884.90000000 0.000735445918 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 4/35 #A54855 3128KHMC7 8044.49370000 PA USD 7988.99000000 0.000218541638 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.05000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.75% 04/30/2027 91282CEN7 40000000.00000000 PA USD 37754687.60000000 1.032792791016 Long DBT UST US N 2 2027-04-30 Fixed 0.02750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 7/40#V81831 3132L7A82 10332.11300000 PA USD 9446.30000000 0.000258406867 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 04/01/2048#Q55504 3132XYDJ3 26790.26240000 PA USD 25159.36000000 0.000688243163 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 3.5% 06/01/2032#C91456 3128P7TM5 300337.98440000 PA USD 285677.17000000 0.007814799710 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035 31394FGT6 42225.88350000 PA USD 42259.78000000 0.001156031182 Long ABS-CBDO USGSE US N 2 2035-09-25 Fixed 0.05900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 10/25 #303555 31373UE45 19.26410000 PA USD 19.82000000 0.000000542183 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 4.5% 11/01/2025#AL8242 3138ETEQ5 105860.66510000 PA USD 104900.32000000 0.002869585239 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 04/01/2035# 3128MJBV1 2008.74940000 PA USD 1997.57000000 0.000054644231 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2.5% 07/01/2050#SD7521 3132DVLA1 203388.21990000 PA USD 171428.49000000 0.004689486786 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2.5% 07/01/2051#RA5574 3133KMFP5 2102020.43650000 PA USD 1757264.70000000 0.048070595452 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.02500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2007-37 TS TSFR1M+657.552 6/37 38375KNC2 11384.43170000 PA USD 1047.11000000 0.000028644063 Long ABS-CBDO USGA US N 2 2037-06-16 Variable 0.01262910 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 12/45#AZ9583 3140E2UH2 29223.31970000 PA USD 27500.64000000 0.000752289703 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 11/01/2044#AX6493 3138Y8GB0 2676.50120000 PA USD 2594.06000000 0.000070961425 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 10/40 #AE3832 31419EHJ1 4251.30890000 PA USD 4133.09000000 0.000113062134 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 06/15/2043#AD3626 36180FA36 5796.02040000 PA USD 5197.14000000 0.000142169597 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 11/47#V84700 3132LAGH9 64055.83350000 PA USD 58403.92000000 0.001597659823 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 09/01/2041#G60405 31335ANW4 63632.93150000 PA USD 61921.45000000 0.001693883097 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 11/01/2051# 3140QMKN3 97337.42920000 PA USD 87303.97000000 0.002388230881 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 2/28 #190294 31368HKF9 76.12510000 PA USD 78.31000000 0.000002142197 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 0.0% 07/01/2041#1B8505 3128UGZV2 6831.69600000 PA USD 6885.38000000 0.000188351997 Long ABS-MBS USGSE US N 2 2041-07-01 Variable 0.06000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT TSFR1M+583.552 02/16/2040 38376WKH7 42420.18720000 PA USD 2071.34000000 0.000056662236 Long ABS-CBDO USGA US N 2 2040-02-16 Variable 0.00522910 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 3% 02/01/2037#MA2897 31418CGF5 174562.91510000 PA USD 159936.60000000 0.004375122084 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 8% 08/01/2030# 31297YK84 227.45740000 PA USD 237.53000000 0.000006497716 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 3/26 #250495 31371FGC0 19.66980000 PA USD 20.23000000 0.000000553398 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 3/40 #711223 36297GD49 25788.56270000 PA USD 25068.31000000 0.000685752458 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 11/39 #722699 3620A83G6 2256.00830000 PA USD 2193.15000000 0.000059994391 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 01/01/2052#FS0286 3140XFJ85 4486273.97720000 PA USD 3603525.10000000 0.098575699657 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 6/28 #432548 31379XP90 343.48460000 PA USD 353.35000000 0.000009666013 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 4% 05/20/2049#BN2615 3617K53Y8 33002.73500000 PA USD 30863.29000000 0.000844276179 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 9/25 #415993 36206NC60 129.70520000 PA USD 130.41000000 0.000003567411 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2.5% 12/20/2051#MA7767 36179WTY4 190815.52580000 PA USD 162479.38000000 0.004444680727 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2.5% 07/01/2041#SC0157 3132D9E67 3574832.58300000 PA USD 3082357.93000000 0.084318987966 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 11/01/2045#Q37070 3132QT2C9 7158.79420000 PA USD 6540.57000000 0.000178919598 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 8/37 #AE0265 31419AJK4 46968.31500000 PA USD 47846.27000000 0.001308851585 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 7/39 #931504 31412P3M1 37543.59790000 PA USD 36495.05000000 0.000998334960 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 04/01/2051#FM6944 3140XAWE8 807136.54880000 PA USD 650336.88000000 0.017790194651 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 0.02000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2010-H17 FA TSFR1M+44.448 7/60 38375BDY5 916072.81840000 PA USD 909217.02000000 0.024871952157 Long ABS-CBDO USGA US N 2 2060-07-20 Variable 0.05760000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 1/32 #579242 36201CP32 414.06380000 PA USD 425.84000000 0.000011649003 Long ABS-MBS USGA US N 2 2032-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2.5% 09/01/2041#SC0185 3132D9F25 2733383.59700000 PA USD 2361953.39000000 0.064612067771 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 12/01/2051#CB2349 3140QMTF1 1634683.56310000 PA USD 1314564.95000000 0.035960387702 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 1999-33 PK 6% 7/29 31359WKN0 4440.71240000 PA USD 4451.26000000 0.000121765786 Long ABS-CBDO USGSE US N 2 2029-07-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 2/24 #190257 31368HJA2 1.26210000 PA USD 1.26000000 0.000000034467 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 07/01/2047#AS9968 3138WLCE1 96714.28670000 PA USD 90922.43000000 0.002487215130 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 10/01/2051#QD0109 3133AWDN1 225045.66670000 PA USD 180975.18000000 0.004950639857 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 04/01/2034#G16829 3128MFY28 99111.08970000 PA USD 92618.32000000 0.002533606799 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 07/01/2032#J37270 31307UCF3 9314.54750000 PA USD 8783.31000000 0.000240270541 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 6.50% 6/27 #256789 31371NF67 1685.04130000 PA USD 1692.45000000 0.000046297566 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 06/01/2045#Q33791 3132QQF98 36948.51780000 PA USD 33780.77000000 0.000924084873 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.0% 07/20/2043#MA1374 36179NQ35 26895.02090000 PA USD 24123.87000000 0.000659916969 Long ABS-MBS USGA US N 2 2043-10-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 3% 2/1/43 #Q15788 3132J62W3 7958.54580000 PA USD 7120.44000000 0.000194782146 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 8/34 #G02758 3128M4MF7 11969.95090000 PA USD 11890.38000000 0.000325265537 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048 3136BG6S5 1334644.65100000 PA USD 1091541.53000000 0.029859503413 Long ABS-CBDO USGSE US N 2 2048-01-25 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 12/01/2040# 312944LX7 4316.70370000 PA USD 4202.06000000 0.000114948832 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 04/01/2043#AR8236 3138W6EJ1 12138.89580000 PA USD 10406.53000000 0.000284674297 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 02/01/2051#SD7532 3132DVLM5 6855817.59400000 PA USD 5541100.76000000 0.151578764996 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 08/01/2035# 31297SPM1 909.18630000 PA USD 903.49000000 0.000024715287 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 04/01/2033#ZS8087 3132A86Y0 80506.26980000 PA USD 74124.32000000 0.002027696908 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 1999-32 PL 6% 7/29 31359WHX2 5952.76700000 PA USD 5968.64000000 0.000163274251 Long ABS-CBDO USGSE US N 2 2029-07-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 11/25 #250383 31371FCU4 10.35010000 PA USD 10.65000000 0.000000291334 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 01/01/2030#FS3868 3140XKJN1 6468672.21600000 PA USD 6093099.81000000 0.166678893635 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 0.02500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 2017-PANW D TSFR1M+977.104 12/20/2040 38377RBW4 118213.80370000 PA USD 92838.18000000 0.002539621147 Long ABS-CBDO USGA US N 2 2040-12-20 Variable 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 12/01/2041#FM9851 3140XD5M4 1882527.45800000 PA USD 1566819.88000000 0.042860910253 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 2/41 #A97151 3129455L8 3143.48250000 PA USD 3059.08000000 0.000083682211 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.0% 08/01/2041#AI5189 3138AJXT4 983.09380000 PA USD 976.90000000 0.000026723443 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 12/30 #563583 31386HCU3 157.58950000 PA USD 164.91000000 0.000004511171 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 5% 04/25/2048 3137H8BP5 2328739.99500000 PA USD 2288512.87000000 0.062603076453 Long ABS-CBDO USGSE US N 2 2048-04-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 11/27 #404745 31378PTA1 31.76610000 PA USD 32.40000000 0.000000886313 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 07/01/2047#MA3058 31418CMG6 937285.99160000 PA USD 879397.99000000 0.024056242078 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 8/25 #303505 31373UDJ3 3.69370000 PA USD 3.80000000 0.000000103950 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 10/29 #252806 31371HYB8 53.13080000 PA USD 54.96000000 0.000001503450 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 10/01/2033# 31296PKS0 3131.67110000 PA USD 3110.32000000 0.000085083900 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 10/01/2040#V81966 3132L7FF1 18118.75060000 PA USD 16554.03000000 0.000452841327 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 11/27 #251298 31371GDB3 57.81850000 PA USD 58.85000000 0.000001609862 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 11/40 #749953 3620C6E27 6206.69070000 PA USD 5904.97000000 0.000161532536 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.25% 11/01/2041#AJ7445 3138E0HX0 5370.99610000 PA USD 5141.87000000 0.000140657666 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 04/01/2046#Q40165 3132WDFF6 23044.67670000 PA USD 20369.99000000 0.000557228258 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 11/01/2042#G07368 3128M9QV7 203942.41240000 PA USD 193485.92000000 0.005292875561 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 04/20/2040#004673 36202FFN1 7735.04790000 PA USD 7492.39000000 0.000204956970 Long ABS-MBS USGA US N 2 2040-04-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 08/01/2051#CB1384 3140QLRE8 3249501.92270000 PA USD 2714514.97000000 0.074256514100 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 7/40 #A92914 312941GX9 2371.50900000 PA USD 2370.30000000 0.000064840392 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 06/01/2040# 3129404Y2 1824.21220000 PA USD 1775.16000000 0.000048560127 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 10/01/2041# 31418D5G3 21151.86600000 PA USD 17545.12000000 0.000479952943 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.0% 07/01/2035#843431 31407XA84 69067.01040000 PA USD 68562.10000000 0.001875540419 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 06/01/2047#BH3646 3140GSBQ4 3562.18370000 PA USD 3441.33000000 0.000094138795 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 03/01/2044#AW3982 3138XTM85 2726.42980000 PA USD 2645.01000000 0.000072355181 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 3/36 #003828 36202EHD4 1591.77440000 PA USD 1556.25000000 0.000042571767 Long ABS-MBS USGA US N 2 2036-03-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 2/29 #323542 31374TLX5 335.44870000 PA USD 345.09000000 0.000009440058 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 6/38 #G05299 3128M7GG5 3218.22850000 PA USD 3135.31000000 0.000085767510 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/45#AZ0560 3138YRTS7 10552.49640000 PA USD 9930.44000000 0.000271650687 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3% 03/20/2043#AD8812 36180MYH4 17373.79500000 PA USD 15548.72000000 0.000425340717 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 5/34 #A21977 31296YFS7 1587.82880000 PA USD 1577.47000000 0.000043152248 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 09/01/2043#Q21900 3132JPDD1 8335.65470000 PA USD 7903.75000000 0.000216209867 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 10/01/2045#AZ4750 3138YWH42 66182.75440000 PA USD 60389.63000000 0.001651979621 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 1/27 #368821 31376XVN5 130.37720000 PA USD 131.80000000 0.000003605435 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 9/41 #Q03210 3132GJGT0 4345.82820000 PA USD 4125.49000000 0.000112854233 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 12/40 #AB1887 31416XCZ1 1518.24960000 PA USD 1476.17000000 0.000040381150 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.00% 11/29 #C46106 31298EYB5 49.24320000 PA USD 49.51000000 0.000001354363 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 04/01/2046#BC0824 3140EU4J5 124498.50840000 PA USD 113523.07000000 0.003105463606 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 10/42#AP9654 3138MDWQ1 3739.20360000 PA USD 3448.07000000 0.000094323170 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE4058 31419EQL6 12940.07210000 PA USD 12274.14000000 0.000335763427 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE7386 31419JF45 11330.15420000 PA USD 10735.97000000 0.000293686244 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050 3136BKWX6 1964606.09800000 PA USD 1705423.08000000 0.046652449659 Long ABS-CBDO USGSE US N 2 2050-02-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/40#AE8996 31419K7J8 16204.15010000 PA USD 15363.14000000 0.000420264111 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 07/01/2051# 3132DWB93 2906713.03600000 PA USD 2608908.37000000 0.071367608322 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 5.0% 09/15/2024 31395FLJ1 169.70480000 PA USD 169.08000000 0.000004625243 Long ABS-CBDO USGSE US N 2 2024-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 11/32#BJ6650 3140H8L86 31946.10330000 PA USD 30034.08000000 0.000821592847 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 6/31 #564650 36213UH37 752.19180000 PA USD 770.14000000 0.000021067451 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 0.07000000 N N N N N N CHICAGO BOARD OF TRADE N/A US ULTRA BOND CBT FUT DEC23 WNZ3 N/A 3.00000000 NC USD 6063.39000000 0.000165866171 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UNITED STATES TREASURY BOND UNITED STATES TREASURY BOND 0% 06/30/2040 2023-12-19 382342.86000000 USD 6063.39000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.00% 12/27 #452821 36208KAW9 86.26710000 PA USD 88.51000000 0.000002421222 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 6.54% 4/37 #918912 31411Y3V3 1325.08780000 PA USD 1328.00000000 0.000036327908 Long ABS-MBS USGSE US N 2 2037-04-01 Variable 0.03945000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 4/40 #737177 3620AQ6N8 29284.76690000 PA USD 29103.73000000 0.000796142795 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 01/01/2051#FM5651 3140X9H57 899159.65000000 PA USD 749439.14000000 0.020501171915 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 02/01/2043#Q15992 3132J7C67 18966.08270000 PA USD 17959.04000000 0.000491275871 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 20-49 JA 2% 08/25/2044 3136BAF41 1102096.71600000 PA USD 978625.07000000 0.026770633837 Long ABS-CBDO USGSE US N 2 2044-08-25 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 6/46#V82414 3132L7VF3 334843.89650000 PA USD 295980.21000000 0.008096643002 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 11/20/2047#784391 3622A22Y7 325417.39880000 PA USD 299613.95000000 0.008196045241 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 10/01/2039#A89270 312936JP3 6224.27930000 PA USD 6056.84000000 0.000165686993 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2009-116 KF TSFR1M+64.448 12/39 38376PA42 67277.37610000 PA USD 66183.50000000 0.001810472977 Long ABS-CBDO USGA US N 2 2039-12-16 Variable 0.05957090 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 8/41 #Q02387 3132GFUL9 4578.22330000 PA USD 4456.52000000 0.000121909675 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 9/40 #004800 36202FKM7 89271.35740000 PA USD 85258.61000000 0.002332279337 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2% 08/01/2036#RC2195 3133L8NL5 5283186.49900000 PA USD 4655677.61000000 0.127357702541 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 05/01/2045#Q33547 3132QP5H3 186106.11440000 PA USD 170150.47000000 0.004654526099 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Securities Lending Cash Central Fund 31635A303 25528697.14400000 NS USD 25531250.01000000 0.698416345947 Long STIV RF US N 1 N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 08/01/2047#CA0181 3140Q7FX0 449270.72060000 PA USD 421242.38000000 0.011523233828 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2502 ZC 6 9/32 31392UTM6 3558.73550000 PA USD 3621.35000000 0.000099063306 Long ABS-CBDO USGSE US N 2 2032-09-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 12/01/2046#BC9079 3140F5CR2 17782.75740000 PA USD 17190.57000000 0.000470254103 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 10/27 #256946 31371NL37 766.58250000 PA USD 770.62000000 0.000021080581 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.06500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3.625% 05/15/2053 912810TR9 70650000.00000000 PA USD 63717468.75000000 1.743013823449 Long DBT UST US N 2 2053-05-15 Fixed 0.03625000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM 30YR 5.5% 8/53 #RA9561 3133KRTS3 2291008.80000000 PA USD 2279501.52000000 0.062356567796 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 12/01/2051#FM9777 3140XD2K1 1251328.36400000 PA USD 1086652.68000000 0.029725767198 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2009-59 HB 5% 8/25/39 31396QRH4 688097.82960000 PA USD 678473.13000000 0.018559871690 Long ABS-CBDO USGSE US N 2 2039-08-25 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 12/01/2052#SD1924 3132DPD54 8990872.17600000 PA USD 8776611.60000000 0.240087304815 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT 3857 ZP 5% 05/15/2041 3137AAL35 3825647.65750000 PA USD 3795698.57000000 0.103832672686 Long ABS-CBDO USGSE US N 2 2041-05-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 6.34% 9/36 #893580 31410PXH1 729.60220000 PA USD 740.88000000 0.000020267033 Long ABS-MBS USGSE US N 2 2036-09-01 Variable 0.03815000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 06/01/2048#BM4426 3140J84L4 648947.93450000 PA USD 590724.52000000 0.016159477524 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 06/01/2031#J34653 31307RE27 43029.41470000 PA USD 40727.58000000 0.001114117310 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 02/01/2052#QD6646 3133B4L37 172811.81200000 PA USD 137782.15000000 0.003769079293 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2033#727221 31402E4E5 3754.93440000 PA USD 3654.77000000 0.000099977521 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 02/20/2043#MA0783 36179M2Q2 26587.36960000 PA USD 24649.15000000 0.000674286189 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2% 05/01/2035#QN2370 3133G8T35 7301841.02500000 PA USD 6455103.48000000 0.176581631665 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.02000000 N N N N N N CHICAGO BOARD OF TRADE N/A US 5YR NOTE (CBT) FUT DEC23 FVZ3 N/A -260.00000000 NC USD -195521.30000000 -0.00534855409 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UST NOTES 0% 06/30/2040 2023-12-29 -27604166.20000000 USD -195521.30000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 9/26 #256469 31371M2A4 367.89130000 PA USD 370.42000000 0.000010132969 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.75% 07/31/2027 91282CFB2 33510000.00000000 PA USD 31545214.54000000 0.862930466096 Long DBT UST US N 2 2027-07-31 Fixed 0.02750000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 3.464% 5/1/41#1B8304 3128UGTL1 54571.16800000 PA USD 55105.41000000 0.001507427919 Long ABS-MBS USGSE US N 2 2041-05-01 Variable 0.05568000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 11/35 #843132 31407WVZ3 6357.98970000 PA USD 6509.03000000 0.000178056810 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 07/01/2034#FM8940 3140XC5A2 1185584.59400000 PA USD 1124243.87000000 0.030754087454 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 2/40 #735365 3620AN6A3 3297.64210000 PA USD 3206.33000000 0.000087710287 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 8/39 #710776 36297FT93 3212.58260000 PA USD 3191.20000000 0.000087296401 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 07/01/2045#AZ1783 3138YS6V3 40827.67220000 PA USD 38471.96000000 0.001052414030 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 9/39 #726323 3620AC4G6 1554.70050000 PA USD 1544.47000000 0.000042249521 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.0% 04/01/2045#AY7471 3138YMJR1 24020.11020000 PA USD 22656.70000000 0.000619782016 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 03/01/2050#BP2187 3140K9ND7 202695.90990000 PA USD 177097.81000000 0.004844573034 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 2% 09/01/2053 #TBA 01F020695 -8650000.00000000 PA USD -6885957.93000000 -0.18836780705 Short ABS-MBS USGA US N 2 2053-09-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 9/42 #AP4410 3138M73U7 32308.83860000 PA USD 29695.69000000 0.000812336070 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 11/01/2045#Q38812 3132QVYJ4 9500.39610000 PA USD 8951.73000000 0.000244877730 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2432 FG SOFR30A+101.448 3/32 31339NNN2 310.71500000 PA USD 310.27000000 0.000008487545 Long ABS-CBDO USGSE US N 2 2032-03-15 Variable 0.06202990 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 02/20/2043#AD1755 36180C5Q8 34351.88190000 PA USD 31702.29000000 0.000867227320 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 4/28 #433685 36207JXN8 81.68290000 PA USD 82.84000000 0.000002266117 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 03/15/2042#733816 3620AMGZ9 19924.09470000 PA USD 18911.92000000 0.000517342239 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 06/20/2040#004709 36202FGS9 7599.55800000 PA USD 7361.73000000 0.000201382719 Long ABS-MBS USGA US N 2 2040-06-20 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 3% 11/25/2040 3137F6YL5 7952535.77800000 PA USD 7159081.86000000 0.195839208461 Long ABS-CBDO USGSE US N 2 2040-11-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 02/01/2042#AJ5602 3138AXGL9 126366.14690000 PA USD 119672.66000000 0.003273687809 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 2/40 #737015 3620AQYL1 10349.82510000 PA USD 10060.54000000 0.000275209618 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 2/40 #735359 3620AN5U0 3654.50080000 PA USD 3552.68000000 0.000097184814 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2145 MZ 6.5% 4/29 3133TKE22 17643.20690000 PA USD 17714.70000000 0.000484591864 Long ABS-CBDO USGSE US N 2 2029-04-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AR0015 3138NWAR0 22527.72170000 PA USD 20100.86000000 0.000549866112 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 09/01/2035#AB8197 31417FDB1 20885.70880000 PA USD 20321.21000000 0.000555893864 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 12/01/2051#BT9503 3140LYRZ8 720192.19900000 PA USD 621588.38000000 0.017003769297 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM TSFR1M+65 12/20/2063 38375UCK4 6569999.63120000 PA USD 6554129.80000000 0.179290531563 Long ABS-CBDO USGA US N 2 2063-12-20 Variable 0.05867710 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 03/20/2043#AA6141 36178DZE4 16018.61490000 PA USD 14773.20000000 0.000404126094 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 4/27 #440301 36207SDE0 5.87130000 PA USD 5.96000000 0.000000163037 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2010-160 DY 4% 12/20/2040 38377RLW3 242773.41590000 PA USD 232020.03000000 0.006346989727 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2% 05/01/2036#QN6401 3133GDDE7 1707458.15000000 PA USD 1506256.06000000 0.041204165603 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.02000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.75% 07/31/2024 912828Y87 1719600.00000000 PA USD 1663444.31000000 0.045504105604 Long DBT UST US N 2 2024-07-31 Fixed 0.01750000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.50% 9/39 #G06670 3128M8W75 32891.05590000 PA USD 34563.06000000 0.000945484692 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 03/01/2033#G18680 3128MMXJ7 94241.60460000 PA USD 86743.07000000 0.002372887264 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.58% 7/35 #995273 31416BT65 25507.67800000 PA USD 25684.40000000 0.000702605817 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.04454000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 03/01/2032#C91403 3128P7RY1 437674.61220000 PA USD 416309.79000000 0.011388301089 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2.5% 02/01/2051#SD7535 3132DVLQ6 1904179.70670000 PA USD 1603178.21000000 0.043855505190 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.50% 10/35 #612663 36202XTU1 2860.07330000 PA USD 2883.51000000 0.000078879432 Long ABS-MBS USGA US N 2 2035-10-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 11/39 #726095 3620ACUU6 3521.91600000 PA USD 3501.26000000 0.000095778201 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 1.5% 11/01/2040#MA4175 31418DT93 1805856.07200000 PA USD 1460678.06000000 0.039957363343 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5.5% 08/01/2053#CB6911 3140QSVD0 3743053.59800000 PA USD 3740628.85000000 0.102326221079 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 08/01/2043#AS9172 3138WKFN0 2537.88360000 PA USD 2398.50000000 0.000065611813 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 12/01/2052#CB5273 3140QQ2F1 1588552.68800000 PA USD 1550199.63000000 0.042406257455 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2002-74 SV SOFR30A+743.552 11/32 31392FRK5 4179.83900000 PA USD 100.41000000 0.000002746750 Long ABS-CBDO USGSE US N 2 2032-11-25 Variable 0.02147940 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 07/01/2033#729327 31402HHC8 773.90980000 PA USD 753.96000000 0.000020624841 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 1929 EZ 7.5 2/2027 3133T9A39 3824.42530000 PA USD 3859.65000000 0.000105582086 Long ABS-CBDO USGSE US N 2 2027-02-17 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 02/01/2043#Q15400 3132J6NS9 12834.50610000 PA USD 12152.06000000 0.000332423885 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 01/01/2043#Q15372 3132J6MW1 3733.08030000 PA USD 3533.85000000 0.000096669712 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 8/40 #A93505 3129413N5 3544.46730000 PA USD 3449.84000000 0.000094371589 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 06/01/2042#AO2244 3138LSP61 52704.79430000 PA USD 53358.17000000 0.001459631553 Long ABS-MBS USGSE US N 2 2042-06-01 Variable 0.05189000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 04/01/2043#Q17518 3132J8YQ7 9043.69150000 PA USD 8570.13000000 0.000234438927 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2.5% 09/01/2053 #TBA 21H022697 15700000.00000000 PA USD 13363425.52000000 0.365561216836 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 02/01/2035#AB0067 31416VCD4 210148.09340000 PA USD 208358.98000000 0.005699733362 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 06/47#BE9387 3140FVND4 10015.27000000 PA USD 9675.49000000 0.000264676440 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AR7033 3138W4Y70 13397.69830000 PA USD 11976.59000000 0.000327623842 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 4/28 #462669 36208V6E0 70.06290000 PA USD 70.92000000 0.000001940041 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 5/24 #284385 31372V2S4 32.08180000 PA USD 32.01000000 0.000000875644 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 01/01/2043#AR3493 3138W03B3 12715.82720000 PA USD 11350.10000000 0.000310485987 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 9/40#V81958 3132L7E70 32594.55980000 PA USD 29779.72000000 0.000814634740 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 4/40 #739091 3620ATC47 10492.26610000 PA USD 10197.53000000 0.000278957028 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N LONDON CLEARING HOUSE N/A LCH OIS SOFRV3.25% MAC 09/20/53 N/A 1159000.00000000 NC USD -70750.05000000 -0.00193539256 N/A DO CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2053-09-20 0.00000000 USD 0.00000000 USD 1171043.88000000 USD -70750.05000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 09/01/2049# 31418DFQ0 50147.56070000 PA USD 43728.32000000 0.001196203611 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 03/01/2052#SD8199 3132DWDC4 973324.41600000 PA USD 775419.24000000 0.021211866711 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.00% 12/37 #A69815 3128L13Y4 2859.96280000 PA USD 2948.61000000 0.000080660266 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 6.00% 5/33 #G01785 31283H6W0 10729.37610000 PA USD 10858.54000000 0.000297039190 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 11/01/2047#Q52086 3132XUJ89 24006.79330000 PA USD 21806.05000000 0.000596512186 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 12/34#FM0045 3140X3BP2 84895.72790000 PA USD 79045.22000000 0.002162309863 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2156 TC 6.25% 5/29 3133TKZ78 1762.41400000 PA USD 1763.19000000 0.000048232684 Long ABS-CBDO USGSE US N 2 2029-05-15 Fixed 0.06250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 2/41 #004945 36202FP67 5242.38370000 PA USD 5005.75000000 0.000136934056 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 11/35 #A47571 3128K8MU7 1824.21080000 PA USD 1814.58000000 0.000049638475 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 01/20/2044#MA1600 36179NX52 4511.50590000 PA USD 4183.38000000 0.000114437834 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 01/01/2031#ZS8593 3132A9RN9 12735.19000000 PA USD 11864.20000000 0.000324549374 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT K727 A2 2.946% 07/25/2024 3137FARE0 13919022.81300000 PA USD 13615326.44000000 0.372452055319 Long ABS-MBS USGSE US N 2 2024-07-25 Fixed 0.02946000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.5% 09/30/2024 912828YH7 13631100.00000000 PA USD 13087985.86000000 0.358026467821 Long DBT UST US N 2 2024-09-30 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 03/01/2052#RA6988 3133KNXR9 4251844.56280000 PA USD 3666056.88000000 0.100286278547 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 1999-25 Z 6% 6/29 31359VU27 4828.33840000 PA USD 4791.15000000 0.000131063597 Long ABS-CBDO USGSE US N 2 2029-06-25 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 12/01/2052#RA8292 3133KQF92 1389553.19000000 PA USD 1355136.18000000 0.037070228003 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 12/20/2041#005258 36202FZX7 60180.06860000 PA USD 55903.40000000 0.001529257217 Long ABS-MBS USGA US N 2 2041-12-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 2/40 #706789 36297BF63 10525.34740000 PA USD 10017.00000000 0.000274018566 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4% 05/46#MA3664 36179SB97 58544.00400000 PA USD 55755.03000000 0.001525198504 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AB8529 31417FPP7 98637.37910000 PA USD 87972.71000000 0.002406524499 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 12/01/2051#CB2347 3140QMTD6 4214196.53830000 PA USD 3391568.10000000 0.092777541189 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 12/01/2041#MA4501 31418EAB6 21918704.25000000 PA USD 18140103.75000000 0.496228934001 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 5% 06/01/2052#BU8753 3140MAWP5 1103034.12300000 PA USD 1083297.09000000 0.029633973850 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 5/26 #303890 31373URK5 14.65940000 PA USD 15.08000000 0.000000412518 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2% 07/01/2041# 3133KYVK2 20466.69900000 PA USD 16976.79000000 0.000464406076 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 04/01/2044#AW1064 3138XQFE6 4784.09110000 PA USD 4641.22000000 0.000126962209 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 03/41#A97555 312946MC7 7278.29250000 PA USD 7085.52000000 0.000193826897 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2009-108 CF TSFR1M+71.448 11/39 38376ENU5 408447.44550000 PA USD 402779.83000000 0.011018184263 Long ABS-CBDO USGA US N 2 2039-11-16 Variable 0.06027090 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 10/01/2051#QC9114 3133AUDT2 573670.68960000 PA USD 461329.27000000 0.012619824838 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 05/01/2034# 31296XSH9 765.54720000 PA USD 760.39000000 0.000020800736 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 1/34 #255070 31371LJP5 117393.09700000 PA USD 119613.68000000 0.003272074390 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 3/42 #783550 36241L5K8 2305.66500000 PA USD 2134.83000000 0.000058399027 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 1.5% 09/01/2053 #TBA 01F012692 -1700000.00000000 PA USD -1281578.49000000 -0.03505803145 Short ABS-MBS USGA US N 2 2053-09-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 1.5% 02/01/2041#RB5099 3133KYUY3 1884070.96200000 PA USD 1517466.17000000 0.041510822115 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 4.5% 12/01/2042#RB5198 3133KYX38 2548365.89200000 PA USD 2450760.68000000 0.067041422501 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 03/20/2043 #MA1090 36179NF78 67084.69760000 PA USD 62161.59000000 0.001700452211 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 0.03500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GNR 2010-H19 FG TSFR1M+41.448 8/60 38375BFQ0 736484.39640000 PA USD 730303.01000000 0.019977696332 Long ABS-CBDO USGA US N 2 2060-08-20 Variable 0.05555260 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 8/35 #357953 31376KTJ5 1445.58340000 PA USD 1478.12000000 0.000040434493 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 12/20/2063 38375UDY3 128795.94660000 PA USD 128499.12000000 0.003515138734 Long ABS-CBDO USGA US N 2 2063-12-20 Variable 0.05817710 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 12/01/2033# 31296RHY7 1333.37470000 PA USD 1323.51000000 0.000036205082 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 06/45#G60179 31335AFU7 309174.82770000 PA USD 291995.81000000 0.007987648335 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2001-31 ZC 6.5% 7/31 313920CW8 2697.94650000 PA USD 2703.40000000 0.000073952460 Long ABS-CBDO USGSE US N 2 2031-07-25 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.0% 08/01/2044#Q27808 3132M8KV7 4824.14600000 PA USD 4565.14000000 0.000124881014 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 5.00% 10/29 #MA0214 31417YGY7 765.10280000 PA USD 763.85000000 0.000020895386 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 01/01/2049#BN4472 3140JL6J8 13098.47430000 PA USD 12240.38000000 0.000334839910 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 05/01/2043#AB9341 31417GLX2 8973.36360000 PA USD 8004.05000000 0.000218953609 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 6/40 #783008 36241LKV7 48781.53640000 PA USD 47414.54000000 0.001297041459 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA/FHLG TBA ISSUER N/A UMBS 30YR 5.5% 09/01/2053 #TBA 01F052698 37675000.00000000 PA USD 37215835.94000000 1.018052313866 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 07/01/2050#CA6399 3140QEDD1 6490604.56880000 PA USD 5450409.90000000 0.149097884544 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 2/42 #AK3455 3138E7ZV9 8932.48500000 PA USD 8468.51000000 0.000231659076 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.875% 05/15/2032 91282CEP2 28790300.00000000 PA USD 26164309.67000000 0.715733916153 Long DBT UST US N 2 2032-05-15 Fixed 0.02875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 01/01/2043#AR1276 3138NXM20 7996.96130000 PA USD 7173.30000000 0.000196228150 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 12/26 #365832 31376ULM4 7.91640000 PA USD 7.92000000 0.000000216654 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 8/33 #713686 31401N2T5 1877.10710000 PA USD 1827.46000000 0.000049990812 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 10/41 #Q04092 3132GKF92 115515.41760000 PA USD 109663.48000000 0.002999883161 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 10/26 #250701 31371FNS7 7.18090000 PA USD 7.25000000 0.000000198326 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047 3137H5BG1 1417709.79800000 PA USD 1242883.07000000 0.033999504601 Long ABS-CBDO USGSE US N 2 2047-10-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 12/45#BA6404 3140EBDJ7 56269.24780000 PA USD 52952.24000000 0.001448527195 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 9/27 #449474 36208FJT8 301.97020000 PA USD 307.87000000 0.000008421892 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.60% 8/35 #735810 31402RN39 16113.25840000 PA USD 16265.86000000 0.000444958335 Long ABS-MBS USGSE US N 2 2035-08-01 Variable 0.05057000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 4/1/43 #AT1745 3138WN5F2 56799.64350000 PA USD 52118.57000000 0.001425721858 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNMA 2004-24 ZM 5% 04/34 38374F2L7 31933.95600000 PA USD 31106.41000000 0.000850926813 Long ABS-CBDO USGA US N 2 2034-04-20 Fixed 0.05000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 12ML+187.9 10/42#849255 31300MH89 106752.78310000 PA USD 106985.48000000 0.002926625526 Long ABS-MBS USGSE US N 2 2042-10-01 Variable 0.04936000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 12/41 #711616 36297GSD3 20994.83640000 PA USD 19420.23000000 0.000531247238 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 7/42 #AO9368 3138M1MS4 5384.82430000 PA USD 4947.49000000 0.000135340333 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 7/39 #704628 36296XYZ1 3809.10520000 PA USD 3782.55000000 0.000103472988 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05000000 N N N N N N LONDON CLEARING HOUSE N/A LCH OIS SOFRV3.75% MAC 09/20/28 N/A 8951000.00000000 NC USD -163797.03000000 -0.00448072550 N/A DO CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2028-09-20 0.00000000 USD 0.00000000 USD 9015785.19000000 USD -163797.03000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AB7767 31417ETZ4 119308.98150000 PA USD 106437.56000000 0.002911636982 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 1/29 #434145 36207KHW3 24.07350000 PA USD 24.46000000 0.000000669111 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2002-16 ZD 6.50% 4/32 31392CVK7 2274.26650000 PA USD 2316.47000000 0.000063367853 Long ABS-CBDO USGSE US N 2 2032-04-25 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 02/01/2048#CA1218 3140Q8K87 25076.20960000 PA USD 24201.96000000 0.000662053149 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.64% 1/35 #813730 31406MA71 2737.61800000 PA USD 2741.57000000 0.000074996613 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 0.04724000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 03/01/2045#Q32008 3132QNGS2 123054.77660000 PA USD 112581.70000000 0.003079712098 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 09/46#BC2843 3140EXER0 204919.73890000 PA USD 193352.27000000 0.005289219518 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 12/01/2042#AL2860 3138EKFA8 8819.07340000 PA USD 7875.22000000 0.000215429419 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 8/41 #Q02592 3132GF2Z9 26160.21700000 PA USD 25464.32000000 0.000696585451 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 12/27 #423188 36206WCZ6 6.37830000 PA USD 6.37000000 0.000000174253 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 1.5% 01/01/2051#SD8120 3132DWAV5 16346437.55000000 PA USD 12353514.50000000 0.337934744805 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 0.01500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.0% 01/46#MA3377 36179RXE4 3795.23010000 PA USD 3614.43000000 0.000098874007 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 1.406% 08/25/2030 3137FX3Q9 6500000.00000000 PA USD 5202796.30000000 0.142324327211 Long ABS-MBS USGSE US N 2 2030-08-25 Fixed 0.01406000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 01/01/2052#RA6604 3133KNKR3 35505.75490000 PA USD 30644.55000000 0.000838292470 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 04/01/2048#Q55725 3132XYLF2 60865.07760000 PA USD 57159.82000000 0.001563627029 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 12/41 #AJ7472 3138E0JS9 3248.62350000 PA USD 3086.62000000 0.000084435578 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2% 12/20/2050#MA7051 36179VZQ6 5443733.90600000 PA USD 4505969.08000000 0.123262372918 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 3/41 #A97528 312946LH7 3530.79440000 PA USD 3437.13000000 0.000094023903 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 8/33 #729713 31402HVE8 898.16520000 PA USD 874.90000000 0.000023933197 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 12/39 #AC6795 31417TRR1 29740.87270000 PA USD 28912.28000000 0.000790905613 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 09/01/2035# 31297S6M2 29.57410000 PA USD 29.45000000 0.000000805615 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 4683 LM 3% 05/15/2047 3137BYKR0 181454.39500000 PA USD 169101.11000000 0.004625820486 Long ABS-CBDO USGSE US N 2 2047-05-15 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045 3136ANY68 128057.82800000 PA USD 21588.36000000 0.000590557199 Long ABS-CBDO USGSE US N 2 2045-06-25 Fixed 0.06000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.25% 04/30/2024 9128286R6 87730900.00000000 PA USD 85918023.42000000 2.350317824019 Long DBT UST US N 2 2024-04-30 Fixed 0.02250000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2.25% 01/25/2032 3137H6LZ6 8719000.00000000 PA USD 7184481.29000000 0.196534018824 Long ABS-MBS USGSE US N 2 2032-01-25 Fixed 0.02250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 08/01/2042#AL2266 3138EJQU5 57475.93660000 PA USD 52866.70000000 0.001446187218 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 06/01/2052#QE4073 3133BDQ24 1405187.49800000 PA USD 1380043.92000000 0.037751588013 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 10/40 #AE4428 31419E4N6 6490.09560000 PA USD 6160.90000000 0.000168533591 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2008-2 FD TSFR1M+59.448 1/38 38374DMX4 84438.28790000 PA USD 82964.31000000 0.002269517951 Long ABS-CBDO USGA US N 2 2038-01-20 Variable 0.05908460 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 10/01/2041#CB1837 3140QMBF0 2282136.55900000 PA USD 1902265.57000000 0.052037145376 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.02000000 N N N N N N CHICAGO BOARD OF TRADE N/A US 10YR NOTE FUT (CBT)DEC23 TYZ3 N/A 228.00000000 NC USD 248038.92000000 0.006785192111 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2023-12-19 25067086.08000000 USD 248038.92000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 2/34 #725162 31402CTT9 8829.10970000 PA USD 8992.10000000 0.000245982065 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 11/01/2044#Q29663 3132MAML2 33842.89240000 PA USD 32800.08000000 0.000897257753 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 05/01/2030#ZK7367 3131XBFG9 6346.32890000 PA USD 5938.93000000 0.000162461524 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 11/42#G60488 31335ARH3 242761.14690000 PA USD 230450.10000000 0.006304043738 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047 38380HC42 255399.29740000 PA USD 227846.08000000 0.006232809853 Long ABS-CBDO USGA US N 2 2047-09-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 7/27 #190284 31368HJ53 54.56000000 PA USD 55.46000000 0.000001517127 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 07/01/2040#CA6462 3140QEFC1 1391662.40100000 PA USD 1205598.39000000 0.032979569033 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.625% 07/31/2029 91282CFC0 41009000.00000000 PA USD 37558477.31000000 1.027425389353 Long DBT UST US N 2 2029-07-31 Fixed 0.02625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 11/01/2040#AB1801 31416XAB6 185724.08980000 PA USD 176228.09000000 0.004820781537 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 5/27 #379801 31377K3J2 192.63640000 PA USD 196.34000000 0.000005370949 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 3.50% 10/42 #Q11886 3132HNCX5 9956.06860000 PA USD 9160.90000000 0.000250599649 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 08/01/2032#G18654 3128MMWQ2 10130.16850000 PA USD 9355.80000000 0.000255931207 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047 3136BLES5 16061096.99100000 PA USD 13429042.96000000 0.367356205043 Long ABS-CBDO USGSE US N 2 2047-10-25 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 2% 10/01/2041# 3133KYVY2 21429.39200000 PA USD 17775.32000000 0.000486250145 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 12/39 #704808 36296YAH5 5300.55950000 PA USD 5150.90000000 0.000140904685 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 04/01/2050#MA3991 31418DNH1 93097.40430000 PA USD 80845.72000000 0.002211563175 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 11/28 #572167 31386STY3 17.39100000 PA USD 17.89000000 0.000000489387 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 06/01/2040#V81792 3132L67D7 83018.22150000 PA USD 75900.73000000 0.002076291230 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 3.472% 12/01/2040#AE0653 31419AWP8 80944.35620000 PA USD 82246.25000000 0.002249875167 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 0.04505000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 4.56% 6/33 #780605 31342AU64 24537.42820000 PA USD 24549.63000000 0.000671563784 Long ABS-MBS USGSE US N 2 2033-06-01 Variable 0.04857000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049 3136BLYE4 1434875.65100000 PA USD 1231778.47000000 0.033695734352 Long ABS-CBDO USGSE US N 2 2049-05-25 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 5/29 #252492 31371HNH7 82.02470000 PA USD 84.70000000 0.000002316998 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 4.801% 2/33 #695019 31400RDY4 12088.42700000 PA USD 12185.62000000 0.000333341931 Long ABS-MBS USGSE US N 2 2033-02-01 Variable 0.07023000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 7/40 #719216 3620A5AR0 14711.38200000 PA USD 14299.56000000 0.000391169505 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 2.243% 10/25/2031 3137H4CD0 14877000.00000000 PA USD 12319625.85000000 0.337007708836 Long ABS-MBS USGSE US N 2 2031-10-25 Fixed 0.02243000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3.5% 06/46#AS7009 36193SYE3 9481.56450000 PA USD 8703.07000000 0.000238075548 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 02/01/2043#AR2943 3138W0HV4 12140.27070000 PA USD 10828.75000000 0.000296224274 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 01/01/2042#AJ5572 3138AXFN6 173184.84570000 PA USD 164264.41000000 0.004493510852 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 5/32 #646414 31390HDT9 97.84670000 PA USD 101.77000000 0.000002783954 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 3/27 #256708 31371NDM4 1859.21080000 PA USD 1863.61000000 0.000050979708 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHR 2162 PH 6 6/29 3133TLBA5 924.71100000 PA USD 926.47000000 0.000025343913 Long ABS-CBDO USGSE US N 2 2029-06-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 9/40 #AE3950 31419EL80 2794.06670000 PA USD 2648.56000000 0.000072452292 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4% 12/20/2045#MA3311 36179RVC0 4250.12360000 PA USD 4047.65000000 0.000110724892 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 08/01/2032#J37452 31307UH50 8770.03340000 PA USD 8269.85000000 0.000226224662 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 2998 LY 5.5 7/25 31395VV55 3978.95760000 PA USD 3960.27000000 0.000108334582 Long ABS-CBDO USGSE US N 2 2025-07-15 Fixed 0.05500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2012-76 GS TSFR1M+658.552 6/42 38375C5E6 25222.77700000 PA USD 2108.43000000 0.000057676846 Long ABS-CBDO USGA US N 2 2042-06-16 Variable 0.01272910 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 11/01/2042#AQ4673 3138MLFP4 10146.30270000 PA USD 9070.41000000 0.000248124263 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2.5% 04/01/2042#BV7699 3140MMRV2 660304.39500000 PA USD 567895.39000000 0.015534978624 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 04/01/2046#V82292 3132L7RM3 54737.39910000 PA USD 51576.23000000 0.001410885956 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 28YR 6.00% 6/36 #889046 31410GWF6 489877.09380000 PA USD 500615.98000000 0.013694526642 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.00% 7/27 #451326 36208HLF1 32.23520000 PA USD 32.96000000 0.000000901632 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 6.50% 8/27 #256856 31371NH99 780.00090000 PA USD 784.77000000 0.000021467660 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4.0% 02/15/2045#AL4767 36184BJL2 16133.11700000 PA USD 15233.50000000 0.000416717763 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2005-14 ZB 5% 3/35 31394CXY3 439839.15910000 PA USD 430964.52000000 0.011789186396 Long ABS-CBDO USGSE US N 2 2035-03-25 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 02/01/2044#Q24572 3132M4W92 3189.00060000 PA USD 3099.71000000 0.000084793659 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4% 04/20/2047#MA4383 36179S2Q9 857368.91160000 PA USD 812237.96000000 0.022219055778 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3258 PM 5.5 12/36 31397CXF1 7407.00340000 PA USD 7491.66000000 0.000204937000 Long ABS-CBDO USGSE US N 2 2036-12-15 Fixed 0.05500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3287 SD SOFR30A+663.552 3/37 31397G6Z8 39993.83160000 PA USD 3637.57000000 0.000099507009 Long ABS-CBDO USGSE US N 2 2037-03-15 Variable 0.01447010 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065 38376RLC8 144111.07800000 PA USD 137629.98000000 0.003764916629 Long ABS-CBDO USGA US N 2 2062-09-20 Variable 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 04/01/2047#AS9459 3138WKQM0 4974.45640000 PA USD 4805.69000000 0.000131461344 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 10/01/2042#AP3667 3138M7CD5 38700.51380000 PA USD 35710.91000000 0.000976884534 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2005-102 CO 0% 11/35 31394UHV7 3449.44200000 PA USD 2906.32000000 0.000079503408 Long ABS-CBDO USGSE US N 2 2035-11-25 Fixed 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 2/41 #738002 3620AR3K5 5050.19300000 PA USD 4802.12000000 0.000131363685 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 11/01/2051#FM9517 3140XDSF4 1969804.49000000 PA USD 1643655.88000000 0.044962786125 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 01/15/2047#AX5855 36196HQG8 4207.63160000 PA USD 3962.49000000 0.000108395311 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 3.50% 12/41 #739352 3620ATL96 17941.39000000 PA USD 16587.89000000 0.000453767579 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 4% 07/15/2046#AT7623 36194GPG3 6515.92010000 PA USD 6138.33000000 0.000167916181 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 07/01/2050#CA6275 3140QD6M1 433914.18390000 PA USD 349347.95000000 0.009556536346 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2005-73 SA SOFR30A+1725.235 8/35 31394EB64 654.36130000 PA USD 650.84000000 0.000017803957 Long ABS-CBDO USGSE US N 2 2035-08-25 Variable 0.03504644 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 11/28 #457257 31381C5S2 157.10050000 PA USD 158.51000000 0.000004336096 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 03/01/2052#SD2219 3132DPPC6 2132867.56400000 PA USD 1847681.63000000 0.050543982452 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 4/39 #AB0042 31416VBL7 230977.48840000 PA USD 224760.98000000 0.006148415855 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 5/30 #590851 31387QL81 2447.71570000 PA USD 2518.04000000 0.000068881872 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 10/25 #250359 31371FB43 16.95240000 PA USD 17.44000000 0.000000477077 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3% 05/01/2051#QC1881 3133ALCS5 36111.89990000 PA USD 31336.98000000 0.000857234136 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE4056 31419EQJ1 17462.14590000 PA USD 16553.70000000 0.000452832300 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA II 3% 03/20/2043#AA6146 36178DZK0 39873.97420000 PA USD 35657.16000000 0.000975414183 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 GNR 2014-25 HC 3% 2/44 38379AEF3 304324.54820000 PA USD 272120.77000000 0.007443959608 Long ABS-CBDO USGA US N 2 2044-02-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 8/33 #726923 31402ESL3 3737.29130000 PA USD 3638.30000000 0.000099526979 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 1/41 #AH1256 3138A2ME6 12659.59250000 PA USD 11999.32000000 0.000328245629 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FED HOME LN MTG CORP MTN S6XOOCT0IEG5ABCC6L87 FED HOME LN MTG CORP 4% 11/25/2024 3134GXR71 18000000.00000000 PA USD 17668503.54000000 0.483328143977 Long DBT USGSE US N 2 2024-11-25 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 4763 SC SOFR30A+608.552 08/15/2047 3137F3MN1 302036.97830000 PA USD 31176.44000000 0.000852842508 Long ABS-CBDO USGSE US N 2 2047-08-15 Variable 0.00897010 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 04/01/2043#MA1412 31418ASA7 7944.85600000 PA USD 6829.06000000 0.000186811344 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 02/01/2046#G60824 31335A4H8 59438.88450000 PA USD 56191.94000000 0.001537150331 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 3.50% 9/42 #AP6523 3138MAG93 3933.38850000 PA USD 3621.11000000 0.000099056740 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.375% 02/15/2042 912810TF5 353100.00000000 PA USD 262507.22000000 0.007180977559 Long DBT UST US N 2 2042-02-15 Fixed 0.02375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 4/35 #735503 31402RDG1 301615.24320000 PA USD 307824.29000000 0.008420641987 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 9/33 #727147 31402EZL5 4293.08650000 PA USD 4178.45000000 0.000114302973 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 7/35 #G01838 3128LXBF6 49616.09040000 PA USD 49303.89000000 0.001348725294 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 12/01/2040#AE0675 31419AXD4 5817.88530000 PA USD 5656.58000000 0.000154737740 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 3.5% 09/20/2043#MA1285 36179NNA2 396907.31360000 PA USD 367551.06000000 0.010054488839 Long ABS-MBS USGA US N 2 2043-09-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 02/01/2048#G61896 31335CC93 46436.90710000 PA USD 42179.96000000 0.001153847677 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 08/01/2042#AP0495 3138M3RR7 9004.48610000 PA USD 8272.80000000 0.000226305360 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 01/01/2046#Q38296 3132QVGE5 31364.70220000 PA USD 29553.34000000 0.000808442035 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027 3136A8PY0 57266.14270000 PA USD 2201.92000000 0.000060234297 Long ABS-CBDO USGSE US N 2 2027-09-25 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 6.50% 11/34 #605771 36200N6G1 600.86010000 PA USD 612.54000000 0.000016756247 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.87% 7/36 #1B7380 3128QPSU7 19570.39190000 PA USD 19553.43000000 0.000534890971 Long ABS-MBS USGSE US N 2 2036-07-01 Variable 0.04040000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 5/35 #G01818 3128LXAT7 7668.28390000 PA USD 7625.62000000 0.000208601523 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 2/41 #A96876 312945T99 3832.29670000 PA USD 3730.29000000 0.000102043398 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 10/39 #723228 3620A9PM7 1705.66000000 PA USD 1694.04000000 0.000046341061 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 11/01/2051#FM9632 3140XDV29 2558275.45700000 PA USD 2224003.00000000 0.060838386214 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 5% 05/01/2052#QE2376 3133BBT90 516231.67700000 PA USD 506994.54000000 0.013869014400 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 12/01/2032#G18669 3128MMW74 429928.54680000 PA USD 396392.14000000 0.010843446751 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 3% 09/25/2029 3137H9D71 18773000.00000000 PA USD 17044201.94000000 0.466250153590 Long ABS-MBS USGSE US N 2 2029-09-25 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 3/41 #A97620 312946PD2 1266.51680000 PA USD 1232.90000000 0.000033726414 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 4% 06/25/2048 3136B2EX6 821774.51250000 PA USD 164162.36000000 0.004490719238 Long ABS-CBDO USGSE US N 2 2048-06-25 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 10/01/2051#RA6076 3133KMXD2 2015270.15520000 PA USD 1620621.61000000 0.044332675547 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 08/01/2051#FM9973 3140XECK8 1522214.68200000 PA USD 1325220.01000000 0.036251860625 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 7/40 #745231 3620C04Q8 17919.81210000 PA USD 17420.54000000 0.000476545013 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 2.967% 8/41#AI8879 3138AN2M4 4124.57260000 PA USD 4171.86000000 0.000114122701 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.04579000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 02/01/2046#BC0214 3140EUGY9 106626.49520000 PA USD 100340.99000000 0.002744863160 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 01/01/2048#V83906 3132L9KT1 63330.15550000 PA USD 59435.25000000 0.001625872219 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 FHLM ARM 5.12% 10/36 #1A1201 3128NFKN6 34528.13210000 PA USD 34699.24000000 0.000949209944 Long ABS-MBS USGSE US N 2 2036-10-01 Variable 0.04488000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3189 PD 6% 7/36 31396UAR1 18572.08920000 PA USD 18959.61000000 0.000518646816 Long ABS-CBDO USGSE US N 2 2036-07-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 10/41 #479430 36209RST1 22667.57450000 PA USD 21534.43000000 0.000589081925 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A FHR 2043 ZH 6% 4/28 3133TDPN0 2032.47060000 PA USD 2036.40000000 0.000055706440 Long ABS-CBDO USGSE US N 2 2028-04-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/40#AE7390 31419JF86 20908.13290000 PA USD 19877.08000000 0.000543744531 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 FANNIEMAE 20YR 3.5% 05/01/2036#BM3697 3140J8DB6 32368.05980000 PA USD 30617.12000000 0.000837542112 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 20YR 1.5% 04/01/2041#RB5107 3133KYU80 1960180.70300000 PA USD 1578766.39000000 0.043187711247 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.01500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2001-52 YZ 6.5% 10/31 313921MN5 815.80930000 PA USD 829.42000000 0.000022689076 Long ABS-CBDO USGSE US N 2 2031-10-25 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3% 07/01/2050#CA6312 3140QEAN2 1239452.14670000 PA USD 1081374.65000000 0.029581384826 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.50% 8/36 #888034 31410FSX4 20145.34090000 PA USD 20722.58000000 0.000566873482 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.50% 5/41 #Q00736 3132GDY97 6912.30610000 PA USD 6726.60000000 0.000184008514 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.0% 08/20/2044#MA2149 36179QL66 26958.89940000 PA USD 25683.03000000 0.000702568341 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 02/01/2041#AH3520 3138A44E2 14724.10150000 PA USD 13967.31000000 0.000382080689 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 8.00% 7/25 #780195 36225AGC8 13.48600000 PA USD 13.57000000 0.000000371212 Long ABS-MBS USGA US N 2 2025-07-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 7% 04/01/2032# 31287RQL6 350.26360000 PA USD 366.00000000 0.000010012059 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 06/01/2031#J34598 31307RDB8 9744.10040000 PA USD 9209.69000000 0.000251934317 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.50% 3/41 #783276 36241LT97 1653.15160000 PA USD 1607.21000000 0.000043965796 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 06/01/2047#Q48754 3132WNWQ1 876603.17440000 PA USD 825156.12000000 0.022572436599 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 4/42 #AK8237 3138EDEK3 44982.23370000 PA USD 42618.11000000 0.001165833425 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 5.00% 6/41 #738418 3620ASK73 1255.95310000 PA USD 1248.29000000 0.000034147413 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 12/01/2033#AL5321 3138EM4F5 7387.20440000 PA USD 7189.70000000 0.000196676778 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 10/01/2040#A94586 312943CX9 16997.55330000 PA USD 16547.56000000 0.000452664338 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 05/15/2043#AD9112 36180NDR3 4554.90570000 PA USD 4220.27000000 0.000115446973 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 4.00% 4/42 #Q07573 3132GSXA2 5449.24630000 PA USD 5191.24000000 0.000142008200 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA TSFR1M+31.448 04/63 38376RFZ4 39957.44140000 PA USD 39302.40000000 0.001075131009 Long ABS-CBDO USGA US N 2 2063-04-20 Variable 0.04931360 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 7% 04/01/2032# 31283HRL1 1035.27880000 PA USD 1073.05000000 0.000029353661 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.50% 4/41 #005017 36202FSE7 49306.44480000 PA USD 48300.21000000 0.001321269274 Long ABS-MBS USGA US N 2 2041-04-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 09/01/2043#AS0961 3138WAB71 12590.16600000 PA USD 11185.09000000 0.000305972080 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 04/47#AS9614 3138WKVG7 9744.80150000 PA USD 9414.20000000 0.000257528760 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 11/01/2040#AE7374 31419JFQ6 16018.97630000 PA USD 15199.73000000 0.000415793973 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 6/30 #538847 31385ATC1 14.22250000 PA USD 14.27000000 0.000000390360 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 09/01/2051# 3140XCYJ1 59000.71620000 PA USD 53011.16000000 0.001450138972 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 2.5% 07/01/2033#G16661 3128MFTS7 344403.18930000 PA USD 317538.16000000 0.008686368325 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.50% 12/23 #780863 36225A5Y2 1.00660000 PA USD 1.00000000 0.000000027355 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4% 03/01/2046#AL8321 3138ETG75 199236.02420000 PA USD 187864.87000000 0.005139109757 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA ARM 3.54% 12/39 #AC8301 31417VGK3 855.23530000 PA USD 866.34000000 0.000023699036 Long ABS-MBS USGSE US N 2 2039-12-01 Variable 0.04060000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 06/01/2043#AB9671 31417GW93 65430.32210000 PA USD 60058.86000000 0.001642931291 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 1/28 #458374 36208RFP4 62.33820000 PA USD 62.87000000 0.000001719831 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 05/01/2035#A38837 31297UZA1 2683.62260000 PA USD 2614.48000000 0.000071520022 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 20YR 2% 11/01/2040# 31418DUA8 17175.53100000 PA USD 14348.80000000 0.000392516483 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 09/01/2047#Q50433 3132XSPT1 9856.27440000 PA USD 9274.74000000 0.000253713782 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2.5% 11/01/2031#AS8387 3138WJJ90 15247.63750000 PA USD 14143.10000000 0.000386889487 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.75% 07/31/2025 91282CHN4 30490000.00000000 PA USD 30407820.00000000 0.831816637426 Long DBT UST US N 2 2025-07-31 Fixed 0.04750000 N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 4.00% 11/41 #005233 36202FY67 10787.25230000 PA USD 10291.59000000 0.000281530073 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 3.308% 10/25/2048 3137BM7C4 484000.00000000 PA USD 465845.69000000 0.012743373099 Long ABS-MBS USGSE US N 2 2025-09-25 Fixed 0.03308000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 04/01/2048#Q55661 3132XYJF5 38367.59680000 PA USD 36031.91000000 0.000985665602 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.00% 6/41 #AB3143 31416YP51 20267.18180000 PA USD 19255.38000000 0.000526737709 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.0% 5/1/43 #AT2720 3138WQAW2 102752.91640000 PA USD 91671.33000000 0.002507701554 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FNR 2008-12 SG SOFR30A+623.552 3/38 31396YMM1 30508.57250000 PA USD 2605.65000000 0.000071278474 Long ABS-CBDO USGSE US N 2 2038-03-25 Variable 0.00947940 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A FNS 359 19 6% 7/35 3136FCUL8 1775.40760000 PA USD 334.49000000 0.000009150091 Long ABS-CBDO USGSE US N 2 2035-07-25 Variable 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 3.5% 09/01/2051# 3140XCWW4 4940188.13200000 PA USD 4434045.60000000 0.121294880763 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 12/01/2051#CB2289 3140QMRK2 1670845.11720000 PA USD 1394196.44000000 0.038138735188 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 12/01/2046#Q45023 3132WJSM4 77073.13500000 PA USD 70224.49000000 0.001921015684 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2% 02/01/2052#BV3494 3140MG3C3 882918.00000000 PA USD 711120.61000000 0.019452955016 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 5/26 #303913 31373USA6 13.59020000 PA USD 13.98000000 0.000000382427 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 6/35 #G01839 3128LXBG4 1417.42710000 PA USD 1408.50000000 0.000038530014 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 2.5% 11/01/2051#FM9505 3140XDR32 1493352.62400000 PA USD 1246558.78000000 0.034100054944 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.00% 6/32 #648542 31390KP36 364.96450000 PA USD 381.83000000 0.000010445094 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 03/01/2045#AY5719 3138YKK93 19294.56740000 PA USD 18676.16000000 0.000510892941 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 7.00% 3/28 #465988 36209AUM0 56.63690000 PA USD 57.25000000 0.000001566093 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A FEDERAL NAT MTG ASN GTD REM PA 5% 04/25/2046 3136BPCN9 15136941.10500000 PA USD 14641107.89000000 0.400512668559 Long ABS-CBDO USGSE US N 2 2046-04-25 Fixed 0.05000000 N N N N N N PRIVATE EXPORT FUNDING CORP CYQE6SAYPFKNQJ6FMH60 PRIVATE EXPORT FUNDING CORP 1.75% 11/15/2024 742651DX7 8660000.00000000 PA USD 8265824.95000000 0.226114555909 Long DBT USGSE US N 2 2024-11-15 Fixed 0.01750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.5% 07/15/2043#AF1083 36181GFY0 2942.09740000 PA USD 2716.00000000 0.000074297137 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 11/40 #AE3874 31419EJU4 13645.92490000 PA USD 13265.45000000 0.000362881061 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 05/01/2046#G60553 31335ATJ7 870628.64220000 PA USD 797074.36000000 0.021804250153 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 07/20/2040#004737 36202FHN9 668.47230000 PA USD 647.54000000 0.000017713685 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 09/01/2034#SB0072 3132CWCH5 3273071.45100000 PA USD 3048533.51000000 0.083393709031 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.0% 03/01/2041#AE1147 31419BHZ1 7334.62600000 PA USD 6948.60000000 0.000190081402 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 11/40 #A95028 312943SR5 1731.64980000 PA USD 1731.45000000 0.000047364425 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII 30YR 4.5% 11/20/2040#004850 36202FL79 17206.29420000 PA USD 16665.57000000 0.000455892543 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 6.50% 10/34 #635855 36291RMC3 1949.93880000 PA USD 2006.36000000 0.000054884685 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 02/01/2048#Q54334 3132XWY88 271588.56640000 PA USD 246521.87000000 0.006743692673 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 7/35 #826613 31407CK22 803.64720000 PA USD 823.13000000 0.000022517011 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 8/33 #726928 31402ESR0 3019.98860000 PA USD 2938.91000000 0.000080394919 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 10/01/2047#Q51189 3132XTKB3 20688.80560000 PA USD 19468.13000000 0.000532557560 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 2% 12/01/2051#QD3434 3133B0Y72 1216891.96240000 PA USD 976687.71000000 0.026717636672 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 9/26 #358464 31376LFD1 145.62160000 PA USD 147.30000000 0.000004029443 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 6/41 #G06596 3128M8UV4 263904.54650000 PA USD 263966.85000000 0.007220906252 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042 3137AWAE5 254962.50850000 PA USD 228233.36000000 0.006243404034 Long ABS-CBDO USGSE US N 2 2042-06-15 Fixed 0.01750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 30YR 3.0% 06/15/2043#AD2454 36180DWP8 7784.11950000 PA USD 7005.82000000 0.000191646676 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD S6XOOCT0IEG5ABCC6L87 FHR 3806 UP 4.5% 2/41 3137A6ZL9 42017.12100000 PA USD 40896.02000000 0.001118725046 Long ABS-CBDO USGSE US N 2 2041-02-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 15YR 3% 06/01/2031#J34571 31307RCG8 13877.78490000 PA USD 13135.56000000 0.000359327875 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 03/01/2044#V81065 3132L6FE6 2965.12500000 PA USD 2880.25000000 0.000078790254 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4% 02/46#Q38783 3132QVXM8 26242.07130000 PA USD 24693.75000000 0.000675506237 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 7.50% 12/28 #323424 31374TG94 128.03710000 PA USD 130.67000000 0.000003574523 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 GNMA 4.00% 8/39 #698479 36296Q6Q7 3357.24850000 PA USD 3198.14000000 0.000087486247 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 11/01/2040#V82091 3132L7KC2 36818.21020000 PA USD 33638.62000000 0.000920196310 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 4.5% 12/01/2040#A95413 312944AN1 4359.96080000 PA USD 4244.01000000 0.000116096389 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 30YR 4.5% 10/01/2052#BW7751 3140N0TH8 478876.41600000 PA USD 454062.62000000 0.012421043065 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.875% 08/15/2033 91282CHT1 4794000.00000000 PA USD 4708606.88000000 0.128805601384 Long DBT UST US N 2 2033-08-15 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 8.5% 05/01/2027# 31283GYU5 10.67570000 PA USD 10.92000000 0.000000298720 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 4.50% 8/33 #726949 31402ETE8 10614.05730000 PA USD 10331.71000000 0.000282627569 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A GOVERNMENT NAT MA 2016-H20 FM TSFR1M+51.448 12/20/2062 38376RYJ9 41003.58120000 PA USD 40002.71000000 0.001094288236 Long ABS-CBDO USGA US N 2 2062-12-20 Variable 0.04589120 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 6.00% 10/34 #AL2130 3138EJLL0 12951.55050000 PA USD 13212.25000000 0.000361425757 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 GNII II 2% 09/01/2053 #TBA 21H020691 -70200000.00000000 PA USD -57915028.08000000 -1.58428601307 Short ABS-MBS USGA US N 2 2053-09-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 2% 07/01/2036#CB1180 3140QLJ23 2699156.54900000 PA USD 2381095.50000000 0.065135706939 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 0.02000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 FANNIE MAE 2010-95 ZC 5% 09/25/2040 31398NFC3 330565.00140000 PA USD 326909.28000000 0.008942718617 Long ABS-CBDO USGSE US N 2 2040-09-25 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 5.00% 1/40 #A90893 3129387E7 14098.48240000 PA USD 14094.16000000 0.000385550716 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 FNMA 15YR 3% 09/01/2035#FS0112 3140XFDS7 2405861.62000000 PA USD 2274345.92000000 0.062215534540 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD S6XOOCT0IEG5ABCC6L87 FHLG 30YR 3.5% 04/01/2043#Q17578 3132J82L3 23348.85120000 PA USD 21490.67000000 0.000587884855 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N 2023-09-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer