Ginnie Mae I Pool

0001752724-21-085933.txt : 20210427 0001752724-21-085933.hdr.sgml : 20210427 20210427144827 ACCESSION NUMBER: 0001752724-21-085933 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210226 FILED AS OF DATE: 20210427 PERIOD START: 20210531 FILER: COMPANY DATA: COMPANY CONFORMED NAME: T. Rowe Price GNMA Fund, Inc. CENTRAL INDEX KEY: 0000779785 IRS NUMBER: 521426953 STATE OF INCORPORATION: MD FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04441 FILM NUMBER: 21858336 BUSINESS ADDRESS: STREET 1: 100 EAST PRATT STREET CITY: BALTIMORE STATE: MD ZIP: 21202 BUSINESS PHONE: 410-345-2000 MAIL ADDRESS: STREET 1: 100 EAST PRATT STREET CITY: BALTIMORE STATE: MD ZIP: 21202 FORMER COMPANY: FORMER CONFORMED NAME: T. Rowe Price GNMA Fund DATE OF NAME CHANGE: 20051028 FORMER COMPANY: FORMER CONFORMED NAME: PRICE T ROWE GNMA FUND DATE OF NAME CHANGE: 19920703

0000779785 S000002131 T. Rowe Price GNMA Fund

C000005523 T. Rowe Price GNMA Fund PRGMX

C000190558 T. Rowe Price GNMA Fund-I Class PRXAX

C000225814 T. Rowe Price GNMA Fund-Z Class TRZGX

NPORT-P 1 primary_doc.xml NPORT-P false 0000779785 XXXXXXXX S000002131 C000190558 C000225814 C000005523 T. ROWE PRICE GNMA FUND, INC. 811-04441 0000779785 549300VU0FLX6JZM3D24 100 East Pratt Street Baltimore 21202 410-345-2000 T. Rowe Price GNMA Fund, Inc. S000002131 JNJSU5UUMBJ4UKRO2C43 2021-05-31 2021-02-26 N 2081565320.10 879070760.25 1202494559.85 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 765705736.92000000 0.00000000 2266405.00000000 USD N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206VLG0 154.65000000 PA USD 172.45000000 0.000014341021 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206MBD8 294.11000000 PA USD 295.58000000 0.000024580568 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179VDC1 2106561.63000000 PA USD 2165687.06000000 0.180099530784 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212DVD8 94070.41000000 PA USD 104900.06000000 0.008723537178 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202F2V7 74489.07000000 PA USD 87470.91000000 0.007274121058 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224VRR8 2150.40000000 PA USD 2178.96000000 0.000181203314 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2QW5 688835.85000000 PA USD 805123.51000000 0.066954440949 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208VWM3 38096.69000000 PA USD 39186.17000000 0.003258739898 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FPF7 828416.09000000 PA USD 917556.50000000 0.076304420047 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382NGK7 10829932.00000000 PA USD 1446811.23000000 0.120317486524 Long ABS-MBS USGA US N 2 2051-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296Q3J6 265927.77000000 PA USD 299224.81000000 0.024883672657 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 4.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31292HGC2 1824.13000000 PA USD 2112.55000000 0.000175680628 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209BYJ1 591.99000000 PA USD 660.14000000 0.000054897545 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620ASPX1 359859.53000000 PA USD 399139.48000000 0.033192622513 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203VWV8 1241.87000000 PA USD 1384.84000000 0.000115163930 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MCD0 124237.25000000 PA USD 130489.68000000 0.010851581733 Long ABS-MBS USGA US N 2 2027-05-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223WP81 457.53000000 PA USD 463.31000000 0.000038529072 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179M2R0 484480.43000000 PA USD 538646.96000000 0.044794128637 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209TRY7 4218.57000000 PA USD 4704.22000000 0.000391205096 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381RSU4 792850.89000000 PA USD 7149.06000000 0.000594519113 Long ABS-MBS USGA US N 2 2039-06-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380TES1 4082370.03000000 PA USD 143585.53000000 0.011940638635 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210NXN4 4039.63000000 PA USD 4504.68000000 0.000374611258 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209D5Z3 1039.37000000 PA USD 1159.03000000 0.000096385467 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EH51 28111.97000000 PA USD 33150.85000000 0.002756839914 Long ABS-MBS USGA US N 2 2036-05-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DY21 52252.38000000 PA USD 61080.97000000 0.005079521524 Long ABS-MBS USGA US N 2 2033-08-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290XHL7 93389.81000000 PA USD 106579.31000000 0.008863184380 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225ATR1 28940.05000000 PA USD 32271.71000000 0.002683730228 Long ABS-MBS USGA US N 2 2024-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CAN3 911.10000000 PA USD 921.46000000 0.000076629036 Long ABS-MBS USGA US N 2 2022-04-20 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FXC5 148771.52000000 PA USD 167501.71000000 0.013929519150 Long ABS-MBS USGA US N 2 2041-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224KLH0 530.76000000 PA USD 543.97000000 0.000045236795 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QF4G1 23194428.43000000 PA USD 24079535.24000000 2.002465212233 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FZK5 157500.73000000 PA USD 165418.66000000 0.013756291755 Long ABS-MBS USGA US N 2 2026-11-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211C3W0 553.72000000 PA USD 617.47000000 0.000051349088 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CRE5 13798.31000000 PA USD 15825.02000000 0.001316015932 Long ABS-MBS USGA US N 2 2026-09-20 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36291CT62 4906.53000000 PA USD 5447.94000000 0.000453053193 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FGW0 1069463.37000000 PA USD 1204079.47000000 0.100131801856 Long ABS-MBS USGA US N 2 2040-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36202SC97 46393.24000000 PA USD 51734.16000000 0.004302236511 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179T7M1 83768.73000000 PA USD 91793.23000000 0.007633567174 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207DUP9 10440.54000000 PA USD 11642.48000000 0.000968193985 Long ABS-MBS USGA US N 2 2026-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DH95 15778.53000000 PA USD 17815.75000000 0.001481565954 Long ABS-MBS USGA US N 2 2030-08-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RE88 41583.90000000 PA USD 43699.92000000 0.003634105422 Long ABS-MBS USGA US N 2 2030-06-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209PTD9 708.64000000 PA USD 790.22000000 0.000065715058 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FB47 4102780.42000000 PA USD 4712391.39000000 0.391884632774 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36204YA37 973.00000000 PA USD 986.75000000 0.000082058583 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EJY6 71499.98000000 PA USD 84362.18000000 0.007015597643 Long ABS-MBS USGA US N 2 2036-07-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622AAJX3 22770352.02000000 PA USD 26792282.71000000 2.228058538022 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36183X2H2 15954.35000000 PA USD 16716.08000000 0.001390116891 Long ABS-MBS USGA US N 2 2045-03-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36201YER3 20343.86000000 PA USD 23894.85000000 0.001987106702 Long ABS-MBS USGA US N 2 2033-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36204LWF4 355.21000000 PA USD 356.83000000 0.000029674146 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36292MDS8 17788.21000000 PA USD 20332.98000000 0.001690899957 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F020430 5922000.00000000 PA USD 6127469.53000000 0.509563180956 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295GVX7 12357.43000000 PA USD 13940.97000000 0.001159337469 Long ABS-MBS USGA US N 2 2037-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295CKS9 35291.96000000 PA USD 37206.49000000 0.003094108800 Long ABS-MBS USGA US N 2 2043-09-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EAK5 441438.85000000 PA USD 518545.94000000 0.043122518580 Long ABS-MBS USGA US N 2 2034-09-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617JRNQ7 264973.91000000 PA USD 284527.44000000 0.023661432616 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EEH8 1874777.15000000 PA USD 2147098.39000000 0.178553688448 Long ABS-MBS USGA US N 2 2035-07-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DCD1 9073.93000000 PA USD 10460.21000000 0.000869875868 Long ABS-MBS USGA US N 2 2029-06-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223K5U0 11.46000000 PA USD 11.50000000 0.000000956345 Long ABS-MBS USGA US N 2 2021-07-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EEV7 48977.70000000 PA USD 57519.21000000 0.004783323926 Long ABS-MBS USGA US N 2 2035-08-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H030633 19275000.00000000 PA USD 20064070.31000000 1.668537304027 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210VHM6 771.27000000 PA USD 860.06000000 0.000071522984 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207GVS5 7834.88000000 PA USD 8736.85000000 0.000726560459 Long ABS-MBS USGA US N 2 2027-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211PEQ2 2072.34000000 PA USD 2320.53000000 0.000192976340 Long ABS-MBS USGA US N 2 2029-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36184JAM2 180202.77000000 PA USD 197367.18000000 0.016413145355 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EDD8 16226.10000000 PA USD 18228.70000000 0.001515907065 Long ABS-MBS USGA US N 2 2035-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179R4J5 69216.94000000 PA USD 81347.07000000 0.006764859710 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179M2U3 12376.66000000 PA USD 14372.84000000 0.001195251977 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A26Z0 207452.94000000 PA USD 244647.31000000 0.020344982685 Long ABS-MBS USGA US N 2 2045-11-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EMB2 852893.16000000 PA USD 1011453.54000000 0.084112941028 Long ABS-MBS USGA US N 2 2037-02-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36241L6T8 1931123.38000000 PA USD 2104715.96000000 0.175029146099 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SMY0 53373.92000000 PA USD 56079.27000000 0.004663577854 Long ABS-MBS USGA US N 2 2031-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TKR5 564331.90000000 PA USD 592988.34000000 0.049313182761 Long ABS-MBS USGA US N 2 2032-11-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210ART6 3304.57000000 PA USD 3752.21000000 0.000312035507 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200WE64 405.84000000 PA USD 429.01000000 0.000035676668 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 7.50000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AB3M3 7320654.36000000 PA USD 424272.92000000 0.035282730930 Long ABS-MBS USGSE US N 2 2028-02-25 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208YH93 1512.59000000 PA USD 1686.72000000 0.000140268410 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382BS79 3132416.28000000 PA USD 209794.83000000 0.017446634438 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FQ74 640090.86000000 PA USD 720669.73000000 0.059931225808 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225B4F2 261986.91000000 PA USD 305016.98000000 0.025365352175 Long ABS-MBS USGA US N 2 2034-02-15 Fixed 5.00000000 N N N N N N Fannie Mae or Freddie Mac N/A FANNIE MAE OR FREDDIE MAC 01F042632 433000.00000000 PA USD 471017.93000000 0.039170067435 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202C5T6 32472.88000000 PA USD 37137.02000000 0.003088331643 Long ABS-MBS USGA US N 2 2028-10-20 Fixed 6.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CDS CMBX.AAA.CDSI.13 000000000 1.00000000 NC USD -58107.64000000 -0.00483225803 N/A DCR CORP US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 IHS MARKIT LTD CMBX.NA.13.AAA Y Default Event 2072-12-16 373076.19000000 USD 0.00000000 USD -25000000.00000000 USD -431183.83000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379WBY7 9918342.36000000 PA USD 1438652.58000000 0.119639009442 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223VB88 6.07000000 PA USD 6.08000000 0.000000505615 Long ABS-MBS USGA US N 2 2022-01-15 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EZ93 7764.62000000 PA USD 8693.97000000 0.000722994539 Long ABS-MBS USGA US N 2 2039-02-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SJS7 22324863.39000000 PA USD 23631216.39000000 1.965182810718 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EEU9 16110.11000000 PA USD 18420.39000000 0.001531848094 Long ABS-MBS USGA US N 2 2035-08-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209S3U3 1725.48000000 PA USD 1924.12000000 0.000160010703 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MGJ3 200671.59000000 PA USD 212150.50000000 0.017642533037 Long ABS-MBS USGA US N 2 2027-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224QK21 1462.50000000 PA USD 1469.62000000 0.000122214274 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MK82 216830.09000000 PA USD 241122.95000000 0.020051895289 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DZY0 716.28000000 PA USD 823.62000000 0.000068492617 Long ABS-MBS USGA US N 2 2033-10-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A2MZ2 196674.72000000 PA USD 214659.27000000 0.017851163503 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36195LX64 243378.99000000 PA USD 272984.66000000 0.022701529729 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36204QBU3 497.66000000 PA USD 505.44000000 0.000042032622 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179VN63 6575118.46000000 PA USD 7133652.22000000 0.593237795677 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D5R8 339146.62000000 PA USD 397716.15000000 0.033074257737 Long ABS-MBS USGA US N 2 2034-05-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36179DZ52 40529.69000000 PA USD 45457.32000000 0.003780251613 Long ABS-MBS USGA US N 2 2046-04-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DJ77 57685.19000000 PA USD 68598.70000000 0.005704699404 Long ABS-MBS USGA US N 2 2030-10-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203XTV8 4792.86000000 PA USD 4816.27000000 0.000400523225 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36184AHU6 19577.50000000 PA USD 20536.69000000 0.001707840574 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EAZ2 2205239.53000000 PA USD 2591226.79000000 0.215487610216 Long ABS-MBS USGA US N 2 2034-10-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617KGV98 13316668.27000000 PA USD 14488751.34000000 1.204891217288 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224XQA2 1641.38000000 PA USD 1649.33000000 0.000137159040 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211ALS3 223.46000000 PA USD 249.19000000 0.000020722754 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36183W6J6 124202.25000000 PA USD 136077.74000000 0.011316287369 Long ABS-MBS USGA US N 2 2045-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ECN7 6995.50000000 PA USD 7990.46000000 0.000664490324 Long ABS-MBS USGA US N 2 2035-02-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FMA1 642514.90000000 PA USD 713205.45000000 0.059310492854 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36219FEE3 5514.84000000 PA USD 5600.90000000 0.000465773416 Long ABS-MBS USGA US N 2 2026-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SLU9 1696238.51000000 PA USD 1905903.36000000 0.158495798952 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RZV4 1829923.73000000 PA USD 2055654.47000000 0.170949170053 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EF20 7058.04000000 PA USD 8069.08000000 0.000671028399 Long ABS-MBS USGA US N 2 2035-11-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179M5L0 1222131.16000000 PA USD 1300064.51000000 0.108113961876 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MLA6 1002922.97000000 PA USD 1144833.74000000 0.095204899733 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208X5S6 2238.47000000 PA USD 2496.17000000 0.000207582643 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FFT8 4271955.84000000 PA USD 4800118.29000000 0.399180042078 Long ABS-MBS USGA US N 2 2040-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206TDM1 816.59000000 PA USD 820.64000000 0.000068244799 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H050631 724000.00000000 PA USD 791931.57000000 0.065857393159 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UGE6 556051.98000000 PA USD 608968.37000000 0.050642089397 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210ESS9 676.00000000 PA USD 679.41000000 0.000056500047 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140K7VE0 7864595.41000000 PA USD 8243538.67000000 0.685536462720 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JAEM6 3849981.36000000 PA USD 4376513.36000000 0.363952861503 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617J92S6 3537143.03000000 PA USD 3804879.04000000 0.316415488854 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208VUQ6 27322.24000000 PA USD 27808.74000000 0.002312587593 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DD57 12122.87000000 PA USD 14112.72000000 0.001173620278 Long ABS-MBS USGA US N 2 2029-10-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RQ36 14236805.47000000 PA USD 15638203.00000000 1.300480145369 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31283HRL1 488493.21000000 PA USD 568148.62000000 0.047247500235 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223WB37 396.71000000 PA USD 398.72000000 0.000033157738 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202F2Y1 314271.45000000 PA USD 332245.31000000 0.027629672606 Long ABS-MBS USGA US N 2 2027-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UED0 76252.07000000 PA USD 89407.94000000 0.007435205362 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E5H8 29928.28000000 PA USD 35141.55000000 0.002922387441 Long ABS-MBS USGA US N 2 2039-05-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224CJG3 421.76000000 PA USD 423.97000000 0.000035257539 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EWE5 1260038.90000000 PA USD 1486077.18000000 0.123582860964 Long ABS-MBS USGA US N 2 2038-09-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207FUG4 1663.32000000 PA USD 1854.81000000 0.000154246851 Long ABS-MBS USGA US N 2 2026-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TXY6 1589036.07000000 PA USD 1776330.25000000 0.147720439601 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D4P3 372605.54000000 PA USD 436665.68000000 0.036313318544 Long ABS-MBS USGA US N 2 2034-03-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FJP2 594919.39000000 PA USD 660516.96000000 0.054928893822 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206LV55 1061.34000000 PA USD 1151.92000000 0.000095794196 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DWF4 59004.97000000 PA USD 68801.07000000 0.005721528587 Long ABS-MBS USGA US N 2 2033-02-20 Fixed 5.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F040636 475000.00000000 PA USD 510365.24000000 0.042442207810 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296JJ97 29758.36000000 PA USD 34432.83000000 0.002863449960 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36292LBX1 322401.17000000 PA USD 388164.47000000 0.032279935640 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 362206UW2 24.03000000 PA USD 24.08000000 0.000002002503 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36180VVB0 580408.16000000 PA USD 650998.33000000 0.054137320178 Long ABS-MBS USGA US N 2 2046-11-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EG29 278392.40000000 PA USD 318287.90000000 0.026468967979 Long ABS-MBS USGA US N 2 2036-02-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211SA56 1356.21000000 PA USD 1524.76000000 0.000126799742 Long ABS-MBS USGA US N 2 2030-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209AD72 45.55000000 PA USD 50.79000000 0.000004223719 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 6.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F022436 3119000.00000000 PA USD 3261225.99000000 0.271205051472 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241L5Z5 249583.81000000 PA USD 300335.51000000 0.024976038979 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UUM2 6660.10000000 PA USD 7295.77000000 0.000606719584 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36197FN66 87361.38000000 PA USD 94388.86000000 0.007849420958 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205HC98 40.25000000 PA USD 40.44000000 0.000003363008 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DYL9 246023.17000000 PA USD 281575.70000000 0.023415964562 Long ABS-MBS USGA US N 2 2033-07-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205SH65 13942.84000000 PA USD 14012.99000000 0.001165326685 Long ABS-MBS USGA US N 2 2027-01-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DX71 72639.81000000 PA USD 82667.25000000 0.006874646485 Long ABS-MBS USGA US N 2 2033-06-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A26L1 4210019.55000000 PA USD 4613164.71000000 0.383632896482 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QWD9 4503756.83000000 PA USD 4771869.44000000 0.396830854735 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128LXQV5 26710.76000000 PA USD 30685.82000000 0.002551846887 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208Y3P2 2913.41000000 PA USD 3248.81000000 0.000270172532 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211DQN3 1827.13000000 PA USD 2037.47000000 0.000169436941 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H022630 124580000.00000000 PA USD 129349078.13000000 10.75672875776 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194N5K1 454685.44000000 PA USD 487203.50000000 0.040516066871 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203YZT4 563.08000000 PA USD 565.83000000 0.000047054682 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207QSU2 2215.67000000 PA USD 2227.33000000 0.000185225785 Long ABS-MBS USGA US N 2 2026-11-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179REB1 113838.15000000 PA USD 133660.59000000 0.011115276065 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213CQ86 883.06000000 PA USD 929.64000000 0.000077309289 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FDW3 28384.67000000 PA USD 31957.07000000 0.002657564621 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BX29 568.43000000 PA USD 666.83000000 0.000055453889 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CA60 962.69000000 PA USD 974.50000000 0.000081039867 Long ABS-MBS USGA US N 2 2022-05-20 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194CUA9 11244342.48000000 PA USD 12318919.54000000 1.024447008021 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A26K3 1737527.07000000 PA USD 1923590.63000000 0.159966680451 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36198RPK6 846098.58000000 PA USD 924369.66000000 0.076871005563 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194HHL9 824432.82000000 PA USD 894715.71000000 0.074404969458 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212DSH3 421.57000000 PA USD 485.51000000 0.000040375234 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TG90 186766.25000000 PA USD 220428.50000000 0.018330935320 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DM65 15202.54000000 PA USD 18144.63000000 0.001508915766 Long ABS-MBS USGA US N 2 2031-05-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208HNM4 18284.49000000 PA USD 18376.57000000 0.001528204003 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BZP6 314968.64000000 PA USD 379196.12000000 0.031534123534 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207XMQ2 4853.75000000 PA USD 5412.53000000 0.000450108481 Long ABS-MBS USGA US N 2 2027-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620AWTJ9 30054.58000000 PA USD 32875.73000000 0.002733960809 Long ABS-MBS USGA US N 2 2030-05-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381WCU0 12827442.08000000 PA USD 1912855.10000000 0.159073908844 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209S7J4 10153.22000000 PA USD 11322.09000000 0.000941550205 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209RFJ7 5725.54000000 PA USD 5814.94000000 0.000483573081 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EE96 1128704.08000000 PA USD 1325087.00000000 0.110194843639 Long ABS-MBS USGA US N 2 2035-09-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FJQ0 92229.50000000 PA USD 103632.90000000 0.008618159570 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EC31 30565.15000000 PA USD 34929.46000000 0.002904749939 Long ABS-MBS USGA US N 2 2035-03-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203R2T5 593.73000000 PA USD 619.70000000 0.000051534536 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295CH95 17953.08000000 PA USD 18927.37000000 0.001574008784 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FX84 2334059.81000000 PA USD 2596331.23000000 0.215912097791 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DAA9 122774.36000000 PA USD 140587.57000000 0.011691326904 Long ABS-MBS USGA US N 2 2029-01-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207H2G1 217.76000000 PA USD 218.84000000 0.000018198834 Long ABS-MBS USGA US N 2 2026-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178EDG1 402980.88000000 PA USD 436258.99000000 0.036279498017 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36180J5X8 15595.69000000 PA USD 16400.14000000 0.001363843176 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36197FQW6 188784.82000000 PA USD 203390.80000000 0.016914072361 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179N5Z7 950052.84000000 PA USD 1108884.17000000 0.092215316977 Long ABS-MBS USGA US N 2 2044-03-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TQS7 300093.83000000 PA USD 331438.07000000 0.027562542157 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194GNE0 2209434.56000000 PA USD 2406792.30000000 0.200149953302 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DBJ9 2038.24000000 PA USD 2331.11000000 0.000193856178 Long ABS-MBS USGA US N 2 2029-04-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RVF3 4812.07000000 PA USD 5655.20000000 0.000470289029 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FTK2 1953820.48000000 PA USD 2172946.96000000 0.180703267403 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FPG5 1496022.02000000 PA USD 1706309.38000000 0.141897471886 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36198QUB2 557675.40000000 PA USD 609107.10000000 0.050653626248 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36225BNS3 1715.82000000 PA USD 1950.48000000 0.000162202812 Long ABS-MBS USGA US N 2 2031-06-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36183QY82 248885.10000000 PA USD 272614.05000000 0.022670709631 Long ABS-MBS USGA US N 2 2045-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179THW8 763556.34000000 PA USD 802388.62000000 0.066727006241 Long ABS-MBS USGA US N 2 2032-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FEH5 153071.81000000 PA USD 172337.25000000 0.014331644878 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36197FRX3 171566.48000000 PA USD 185376.49000000 0.015415994066 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DUU3 241719.25000000 PA USD 286342.40000000 0.023812365524 Long ABS-MBS USGA US N 2 2032-10-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617LYXQ8 14281182.37000000 PA USD 15262289.03000000 1.269218966936 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EHE2 1964.85000000 PA USD 2245.43000000 0.000186730990 Long ABS-MBS USGA US N 2 2036-03-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210BU37 4314.58000000 PA USD 4834.38000000 0.000402029261 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208FXS4 8921.59000000 PA USD 9948.67000000 0.000827335967 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382CDX6 11085092.34000000 PA USD 557233.18000000 0.046339767231 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207LEW4 2193.14000000 PA USD 2204.23000000 0.000183304779 Long ABS-MBS USGA US N 2 2030-11-15 Fixed 7.50000000 N N N N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CDS CMBX.NA.13.AAA 000000000 1.00000000 NC USD -11621.53000000 -0.00096645177 N/A DCR CORP GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 IHS MARKIT LTD CMBX.NA.13.AAA Y Default Event 2072-12-16 83959.95000000 USD 0.00000000 USD -5000000.00000000 USD -95581.48000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210AST5 277.12000000 PA USD 316.24000000 0.000026298663 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208CHE0 1875.33000000 PA USD 2091.22000000 0.000173906815 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210LKH5 2517.94000000 PA USD 2807.81000000 0.000233498769 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213FXS7 13990.70000000 PA USD 16423.36000000 0.001365774162 Long ABS-MBS USGA US N 2 2033-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RLU1 151268.67000000 PA USD 178394.26000000 0.014835348612 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SGK7 14844598.66000000 PA USD 15574966.13000000 1.295221338210 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FX92 126736.67000000 PA USD 142692.76000000 0.011866395471 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617AGWQ0 154275.01000000 PA USD 170016.24000000 0.014138628620 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RLQ0 64485.53000000 PA USD 70943.84000000 0.005899722324 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UMN9 1333895.71000000 PA USD 1462269.34000000 0.121602990052 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EVP1 554161.52000000 PA USD 657334.10000000 0.054664205722 Long ABS-MBS USGA US N 2 2038-08-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CCV3 4402.04000000 PA USD 4696.14000000 0.000390533159 Long ABS-MBS USGA US N 2 2024-10-20 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375GQN4 905313.69000000 PA USD 32890.86000000 0.002735219027 Long ABS-MBS USGA US N 2 2037-05-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BN87 1443.10000000 PA USD 1707.94000000 0.000142033074 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207AKY7 5499.73000000 PA USD 6132.87000000 0.000510012286 Long ABS-MBS USGA US N 2 2026-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36184NEC1 253548.85000000 PA USD 277320.39000000 0.023062091028 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208DG66 28788.29000000 PA USD 29301.84000000 0.002436754475 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379WB35 8823500.65000000 PA USD 1127448.38000000 0.093759125208 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208FLR9 2080.09000000 PA USD 2319.56000000 0.000192895675 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178WGU7 1138362.97000000 PA USD 1255429.02000000 0.104402054023 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.50000000 N N N N N N Verus Securitization Trust N/A Verus Securitization Trust 2020-2 92537UAB8 6000000.00000000 PA USD 6250828.80000000 0.519821794518 Long ABS-MBS CORP US N 2 2060-05-25 Variable 2.98900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X6S36 2776800.72000000 PA USD 2981638.26000000 0.247954407408 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D5B3 3048.39000000 PA USD 3434.16000000 0.000285586323 Long ABS-MBS USGA US N 2 2034-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179S2Q9 10498769.00000000 PA USD 11381577.73000000 0.946497232504 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622AABW3 322064.74000000 PA USD 382090.56000000 0.031774826494 Long ABS-MBS USGA US N 2 2045-09-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210U3V3 26732.88000000 PA USD 29810.44000000 0.002479049884 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BHL5 1649.95000000 PA USD 1963.76000000 0.000163307183 Long ABS-MBS USGA US N 2 2029-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212DP94 215.19000000 PA USD 239.96000000 0.000019955183 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213HGV5 1140.88000000 PA USD 1151.45000000 0.000095755110 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211DUU2 801.86000000 PA USD 894.17000000 0.000074359587 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203RFM6 25.93000000 PA USD 26.02000000 0.000002163835 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208HNQ5 58350.84000000 PA USD 64972.90000000 0.005403176211 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211GXH1 1991.83000000 PA USD 2221.14000000 0.000184711022 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 6.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F040636 -2868000.00000000 PA USD -3081531.58000000 -0.25626158178 Short ABS-MBS USGSE US N 2 2051-03-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36183QVG7 66956.01000000 PA USD 73372.08000000 0.006101655878 Long ABS-MBS USGA US N 2 2045-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210CAQ6 17674.83000000 PA USD 19709.61000000 0.001639060221 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209DD76 585.72000000 PA USD 653.15000000 0.000054316254 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200RLK6 9530.56000000 PA USD 9837.08000000 0.000818056091 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36241LW51 4191.29000000 PA USD 4718.95000000 0.000392430049 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203QQS3 752.56000000 PA USD 756.12000000 0.000062879286 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FHX7 1533754.49000000 PA USD 1723390.10000000 0.143317912408 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FP75 255512.39000000 PA USD 291428.96000000 0.024235366190 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206KMB4 7175.00000000 PA USD 7496.71000000 0.000623429847 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210BBZ7 2769.99000000 PA USD 3192.80000000 0.000265514714 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208XWU1 6014.24000000 PA USD 6706.62000000 0.000557725600 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212DVA4 99729.66000000 PA USD 111210.82000000 0.009248342879 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EGQ6 311666.63000000 PA USD 366237.52000000 0.030456480405 Long ABS-MBS USGA US N 2 2036-01-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379EYL0 972607.98000000 PA USD 42907.38000000 0.003568197431 Long ABS-MBS USGA US N 2 2037-06-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E4H9 183458.67000000 PA USD 210621.93000000 0.017515416454 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D6C0 44620.15000000 PA USD 50224.09000000 0.004176658396 Long ABS-MBS USGA US N 2 2034-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208QQT6 3979.12000000 PA USD 4437.21000000 0.000369000421 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208V6K6 1256.69000000 PA USD 1401.36000000 0.000116537741 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36290TAZ2 10375.79000000 PA USD 12234.97000000 0.001017465725 Long ABS-MBS USGA US N 2 2034-09-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FAT3 45582.79000000 PA USD 50680.37000000 0.004214602850 Long ABS-MBS USGA US N 2 2039-08-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209M6D1 343.42000000 PA USD 382.96000000 0.000031847129 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209N4G4 8566.85000000 PA USD 9553.09000000 0.000794439352 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TG74 266611.12000000 PA USD 296702.51000000 0.024673917031 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205USM3 2904.90000000 PA USD 2921.33000000 0.000242939144 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 9.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403C3Z2 4919.06000000 PA USD 4970.10000000 0.000413315799 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.14200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290VNA8 27665.16000000 PA USD 32504.36000000 0.002703077509 Long ABS-MBS USGA US N 2 2037-01-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203PYU1 986.09000000 PA USD 990.68000000 0.000082385403 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SU3 1735000.00000000 PA USD 1642285.94000000 0.136573253204 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194GRG1 1779758.09000000 PA USD 1940696.03000000 0.161389173373 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208YLG2 204.20000000 PA USD 227.71000000 0.000018936468 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210FA71 654.67000000 PA USD 730.04000000 0.000060710461 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CFQ1 320.28000000 PA USD 332.06000000 0.000027614262 Long ABS-MBS USGA US N 2 2025-03-20 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212MKS7 1564.72000000 PA USD 1577.47000000 0.000131183129 Long ABS-MBS USGA US N 2 2030-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241LY34 1648528.45000000 PA USD 1850126.85000000 0.153857398758 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TY41 238950.95000000 PA USD 252862.72000000 0.021028179955 Long ABS-MBS USGA US N 2 2033-06-20 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac Pool 3133KHGG5 31714029.40000000 PA USD 34706324.82000000 2.886193915449 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382NR41 10000000.00000000 PA USD 1150000.00000000 0.095634528287 Long ABS-MBS USGA US N 2 2051-01-01 Variable 2.71011000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202C2Y8 3686.25000000 PA USD 4229.06000000 0.000351690572 Long ABS-MBS USGA US N 2 2028-05-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36181AYN6 10759456.08000000 PA USD 11886780.35000000 0.988510114464 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209GZ91 3158.21000000 PA USD 3521.79000000 0.000292873674 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BMZ8 7080.40000000 PA USD 8315.08000000 0.000691485872 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208WTM5 38365.62000000 PA USD 43400.90000000 0.003609238781 Long ABS-MBS USGA US N 2 2037-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EB99 617567.86000000 PA USD 700574.42000000 0.058260090597 Long ABS-MBS USGA US N 2 2035-01-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207KCG3 1389.60000000 PA USD 1396.62000000 0.000116143560 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205RXZ5 3081.63000000 PA USD 3436.40000000 0.000285772602 Long ABS-MBS USGA US N 2 2026-04-15 Fixed 6.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F030439 3567000.00000000 PA USD 3765971.72000000 0.313179938250 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617KF3J9 1163157.96000000 PA USD 1303846.36000000 0.108428462259 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213BDZ2 463.02000000 PA USD 470.66000000 0.000039140301 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 7.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810SS8 25500000.00000000 PA USD 22687031.25000000 1.886663940735 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213BWF5 3522.81000000 PA USD 3578.69000000 0.000297605504 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203BB37 176.19000000 PA USD 177.05000000 0.000014723559 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FB39 14510.60000000 PA USD 16336.79000000 0.001358574961 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EFM6 15751.86000000 PA USD 17996.78000000 0.001496620492 Long ABS-MBS USGA US N 2 2035-10-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210EH44 201.64000000 PA USD 202.29000000 0.000016822529 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381WHP6 3044449.08000000 PA USD 411340.39000000 0.034207255794 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211CZ70 2196.98000000 PA USD 2306.17000000 0.000191782156 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36225B5J3 3364.43000000 PA USD 3967.88000000 0.000329970723 Long ABS-MBS USGA US N 2 2034-05-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207KTH3 112.39000000 PA USD 125.33000000 0.000010422500 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36198TTY8 16225.65000000 PA USD 16899.53000000 0.001405372678 Long ABS-MBS USGA US N 2 2044-10-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223EN26 2.41000000 PA USD 2.41000000 0.000000200416 Long ABS-MBS USGA US N 2 2021-06-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241KBA5 18786.35000000 PA USD 22039.96000000 0.001832853198 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BVQ8 4648.89000000 PA USD 5606.29000000 0.000466221651 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212CN31 130.73000000 PA USD 131.40000000 0.000010927284 Long ABS-MBS USGA US N 2 2030-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208PNS3 104.34000000 PA USD 116.35000000 0.000009675719 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SEG8 7144557.24000000 PA USD 7562830.34000000 0.628928445293 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SXT9 227699.87000000 PA USD 239268.48000000 0.019897676712 Long ABS-MBS USGA US N 2 2032-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FAU0 37202.82000000 PA USD 41884.56000000 0.003483139250 Long ABS-MBS USGA US N 2 2039-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CJC8 6341.60000000 PA USD 6924.61000000 0.000575853748 Long ABS-MBS USGA US N 2 2025-08-20 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202F2Z8 160784.54000000 PA USD 168861.84000000 0.014042628186 Long ABS-MBS USGA US N 2 2027-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36178DZZ7 519370.49000000 PA USD 568973.72000000 0.047316115930 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EC49 41500.10000000 PA USD 48720.86000000 0.004051649099 Long ABS-MBS USGA US N 2 2035-03-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MX54 3925793.11000000 PA USD 4365196.81000000 0.363011772007 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203YFG4 859.00000000 PA USD 863.18000000 0.000071782445 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223SZW6 1798.76000000 PA USD 1806.03000000 0.000150190284 Long ABS-MBS USGA US N 2 2021-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NLD8 1218364.48000000 PA USD 1326644.82000000 0.110324392666 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DYZ8 530124.48000000 PA USD 604591.59000000 0.050278114362 Long ABS-MBS USGA US N 2 2033-08-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209HFC4 462.56000000 PA USD 515.81000000 0.000042894996 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EBE8 26045.30000000 PA USD 30593.23000000 0.002544147060 Long ABS-MBS USGA US N 2 2034-11-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TNU5 113375.57000000 PA USD 126143.24000000 0.010490129786 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BX37 701.49000000 PA USD 816.68000000 0.000067915483 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241KUT3 419591.70000000 PA USD 504762.74000000 0.041976301336 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379HFS9 5777866.36000000 PA USD 270549.17000000 0.022498993262 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379GKK2 3367068.93000000 PA USD 297124.64000000 0.024709021555 Long ABS-MBS USGA US N 2 2029-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E4J5 6417.42000000 PA USD 7535.27000000 0.000626636514 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223GDS5 36.08000000 PA USD 36.20000000 0.000003010408 Long ABS-MBS USGA US N 2 2021-06-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206VKT3 686.46000000 PA USD 765.49000000 0.000063658500 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EZH5 73646.37000000 PA USD 86859.65000000 0.007223288395 Long ABS-MBS USGA US N 2 2039-01-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203G4A8 2569.54000000 PA USD 2581.85000000 0.000214707832 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212YML4 1661.11000000 PA USD 1730.85000000 0.000143938281 Long ABS-MBS USGA US N 2 2031-02-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TE43 7376291.05000000 PA USD 8245606.05000000 0.685708386990 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294P7C1 113.84000000 PA USD 126.95000000 0.000010557220 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617KGV80 5519625.65000000 PA USD 6056430.16000000 0.503655514313 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617G9P54 1722441.93000000 PA USD 1917340.88000000 0.159446948370 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36198RGN0 694919.21000000 PA USD 756590.40000000 0.062918405227 Long ABS-MBS USGA US N 2 2044-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202C5U3 151923.57000000 PA USD 175783.34000000 0.014618223305 Long ABS-MBS USGA US N 2 2028-10-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617K9GM2 1349183.55000000 PA USD 1511149.82000000 0.125667913224 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36204ALF0 222.62000000 PA USD 223.43000000 0.000018580541 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209UC38 3099.14000000 PA USD 3455.92000000 0.000287395894 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225AWN6 241.81000000 PA USD 269.84000000 0.000022440018 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E3D9 21863.32000000 PA USD 24073.19000000 0.002001937539 Long ABS-MBS USGA US N 2 2039-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36204QBV1 438.69000000 PA USD 463.20000000 0.000038519924 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TLT0 838274.72000000 PA USD 908579.03000000 0.075557849518 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A2TS1 1506611.40000000 PA USD 1766538.46000000 0.146906149847 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TZ81 6518297.89000000 PA USD 7282558.67000000 0.605620924464 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D2E0 85156.73000000 PA USD 99690.76000000 0.008290329397 Long ABS-MBS USGA US N 2 2033-11-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179U3S9 5148802.65000000 PA USD 5293187.59000000 0.440183911572 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EGC7 671708.63000000 PA USD 767684.72000000 0.063841013974 Long ABS-MBS USGA US N 2 2035-12-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DMS7 21944.70000000 PA USD 26113.42000000 0.002171604003 Long ABS-MBS USGA US N 2 2031-04-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179T2A2 29132.41000000 PA USD 34440.52000000 0.002864089464 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205SVE2 1084.28000000 PA USD 1089.71000000 0.000090620784 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617A5KE4 306384.10000000 PA USD 343758.51000000 0.028587115607 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UPD8 2928315.90000000 PA USD 3237317.77000000 0.269216832914 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MSY7 1075421.21000000 PA USD 1192885.06000000 0.099200869578 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211LWX6 3870.80000000 PA USD 4316.42000000 0.000358955470 Long ABS-MBS USGA US N 2 2029-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CA78 223.01000000 PA USD 225.80000000 0.000018777631 Long ABS-MBS USGA US N 2 2022-05-20 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223QUQ8 390.32000000 PA USD 392.03000000 0.000032601394 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200H3L6 3592.92000000 PA USD 4006.55000000 0.000333186538 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212MXM6 123.58000000 PA USD 140.87000000 0.000011714813 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 7.50000000 N N N N N N T. ROWE PRICE GOVERNMENT RESERVE FUND 5493007QR86JJLYO6D96 T. ROWE PRICE GOVERNMENT RESERVE FUND 000000000 98278025.06000000 NS USD 98278025.06000000 8.172845711024 Long STIV RF US N 1 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297AA45 174707.44000000 PA USD 196405.75000000 0.016333192395 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622AAE42 781875.47000000 PA USD 846589.73000000 0.070402790853 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E4K2 65462.61000000 PA USD 77223.59000000 0.006421949219 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208QSN7 4034.20000000 PA USD 4546.79000000 0.000378113145 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212UCW9 316.56000000 PA USD 320.76000000 0.000026674548 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179VQT0 106572628.71000000 PA USD 111018994.38000000 9.232390572631 Long ABS-MBS USGA US N 2 2050-07-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207LCY2 182.88000000 PA USD 190.81000000 0.000015867847 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617KFR87 4666225.39000000 PA USD 4943836.73000000 0.411131733570 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210LE25 387.51000000 PA USD 432.12000000 0.000035935297 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620C04V7 70596.87000000 PA USD 79645.25000000 0.006623335577 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US 5 YEAR TREASURY NOTE 000000000 -661.00000000 NC USD 665223.79000000 0.055320315967 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2021-06-30 -82608567.54000000 USD 665223.79000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179S5M5 13987248.03000000 PA USD 15173767.40000000 1.261857467520 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NLC0 456529.33000000 PA USD 485397.86000000 0.040365909020 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203AWE2 4801.97000000 PA USD 4825.04000000 0.000401252542 Long ABS-MBS USGA US N 2 2023-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TF34 135131.88000000 PA USD 141983.47000000 0.011807410589 Long ABS-MBS USGA US N 2 2032-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178NBB4 336144.91000000 PA USD 360288.60000000 0.029961765485 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2N57 4197007.94000000 PA USD 4872296.91000000 0.405182449275 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FGV2 584250.89000000 PA USD 648622.83000000 0.053939772507 Long ABS-MBS USGA US N 2 2040-06-20 Fixed 4.00000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F012635 -23176000.00000000 PA USD -22769514.75000000 -1.89352330648 Short ABS-MBS USGSE US N 2 2051-03-01 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208WCA9 108565.04000000 PA USD 121793.78000000 0.010128426694 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179R4F3 1862578.43000000 PA USD 2050760.13000000 0.170542154490 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207YCH1 6624.86000000 PA USD 7506.88000000 0.000624275589 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E2C2 53968.01000000 PA USD 63650.07000000 0.005293169060 Long ABS-MBS USGA US N 2 2039-02-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176W7E5 844291.53000000 PA USD 931103.19000000 0.077430969011 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208CHG5 1021.49000000 PA USD 1139.09000000 0.000094727247 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296Y5J7 146127.52000000 PA USD 164973.65000000 0.013719284519 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380X4E4 31404298.87000000 PA USD 5257321.44000000 0.437201266062 Long ABS-MBS USGA US N 2 2040-02-16 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205XYG3 2803.31000000 PA USD 2818.68000000 0.000234402723 Long ABS-MBS USGA US N 2 2024-12-15 Fixed 9.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FMB9 5689292.27000000 PA USD 6405459.64000000 0.532680966207 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211C2Y7 359.95000000 PA USD 401.39000000 0.000033379776 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211EKS6 438.68000000 PA USD 440.90000000 0.000036665446 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SHX8 750276.74000000 PA USD 788246.30000000 0.065550924413 Long ABS-MBS USGA US N 2 2031-08-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178GR97 65513.60000000 PA USD 70919.12000000 0.005897666598 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D4N8 18488.47000000 PA USD 20964.30000000 0.001743400818 Long ABS-MBS USGA US N 2 2034-03-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617JHMH0 784969.73000000 PA USD 866996.43000000 0.072099821400 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FLQ7 385536.94000000 PA USD 442826.69000000 0.036825670966 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NGB8 106334.24000000 PA USD 124838.87000000 0.010381657777 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36201FW86 2503.52000000 PA USD 2712.01000000 0.000225531997 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36184SPQ7 10240670.79000000 PA USD 11268397.58000000 0.937085119237 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36201E4E7 18058.99000000 PA USD 20137.99000000 0.001674684499 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203T6P5 468.67000000 PA USD 522.62000000 0.000043461319 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SGN1 1424310.69000000 PA USD 1599856.68000000 0.133044816452 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225B6E3 12217.98000000 PA USD 14333.47000000 0.001191977949 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620AR5K3 25575.48000000 PA USD 28446.41000000 0.002365616523 Long ABS-MBS USGA US N 2 2038-09-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203AFB7 60.37000000 PA USD 61.16000000 0.000005086093 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FTL0 15824.37000000 PA USD 17816.53000000 0.001481630819 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36181AYX4 26411.06000000 PA USD 27792.23000000 0.002311214614 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377LYS1 47740.31000000 PA USD 85.19000000 0.000007084439 Long ABS-MBS USGA US N 2 2039-02-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TCZ6 6423922.52000000 PA USD 7031447.97000000 0.584738443297 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A26H0 5007135.40000000 PA USD 5540674.27000000 0.460765017572 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194HAT9 674400.23000000 PA USD 734333.36000000 0.061067499556 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223FRE3 216.28000000 PA USD 217.25000000 0.000018066609 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FDA1 85557.99000000 PA USD 94971.63000000 0.007897884378 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194PHE7 10633227.78000000 PA USD 11648709.22000000 0.968712009928 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FKM7 630314.51000000 PA USD 699747.79000000 0.058191347667 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205SGZ2 40494.04000000 PA USD 41817.48000000 0.003477560846 Long ABS-MBS USGA US N 2 2026-12-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SAA5 22510.27000000 PA USD 26430.00000000 0.002197930941 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210GLY8 11814.03000000 PA USD 13174.09000000 0.001095563376 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209HE43 5403.04000000 PA USD 6025.05000000 0.000501045925 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178NGA1 9539069.87000000 PA USD 10080689.20000000 0.838314744746 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225B3N6 125004.70000000 PA USD 146708.47000000 0.012200343760 Long ABS-MBS USGA US N 2 2033-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QT84 311100.36000000 PA USD 356125.50000000 0.029615560177 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203TPY5 22.37000000 PA USD 22.48000000 0.000001869447 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FDY9 1167951.80000000 PA USD 1360563.81000000 0.113145111456 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36241LUK0 62238.96000000 PA USD 72743.85000000 0.006049411983 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224YU23 2479.44000000 PA USD 2514.74000000 0.000209126933 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 7.50000000 N N N N N N Vista Point Securitization Tru N/A Vista Point Securitization Trust 2020-1 92838WAB0 4000000.00000000 PA USD 4097293.20000000 0.340732784729 Long ABS-MBS CORP US N 2 2065-03-25 Variable 2.77000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MNJ5 71221.75000000 PA USD 79192.67000000 0.006585698816 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377XA69 1900000.00000000 PA USD 2100701.37000000 0.174695290951 Long ABS-MBS USGA US N 2 2041-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BUB2 257027.85000000 PA USD 310656.52000000 0.025834338912 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209B5B0 8186.09000000 PA USD 9128.50000000 0.000759130253 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EDP1 1273714.61000000 PA USD 1455304.47000000 0.121023788264 Long ABS-MBS USGA US N 2 2035-05-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209TRS0 998.79000000 PA USD 1113.77000000 0.000092621624 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36178D5C1 723326.68000000 PA USD 792319.00000000 0.065889612016 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212EVT1 217.71000000 PA USD 223.28000000 0.000018568067 Long ABS-MBS USGA US N 2 2030-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208RFY5 235.56000000 PA USD 262.68000000 0.000021844589 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TCY9 5842345.40000000 PA USD 6350070.05000000 0.528074742458 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EGN3 541501.88000000 PA USD 613834.41000000 0.051046751519 Long ABS-MBS USGA US N 2 2036-01-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36201XMK1 12152.12000000 PA USD 13714.31000000 0.001140488319 Long ABS-MBS USGA US N 2 2033-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209KWT1 152.49000000 PA USD 155.78000000 0.000012954736 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179S4E4 495776.27000000 PA USD 520930.12000000 0.043320788084 Long ABS-MBS USGA US N 2 2032-05-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210HUK6 5595.04000000 PA USD 6239.16000000 0.000518851411 Long ABS-MBS USGA US N 2 2028-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36291FH84 5845.36000000 PA USD 6736.84000000 0.000560238709 Long ABS-MBS USGA US N 2 2035-03-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FSE7 283292.33000000 PA USD 318323.19000000 0.026471902711 Long ABS-MBS USGA US N 2 2041-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620A2XC5 2359517.64000000 PA USD 2680806.03000000 0.222937060965 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210TPJ9 2578.65000000 PA USD 2875.51000000 0.000239128732 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36225B5Z7 3080.08000000 PA USD 3610.83000000 0.000300278281 Long ABS-MBS USGA US N 2 2034-07-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224HS64 346.09000000 PA USD 347.73000000 0.000028917386 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H042638 -16246000.00000000 PA USD -17550573.78000000 -1.45951377794 Short ABS-MBS USGA US N 2 2051-03-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DRG8 32551.47000000 PA USD 37231.03000000 0.003096149558 Long ABS-MBS USGA US N 2 2032-01-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H040632 -2892000.00000000 PA USD -3094214.08000000 -0.25731626431 Short ABS-MBS USGA US N 2 2051-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209ACN8 22911.74000000 PA USD 25549.40000000 0.002124699840 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206ARP0 520.12000000 PA USD 580.00000000 0.000048233066 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622AAKF0 6920199.44000000 PA USD 7473951.93000000 0.621537275888 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617LYY79 1116290.23000000 PA USD 1194439.90000000 0.099330170786 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211AYU4 1561.98000000 PA USD 1741.80000000 0.000144848888 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EFP9 1995.60000000 PA USD 2344.10000000 0.000194936432 Long ABS-MBS USGA US N 2 2035-10-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203S3Q8 433.31000000 PA USD 435.42000000 0.000036209727 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TBY0 465469.69000000 PA USD 489046.87000000 0.040669362367 Long ABS-MBS USGA US N 2 2032-06-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206NJZ9 457.59000000 PA USD 497.39000000 0.000041363180 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TG58 1325096.18000000 PA USD 1433324.80000000 0.119195948809 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294PDL4 70463.76000000 PA USD 81200.88000000 0.006752702482 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DAP6 90896.85000000 PA USD 105070.81000000 0.008737736827 Long ABS-MBS USGA US N 2 2029-02-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297GCY4 84022.47000000 PA USD 94544.48000000 0.007862362388 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E7G8 29926.27000000 PA USD 33692.19000000 0.002801857997 Long ABS-MBS USGA US N 2 2039-07-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36186QUS9 915924.85000000 PA USD 1008858.56000000 0.083897141299 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208LPE1 27987.44000000 PA USD 31736.33000000 0.002639207781 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ECA5 1939.75000000 PA USD 2278.76000000 0.000189502728 Long ABS-MBS USGA US N 2 2035-01-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36194GHD9 1301648.45000000 PA USD 1417686.92000000 0.117895495525 Long ABS-MBS USGA US N 2 2046-06-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223YPN4 8074.16000000 PA USD 9003.68000000 0.000748750164 Long ABS-MBS USGA US N 2 2026-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TXX8 751169.07000000 PA USD 823205.49000000 0.068458146713 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203PAN3 555.70000000 PA USD 578.31000000 0.000048092525 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203YR30 698.69000000 PA USD 702.05000000 0.000058382800 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210LCB7 9373.54000000 PA USD 10452.65000000 0.000869247175 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DZF1 1237513.39000000 PA USD 1413896.97000000 0.117580321542 Long ABS-MBS USGA US N 2 2033-09-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36184XM22 111911.34000000 PA USD 121955.57000000 0.010141881225 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207KDR8 449.69000000 PA USD 501.46000000 0.000041701643 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223T5G2 256.61000000 PA USD 257.76000000 0.000021435440 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205G4G3 7955.45000000 PA USD 7999.90000000 0.000665275359 Long ABS-MBS USGA US N 2 2024-05-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206DST5 268.00000000 PA USD 278.94000000 0.000023196778 Long ABS-MBS USGA US N 2 2026-06-15 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F012437 6112000.00000000 PA USD 6178901.77000000 0.513840309661 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H030633 -2948000.00000000 PA USD -3068683.75000000 -0.25519315034 Short ABS-MBS USGA US N 2 2051-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TAL9 4977150.10000000 PA USD 5406969.32000000 0.449646052508 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D7H8 104664.12000000 PA USD 122778.61000000 0.010210325609 Long ABS-MBS USGA US N 2 2034-08-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H042638 1346000.00000000 PA USD 1454085.46000000 0.120922414832 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208CF85 992.66000000 PA USD 1106.94000000 0.000092053638 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211ELK2 3958.22000000 PA USD 4413.90000000 0.000367061951 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207J6H1 526.35000000 PA USD 586.94000000 0.000048810200 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36194X5T0 322820.78000000 PA USD 342711.33000000 0.028500031637 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EMA4 23.43000000 PA USD 27.52000000 0.000002288575 Long ABS-MBS USGA US N 2 2037-02-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295QC32 2315708.06000000 PA USD 2636701.18000000 0.219269281378 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TLV5 5498348.53000000 PA USD 6118674.25000000 0.508831761431 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379F4V8 6145851.55000000 PA USD 189643.77000000 0.015770863031 Long ABS-MBS USGA US N 2 2039-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296Q6T1 307613.22000000 PA USD 345225.85000000 0.028709140276 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206YGJ4 4845.89000000 PA USD 5403.76000000 0.000449379163 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296DQM3 93827.04000000 PA USD 111866.07000000 0.009302833770 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TPR0 413531.37000000 PA USD 437321.66000000 0.036367870142 Long ABS-MBS USGA US N 2 2032-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36178C5B5 91091.12000000 PA USD 98468.52000000 0.008188687357 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208YL98 1851.28000000 PA USD 2064.40000000 0.000171676452 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36195LXM9 835123.90000000 PA USD 936778.00000000 0.077902888817 Long ABS-MBS USGA US N 2 2046-11-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380FQF6 6295827.08000000 PA USD 6755311.02000000 0.561774767683 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TZ73 2943751.35000000 PA USD 3225884.95000000 0.268266074351 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179M5P1 52120.17000000 PA USD 58683.86000000 0.004880176755 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36204UWP2 959.20000000 PA USD 962.04000000 0.000080003688 Long ABS-MBS USGA US N 2 2024-12-15 Fixed 9.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290WFR8 1372.64000000 PA USD 1599.11000000 0.000132982722 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MCZ1 234415.36000000 PA USD 255641.37000000 0.021259253765 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RQ85 4039.74000000 PA USD 4743.20000000 0.000394446690 Long ABS-MBS USGA US N 2 2039-03-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36217HDR3 115.39000000 PA USD 128.67000000 0.000010700256 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FEJ1 3424859.78000000 PA USD 3933769.22000000 0.327134055433 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213UL65 1180.78000000 PA USD 1204.81000000 0.000100192553 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296Y5G3 124614.29000000 PA USD 140986.56000000 0.011724507096 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FB62 33143.32000000 PA USD 39109.19000000 0.003252338206 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617A9GN1 5779791.34000000 PA USD 6313363.24000000 0.525022187276 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36194M2W0 23684.46000000 PA USD 24981.25000000 0.002077452225 Long ABS-MBS USGA US N 2 2046-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QR45 6301.50000000 PA USD 7403.28000000 0.000615660165 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36204H6H8 480.72000000 PA USD 482.94000000 0.000040161512 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210RW22 10832.61000000 PA USD 11558.74000000 0.000961230128 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209FPW3 231.84000000 PA USD 237.55000000 0.000019754767 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D3Y5 1405858.43000000 PA USD 1645217.48000000 0.136817041418 Long ABS-MBS USGA US N 2 2034-02-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194HAU6 1013171.31000000 PA USD 1102442.33000000 0.091679610603 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210QAA0 213.23000000 PA USD 237.78000000 0.000019773894 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179T5X9 257700.60000000 PA USD 272571.63000000 0.022667181964 Long ABS-MBS USGA US N 2 2033-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205XA20 2142.74000000 PA USD 2149.71000000 0.000178770871 Long ABS-MBS USGA US N 2 2024-10-15 Fixed 9.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EYM5 111482.60000000 PA USD 131568.93000000 0.010941332659 Long ABS-MBS USGA US N 2 2038-12-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620AR2K6 5326.30000000 PA USD 6251.80000000 0.000519902559 Long ABS-MBS USGA US N 2 2036-07-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FFU5 2219135.57000000 PA USD 2548895.50000000 0.211967320693 Long ABS-MBS USGA US N 2 2040-04-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D4D0 15372.72000000 PA USD 15443.49000000 0.001284287722 Long ABS-MBS USGA US N 2 2034-01-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206RTB2 3051.15000000 PA USD 3402.41000000 0.000282945978 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206NFD2 791.89000000 PA USD 814.70000000 0.000067750826 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203S3M7 619.06000000 PA USD 622.08000000 0.000051732458 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290NBL5 6440.14000000 PA USD 7416.86000000 0.000616789484 Long ABS-MBS USGA US N 2 2033-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H040632 40909000.00000000 PA USD 43769434.19000000 3.639886254076 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 4.00000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F020638 9598000.00000000 PA USD 9695104.79000000 0.806249368081 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36181KC81 6986560.12000000 PA USD 7569876.76000000 0.629514428817 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207HDD6 2862.36000000 PA USD 2897.98000000 0.000240997348 Long ABS-MBS USGA US N 2 2026-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BFU7 1419.81000000 PA USD 1683.18000000 0.000139974022 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241LUN4 5275802.19000000 PA USD 5946869.56000000 0.494544404487 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223DMM5 460.37000000 PA USD 462.51000000 0.000038462544 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FKH8 166502.63000000 PA USD 181016.78000000 0.015053438580 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EBT5 21564.97000000 PA USD 24294.98000000 0.002020381697 Long ABS-MBS USGA US N 2 2034-12-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209YYE2 803.99000000 PA USD 891.13000000 0.000074106780 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380CCN1 1992911.20000000 PA USD 136902.84000000 0.011384903064 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209ADJ6 11375.93000000 PA USD 12654.82000000 0.001052380644 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206EEM3 854.64000000 PA USD 874.48000000 0.000072722158 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203L2U5 2488.45000000 PA USD 2523.74000000 0.000209875377 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223H3X3 10.56000000 PA USD 10.60000000 0.000000881500 Long ABS-MBS USGA US N 2 2021-08-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241KCL0 523308.94000000 PA USD 629892.53000000 0.052382152155 Long ABS-MBS USGA US N 2 2035-01-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DLV1 9607.51000000 PA USD 11427.81000000 0.000950341929 Long ABS-MBS USGA US N 2 2031-02-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H032639 -2915000.00000000 PA USD -3088044.05000000 -0.25680316178 Short ABS-MBS USGA US N 2 2051-03-20 Fixed 3.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 CBOT 2 Year US Treasury Note 000000000 -709.00000000 NC USD 19023.67000000 0.001582017136 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2021-06-30 -156541852.50000000 USD 19023.67000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202B5S0 781.09000000 PA USD 784.75000000 0.000065260170 Long ABS-MBS USGA US N 2 2022-01-20 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2QJ4 99776.63000000 PA USD 112414.03000000 0.009348402375 Long ABS-MBS USGA US N 2 2045-09-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36183V2T0 88470.94000000 PA USD 92798.96000000 0.007717204143 Long ABS-MBS USGA US N 2 2045-01-15 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F032633 -5391000.00000000 PA USD -5716081.67000000 -0.47535197753 Short ABS-MBS USGSE US N 2 2051-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208UKT3 31134.35000000 PA USD 34718.62000000 0.002887216388 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210XGW1 3744.53000000 PA USD 3988.32000000 0.000331670523 Long ABS-MBS USGA US N 2 2029-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209YKY3 40213.33000000 PA USD 47328.22000000 0.003935836516 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ECP2 205182.92000000 PA USD 235178.03000000 0.019557513011 Long ABS-MBS USGA US N 2 2035-02-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UCD2 723044.15000000 PA USD 793893.60000000 0.066020556475 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FLP9 91993.99000000 PA USD 103574.03000000 0.008613263914 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36185BS64 11339.15000000 PA USD 11899.50000000 0.000989567886 Long ABS-MBS USGA US N 2 2045-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210XLP0 2246.93000000 PA USD 2273.12000000 0.000189033703 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36183QXL4 433702.73000000 PA USD 473216.14000000 0.039352871588 Long ABS-MBS USGA US N 2 2045-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DC82 315.18000000 PA USD 363.05000000 0.000030191404 Long ABS-MBS USGA US N 2 2029-08-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207KF88 3465.94000000 PA USD 3922.99000000 0.000326237650 Long ABS-MBS USGA US N 2 2030-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NF60 254134.14000000 PA USD 270350.99000000 0.022482512522 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209EVX7 378.47000000 PA USD 380.36000000 0.000031630912 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203N6R4 992.12000000 PA USD 1006.50000000 0.000083701002 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FM60 23221.01000000 PA USD 25102.06000000 0.002087498841 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F030637 -5905000.00000000 PA USD -6179951.56000000 -0.51392761068 Short ABS-MBS USGSE US N 2 2051-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294SEE3 3777.37000000 PA USD 4353.03000000 0.000361999974 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Fannie Mae or Freddie Mac N/A FANNIE MAE OR FREDDIE MAC 01F042632 -2853000.00000000 PA USD -3103496.91000000 -0.25808822872 Short ABS-MBS USGSE US N 2 2051-03-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BAX6 437.56000000 PA USD 439.12000000 0.000036517420 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 10.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225AAK6 22.65000000 PA USD 22.71000000 0.000001888574 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 9.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DNY3 2063.75000000 PA USD 2441.22000000 0.000203012976 Long ABS-MBS USGA US N 2 2031-07-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205BA77 304.37000000 PA USD 305.88000000 0.000025437121 Long ABS-MBS USGA US N 2 2025-01-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RVE6 3017060.12000000 PA USD 3465488.36000000 0.288191603996 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36195LXV9 944403.57000000 PA USD 1059168.04000000 0.088080900767 Long ABS-MBS USGA US N 2 2046-12-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36182JHQ8 389209.11000000 PA USD 423546.18000000 0.035222294897 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208QD29 14178.23000000 PA USD 15810.47000000 0.001314805948 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209YEB0 7162.58000000 PA USD 7533.37000000 0.000626478509 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208M4V4 11615.98000000 PA USD 12953.24000000 0.001077197388 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207E3T9 49383.94000000 PA USD 54896.95000000 0.004565255580 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MVS6 1524431.04000000 PA USD 1661759.21000000 0.138192659283 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210YWY7 1111.61000000 PA USD 1239.58000000 0.000103084042 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EBV0 115486.59000000 PA USD 135705.56000000 0.011285336710 Long ABS-MBS USGA US N 2 2034-12-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DGC9 4712.55000000 PA USD 5431.23000000 0.000451663581 Long ABS-MBS USGA US N 2 2030-03-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296QY29 1173559.53000000 PA USD 1333053.29000000 0.110857323975 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QPN5 10323.30000000 PA USD 11793.09000000 0.000980718781 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 6.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBL4 5890000.00000000 PA USD 5744590.63000000 0.477722795745 Long DBT UST US N 2 2031-02-15 Fixed 1.12500000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 31364HMV6 66.17000000 PA USD 1.15000000 0.000000095634 Long ABS-MBS USGSE US N 2 2022-04-25 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377FW80 269725.88000000 PA USD 46344.11000000 0.003853997477 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ELL1 297116.93000000 PA USD 350819.46000000 0.029174307453 Long ABS-MBS USGA US N 2 2036-12-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AVCW0 695549.39000000 PA USD 784704.43000000 0.065256380876 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206WZ99 4552.65000000 PA USD 5076.76000000 0.000422185693 Long ABS-MBS USGA US N 2 2026-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617KFSK9 4165284.62000000 PA USD 4412883.76000000 0.366977440675 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224JJQ6 293.59000000 PA USD 296.96000000 0.000024695330 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290WKG6 32913.38000000 PA USD 37948.54000000 0.003155818019 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205DQ92 3394.46000000 PA USD 3413.68000000 0.000283883196 Long ABS-MBS USGA US N 2 2024-08-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206TAD4 7803.00000000 PA USD 8701.30000000 0.000723604105 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205C6K1 1441.96000000 PA USD 1449.15000000 0.000120511979 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D6T3 14931.45000000 PA USD 17054.50000000 0.001418260054 Long ABS-MBS USGA US N 2 2034-07-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206PVR8 1899.71000000 PA USD 2118.41000000 0.000176167948 Long ABS-MBS USGA US N 2 2026-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FKN5 839567.63000000 PA USD 943659.01000000 0.078475116770 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A2YK2 265704.18000000 PA USD 286947.55000000 0.023862690076 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F032633 3444000.00000000 PA USD 3651675.99000000 0.303675052838 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209LJV9 1121.36000000 PA USD 1250.45000000 0.000103987996 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294TGV1 10438.31000000 PA USD 11640.00000000 0.000967987747 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36189REV5 540556.20000000 PA USD 565482.37000000 0.047025773660 Long ABS-MBS USGA US N 2 2046-12-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EVN6 304699.26000000 PA USD 357766.74000000 0.029752046449 Long ABS-MBS USGA US N 2 2038-08-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200X6E4 32041.98000000 PA USD 33684.71000000 0.002801235957 Long ABS-MBS USGA US N 2 2032-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NJB5 738806.81000000 PA USD 821478.74000000 0.068314549389 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202C2J1 120.94000000 PA USD 135.20000000 0.000011243294 Long ABS-MBS USGA US N 2 2028-04-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379DLJ1 8210939.26000000 PA USD 857887.14000000 0.071342288659 Long ABS-MBS USGA US N 2 2043-10-16 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DQB0 102182.99000000 PA USD 121147.38000000 0.010074671773 Long ABS-MBS USGA US N 2 2031-10-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202F5C6 430399.82000000 PA USD 452070.29000000 0.037594372988 Long ABS-MBS USGA US N 2 2027-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294V5V8 8855.29000000 PA USD 9874.74000000 0.000821187914 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617J92U1 4282634.99000000 PA USD 4604402.42000000 0.382904220421 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202AZE0 711.61000000 PA USD 721.36000000 0.000059988628 Long ABS-MBS USGA US N 2 2023-01-20 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BEA2 3290.45000000 PA USD 3770.19000000 0.000313530732 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CY80 6454.00000000 PA USD 7298.28000000 0.000606928317 Long ABS-MBS USGA US N 2 2028-01-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208RZR8 1232.25000000 PA USD 1374.11000000 0.000114271618 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FQ82 1792547.53000000 PA USD 2058966.16000000 0.171224571715 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36204ATV7 7976.61000000 PA USD 8015.56000000 0.000666577651 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D2V2 25948.02000000 PA USD 29999.48000000 0.002494770537 Long ABS-MBS USGA US N 2 2033-12-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HRG1 9509.84000000 PA USD 10266.52000000 0.000853768519 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E7H6 261025.20000000 PA USD 299538.12000000 0.024909727661 Long ABS-MBS USGA US N 2 2039-07-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140H9G64 2175832.72000000 PA USD 2302277.41000000 0.191458447037 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SB71 18361663.22000000 PA USD 19435572.82000000 1.616271164039 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UZH8 9532670.93000000 PA USD 9799827.85000000 0.814958185858 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209QYB5 5944.75000000 PA USD 6260.18000000 0.000520599444 Long ABS-MBS USGA US N 2 2029-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DNZ0 15012.92000000 PA USD 18011.01000000 0.001497803865 Long ABS-MBS USGA US N 2 2031-07-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SGL5 6529988.44000000 PA USD 6994764.15000000 0.581687799974 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203TWH4 3253.66000000 PA USD 3269.38000000 0.000271883142 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224KQ36 18.38000000 PA USD 18.60000000 0.000001546784 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179Q6Q9 6515511.60000000 PA USD 7225036.80000000 0.600837379330 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A3BS8 936914.63000000 PA USD 1037710.16000000 0.086296453609 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H020634 35417000.00000000 PA USD 35946871.61000000 2.989358356389 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210BUF0 12821.29000000 PA USD 14297.31000000 0.001188970867 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RYY9 6794895.25000000 PA USD 7126229.70000000 0.592620535504 Long ABS-MBS USGA US N 2 2031-02-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297CWF2 7189.66000000 PA USD 8075.96000000 0.000671600543 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FE51 19199.51000000 PA USD 21315.61000000 0.001772615919 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210QY55 223.04000000 PA USD 241.73000000 0.000020102377 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212TVY7 7212.77000000 PA USD 7578.43000000 0.000630225720 Long ABS-MBS USGA US N 2 2030-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DPD7 6319.95000000 PA USD 7475.69000000 0.000621681814 Long ABS-MBS USGA US N 2 2031-08-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DZG9 65989.31000000 PA USD 77177.42000000 0.006418109701 Long ABS-MBS USGA US N 2 2033-09-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FJR8 1144858.09000000 PA USD 1314997.65000000 0.109355808658 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203P3L5 1286.96000000 PA USD 1293.24000000 0.000107546432 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208RSH8 3706.98000000 PA USD 4133.74000000 0.000343763717 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206PZC7 7342.30000000 PA USD 8187.57000000 0.000680882082 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206DFC6 1437.27000000 PA USD 1602.73000000 0.000133283763 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202AN45 162.06000000 PA USD 164.40000000 0.000013671579 Long ABS-MBS USGA US N 2 2022-10-20 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BHW1 864.74000000 PA USD 1001.15000000 0.000083256093 Long ABS-MBS USGA US N 2 2030-03-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208VYH2 38528.37000000 PA USD 42102.72000000 0.003501281536 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D6U0 185561.92000000 PA USD 217718.99000000 0.018105611224 Long ABS-MBS USGA US N 2 2034-07-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200WA35 1547.01000000 PA USD 1613.37000000 0.000134168590 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209MTC8 1470.67000000 PA USD 1639.98000000 0.000136381490 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203KPJ7 2420.79000000 PA USD 2432.46000000 0.000202284491 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209HJV8 21448.59000000 PA USD 24613.67000000 0.002046884104 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617G9GX3 710590.43000000 PA USD 791356.76000000 0.065809591695 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CV26 7336.25000000 PA USD 8144.90000000 0.000677333625 Long ABS-MBS USGA US N 2 2027-05-20 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CZ48 144.97000000 PA USD 163.68000000 0.000013611703 Long ABS-MBS USGA US N 2 2028-03-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205SGR0 35859.32000000 PA USD 36699.79000000 0.003051971395 Long ABS-MBS USGA US N 2 2026-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EXT1 398327.37000000 PA USD 467710.56000000 0.038895025026 Long ABS-MBS USGA US N 2 2038-11-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179N2K3 258690.22000000 PA USD 284666.27000000 0.023672977783 Long ABS-MBS USGA US N 2 2044-02-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EB81 4757.76000000 PA USD 5359.58000000 0.000445705134 Long ABS-MBS USGA US N 2 2035-01-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210MTX9 2245.42000000 PA USD 2503.92000000 0.000208227137 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209BNS3 6146.59000000 PA USD 6854.20000000 0.000569998420 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203GKH5 560.47000000 PA USD 563.15000000 0.000046831812 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EBU2 818671.74000000 PA USD 935106.75000000 0.077763906900 Long ABS-MBS USGA US N 2 2034-12-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241KX37 880.20000000 PA USD 1039.81000000 0.000086471077 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179N5W4 147282.96000000 PA USD 163218.94000000 0.013573362030 Long ABS-MBS USGA US N 2 2044-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209BNW4 2362.52000000 PA USD 2634.50000000 0.000219086230 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179V4V9 78976418.72000000 PA USD 82030667.44000000 6.821707987621 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MEF3 1100649.23000000 PA USD 1156076.90000000 0.096139886083 Long ABS-MBS USGA US N 2 2027-06-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297GP46 2505486.70000000 PA USD 2963754.65000000 0.246467198185 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203FUT0 352.47000000 PA USD 354.17000000 0.000029452939 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203V4A5 674.22000000 PA USD 677.52000000 0.000056342874 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213UMD9 440.25000000 PA USD 460.35000000 0.000038282917 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QPF2 1641481.62000000 PA USD 1739284.82000000 0.144639724625 Long ABS-MBS USGA US N 2 2044-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178DPE5 1316911.31000000 PA USD 1425708.43000000 0.118562567981 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DC90 51870.64000000 PA USD 60229.72000000 0.005008731183 Long ABS-MBS USGA US N 2 2029-08-20 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EDQ9 19811.76000000 PA USD 23264.30000000 0.001934669875 Long ABS-MBS USGA US N 2 2035-05-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205NCS3 405.11000000 PA USD 407.08000000 0.000033852959 Long ABS-MBS USGA US N 2 2024-05-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MX47 4375214.92000000 PA USD 4769086.64000000 0.396599435809 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200AG37 16473.77000000 PA USD 18569.55000000 0.001544252308 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210AS24 36512.26000000 PA USD 39139.07000000 0.003254823040 Long ABS-MBS USGA US N 2 2028-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EE88 142368.93000000 PA USD 162624.93000000 0.013523963885 Long ABS-MBS USGA US N 2 2035-09-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ERD3 59158.68000000 PA USD 69485.39000000 0.005778436952 Long ABS-MBS USGA US N 2 2038-02-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194HHM7 378846.30000000 PA USD 414182.78000000 0.034443630252 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F050635 1007000.00000000 PA USD 1115331.18000000 0.092751453290 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D6V8 136931.60000000 PA USD 161500.28000000 0.013430437474 Long ABS-MBS USGA US N 2 2034-07-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TTD7 272149.40000000 PA USD 287873.10000000 0.023939659239 Long ABS-MBS USGA US N 2 2033-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FCN4 16163.55000000 PA USD 18161.73000000 0.001510337809 Long ABS-MBS USGA US N 2 2039-11-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379QL29 2650074.44000000 PA USD 76301.21000000 0.006345243674 Long ABS-MBS USGA US N 2 2039-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36292NSH4 66919.43000000 PA USD 75114.52000000 0.006246557989 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223FNP2 9.93000000 PA USD 9.93000000 0.000000825783 Long ABS-MBS USGA US N 2 2021-06-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SEM5 5682.03000000 PA USD 6703.41000000 0.000557458655 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176WYE5 3741754.32000000 PA USD 4022646.36000000 0.334525119223 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202AQ26 92.81000000 PA USD 93.26000000 0.000007755544 Long ABS-MBS USGA US N 2 2022-11-20 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UH62 1653976.35000000 PA USD 1809339.44000000 0.150465499006 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FGD2 7878640.72000000 PA USD 8852714.42000000 0.736195797933 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206WMD4 183.21000000 PA USD 186.16000000 0.000015481151 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209QMH5 12194.77000000 PA USD 13598.67000000 0.001130871644 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211EEE4 1463.68000000 PA USD 1689.48000000 0.000140497932 Long ABS-MBS USGA US N 2 2029-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UGG1 78050.17000000 PA USD 91053.06000000 0.007572014297 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36183XCV0 178759.28000000 PA USD 187252.14000000 0.015571973982 Long ABS-MBS USGA US N 2 2045-01-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203AU20 3067.32000000 PA USD 3110.14000000 0.000258640671 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H032639 40952000.00000000 PA USD 43383046.27000000 3.607754057150 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208HM37 63436.54000000 PA USD 70669.00000000 0.005876866503 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223GS26 21.02000000 PA USD 21.09000000 0.000001753854 Long ABS-MBS USGA US N 2 2021-06-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ESA8 303062.15000000 PA USD 346224.02000000 0.028792148551 Long ABS-MBS USGA US N 2 2038-04-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QAEN6 329586.66000000 PA USD 338537.85000000 0.028152963123 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207HCE5 741.79000000 PA USD 759.74000000 0.000063180327 Long ABS-MBS USGA US N 2 2026-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209MDE1 933.17000000 PA USD 1040.60000000 0.000086536774 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208MX67 4996.15000000 PA USD 5502.77000000 0.000457612881 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297FYY2 267338.41000000 PA USD 309360.11000000 0.025726528861 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36204FWN0 1822.00000000 PA USD 1830.94000000 0.000152261811 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223SFF5 4326.41000000 PA USD 4345.61000000 0.000361382923 Long ABS-MBS USGA US N 2 2022-04-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209KBJ6 1735.24000000 PA USD 1935.01000000 0.000160916320 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209VJQ8 1807.41000000 PA USD 2015.48000000 0.000167608242 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Verus Securitization Trust N/A Verus Securitization Trust 2020-2 92537UAA0 5315297.32000000 PA USD 5376324.91000000 0.447097649295 Long ABS-MBS CORP US N 2 2060-05-25 Variable 2.22600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203JTH0 1650.47000000 PA USD 1658.52000000 0.000137923285 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210GJ88 1138.71000000 PA USD 1269.80000000 0.000105597151 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NBB3 920912.61000000 PA USD 1003928.52000000 0.083487156908 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224SHF2 25.53000000 PA USD 25.88000000 0.000002152192 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A2AG7 9704971.96000000 PA USD 10577386.05000000 0.879620282965 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212UCY5 180.46000000 PA USD 207.78000000 0.000017279080 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379ETW2 9616587.27000000 PA USD 872674.52000000 0.072572013973 Long ABS-MBS USGA US N 2 2029-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213SFQ3 9939.07000000 PA USD 10288.17000000 0.000855568943 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209CZU3 1810.47000000 PA USD 2018.90000000 0.000167892651 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379EFQ0 9846868.36000000 PA USD 1445931.87000000 0.120244358542 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225AG87 883.61000000 PA USD 887.45000000 0.000073800749 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FP67 612309.40000000 PA USD 679720.73000000 0.056525888157 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TD51 18147594.88000000 PA USD 19205337.61000000 1.597124698210 Long ABS-MBS USGA US N 2 2032-08-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224RE75 149.04000000 PA USD 149.79000000 0.000012456605 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EPB9 139569.51000000 PA USD 169619.19000000 0.014105609760 Long ABS-MBS USGA US N 2 2037-08-20 Fixed 6.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F020638 -8114000.00000000 PA USD -8196090.88000000 -0.68159068270 Short ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203EE20 757.37000000 PA USD 788.84000000 0.000065600296 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213SMX0 2004.66000000 PA USD 2318.38000000 0.000192797545 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203DRA0 415.86000000 PA USD 421.24000000 0.000035030511 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294VL40 40099.69000000 PA USD 46033.03000000 0.003828127921 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206UVX4 529.05000000 PA USD 531.70000000 0.000044216416 Long ABS-MBS USGA US N 2 2026-05-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206TXR8 6961.44000000 PA USD 7762.86000000 0.000645563003 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36292E2B5 56603.31000000 PA USD 62975.04000000 0.005237033255 Long ABS-MBS USGA US N 2 2035-07-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A2XY3 14526141.01000000 PA USD 16082815.16000000 1.337454296841 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBH3 4905000.00000000 PA USD 4826060.16000000 0.401337379904 Long DBT UST US N 2 2026-01-31 Fixed 0.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224SWR9 372.13000000 PA USD 373.93000000 0.000031096190 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SB97 742250.73000000 PA USD 810701.04000000 0.067418270906 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36183QTJ4 51439.29000000 PA USD 54032.37000000 0.004493356710 Long ABS-MBS USGA US N 2 2045-01-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203HG47 115.60000000 PA USD 116.14000000 0.000009658255 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379GXY8 2135375.54000000 PA USD 29635.60000000 0.002464510110 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179REC9 241511.13000000 PA USD 284863.09000000 0.023689345425 Long ABS-MBS USGA US N 2 2039-08-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208MBT1 457.51000000 PA USD 510.18000000 0.000042426803 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211P7C1 2534.50000000 PA USD 2547.30000000 0.000211834638 Long ABS-MBS USGA US N 2 2030-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207MTZ9 1139.48000000 PA USD 1145.12000000 0.000095228705 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36187SWY9 228648.48000000 PA USD 242360.59000000 0.020154818000 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RXE4 1617400.62000000 PA USD 1777783.91000000 0.147841326635 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NF78 2431967.81000000 PA USD 2651498.33000000 0.220499819170 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209KM62 524.34000000 PA USD 584.70000000 0.000048623920 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223NXJ8 166.86000000 PA USD 167.63000000 0.000013940187 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208V6F7 233.26000000 PA USD 237.67000000 0.000019764746 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225ACL2 258.10000000 PA USD 263.90000000 0.000021946045 Long ABS-MBS USGA US N 2 2025-03-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202B6L4 73.99000000 PA USD 74.35000000 0.000006182980 Long ABS-MBS USGA US N 2 2022-02-20 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241LKA3 1418526.87000000 PA USD 1596166.92000000 0.132737974315 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212KXG3 1161.53000000 PA USD 1206.94000000 0.000100369684 Long ABS-MBS USGA US N 2 2030-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FQB5 43775.58000000 PA USD 51443.87000000 0.004278095861 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241LLQ7 226024.45000000 PA USD 254989.33000000 0.021205029819 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295GLV2 12546.76000000 PA USD 13177.31000000 0.001095831153 Long ABS-MBS USGA US N 2 2045-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208WCB7 18899.69000000 PA USD 18994.91000000 0.001579625441 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36223RDU6 363.40000000 PA USD 365.07000000 0.000030359388 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36291WTH4 2331.61000000 PA USD 2631.03000000 0.000218797663 Long ABS-MBS USGA US N 2 2035-02-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295BBQ5 54481.00000000 PA USD 61412.43000000 0.005107085890 Long ABS-MBS USGA US N 2 2037-04-15 Fixed 6.00000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F022634 33831000.00000000 PA USD 35073232.03000000 2.916706087583 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202A4P9 200.40000000 PA USD 202.92000000 0.000016874920 Long ABS-MBS USGA US N 2 2023-02-20 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BHH4 74.95000000 PA USD 87.91000000 0.000007310635 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36188KDZ3 161149.93000000 PA USD 176560.56000000 0.014682857278 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208VUP8 91002.79000000 PA USD 101881.22000000 0.008472489057 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194GRF3 742948.38000000 PA USD 806106.99000000 0.067036227598 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290QZF5 8138.15000000 PA USD 9547.46000000 0.000793971159 Long ABS-MBS USGA US N 2 2033-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381YSE5 10982470.26000000 PA USD 1619769.39000000 0.134700766563 Long ABS-MBS USGA US N 2 2045-11-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MG61 1180274.58000000 PA USD 1312490.40000000 0.109147304596 Long ABS-MBS USGA US N 2 2042-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225B4P0 114998.93000000 PA USD 134911.55000000 0.011219306473 Long ABS-MBS USGA US N 2 2034-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FDB9 1004975.40000000 PA USD 1131456.29000000 0.094092424845 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178WDR7 5703686.58000000 PA USD 6315002.97000000 0.525158547976 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206JBC7 5120.61000000 PA USD 5714.27000000 0.000475201318 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617LQL54 6684235.74000000 PA USD 7082456.30000000 0.588980319452 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TU78 348332.84000000 PA USD 368410.13000000 0.030637155651 Long ABS-MBS USGA US N 2 2033-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210AN94 208.66000000 PA USD 235.25000000 0.000019563498 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CM83 29025.27000000 PA USD 31851.50000000 0.002648785371 Long ABS-MBS USGA US N 2 2026-03-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RN21 42295.09000000 PA USD 49703.01000000 0.004133325144 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36178DZN4 3907866.05000000 PA USD 4232191.77000000 0.351951011780 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ED48 968.90000000 PA USD 1106.74000000 0.000092037006 Long ABS-MBS USGA US N 2 2035-06-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241KFD5 353701.24000000 PA USD 425761.58000000 0.035406528579 Long ABS-MBS USGA US N 2 2035-07-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210A6A0 9509.31000000 PA USD 10604.05000000 0.000881837669 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208YS83 1295.65000000 PA USD 1444.81000000 0.000120151063 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NDQ8 1875942.80000000 PA USD 1995529.88000000 0.165949181528 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225B2U1 1018093.44000000 PA USD 1183023.24000000 0.098380756096 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RTA7 12009336.52000000 PA USD 13230128.09000000 1.100223529630 Long ABS-MBS USGA US N 2 2045-11-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209BHT8 23396.84000000 PA USD 26090.35000000 0.002169685491 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207VNG7 1635.22000000 PA USD 1823.47000000 0.000151640602 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211PTG8 420.23000000 PA USD 422.29000000 0.000035117830 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622094V7 254.64000000 PA USD 257.87000000 0.000021444587 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179S4F1 163266.79000000 PA USD 172675.70000000 0.014359790535 Long ABS-MBS USGA US N 2 2032-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205HCP2 2794.41000000 PA USD 2803.55000000 0.000233144505 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 9.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206YM32 18609.24000000 PA USD 20751.59000000 0.001725711757 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FZY5 164265.05000000 PA USD 182723.11000000 0.015195337767 Long ABS-MBS USGA US N 2 2041-12-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212MXN4 1558.08000000 PA USD 1778.53000000 0.000147903371 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 7.50000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31396L3T5 894023.75000000 PA USD 1041943.29000000 0.086648482645 Long ABS-MBS USGSE US N 2 2036-12-25 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208CEU7 1057.82000000 PA USD 1179.60000000 0.000098096077 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RXF1 781618.53000000 PA USD 879788.75000000 0.073163636608 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179ME30 14073.63000000 PA USD 15323.57000000 0.001274315120 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QCKG0 12202393.78000000 PA USD 12845738.51000000 1.068257515576 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224J2H4 1073.44000000 PA USD 1078.41000000 0.000089681071 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212DVL0 142106.88000000 PA USD 160533.49000000 0.013350038774 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NBA5 718297.80000000 PA USD 764144.00000000 0.063546566073 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224HTD8 193.40000000 PA USD 194.31000000 0.000016158908 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208VZ99 863.60000000 PA USD 963.02000000 0.000080085185 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208F3X6 16654.74000000 PA USD 18572.08000000 0.001544462704 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 6.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F030637 2344000.00000000 PA USD 2453142.50000000 0.204004457226 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36241KYG7 170551.73000000 PA USD 201199.84000000 0.016731871121 Long ABS-MBS USGA US N 2 2038-12-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FLN4 106446.17000000 PA USD 118167.43000000 0.009826857762 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620AS4W6 12216.42000000 PA USD 14441.28000000 0.001200943478 Long ABS-MBS USGA US N 2 2037-01-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213WFZ4 10468.89000000 PA USD 11674.10000000 0.000970823518 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 362206T46 17.34000000 PA USD 17.47000000 0.000001452813 Long ABS-MBS USGA US N 2 2021-10-15 Fixed 9.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D2W0 109253.76000000 PA USD 128874.48000000 0.010717260959 Long ABS-MBS USGA US N 2 2033-12-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TE35 8902460.57000000 PA USD 9742329.83000000 0.810176624101 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NBC1 3774814.89000000 PA USD 4196880.19000000 0.349014484566 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179VHG8 1388250.13000000 PA USD 1427206.46000000 0.118687144844 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210B4H5 10062.20000000 PA USD 11355.00000000 0.000944287016 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205TP31 1372.76000000 PA USD 1530.80000000 0.000127302031 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225ATS9 885.39000000 PA USD 987.32000000 0.000082105984 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208HMH6 2555.85000000 PA USD 2850.09000000 0.000237014793 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 6.50000000 N N N N N N 2021-04-22 T. ROWE PRICE GNMA FUND, INC. Alan S. Dupski Alan S. Dupski Treasurer & Vice President XXXX NPORT-EX 2 7020TRPGNMAFdInc.htm

T.

ROWE

PRICE

GNMA

Fund

February

28,

2021

(Unaudited)

1

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

1.3%

Whole

Loans

Backed

1.3%

Verus

Securitization

Trust

Series

2020-2,

Class

A1,

CMO,

ARM

2.226%,

5/25/60 (1)

5,315‌

5,376‌

Verus

Securitization

Trust

Series

2020-2,

Class

A2,

CMO,

ARM

2.989%,

5/25/60 (1)

6,000‌

6,251‌

Vista

Point

Securitization

Trust

Series

2020-1,

Class

A2,

CMO,

ARM

2.77%,

3/25/65 (1)

4,000‌

4,097‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$15,315)

15,724‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

112.3%

U.S.

Government

Agency

Obligations

13.4%

(2)

Federal

Home

Loan

Mortgage

6.50%,

8/1/36

27‌

31‌

7.00%,

11/1/30

-

4/1/32

490‌

570‌

Federal

Home

Loan

Mortgage,

UMBS,

4.50%,

1/1/50

31,714‌

34,706‌

Federal

National

Mortgage

Assn.

3.50%,

7/1/48

-

11/1/48

2,505‌

2,641‌

Federal

National

Mortgage

Assn.,

ARM,

12M

USD

LIBOR

+

1.59%,

2.142%,

11/1/35

5‌

5‌

Federal

National

Mortgage

Assn.,

CMO,

5.50%,

12/25/36

894‌

1,042‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

3.00%,

2/25/28

7,321‌

424‌

Federal

National

Mortgage

Assn.,

UMBS

2.50%,

12/1/50

23,194‌

24,080‌

3.00%,

12/1/49

-

2/1/50

20,067‌

21,090‌

3.50%,

5/1/50

2,777‌

2,982‌

5.00%,

1/1/49

3,850‌

4,376‌

UMBS,

TBA

1.50%,

4/1/36

-

4/1/51 (3)

11,364‌

11,372‌

2.00%,

4/1/36

-

4/1/51 (3)

5,250‌

5,384‌

2.50%,

4/1/36

-

4/1/51 (3)

36,653‌

37,997‌

3.00%,

4/1/36

-

4/1/51 (3)

4,174‌

4,397‌

3.50%,

4/1/36

-

4/1/51 (3)

3,179‌

3,375‌

4.00%,

4/1/51 (3)

1,304‌

1,402‌

4.50%,

4/1/51 (3)

1,276‌

1,389‌

5.00%,

4/1/51 (3)

3,571‌

3,957‌

161,220‌

T.

ROWE

PRICE

GNMA

Fund

2

Par/Shares

$

Value

(Amounts

in

000s)

U.S.

Government

Obligations

98.9%

Government

National

Mortgage

Assn.

2.50%,

2/20/31

-

1/20/51

85,771‌

89,157‌

3.00%,

11/20/26

-

7/20/50 (4)

241,304‌

253,206‌

3.50%,

1/20/27

-

1/20/50

198,122‌

215,695‌

4.00%,

3/20/39

-

7/20/49

110,199‌

121,014‌

4.50%,

5/20/30

-

6/20/50 (4)

69,658‌

77,714‌

5.00%,

5/15/33

-

6/20/49

49,874‌

56,294‌

5.50%,

10/20/32

-

3/20/49

30,513‌

34,986‌

6.00%,

6/20/31

-

11/20/48

7,629‌

9,017‌

6.50%,

12/15/23

-

6/20/48

26,035‌

30,568‌

7.00%,

1/20/28

-

1/20/34

390‌

451‌

7.50%,

11/15/21

-

6/15/32

802‌

892‌

8.00%,

12/15/21

-

3/15/30

436‌

473‌

8.50%,

12/15/21

-

9/15/24

6‌

6‌

9.00%,

6/15/21

-

3/20/25

15‌

14‌

9.50%,

3/15/23

-

12/15/24

9‌

9‌

Government

National

Mortgage

Assn.,

CMO

3.50%,

9/20/41

-

6/20/47

8,196‌

8,856‌

Government

National

Mortgage

Assn.,

CMO,

ARM,

IO,

2.71%,

2/16/51

10,000‌

1,150‌

Government

National

Mortgage

Assn.,

CMO,

IO

3.00%,

6/20/37

-

1/20/50

21,265‌

1,091‌

3.50%,

8/20/29

-

2/16/51

59,265‌

5,750‌

4.00%,

5/20/37

-

6/20/49

34,610‌

5,012‌

4.50%,

4/20/39

-

6/20/49

11,525‌

1,315‌

5.00%,

6/20/39

-

2/16/40

32,197‌

5,264‌

Government

National

Mortgage

Assn.,

TBA

2.00%,

3/20/51

-

4/20/51 (3)

76,337‌

77,464‌

2.50%,

3/20/51

-

4/20/51 (3)

124,676‌

129,434‌

3.00%,

3/20/51

-

4/20/51 (3)

19,077‌

19,859‌

3.50%,

4/20/51 (3)

683‌

724‌

4.00%,

3/20/51

-

4/20/51 (3)

38,989‌

41,716‌

4.50%,

4/20/51 (3)

766‌

828‌

5.00%,

4/20/51 (3)

1,564‌

1,711‌

1,189,670‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$1,335,990)

1,350,890‌

U.S.

GOVERNMENT

AGENCY

OBLIGATIONS

(EXCLUDING

MORTGAGE-BACKED)

2.9%

U.S.

Treasury

Obligations

2.9%

U.S.

Treasury

Bonds,

1.625%,

11/15/50

25,500‌

22,687‌

U.S.

Treasury

Bonds,

1.875%,

2/15/51

1,735‌

1,642‌

T.

ROWE

PRICE

GNMA

Fund

3

Par/Shares

$

Value

(Amounts

in

000s)

U.S.

Treasury

Notes,

0.375%,

1/31/26

4,905‌

4,826‌

U.S.

Treasury

Notes,

1.125%,

2/15/31

5,890‌

5,745‌

Total

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed)

(Cost

$36,033)

34,900‌

SHORT-TERM

INVESTMENTS

8.2%

Money

Market

Funds

8.2%

T.

Rowe

Price

Government

Reserve

Fund,

0.05% (5)(6)

98,287‌

98,287‌

Total

Short-Term

Investments

(Cost

$98,287)

98,287‌

Total

Investments

in

Securities

124.7%

(Cost

$1,485,625)

$

1,499,801‌

Other

Assets

Less

Liabilities

(24.7)%

(296,808‌)

Net

Assets

100.0%

$

1,202,993‌

‡

Par/Shares

and

Notional

Amount

are

denominated

in

U.S.

dollars

unless

otherwise

noted.

(1)

Security

was

purchased

pursuant

to

Rule

144A

under

the

Securities

Act

of

1933

and

may

be

resold

in

transactions

exempt

from

registration

only

to

qualified

institutional

buyers.

Total

value

of

such

securities

at

period-end

amounts

to

$15,724

and

represents

1.3%

of

net

assets.

(2)

Issuer

operates

under

a

Congressional

charter;

its

securities

are

neither

issued

nor

guaranteed

by

the

U.S.

government.

The

Federal

National

Mortgage

Association

and

the

Federal

Home

Loan

Mortgage

Corporation,

including

UMBS,

currently

operate

under

a

federal

conservatorship.

(3)

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$341,009

and

represents

28.3%

of

net

assets.

(4)

At

February

28,

2021,

all

or

a

portion

of

this

security

is

pledged

as

collateral

and/or

margin

deposit

to

cover

future

funding

obligations.

(5)

Seven-day

yield

(6)

Affiliated

Companies

12M

USD

LIBOR

Twelve

month

USD

LIBOR

(London

interbank

offered

rate)

ARM

Adjustable

Rate

Mortgage

(ARM);

rate

shown

is

effective

rate

at

period-end.

The

rates

for

certain

ARMs

are

not

based

on

a

published

reference

rate

and

spread

but

may

be

determined

using

a

formula

based

on

the

rates

of

the

underlying

loans.

CMO

Collateralized

Mortgage

Obligation

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

TBA

To-Be-Announced

UMBS

Uniform

Mortgage-Backed

Securities

T.

ROWE

PRICE

GNMA

Fund

4

Par

$

Value

(Amounts

in

000s)

TBA

SALES

COMMITMENTS

(6.3)%

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

(6.3)%

U.S.

Government

Agency

Obligations

(4.1)%

(2)

UMBS,

TBA

1.50%,

3/1/51

-

4/1/51

23,176

(22,763‌)

2.00%,

4/1/51

8,114

(8,179‌)

3.00%,

4/1/51

5,905

(6,182‌)

3.50%,

3/1/51

-

4/1/51

5,391

(5,719‌)

4.00%,

4/1/51

2,868

(3,084‌)

4.50%,

4/1/51

2,853

(3,106‌)

(49,033‌)

U.S.

Government

Obligations

(2.2)%

Government

National

Mortgage

Assn.,

TBA

3.00%,

4/20/51

2,948

(3,072‌)

3.50%,

4/20/51

2,915

(3,090‌)

4.00%,

4/20/51

2,892

(3,096‌)

4.50%,

3/20/51

-

4/20/51

16,246

(17,551‌)

(26,809‌)

Total

TBA

Sales

Commitments

(Proceeds

$(75,806))

(75,842‌)

T.

ROWE

PRICE

GNMA

Fund

5

(Amounts

in

000s)

SWAPS

(0.0)%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

(0.0)%

Credit

Default

Swaps,

Protection

Bought

(0.0)%

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.AAA-S13,

50

Year

Index),

Pay

0.50%,

Monthly,

Receive

upon

credit

default,

12/16/72

5,000

(12)

84

(96)

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.AAA-S13,

50

Year

Index),

Pay

0.50%,

Monthly,

Receive

upon

credit

default,

12/16/72

25,000

(58)

373

(431)

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

457

(527)

Total

Bilateral

Swaps

457

(527)

T.

ROWE

PRICE

GNMA

Fund

6

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Short,

661

U.S.

Treasury

Notes

five

year

contracts

6/21

(81,943)

$

665‌

Short,

709

U.S.

Treasury

Notes

two

year

contracts

6/21

(156,523)

19‌

Net

payments

(receipts)

of

variation

margin

to

date

(762‌)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

(78‌)

T.

ROWE

PRICE

GNMA

Fund

7

The

accompanying

notes

are

an

integral

part

of

this

Portfolio

of

Investments.

AFFILIATED

COMPANIES

($000s)

The

fund

may

invest

in

certain

securities

that

are

considered

affiliated

companies.

As

defined

by

the

1940

Act,

an

affiliated

company

is

one

in

which

the

fund

owns

5%

or

more

of

the

outstanding

voting

securities,

or

a

company

that

is

under

common

ownership

or

control.

The

following

securities

were

considered

affiliated

companies

for

all

or

some

portion

of

the

nine

months

ended

February

28,

2021.

Net

realized

gain

(loss),

investment

income,

change

in

net

unrealized

gain/loss,

and

purchase

and

sales

cost

reflect

all

activity

for

the

period

then

ended.

Affiliate

Net

Realized

Gain

(Loss)

Change

in

Net

Unrealized

Gain/Loss

Investment

Income

T.

Rowe

Price

Government

Reserve

Fund,

0.05%

$

—‌#

$

—‌

$

121‌+

`0.00

`0.00

`0.00

Supplementary

Investment

Schedule

Affiliate

Value

05/31/20

Purchase

Cost

Sales

Cost

Value

02/28/21

T.

Rowe

Price

Government

Reserve

Fund,

0.05%

$

61,297‌

¤

¤

$

98,287‌^

#

Capital

gain

distributions

from

mutual

funds

represented

$0

of

the

net

realized

gain

(loss).

+

Investment

income

comprised

$121

of

dividend

income

and

$0

of

interest

income.

¤

Purchase

and

sale

information

not

shown

for

cash

management

funds.

^

The

cost

basis

of

investments

in

affiliated

companies

was

$98,287.

T.

ROWE

PRICE

GNMA

Fund

Unaudited

Notes

to

Portfolio

of

Investments

8

T.

Rowe

Price

GNMA

Fund,

Inc. (the

fund) is

registered

under

the

Investment

Company

Act

of

1940

(the

1940

Act)

as

an

open-end

management

investment

company

and

follows

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standards

Codification

Topic

946.

The

accompanying

Portfolio

of

Investments

was

prepared

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(GAAP).

For

additional

information

on

the

fund’s

significant

accounting

policies

and

investment

related

disclosures,

please

refer

to

the

fund’s most

recent

semiannual

or

annual

shareholder

report

and

its

prospectus.

VALUATION

Fair

Value

The

fund’s

financial

instruments

are

valued

at

the

close

of

the

New

York

Stock

Exchange

(NYSE),

normally

4

p.m.

ET,

each

day

the

NYSE

is

open

for

business,

and

are

reported

at

fair

value,

which

GAAP

defines

as

the

price

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date. The

T.

Rowe

Price

Valuation

Committee

(the

Valuation

Committee)

is

an

internal

committee

that

has

been

delegated

certain

responsibilities

by

the

fund’s

Board

of

Directors

(the

Board)

to

ensure

that

financial

instruments

are

appropriately

priced

at

fair

value

in

accordance

with

GAAP

and

the

1940

Act.

Subject

to

oversight

by

the

Board,

the

Valuation

Committee

develops

and

oversees

pricing-related

policies

and

procedures

and

approves

all

fair

value

determinations.

Specifically,

the

Valuation

Committee

establishes

policies

and

procedures

used

in

valuing

financial

instruments,

including

those

which

cannot

be

valued

in

accordance

with

normal

procedures

or

using

pricing

vendors;

determines

pricing

techniques,

sources,

and

persons

eligible

to

effect

fair

value

pricing

actions;

evaluates

the

services

and

performance

of

the

pricing

vendors;

oversees

the

pricing

process

to

ensure

policies

and

procedures

are

being

followed;

and

provides

guidance

on

internal

controls

and

valuation-related

matters.

The

Valuation

Committee

provides

periodic

reporting

to

the

Board

on

valuation

matters.

Various

valuation

techniques

and

inputs

are

used

to

determine

the

fair

value

of

financial

instruments.

GAAP

establishes

the

following

fair

value

hierarchy

that

categorizes

the

inputs

used

to

measure

fair

value:

Level

1

–

quoted

prices

(unadjusted)

in

active

markets

for

identical

financial

instruments

that

the

fund

can

access

at

the

reporting

date

T.

ROWE

PRICE

GNMA

Fund

9

Level

2

–

inputs

other

than

Level

1

quoted

prices

that

are

observable,

either

directly

or

indirectly

(including,

but

not

limited

to,

quoted

prices

for

similar

financial

instruments

in

active

markets,

quoted

prices

for

identical

or

similar

financial

instruments

in

inactive

markets,

interest

rates

and

yield

curves,

implied

volatilities,

and

credit

spreads)

Level

3

–

unobservable

inputs

(including

the

fund's

own

assumptions

in

determining

fair

value)

Observable

inputs

are

developed

using

market

data,

such

as

publicly

available

information

about

actual

events

or

transactions,

and

reflect

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

Unobservable

inputs

are

those

for

which

market

data

are

not

available

and

are

developed

using

the

best

information

available

about

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

GAAP

requires

valuation

techniques

to

maximize

the

use

of

relevant

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

When

multiple

inputs

are

used

to

derive

fair

value,

the

financial

instrument

is

assigned

to

the

level

within

the

fair

value

hierarchy

based

on

the

lowest-level

input

that

is

significant

to

the

fair

value

of

the

financial

instrument.

Input

levels

are

not

necessarily

an

indication

of

the

risk

or

liquidity

associated

with

financial

instruments

at

that

level

but

rather

the

degree

of

judgment

used

in

determining

those

values.

Valuation

Techniques

Debt

securities

generally

are

traded

in

the over-the-counter

(OTC)

market

and

are

valued

at

prices

furnished

by

independent

pricing

services

or

by

broker

dealers

who

make

markets

in

such

securities.

When

valuing

securities,

the

independent

pricing

services

consider

the

yield

or

price

of

bonds

of

comparable

quality,

coupon,

maturity,

and

type,

as

well

as

prices

quoted

by

dealers

who

make

markets

in

such

securities.

Investments

in

mutual

funds

are

valued

at

the

mutual

fund’s

closing

NAV

per

share

on

the

day

of

valuation.

Futures

contracts

are

valued

at

closing

settlement

prices.

Swaps

are

valued

at

prices

furnished

by

an

independent

pricing

service

or

independent

swap

dealers.

Investments

for

which

market

quotations

or

market-based

valuations

are

not

readily

available

or

deemed

unreliable

are

valued

at

fair

value

as

determined

in

good

faith

by

the

Valuation

Committee,

in

accordance

with

fair

valuation

policies

and

procedures.

The

objective

of

any

fair

value

pricing

determination

is

to

arrive

at

a

price

that

could

reasonably

be

expected

from

a

current

sale.

Financial

instruments

fair

valued

by

the

Valuation

Committee

are

primarily

private

placements,

restricted

securities,

warrants,

rights,

and

other

securities

that

are

not

publicly

traded.

Factors

used

in

determining

fair

value

vary

by

type

of

investment

and

may

include

market

or

investment

specific

T.

ROWE

PRICE

GNMA

Fund

10

considerations.

The

Valuation

Committee

typically

will

afford

greatest

weight

to

actual

prices

in

arm’s

length

transactions,

to

the

extent

they

represent

orderly

transactions

between

market

participants,

transaction

information

can

be

reliably

obtained,

and

prices

are

deemed

representative

of

fair

value.

However,

the

Valuation

Committee

may

also

consider

other

valuation

methods

such

as

market-based

valuation

multiples;

a

discount

or

premium

from

market

value

of

a

similar,

freely

traded

security

of

the

same

issuer;

discounted

cash

flows;

yield

to

maturity;

or

some

combination.

Fair

value

determinations

are

reviewed

on

a

regular

basis

and

updated

as

information

becomes

available,

including

actual

purchase

and

sale

transactions

of

the

investment.

Because

any

fair

value

determination

involves

a

significant

amount

of

judgment,

there

is

a

degree

of

subjectivity

inherent

in

such

pricing

decisions,

and

fair

value

prices

determined

by

the

Valuation

Committee

could

differ

from

those

of

other

market

participants.

Valuation

Inputs

The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

February

28,

2021

(for

further

detail

by

category,

please

refer

to

the

accompanying

Portfolio

of

Investments):

F70-054Q3

02/21

($000s)

Level

1

Level

2

Level

3

Total

Value

Assets

Fixed

Income

Securities

1

$

—‌

$

1,401,51

4‌

$

—‌

$

1,401,514‌

Short-Term

Investments

98,287‌

—‌

—‌

98,287‌

Total

Securities

98,287‌

1,401,51

4‌

—‌

1,499,80

1‌

Futures

Contracts*

684‌

—‌

—‌

684‌

Total

$

98,971‌

$

1,401,51

4‌

$

—‌

$

1,500,48

5‌

Liabilities

TBA

Sales

Commitments

$

—‌

$

75,842‌

$

—‌

$

75,842‌

Swaps

—‌

70‌

—‌

70‌

Total

$

—‌

$

75,912‌

$

—‌

$

75,912‌

1

Includes

Non-U.S.

Government

Mortgage-Backed

Securities,

U.S.

Government

&

Agency

Mortgage-Backed

Securities

and

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed).

*

The

fair

value

presented

includes

cumulative

gain

(loss)

on

open

futures

contracts;

however,

the

net

value

reflected

on

the

accompanying

Portfolio

of

Investments

is

only

the

unsettled

variation

margin

receivable

(payable)

at

that

date.