Ginnie Mae I Pool

0001752724-21-227309.txt : 20211026 0001752724-21-227309.hdr.sgml : 20211026 20211026162539 ACCESSION NUMBER: 0001752724-21-227309 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210831 FILED AS OF DATE: 20211026 PERIOD START: 20220531 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: 211348889 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 2022-05-31 2021-08-31 N 2359334321.40 1176566048.63 1182768272.77 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 22225054.17000000 833423304.53000000 0.00000000 1493840.50000000 USD N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208VYH2 35684.80000000 PA USD 38452.26000000 0.003251039183 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 I Pool 36208HNQ5 54084.43000000 PA USD 59720.01000000 0.005049172468 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 8.00000000 N N N N N N Flagstar Mortgage Trust N/A Flagstar Mortgage Trust 33851PAB1 3706200.64000000 PA USD 3792670.01000000 0.320660445271 Long ABS-MBS CORP US N 2 2033-05-25 Variable 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EC31 26739.85000000 PA USD 30025.64000000 0.002538590245 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 36212DSH3 407.48000000 PA USD 465.20000000 0.000039331457 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 I Pool 36203AFB7 31.59000000 PA USD 31.94000000 0.000002700444 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 36209MTC8 1379.40000000 PA USD 1541.21000000 0.000130305321 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 36210XGW1 3581.80000000 PA USD 3794.92000000 0.000320850676 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 36295CH95 14547.33000000 PA USD 15501.33000000 0.001310597380 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 36202DQB0 90257.39000000 PA USD 106051.11000000 0.008966347207 Long ABS-MBS USGA US N 2 2031-10-20 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403C3Z2 4584.05000000 PA USD 4618.01000000 0.000390440807 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.03400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31292HGC2 1663.75000000 PA USD 1911.67000000 0.000161626756 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 36209QYB5 5501.27000000 PA USD 5771.40000000 0.000487956950 Long ABS-MBS USGA US N 2 2029-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382CDX6 5615889.52000000 PA USD 315825.83000000 0.026702257514 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 36241LUN4 4266678.44000000 PA USD 4805404.36000000 0.406284516640 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 36203PAN3 350.74000000 PA USD 355.26000000 0.000030036314 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 36203KPJ7 1838.43000000 PA USD 1845.37000000 0.000156021263 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 36210VHM6 706.40000000 PA USD 789.26000000 0.000066729892 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 36225BNS3 1528.74000000 PA USD 1731.53000000 0.000146396385 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 I Pool 36212EVT1 209.79000000 PA USD 214.52000000 0.000018137111 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 21H022697 312388000.00000000 PA USD 323956118.13000000 27.38965235948 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210NXN4 3837.91000000 PA USD 4288.11000000 0.000362548615 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 36297FYY2 196739.67000000 PA USD 223978.13000000 0.018936771906 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 36209DD76 555.57000000 PA USD 620.74000000 0.000052481962 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 36202D2E0 75125.20000000 PA USD 87929.62000000 0.007434222072 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 I Pool 36206ARP0 433.54000000 PA USD 484.40000000 0.000040954767 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 36224HS64 240.44000000 PA USD 241.31000000 0.000020402136 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379QL29 1582181.03000000 PA USD 30033.28000000 0.002539236187 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 36213WFZ4 10015.22000000 PA USD 11190.04000000 0.000946088955 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 3620AR2K6 2763.45000000 PA USD 3176.00000000 0.000268522590 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 I Pool 36209LJV9 1062.38000000 PA USD 1187.00000000 0.000100357781 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 36202FPF7 678244.64000000 PA USD 742301.53000000 0.062759675507 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EH51 25023.98000000 PA USD 29285.10000000 0.002475979502 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 36202DUH2 174115.20000000 PA USD 199074.18000000 0.016831207311 Long ABS-MBS USGA US N 2 2032-09-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290WKG6 31905.10000000 PA USD 36291.05000000 0.003068314464 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 2974.57000000 PA USD 2988.05000000 0.000252631903 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 II Pool 36202FZK5 142023.41000000 PA USD 148545.50000000 0.012559138034 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 II Pool 3617J92S6 2935054.62000000 PA USD 3124333.94000000 0.264154358206 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 36291WTH4 2164.81000000 PA USD 2428.39000000 0.000205314097 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 36223SFF5 2008.74000000 PA USD 2014.13000000 0.000170289484 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 II Pool 3617KF3J9 813211.56000000 PA USD 880111.08000000 0.074411116721 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 36202D6C0 35303.02000000 PA USD 39028.16000000 0.003299730039 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 II Pool 3617UNL93 1132282.92000000 PA USD 1203529.13000000 0.101755276811 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SB97 567347.41000000 PA USD 617514.94000000 0.052209291897 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 II Pool 36197FN66 68261.33000000 PA USD 73003.93000000 0.006172293565 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 II Pool 36179NDR6 1990307.93000000 PA USD 2147128.13000000 0.181534133053 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207YCH1 6379.51000000 PA USD 7175.89000000 0.000606702949 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 36202EAK5 379607.23000000 PA USD 445768.41000000 0.037688566751 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 I Pool 36290VNA8 25768.26000000 PA USD 30598.78000000 0.002587047750 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 II Pool 36202DD57 11156.43000000 PA USD 12889.25000000 0.001089752768 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 I Pool 36210ART6 2990.81000000 PA USD 3361.01000000 0.000284164707 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 36295GVX7 12121.81000000 PA USD 13597.04000000 0.001149594583 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 II Pool 36202EBE8 22685.59000000 PA USD 26639.34000000 0.002252287334 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 36179QGC9 1315312.09000000 PA USD 1418509.70000000 0.119931328279 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DZG9 58299.05000000 PA USD 67344.26000000 0.005693783097 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 36202EGN3 469521.82000000 PA USD 523150.74000000 0.044231042719 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 36208YH93 1350.74000000 PA USD 1509.19000000 0.000127598113 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 36210AST5 261.29000000 PA USD 295.19000000 0.000024957551 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 36197FRX3 144610.92000000 PA USD 154660.79000000 0.013076169995 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 I Pool 36201XMK1 11631.61000000 PA USD 13047.90000000 0.001103166216 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 36202FX84 1930848.73000000 PA USD 2115691.14000000 0.178876216813 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 I Pool 36209QMH5 11551.10000000 PA USD 12906.09000000 0.001091176547 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 36202CY80 5725.33000000 PA USD 6421.38000000 0.000542911079 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 36211PTG8 325.36000000 PA USD 326.63000000 0.000027615722 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 II Pool 36179TZ81 4720691.60000000 PA USD 5220582.53000000 0.441386757676 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 I Pool 36203AU20 2334.47000000 PA USD 2360.84000000 0.000199602919 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 36179SGL5 4783945.42000000 PA USD 5091723.18000000 0.430492032735 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 36179TBY0 448802.41000000 PA USD 469603.18000000 0.039703734942 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 II Pool 36176HRG1 9357.58000000 PA USD 9958.32000000 0.000841950213 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 I Pool 3622AAJX3 19833300.30000000 PA USD 23145176.84000000 1.956864871408 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 II Pool 36202EWE5 1073467.26000000 PA USD 1240305.19000000 0.104864597618 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 II Pool 3617VPNB0 2691666.18000000 PA USD 2860118.29000000 0.241815607997 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MGJ3 112905.77000000 PA USD 119423.24000000 0.010096926232 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 36241KFD5 317782.42000000 PA USD 377194.51000000 0.031890820770 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 36208V6K6 1186.29000000 PA USD 1325.45000000 0.000112063371 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 36207LEW4 2078.88000000 PA USD 2087.43000000 0.000176486810 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 36202DT50 51462.01000000 PA USD 58834.22000000 0.004974281214 Long ABS-MBS USGA US N 2 2032-08-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FQ74 524917.71000000 PA USD 583820.54000000 0.049360517477 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 II Pool 36184JAM2 135168.10000000 PA USD 146095.15000000 0.012351967275 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 3620AS4W6 11966.80000000 PA USD 13938.40000000 0.001178455689 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 II Pool 36202EFP9 1737.72000000 PA USD 2040.72000000 0.000172537600 Long ABS-MBS USGA US N 2 2035-10-20 Fixed 5.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 CBOT 10 YEAR US TREASURY NOTE 000000000 -451.00000000 NC USD -28454.87000000 -0.00240578570 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 2021-12-21 -60158906.76000000 USD -28454.87000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SXT9 218417.51000000 PA USD 228568.28000000 0.019324857223 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 36202DZF1 1062334.17000000 PA USD 1191557.54000000 0.100743109823 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 I Pool 36180J5X8 12431.53000000 PA USD 13267.06000000 0.001121695627 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 36179SJS7 16461581.34000000 PA USD 17307192.03000000 1.463278346946 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 36202E7H6 222247.28000000 PA USD 253205.75000000 0.021407891624 Long ABS-MBS USGA US N 2 2039-07-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NF78 2019611.59000000 PA USD 2179198.35000000 0.184245587252 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31396L3T5 810059.64000000 PA USD 941791.78000000 0.079626060461 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 36207FUG4 1526.82000000 PA USD 1705.92000000 0.000144231126 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 I Pool 36212TVY7 6962.09000000 PA USD 7298.78000000 0.000617092981 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 36209BNS3 4712.00000000 PA USD 5264.74000000 0.000445120157 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 36179UPD8 2113508.51000000 PA USD 2336157.40000000 0.197516069189 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 3617KGV98 10238949.38000000 PA USD 10974427.86000000 0.927859506604 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 36201YER3 15387.90000000 PA USD 17559.51000000 0.001484611179 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 36213CQ86 853.94000000 PA USD 896.96000000 0.000075835649 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 36202EXT1 338917.68000000 PA USD 398087.71000000 0.033657286821 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 36202EBU2 713981.54000000 PA USD 801708.35000000 0.067782368571 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 36208UKT3 28817.36000000 PA USD 32197.75000000 0.002722236531 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 36225B6E3 10691.41000000 PA USD 12296.13000000 0.001039606005 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 36179N5V6 4428945.00000000 PA USD 4779041.45000000 0.404055600748 Long ABS-MBS USGA US N 2 2044-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617VBTV1 1442272.44000000 PA USD 1521871.02000000 0.128670260695 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379EFQ0 7897498.67000000 PA USD 1052726.31000000 0.089005288207 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 II Pool 36179N5Z7 833539.31000000 PA USD 978918.48000000 0.082765026974 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 36202EDP1 1107537.01000000 PA USD 1243636.49000000 0.105146250422 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 36217HDR3 61.93000000 PA USD 69.19000000 0.000005849835 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 36202ECN7 6259.03000000 PA USD 7030.89000000 0.000594443574 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 36202FKL9 1037709.15000000 PA USD 1114362.13000000 0.094216437459 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379GXY8 705419.82000000 PA USD 3600.74000000 0.000304433259 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 36179SLU9 1366338.02000000 PA USD 1525920.53000000 0.129012636298 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 I Pool 36207XMQ2 4447.67000000 PA USD 4969.40000000 0.000420149924 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 36202EF20 6163.60000000 PA USD 6922.79000000 0.000585303999 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 36179UH62 1050034.54000000 PA USD 1131020.15000000 0.095624829988 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 I Pool 36210AN94 186.66000000 PA USD 208.59000000 0.000017635745 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 36208XWU1 5619.93000000 PA USD 6279.17000000 0.000530887591 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 36179Q6Q9 5386327.74000000 PA USD 5891813.16000000 0.498137572307 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 36290TAZ2 8335.81000000 PA USD 9559.40000000 0.000808222558 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 I Pool 36207KCG3 1317.69000000 PA USD 1323.10000000 0.000111864684 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 II Pool 3622A2XY3 11829336.24000000 PA USD 12737678.20000000 1.076937764839 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 36290WFR8 1259.28000000 PA USD 1446.21000000 0.000122273317 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 36202F5C6 328517.46000000 PA USD 343627.97000000 0.029052856583 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 36208RZR8 1157.46000000 PA USD 1293.23000000 0.000109339253 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 36202DRG8 28029.39000000 PA USD 31897.86000000 0.002696881606 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 II Pool 36179T7M1 56327.43000000 PA USD 60536.73000000 0.005118224033 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 36202DAP6 77193.38000000 PA USD 88266.61000000 0.007462713705 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 II Pool 36202DUU3 1422207.68000000 PA USD 1626644.89000000 0.137528620563 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 I Pool 36224RE75 97.65000000 PA USD 98.02000000 0.000008287337 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 36179R4F3 1447742.88000000 PA USD 1565284.55000000 0.132340762433 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 4.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F030694 5385000.00000000 PA USD 5633004.51000000 0.476255969971 Long ABS-MBS USGSE US N 2 2050-09-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203YFG4 691.37000000 PA USD 694.03000000 0.000058678442 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 36207E3T9 45972.29000000 PA USD 50698.34000000 0.004286413591 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 36183X2H2 9292.69000000 PA USD 9765.92000000 0.000825683291 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 II Pool 36179S4E4 293253.66000000 PA USD 306855.30000000 0.025943822392 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 36241L5Z5 219433.58000000 PA USD 260432.13000000 0.022018863372 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 I Pool 36210LKH5 2374.29000000 PA USD 2652.80000000 0.000224287382 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380FQF6 6406810.56000000 PA USD 6843205.98000000 0.578575375882 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 I Pool 36209YYE2 722.59000000 PA USD 795.34000000 0.000067243941 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202AQ26 53.28000000 PA USD 53.46000000 0.000004519904 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 36202DWF4 51568.14000000 PA USD 60144.40000000 0.005085053546 Long ABS-MBS USGA US N 2 2033-02-20 Fixed 5.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 31364HMV6 8.58000000 PA USD 0.05000000 0.000000004227 Long ABS-MBS USGSE US N 2 2022-04-25 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179M2R0 407526.07000000 PA USD 446318.03000000 0.037735035701 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 36184AHU6 17670.15000000 PA USD 18647.69000000 0.001576613985 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379F4V8 3271086.27000000 PA USD 61582.12000000 0.005206609055 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 II Pool 36202E7G8 24449.55000000 PA USD 27035.10000000 0.002285747819 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 I Pool 36210GJ88 1080.63000000 PA USD 1207.39000000 0.000102081703 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 36225BSN9 127769.25000000 PA USD 146037.22000000 0.012347069443 Long ABS-MBS USGA US N 2 2032-03-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DU74 3231596.22000000 PA USD 3752866.55000000 0.317295165621 Long ABS-MBS USGA US N 2 2032-11-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209M6D1 145.44000000 PA USD 162.50000000 0.000013738954 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 36194PHE7 8868399.65000000 PA USD 9588204.02000000 0.810657864329 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AB3M3 6077412.68000000 PA USD 333107.85000000 0.028163407631 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 II Pool 36179MK74 3092399.60000000 PA USD 3351621.54000000 0.283370937246 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NBC1 3140901.23000000 PA USD 3439994.24000000 0.290842620587 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 36202DYL9 216369.30000000 PA USD 247732.09000000 0.020945107820 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 II Pool 36202EE88 123258.17000000 PA USD 135251.16000000 0.011435135952 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 36202DX71 63154.88000000 PA USD 70624.94000000 0.005971156111 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 36202E5H8 26062.55000000 PA USD 30612.74000000 0.002588228032 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 II Pool 36179REC9 209878.04000000 PA USD 245628.64000000 0.020767266560 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 II Pool 36202FX92 107223.75000000 PA USD 119749.25000000 0.010124489535 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 36202CCV3 3251.49000000 PA USD 3431.19000000 0.000290098244 Long ABS-MBS USGA US N 2 2024-10-20 Fixed 8.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F022691 -81725000.00000000 PA USD -84879074.22000000 -7.17630631241 Short ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DC82 270.75000000 PA USD 308.94000000 0.000026120078 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 II Pool 36202FEH5 126726.76000000 PA USD 140130.30000000 0.011847654627 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 I Pool 36203YZT4 459.21000000 PA USD 460.99000000 0.000038975512 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 36296Y5J7 141158.26000000 PA USD 159475.91000000 0.013483275944 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 36202D2W0 95742.68000000 PA USD 112024.49000000 0.009471381045 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 36184XM22 109836.05000000 PA USD 118665.00000000 0.010032819000 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 36198QUB2 549310.51000000 PA USD 599297.77000000 0.050669077265 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 I Pool 36225ACL2 211.60000000 PA USD 214.18000000 0.000018108365 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 I Pool 36198TTY8 15872.86000000 PA USD 16580.42000000 0.001401831650 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 II Pool 36179S2Q9 7410035.72000000 PA USD 7930680.61000000 0.670518544721 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 36207H2G1 191.28000000 PA USD 192.04000000 0.000016236485 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 36206VKT3 617.77000000 PA USD 690.24000000 0.000058358007 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 36241LUK0 59062.09000000 PA USD 68902.60000000 0.005825536716 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 II Pool 36179MSY7 900597.66000000 PA USD 986414.12000000 0.083398763959 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 36296DQM3 79044.08000000 PA USD 93703.46000000 0.007922385319 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 36202DNY3 1845.24000000 PA USD 2163.07000000 0.000182881976 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 II Pool 36202EBT5 18532.55000000 PA USD 20488.59000000 0.001732257321 Long ABS-MBS USGA US N 2 2034-12-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377FW80 226717.35000000 PA USD 35850.70000000 0.003031084010 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 36202DM65 13879.04000000 PA USD 16418.70000000 0.001388158642 Long ABS-MBS USGA US N 2 2031-05-20 Fixed 7.00000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F040693 -2890000.00000000 PA USD -3096460.44000000 -0.26179772583 Short ABS-MBS USGSE US N 2 2051-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295QC32 1921089.94000000 PA USD 2186411.33000000 0.184855426065 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 36179SLS4 71699.09000000 PA USD 76463.71000000 0.006464809021 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 II Pool 3617G9P54 1707477.30000000 PA USD 1849054.01000000 0.156332736730 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 36194GRF3 732995.75000000 PA USD 791708.23000000 0.066936884276 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 36202E4H9 156163.09000000 PA USD 176217.73000000 0.014898753547 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 36202D2V2 22402.54000000 PA USD 25908.84000000 0.002190525447 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 I Pool 36225BHH4 70.93000000 PA USD 81.99000000 0.000006932042 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 I Pool 36208DG66 26580.07000000 PA USD 26997.50000000 0.002282568836 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 38377XA69 1900000.00000000 PA USD 2117707.32000000 0.179046679620 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 II Pool 36202ESA8 256722.76000000 PA USD 288313.19000000 0.024376134923 Long ABS-MBS USGA US N 2 2038-04-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208QD29 13292.01000000 PA USD 14851.21000000 0.001255631415 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 3620A2XC5 1894572.98000000 PA USD 2156185.90000000 0.182299944092 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 36183V2T0 66789.41000000 PA USD 70309.88000000 0.005944518602 Long ABS-MBS USGA US N 2 2045-01-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379GKK2 2818523.02000000 PA USD 237178.43000000 0.020052823148 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 36202ELL1 260120.19000000 PA USD 304426.57000000 0.025738479549 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 36206DFC6 1331.82000000 PA USD 1488.05000000 0.000125810780 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 36208MX67 4649.11000000 PA USD 5085.52000000 0.000429967569 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F050692 407000.00000000 PA USD 446141.96000000 0.037720149438 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36292MDS8 15452.67000000 PA USD 17455.35000000 0.001475804720 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RBZ1 414692.86000000 PA USD 462478.40000000 0.039101353210 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205SGZ2 37250.96000000 PA USD 38212.05000000 0.003230730049 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 I Pool 36194M2W0 19714.00000000 PA USD 20814.31000000 0.001759796105 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 36179MVS6 1280628.52000000 PA USD 1381559.16000000 0.116807255639 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F030496 -2935000.00000000 PA USD -3094246.67000000 -0.26161055730 Short ABS-MBS USGSE US N 2 2036-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QPN5 9650.63000000 PA USD 11129.62000000 0.000940980600 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A26K3 1427153.94000000 PA USD 1535026.58000000 0.129782529286 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 I Pool 36213FXS7 10574.41000000 PA USD 12080.35000000 0.001021362364 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 38382NR41 8727613.30000000 PA USD 1032474.91000000 0.087293084686 Long ABS-MBS USGA US N 2 2051-02-16 Variable 2.68701000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DPD7 5730.99000000 PA USD 6728.63000000 0.000568888272 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 I Pool 36225BX29 477.85000000 PA USD 548.22000000 0.000046350583 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 36202FZY5 137466.27000000 PA USD 150626.15000000 0.012735051613 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 36210YWY7 1032.71000000 PA USD 1153.85000000 0.000097555034 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 36204UWP2 440.85000000 PA USD 442.10000000 0.000037378412 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 36179RE88 39633.02000000 PA USD 41477.74000000 0.003506835696 Long ABS-MBS USGA US N 2 2030-06-20 Fixed 3.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 ZCS IFS USD 000000000 1.00000000 NC USD 31964.65000000 0.002702528528 N/A DO CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2051-06-18 250.00000000 USD 0.00000000 USD 2100000.00000000 USD 31714.65000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36183QTJ4 36961.74000000 PA USD 39416.72000000 0.003332581783 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 36296QY29 996097.83000000 PA USD 1133628.19000000 0.095845333029 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 I Pool 36207KF88 3207.17000000 PA USD 3595.30000000 0.000303973321 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 36210FA71 605.91000000 PA USD 676.99000000 0.000057237754 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 36202C2Y8 3070.80000000 PA USD 3467.73000000 0.000293187607 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 II Pool 36202FKH8 87446.80000000 PA USD 93795.15000000 0.007930137471 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 I Pool 36207VNG7 1547.47000000 PA USD 1728.99000000 0.000146181635 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 3617AGWQ0 126099.29000000 PA USD 137507.93000000 0.011625940022 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 I Pool 36209TRY7 3980.11000000 PA USD 4446.99000000 0.000375981509 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128LXQV5 22541.92000000 PA USD 25903.42000000 0.002190067200 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 II Pool 36202EVP1 471420.61000000 PA USD 554932.19000000 0.046918082161 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 I Pool 3622A2QW5 575378.44000000 PA USD 660162.28000000 0.055815014250 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 II Pool 36202AZE0 431.74000000 PA USD 433.47000000 0.000036648767 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 36181AYN6 9407404.08000000 PA USD 10105406.18000000 0.854385969986 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 II Pool 36202EE96 997592.09000000 PA USD 1171867.00000000 0.099078325567 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 I Pool 36203L2U5 1979.86000000 PA USD 2004.15000000 0.000169445701 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 36202DTQ4 2053.17000000 PA USD 2276.30000000 0.000192455280 Long ABS-MBS USGA US N 2 2032-07-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176WYE5 2978492.60000000 PA USD 3197587.86000000 0.270347787780 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 36179REB1 99561.22000000 PA USD 116936.92000000 0.009886714303 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 36208HNM4 17101.45000000 PA USD 17172.39000000 0.001451881183 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 36202D7H8 95072.67000000 PA USD 111697.57000000 0.009443740804 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 I Pool 36225AWN6 202.71000000 PA USD 226.49000000 0.000019149144 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 I Pool 36206TAD4 7110.48000000 PA USD 7944.57000000 0.000671692856 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 36183XCV0 120029.46000000 PA USD 127689.19000000 0.010795790937 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 II Pool 36179NGB8 91272.62000000 PA USD 107309.52000000 0.009072742520 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 36178NGA1 8096370.32000000 PA USD 8663235.99000000 0.732454208440 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 36210BUF0 9347.93000000 PA USD 10444.48000000 0.000883053784 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 36211ELK2 3782.22000000 PA USD 4225.89000000 0.000357288075 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 36213BWF5 3328.15000000 PA USD 3372.45000000 0.000285131929 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 36211PEQ2 1924.31000000 PA USD 2146.19000000 0.000181454816 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 36203BB37 141.15000000 PA USD 141.69000000 0.000011979523 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 36202F4Q6 66013.39000000 PA USD 71100.73000000 0.006011382925 Long ABS-MBS USGA US N 2 2042-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211GXH1 1851.63000000 PA USD 2068.83000000 0.000174914228 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 6.50000000 N N N N N N Flagstar Mortgage Trust N/A Flagstar Mortgage Trust 33851PAS4 6081717.55000000 PA USD 6170090.99000000 0.521665243484 Long ABS-MBS CORP US N 2 2033-05-25 Variable 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212DVD8 91521.46000000 PA USD 102257.28000000 0.008645588688 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 36295BBQ5 36673.16000000 PA USD 41059.74000000 0.003471494877 Long ABS-MBS USGA US N 2 2037-04-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CAN3 442.38000000 PA USD 443.85000000 0.000037526370 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 36179VDC1 1103114.80000000 PA USD 1135645.55000000 0.096015895602 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 36200X6E4 30966.94000000 PA USD 32483.23000000 0.002746373127 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 I Pool 36290QZF5 7508.11000000 PA USD 8644.60000000 0.000730878583 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 132.51000000 PA USD 134.75000000 0.000011392764 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 36208HM37 43557.85000000 PA USD 45164.83000000 0.003818569625 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 36200WE64 389.82000000 PA USD 410.49000000 0.000034705868 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D6T3 13015.43000000 PA USD 14614.18000000 0.001235591141 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 II Pool 36202FCN4 13218.97000000 PA USD 14617.03000000 0.001235832101 Long ABS-MBS USGA US N 2 2039-11-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FTL0 13035.64000000 PA USD 14522.40000000 0.001227831379 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 36206NFD2 230.91000000 PA USD 231.80000000 0.000019598090 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 36179RLQ0 48860.26000000 PA USD 53186.52000000 0.004496782778 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 36202C2J1 104.25000000 PA USD 115.61000000 0.000009774526 Long ABS-MBS USGA US N 2 2028-04-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206PZC7 6478.49000000 PA USD 7238.44000000 0.000611991390 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 36208QQT6 3750.32000000 PA USD 4190.25000000 0.000354274805 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 36241LLQ7 184893.16000000 PA USD 208775.57000000 0.017651434757 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 36213UL65 1050.72000000 PA USD 1068.17000000 0.000090311012 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 36202D5B3 2263.87000000 PA USD 2489.40000000 0.000210472334 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 I Pool 36205TP31 1287.64000000 PA USD 1438.69000000 0.000121637520 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 36202CM83 22661.07000000 PA USD 24620.67000000 0.002081614003 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 I Pool 36207DUP9 9414.67000000 PA USD 10519.05000000 0.000889358485 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 I Pool 36210A6A0 8978.80000000 PA USD 10032.05000000 0.000848183894 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 II Pool 36179TE35 9153274.14000000 PA USD 9855182.53000000 0.833230207208 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 I Pool 36209RFJ7 5456.21000000 PA USD 5528.69000000 0.000467436447 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 I Pool 36225AAK6 2.92000000 PA USD 2.93000000 0.000000247723 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 I Pool 36224KLH0 385.69000000 PA USD 390.06000000 0.000032978564 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 36208FLR9 1789.85000000 PA USD 1999.81000000 0.000169078765 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 36202FM60 18876.62000000 PA USD 20277.05000000 0.001714372161 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241LY34 1289141.21000000 PA USD 1449367.76000000 0.122540297484 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 36207J6H1 495.83000000 PA USD 553.99000000 0.000046838422 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 36209EVX7 343.97000000 PA USD 345.36000000 0.000029199295 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 II Pool 36179MNJ5 59307.20000000 PA USD 64959.77000000 0.005492180632 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213SFQ3 9580.04000000 PA USD 9879.93000000 0.000835322541 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 36178NBB4 306969.22000000 PA USD 324631.57000000 0.027446760069 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 II Pool 36202ECP2 179329.34000000 PA USD 205392.74000000 0.017365425225 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 21H040699 13169000.00000000 PA USD 13942678.75000000 1.178817446408 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212MXM6 118.79000000 PA USD 134.28000000 0.000011353026 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 36202DYZ8 460837.15000000 PA USD 516452.78000000 0.043664747515 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 II Pool 36202DSA0 1689.65000000 PA USD 1890.38000000 0.000159826742 Long ABS-MBS USGA US N 2 2032-03-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179N2J6 317460.73000000 PA USD 342563.29000000 0.028962840641 Long ABS-MBS USGA US N 2 2044-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36208VUQ6 25778.68000000 PA USD 26218.78000000 0.002216730073 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 I Pool 36211EEE4 1201.33000000 PA USD 1349.37000000 0.000114085745 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 36179RQ85 3264.64000000 PA USD 3796.96000000 0.000321023152 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 II Pool 3617KFR87 4273343.47000000 PA USD 4497554.52000000 0.380256608462 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 36210BBZ7 2596.31000000 PA USD 2962.86000000 0.000250502153 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 36213BDZ2 447.07000000 PA USD 453.58000000 0.000038349016 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 36208Y3P2 2738.23000000 PA USD 3059.44000000 0.000258667743 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 36202E3D9 18090.87000000 PA USD 19730.26000000 0.001668142480 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 3622A26Z0 181594.95000000 PA USD 213286.64000000 0.018032834064 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 I Pool 36211EKS6 420.65000000 PA USD 422.39000000 0.000035711982 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 36179UCD2 485353.85000000 PA USD 522987.74000000 0.044217261490 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 36179MEF3 599724.49000000 PA USD 627318.81000000 0.053038183762 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 36211C2Y7 341.86000000 PA USD 381.96000000 0.000032293730 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 36202D4D0 14870.38000000 PA USD 14925.76000000 0.001261934424 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 36178DPE5 1128511.34000000 PA USD 1202968.14000000 0.101707846557 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 36179VN55 210534.72000000 PA USD 223016.75000000 0.018855489712 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194GNE0 2039903.57000000 PA USD 2205148.86000000 0.186439635790 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 36202DJ77 54140.36000000 PA USD 63742.57000000 0.005389269518 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 II Pool 3617VK2Q1 2383327.64000000 PA USD 2532476.76000000 0.214114363591 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F020497 3356000.00000000 PA USD 3472627.21000000 0.293601653844 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CJC8 5615.43000000 PA USD 6082.37000000 0.000514248660 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 36202FB62 28431.10000000 PA USD 33285.14000000 0.002814172544 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 6.00000000 N N N N N N Vista Point Securitization Tru N/A Vista Point Securitization Trust 2020-1 92838WAB0 4000000.00000000 PA USD 4069698.00000000 0.344082445707 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 3622A26L1 3456639.51000000 PA USD 3703991.86000000 0.313162936923 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 36202FAU0 29813.24000000 PA USD 32966.09000000 0.002787197691 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 36183QY82 245515.72000000 PA USD 267209.38000000 0.022591862341 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 I Pool 36219FEE3 2772.83000000 PA USD 2775.21000000 0.000234636831 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 36211CZ70 2103.53000000 PA USD 2202.71000000 0.000186233436 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 I Pool 36225BZP6 276573.80000000 PA USD 328437.66000000 0.027768555139 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 36205SH65 12997.53000000 PA USD 13051.37000000 0.001103459595 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 I Pool 36225ATS9 643.39000000 PA USD 718.86000000 0.000060777754 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 36225BX37 613.97000000 PA USD 700.25000000 0.000059204327 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 36179NLD8 994461.35000000 PA USD 1073165.95000000 0.090733406932 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 36178DZN4 3392184.79000000 PA USD 3621982.48000000 0.306229255838 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 I Pool 3620AVCW0 571117.07000000 PA USD 650009.85000000 0.054956652538 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379WBY7 8557642.85000000 PA USD 1068107.64000000 0.090305739897 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 II Pool 36202EHE2 1710.47000000 PA USD 1920.78000000 0.000162396983 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 II Pool 3622A2TS1 1353714.12000000 PA USD 1639106.55000000 0.138582221702 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 21H040699 -2909000.00000000 PA USD -3079903.75000000 -0.26039790049 Short ABS-MBS USGA US N 2 2051-09-20 Fixed 4.00000000 N N N N N N Verus Securitization Trust N/A Verus Securitization Trust 2020-2 92537UAB8 9132000.00000000 PA USD 9301247.01000000 0.786396390919 Long ABS-MBS CORP US N 2 2060-05-25 Variable 2.98900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MG61 979806.60000000 PA USD 1073261.59000000 0.090741493047 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 36207LCY2 131.14000000 PA USD 133.35000000 0.000011274397 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 I Pool 36205SGR0 33175.76000000 PA USD 33848.91000000 0.002861837840 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 36183W6J6 107430.64000000 PA USD 116160.10000000 0.009821036180 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 36203GKH5 411.19000000 PA USD 412.71000000 0.000034893563 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 36202FLQ7 341786.40000000 PA USD 385954.06000000 0.032631418079 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 I Pool 3622A2N57 3748744.10000000 PA USD 4370402.16000000 0.369506205113 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 36225B5Z7 2718.35000000 PA USD 3187.83000000 0.000269522785 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 36294P7C1 111.74000000 PA USD 124.85000000 0.000010555744 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 36179TG58 930090.14000000 PA USD 997369.09000000 0.084324978354 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 36203HG47 74.18000000 PA USD 74.43000000 0.000006292864 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 36198RGN0 453311.42000000 PA USD 480134.94000000 0.040594168025 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 36179SB71 13455809.67000000 PA USD 14270206.67000000 1.206509085383 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 3617K9GM2 1095349.12000000 PA USD 1185146.06000000 0.100201035763 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 36179UUM2 4326.99000000 PA USD 4659.83000000 0.000393976580 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 36202EZH5 64148.93000000 PA USD 75083.55000000 0.006348120061 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 36225B4F2 227396.08000000 PA USD 259359.50000000 0.021928175279 Long ABS-MBS USGA US N 2 2034-02-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209BNW4 2089.46000000 PA USD 2334.56000000 0.000197381013 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 36204QBV1 272.06000000 PA USD 280.28000000 0.000023696949 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 36179UGE6 356123.22000000 PA USD 383630.57000000 0.032434973006 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 36208VZ99 787.51000000 PA USD 879.89000000 0.000074392424 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 II Pool 36179VSK7 317118.81000000 PA USD 335894.60000000 0.028399020140 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205SVE2 895.02000000 PA USD 898.74000000 0.000075986143 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 36211C3W0 528.77000000 PA USD 590.80000000 0.000049950612 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 36202EGC7 600192.19000000 PA USD 674506.23000000 0.057027758144 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 36179VHG8 676696.53000000 PA USD 696649.06000000 0.058899877181 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 II Pool 36179T2A2 23394.03000000 PA USD 27433.33000000 0.002319417136 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 II Pool 36181KC81 6016377.67000000 PA USD 6476532.37000000 0.547574070010 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 36178EDG1 344809.58000000 PA USD 367552.14000000 0.031075583312 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 36202SC97 45085.48000000 PA USD 50374.18000000 0.004259006701 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 36198RPK6 690262.46000000 PA USD 746141.55000000 0.063084339272 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380X4E4 26921174.34000000 PA USD 4709417.94000000 0.398169112954 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 36297GCY4 68536.07000000 PA USD 77389.92000000 0.006543117682 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 I Pool 36223YPN4 4249.23000000 PA USD 4747.68000000 0.000401404071 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 I Pool 36213SMX0 1826.00000000 PA USD 2083.73000000 0.000176173985 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 36209S7J4 9528.76000000 PA USD 10646.52000000 0.000900135744 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 36225BN87 1289.72000000 PA USD 1513.46000000 0.000127959130 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 36297AA45 111065.79000000 PA USD 124443.53000000 0.010521378774 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 I Pool 36206LV55 960.96000000 PA USD 1034.95000000 0.000087502347 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 36202FSE7 231296.26000000 PA USD 257463.65000000 0.021767886062 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 II Pool 36202E2C2 47186.60000000 PA USD 55229.13000000 0.004669480173 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 36209TRS0 421.48000000 PA USD 470.92000000 0.000039815068 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 36179ME30 3893210.44000000 PA USD 4201044.02000000 0.355187412168 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 II Pool 36179TY41 231252.85000000 PA USD 244862.32000000 0.020702476185 Long ABS-MBS USGA US N 2 2033-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RZV4 1020472.97000000 PA USD 1135661.25000000 0.096017222996 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 I Pool 36224SHF2 17.95000000 PA USD 18.14000000 0.000001533690 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 36202EBV0 102039.71000000 PA USD 119840.25000000 0.010132183349 Long ABS-MBS USGA US N 2 2034-12-20 Fixed 5.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 CME ULTRA LONG TERM US TREASURY BOND 000000000 -69.00000000 NC USD -66347.85000000 -0.00560953920 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 2021-12-21 -13546058.40000000 USD -66347.85000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SYT8 3800000.10000000 PA USD 4065698.46000000 0.343744294939 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36205XA20 1826.38000000 PA USD 1833.11000000 0.000154984711 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 I Pool 36203AWE2 3326.55000000 PA USD 3339.02000000 0.000282305509 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 36179QR45 5868.94000000 PA USD 6900.88000000 0.000583451565 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 36208FXS4 8355.41000000 PA USD 9335.53000000 0.000789294929 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 36202D5R8 298479.59000000 PA USD 350071.74000000 0.029597660679 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 36209AD72 42.19000000 PA USD 47.14000000 0.000003985565 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 36208YLG2 193.29000000 PA USD 215.96000000 0.000018258859 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 36179TG90 158696.24000000 PA USD 185167.93000000 0.015655469821 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 6.00000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F012494 -33775000.00000000 PA USD -34315462.48000000 -2.90128364701 Short ABS-MBS USGSE US N 2 2036-09-01 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FGV2 488402.08000000 PA USD 535095.20000000 0.045240915935 Long ABS-MBS USGA US N 2 2040-06-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EEH8 1638065.73000000 PA USD 1876714.89000000 0.158671392630 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 I Pool 36176W7E5 718750.42000000 PA USD 771722.03000000 0.065247102730 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 36204FWN0 1519.56000000 PA USD 1525.51000000 0.000128977927 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 36202FB47 3443318.01000000 PA USD 3885847.28000000 0.328538342586 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 II Pool 36202FXC5 126380.48000000 PA USD 141143.46000000 0.011933314686 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 36208YL98 1656.40000000 PA USD 1850.70000000 0.000156471900 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 3617A5KE4 149622.72000000 PA USD 167278.72000000 0.014142983359 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 3617KFSK9 3660300.91000000 PA USD 3852324.03000000 0.325704038457 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 3620AWTJ9 28385.47000000 PA USD 30646.56000000 0.002591087426 Long ABS-MBS USGA US N 2 2030-05-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207GVS5 6937.99000000 PA USD 7751.84000000 0.000655398033 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 36225BEA2 2855.20000000 PA USD 3235.20000000 0.000273527796 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 36197FQW6 149854.26000000 PA USD 160263.40000000 0.013549856188 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 36179S5M5 9833978.79000000 PA USD 10541425.69000000 0.891250292444 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 36202FDA1 73142.12000000 PA USD 80124.36000000 0.006774307516 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 I Pool 36209MDE1 882.86000000 PA USD 986.42000000 0.000083399261 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 36208LPE1 26481.65000000 PA USD 29845.79000000 0.002523384392 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 36184SPQ7 8608781.30000000 PA USD 9306995.73000000 0.786882430334 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 36202E4J5 5675.52000000 PA USD 6666.43000000 0.000563629423 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 II Pool 36202FMA1 525569.29000000 PA USD 575761.17000000 0.048679118577 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 36211SA56 1307.75000000 PA USD 1480.47000000 0.000125169911 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 36241LKA3 1202060.01000000 PA USD 1358524.89000000 0.114859767654 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 36202C5U3 140671.44000000 PA USD 161137.16000000 0.013623730337 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 I Pool 36224VRR8 1554.77000000 PA USD 1571.60000000 0.000132874717 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 3617A9GN1 5124407.20000000 PA USD 5491275.04000000 0.464273109654 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 II Pool 36202EG29 211995.05000000 PA USD 237553.11000000 0.020084501374 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 II Pool 36179WG36 21725130.26000000 PA USD 22549123.82000000 1.906470129367 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617JRNQ7 135186.95000000 PA USD 143259.25000000 0.012112199261 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 36210LCB7 2937.34000000 PA USD 3281.90000000 0.000277476161 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 36194HAT9 498491.08000000 PA USD 531614.37000000 0.044946620757 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 36210ESS9 280.65000000 PA USD 281.76000000 0.000023822079 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379WB35 7169341.88000000 PA USD 809458.85000000 0.068437653311 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 II Pool 36202D6U0 165372.99000000 PA USD 191085.77000000 0.016155807895 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 36210CAQ6 16772.89000000 PA USD 18740.42000000 0.001584454066 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 38380CCN1 1042898.21000000 PA USD 40748.85000000 0.003445209931 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 II Pool 36225B5J3 2975.91000000 PA USD 3483.21000000 0.000294496401 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 36204QBU3 412.33000000 PA USD 417.93000000 0.000035334901 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F020695 73089000.00000000 PA USD 74091118.89000000 6.264212576186 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36241KYG7 149248.26000000 PA USD 174668.89000000 0.014767803129 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 I Pool 36209KM62 453.92000000 PA USD 507.17000000 0.000042879912 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 36179TXX8 507686.99000000 PA USD 548089.40000000 0.046339541955 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 36203PYU1 620.25000000 PA USD 622.38000000 0.000052620620 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 36202DGC9 4327.82000000 PA USD 4946.24000000 0.000418191805 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 36205BA77 270.72000000 PA USD 271.82000000 0.000022981678 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 I Pool 36205XYG3 2394.46000000 PA USD 2403.28000000 0.000203191111 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 36210TPJ9 2451.48000000 PA USD 2739.05000000 0.000231579597 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 36209KBJ6 1570.20000000 PA USD 1754.39000000 0.000148329139 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 3622A2AG7 7913713.23000000 PA USD 8547094.31000000 0.722634729623 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 36203R2T5 469.27000000 PA USD 479.13000000 0.000040509202 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 36209VJQ8 1690.58000000 PA USD 1888.89000000 0.000159700766 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 36208CEU7 702.19000000 PA USD 784.56000000 0.000066332519 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 36206EEM3 752.45000000 PA USD 766.54000000 0.000064808975 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 36202D4N8 16304.62000000 PA USD 18170.44000000 0.001536263731 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 I Pool 36205G4G3 6503.26000000 PA USD 6531.94000000 0.000552258641 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 II Pool 36179UGG1 63503.83000000 PA USD 73073.17000000 0.006178147628 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QAEN6 207250.09000000 PA USD 212853.73000000 0.017996232643 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 II Pool 3617VU4W4 51495995.00000000 PA USD 53732227.12000000 4.542920904883 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FMB9 4700378.95000000 PA USD 5214855.59000000 0.440902559703 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 II Pool 3617UNMA9 3304011.42000000 PA USD 3491381.91000000 0.295187315248 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DMS7 19382.22000000 PA USD 22846.48000000 0.001931610825 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 I Pool 36224YU23 794.07000000 PA USD 802.59000000 0.000067856909 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 II Pool 36202DAA9 106066.51000000 PA USD 120400.37000000 0.010179540047 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 II Pool 36202DBJ9 1809.98000000 PA USD 2050.97000000 0.000173404211 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 I Pool 36224J2H4 637.03000000 PA USD 639.16000000 0.000054039325 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 36179SGN1 1127771.20000000 PA USD 1254917.29000000 0.106100012901 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 36203YR30 23.46000000 PA USD 23.45000000 0.000001982636 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 36209BYJ1 487.68000000 PA USD 544.89000000 0.000046069040 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 36202EEV7 41154.54000000 PA USD 48329.89000000 0.004086167266 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 I Pool 36207MTZ9 963.03000000 PA USD 966.85000000 0.000081744668 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 36179WDS4 145789643.89000000 PA USD 152518448.27000000 12.89504054017 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SEM5 4847.95000000 PA USD 5721.31000000 0.000483721970 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 36209HFC4 437.11000000 PA USD 488.38000000 0.000041291266 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 36200AG37 12733.78000000 PA USD 14256.49000000 0.001205349376 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 II Pool 36183QXL4 345304.78000000 PA USD 368987.00000000 0.031196897016 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 36179RXF1 631477.58000000 PA USD 702765.73000000 0.059417025818 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 36179VV31 32983531.30000000 PA USD 34929022.02000000 2.953158520070 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36204LWF4 197.96000000 PA USD 198.57000000 0.000016788580 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 II Pool 36179NNA2 5622051.30000000 PA USD 6066513.53000000 0.512908036989 Long ABS-MBS USGA US N 2 2043-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296Q6T1 251126.03000000 PA USD 283561.47000000 0.023974389280 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 36208WCA9 102703.06000000 PA USD 114280.42000000 0.009662114095 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 36294PDL4 68934.80000000 PA USD 78888.32000000 0.006669803529 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.00000000 N N N N N N T. ROWE PRICE GOVERNMENT RESERVE FUND 5493007QR86JJLYO6D96 T. ROWE PRICE GOVERNMENT RESERVE FUND 000000000 212588556.25000000 NS USD 212588556.25000000 17.97381288831 Long STIV RF US N 1 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TNU5 89970.77000000 PA USD 97698.03000000 0.008260115886 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 36225BUB2 229737.56000000 PA USD 269994.24000000 0.022827315055 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 36211AYU4 1491.02000000 PA USD 1665.92000000 0.000140849229 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 6.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F042699 1219000.00000000 PA USD 1318324.78000000 0.111460952271 Long ABS-MBS USGSE US N 2 2050-09-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BHW1 803.73000000 PA USD 919.63000000 0.000077752339 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 II Pool 36179RVF3 3975.58000000 PA USD 4669.11000000 0.000394761180 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382NGK7 8653175.32000000 PA USD 1209631.70000000 0.102271233330 Long ABS-MBS USGA US N 2 2051-02-16 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203FUT0 270.77000000 PA USD 271.79000000 0.000022979141 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 36294V5V8 8684.60000000 PA USD 9703.34000000 0.000820392313 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379EYL0 628437.76000000 PA USD 17553.46000000 0.001484099667 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 36202FE51 16857.58000000 PA USD 18470.39000000 0.001561623728 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 36211DUU2 751.40000000 PA USD 839.54000000 0.000070980936 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 36297CWF2 7051.32000000 PA USD 7895.31000000 0.000667528051 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 36292LBX1 222297.06000000 PA USD 258569.01000000 0.021861341393 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 6.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F042699 -2862000.00000000 PA USD -3095197.31000000 -0.26169093145 Short ABS-MBS USGSE US N 2 2050-09-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206DST5 245.54000000 PA USD 254.73000000 0.000021536763 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 36179MK82 183437.54000000 PA USD 200941.85000000 0.016989113981 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 36202ED48 832.45000000 PA USD 934.77000000 0.000079032387 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 II Pool 3622AAE42 663343.90000000 PA USD 713596.94000000 0.060332776624 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 36202F2Y1 289119.50000000 PA USD 305813.96000000 0.025855779787 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 36179MLA6 847396.99000000 PA USD 952672.30000000 0.080545980301 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 II Pool 36179RXE4 1236418.18000000 PA USD 1345880.52000000 0.113790718857 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 I Pool 36224CJG3 250.31000000 PA USD 251.24000000 0.000021241692 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 36202CZ48 127.72000000 PA USD 143.27000000 0.000012113108 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 36194X5T0 298780.88000000 PA USD 317192.05000000 0.026817767884 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 36202D6V8 119627.55000000 PA USD 139986.84000000 0.011835525455 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 I Pool 36207KDR8 426.38000000 PA USD 476.40000000 0.000040278388 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 36179TZ73 2010864.39000000 PA USD 2167132.96000000 0.183225489716 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 36202B6L4 24.88000000 PA USD 24.93000000 0.000002107767 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 36206VLG0 140.58000000 PA USD 157.07000000 0.000013279862 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 6.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F012494 2148000.00000000 PA USD 2182371.97000000 0.184513908619 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FZX7 13052.30000000 PA USD 14141.90000000 0.001195661088 Long ABS-MBS USGA US N 2 2041-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UMN9 827810.02000000 PA USD 891672.60000000 0.075388613351 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 36178C5B5 72651.39000000 PA USD 77731.70000000 0.006572014298 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 36185BS64 7367.11000000 PA USD 7742.33000000 0.000654593987 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 II Pool 36202D3Y5 1223806.72000000 PA USD 1432785.75000000 0.121138331403 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 36178D5C1 582313.65000000 PA USD 627028.87000000 0.053013670085 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 36213HGV5 1081.20000000 PA USD 1085.64000000 0.000091788055 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 II Pool 36179T5X9 244332.63000000 PA USD 258582.46000000 0.021862478555 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 II Pool 36179M2U3 9643.51000000 PA USD 11176.36000000 0.000944932347 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 36241KUT3 370125.12000000 PA USD 439393.36000000 0.037149572753 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 3622AAKF0 5493999.20000000 PA USD 5873975.56000000 0.496629449337 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 I Pool 36225BAX6 41.32000000 PA USD 41.39000000 0.000003499417 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 II Pool 36202FB39 12001.01000000 PA USD 13270.22000000 0.001121962797 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 I Pool 36211P7C1 2390.24000000 PA USD 2400.06000000 0.000202918868 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 36202EFM6 13524.39000000 PA USD 15186.83000000 0.001284007218 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 36296Y5G3 94590.48000000 PA USD 106031.35000000 0.008964676550 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 3617JHMH0 305430.37000000 PA USD 324145.37000000 0.027405653115 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375GQN4 637952.29000000 PA USD 17552.75000000 0.001484039638 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 36205RXZ5 2828.65000000 PA USD 3160.46000000 0.000267208723 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 I Pool 36208CHE0 1768.22000000 PA USD 1975.64000000 0.000167035254 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 36203DRA0 290.52000000 PA USD 293.64000000 0.000024826502 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 36212MKS7 1412.43000000 PA USD 1418.19000000 0.000119904298 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 36179SGK7 10958543.36000000 PA USD 11567334.50000000 0.977988230349 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 36179RLU1 135561.12000000 PA USD 158815.43000000 0.013427434067 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 I Pool 36209HE43 5106.61000000 PA USD 5705.64000000 0.000482397112 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 3617J92U1 3783514.17000000 PA USD 4025616.70000000 0.340355485742 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 I Pool 36209HJV8 20360.20000000 PA USD 22553.79000000 0.001906864642 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 36179NLC0 375945.74000000 PA USD 400600.24000000 0.033869714738 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 36210BU37 4095.41000000 PA USD 4575.82000000 0.000386873752 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 21H030690 3113000.00000000 PA USD 3254422.62000000 0.275153019820 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FHX7 1238178.30000000 PA USD 1369151.38000000 0.115758209914 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 I Pool 36200H3L6 3494.87000000 PA USD 3904.83000000 0.000330143282 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 36210HUK6 5317.89000000 PA USD 5941.70000000 0.000502355375 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 II Pool 36179TCZ6 4630318.84000000 PA USD 4998694.00000000 0.422626656047 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 I Pool 36210XLP0 2085.42000000 PA USD 2095.16000000 0.000177140361 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381YSE5 8762178.45000000 PA USD 1131071.06000000 0.095629134297 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 36202FDW3 22777.32000000 PA USD 25186.37000000 0.002129442476 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 II Pool 36179TKR5 334942.61000000 PA USD 350512.02000000 0.029634885215 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 36206UVX4 487.62000000 PA USD 489.60000000 0.000041394414 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 3620C04V7 62391.33000000 PA USD 70570.54000000 0.005966556731 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225B3N6 105913.99000000 PA USD 121792.33000000 0.010297226667 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 I Pool 36208F3X6 15397.95000000 PA USD 17204.19000000 0.001454569791 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 36223DMM5 144.45000000 PA USD 144.74000000 0.000012237392 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 36209PTD9 651.84000000 PA USD 728.30000000 0.000061575882 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 36200WA35 1500.17000000 PA USD 1562.91000000 0.000132140000 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 36179VN63 4253198.32000000 PA USD 4521551.70000000 0.382285507998 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 I Pool 36209ADJ6 10746.19000000 PA USD 11864.28000000 0.001003094204 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 36201E4E7 17340.23000000 PA USD 19374.31000000 0.001638047827 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 36225AG87 180.24000000 PA USD 180.60000000 0.000015269263 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 8.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140H9G64 1929761.14000000 PA USD 2037494.36000000 0.172264881203 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 I Pool 36241KCL0 473145.12000000 PA USD 561911.69000000 0.047508180844 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 36202DNZ0 13877.81000000 PA USD 16483.12000000 0.001393605187 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 36179MCD0 100494.15000000 PA USD 105114.34000000 0.008887145725 Long ABS-MBS USGA US N 2 2027-05-20 Fixed 3.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 ZCS IFS USD 000000000 1.00000000 NC USD -119755.21000000 -0.01012499343 N/A DO CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2051-07-12 250.00000000 USD 0.00000000 USD 2100000.00000000 USD -120005.21000000 N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F032690 -5834000.00000000 PA USD -6171733.88000000 -0.52180414558 Short ABS-MBS USGSE US N 2 2051-09-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2QJ4 88855.27000000 PA USD 100284.63000000 0.008478806230 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 36181AYX4 21064.63000000 PA USD 22442.29000000 0.001897437606 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209S3U3 662.45000000 PA USD 740.16000000 0.000062578614 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 36291FH84 1019.27000000 PA USD 1142.23000000 0.000096572593 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 36179TE43 5478160.90000000 PA USD 5997199.72000000 0.507047733530 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 II Pool 36202CA78 90.61000000 PA USD 90.95000000 0.000007689587 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 36212CN31 126.13000000 PA USD 126.65000000 0.000010707930 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 36202CFQ1 269.92000000 PA USD 276.77000000 0.000023400188 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 II Pool 36179TF34 129702.22000000 PA USD 135718.87000000 0.011474679624 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 II Pool 36194GRG1 1474278.37000000 PA USD 1593736.95000000 0.134746339303 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 36241LW51 3516.85000000 PA USD 3927.66000000 0.000332073499 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 36204YA37 881.67000000 PA USD 890.37000000 0.000075278481 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418D3N0 10666251.05000000 PA USD 11152527.25000000 0.942917349641 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225B2U1 906741.48000000 PA USD 1057991.41000000 0.089450438801 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 36202F2Z8 143720.47000000 PA USD 150317.58000000 0.012708962817 Long ABS-MBS USGA US N 2 2027-01-20 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F022691 14478000.00000000 PA USD 15036760.31000000 1.271319214099 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QT84 285200.32000000 PA USD 326589.34000000 0.027612284461 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 II Pool 36202B5S0 228.96000000 PA USD 229.25000000 0.000019382494 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 36209UC38 2940.29000000 PA USD 3285.20000000 0.000277755167 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 36179U3S9 2624178.72000000 PA USD 2696021.99000000 0.227941690022 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F040693 1279000.00000000 PA USD 1370371.25000000 0.115861346770 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36241L6T8 1581489.02000000 PA USD 1705146.82000000 0.144165755816 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 36195LX64 214594.06000000 PA USD 233110.63000000 0.019708901174 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 II Pool 36179Q3J8 3740.56000000 PA USD 4014.29000000 0.000339397842 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 36179TTD7 263073.64000000 PA USD 278440.04000000 0.023541385612 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 3617LYY79 734945.13000000 PA USD 781780.93000000 0.066097556723 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 II Pool 36179TAL9 3538936.23000000 PA USD 3795619.98000000 0.320909857609 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 I Pool 36208VUP8 85049.26000000 PA USD 94374.33000000 0.007979105643 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 36202FKM7 506921.34000000 PA USD 554458.69000000 0.046878048960 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 II Pool 36194CUA9 9403764.78000000 PA USD 10167528.78000000 0.859638275229 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 36208M4V4 10896.21000000 PA USD 12174.38000000 0.001029312358 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 6.50000000 N N N N N N CIM Trust N/A CIM Trust 2021-INV1 12566PBE4 2620747.01000000 PA USD 2667018.92000000 0.225489555426 Long ABS-MBS CORP US N 2 2051-07-01 Variable 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617LQL54 4683417.38000000 PA USD 4929468.86000000 0.416773849407 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 36212YML4 1597.69000000 PA USD 1662.94000000 0.000140597278 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 I Pool 36224JJQ6 169.23000000 PA USD 170.87000000 0.000014446616 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 36203P3L5 1049.47000000 PA USD 1053.54000000 0.000089074083 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 36206PVR8 1304.60000000 PA USD 1457.63000000 0.000123238848 Long ABS-MBS USGA US N 2 2026-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381WHP6 2182428.67000000 PA USD 292202.54000000 0.024704969411 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 II Pool 36179TLT0 586603.29000000 PA USD 629635.30000000 0.053234037004 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 I Pool 36223FRE3 90.90000000 PA USD 91.14000000 0.000007705651 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 36205HCP2 2446.52000000 PA USD 2455.58000000 0.000207612941 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 3622094V7 169.00000000 PA USD 170.61000000 0.000014424634 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 36178WGU7 960219.25000000 PA USD 1030973.94000000 0.087166181553 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36224KQ36 10.10000000 PA USD 10.14000000 0.000000857310 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 36202EMA4 20.17000000 PA USD 23.25000000 0.000001965727 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 II Pool 36179RVE6 2575702.88000000 PA USD 2908636.17000000 0.245917669332 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 36210QAA0 182.93000000 PA USD 204.39000000 0.000017280646 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 36208X5S6 2129.19000000 PA USD 2378.95000000 0.000201134072 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 I Pool 36294TGV1 10237.91000000 PA USD 11438.86000000 0.000967126043 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 36202EZ93 6219.49000000 PA USD 6837.63000000 0.000578103941 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 36202EJY6 61654.10000000 PA USD 72153.66000000 0.006100405435 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 36208V6F7 211.52000000 PA USD 214.79000000 0.000018159939 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F022493 2948000.00000000 PA USD 3082767.44000000 0.260640018080 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207HDD6 2662.22000000 PA USD 2683.75000000 0.000226904124 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 II Pool 3617VK3Y3 2595972.27000000 PA USD 2739951.33000000 0.231655802161 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 II Pool 36179NF60 208188.56000000 PA USD 221837.11000000 0.018755754200 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 36206TXR8 6301.34000000 PA USD 7040.51000000 0.000595256920 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 36189REV5 441449.80000000 PA USD 463381.96000000 0.039177746873 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 36186QUS9 802318.60000000 PA USD 866525.47000000 0.073262488515 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 II Pool 36179SAA5 17316.94000000 PA USD 20072.52000000 0.001697079678 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 II Pool 36179NJB5 614064.24000000 PA USD 672576.32000000 0.056864589242 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 36202FJR8 968659.49000000 PA USD 1093846.21000000 0.092481869456 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 II Pool 36202FDY9 986668.67000000 PA USD 1151410.70000000 0.097348798281 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 36202FDB9 811393.54000000 PA USD 897209.30000000 0.075856727023 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 II Pool 36202A4P9 121.73000000 PA USD 123.06000000 0.000010404404 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 36211DQN3 1664.39000000 PA USD 1859.63000000 0.000157226909 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 36202FVG8 3699684.65000000 PA USD 4131854.32000000 0.349337601889 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 II Pool 36202D4P3 322724.98000000 PA USD 378026.65000000 0.031961176056 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 36179TQS7 223443.94000000 PA USD 243424.33000000 0.020580897848 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 5.00000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F032690 1341000.00000000 PA USD 1418631.32000000 0.119941610935 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TG74 202436.78000000 PA USD 220603.12000000 0.018651423535 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 II Pool 36202FQ82 1518530.57000000 PA USD 1714800.66000000 0.144981963033 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 II Pool 36194HAU6 838013.85000000 PA USD 899577.14000000 0.076056921774 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 3622A3BS8 710202.95000000 PA USD 771915.01000000 0.065263418690 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 II Pool 36202FTK2 1616023.58000000 PA USD 1770420.86000000 0.149684507165 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 I Pool 36209N4G4 8175.14000000 PA USD 9134.12000000 0.000772266234 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 I Pool 36208CHG5 930.38000000 PA USD 1039.52000000 0.000087888728 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 36206RTB2 2864.61000000 PA USD 3200.64000000 0.000270605838 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 36203T6P5 442.99000000 PA USD 494.95000000 0.000041846743 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 36208WCB7 17727.70000000 PA USD 17800.28000000 0.001504967660 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F020695 -12224000.00000000 PA USD -12391602.53000000 -1.04767796154 Short ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211LWX6 3675.84000000 PA USD 4107.03000000 0.000347238769 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 36202FEJ1 2874295.30000000 PA USD 3245709.24000000 0.274416326065 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 II Pool 36179NBA5 590493.68000000 PA USD 629207.50000000 0.053197867620 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 36223WP81 324.04000000 PA USD 327.36000000 0.000027677441 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 36212MXN4 1500.83000000 PA USD 1697.71000000 0.000143536991 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 36202EEU9 13673.46000000 PA USD 15354.20000000 0.001298157919 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 3620ASPX1 296215.94000000 PA USD 328546.56000000 0.027777762353 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 II Pool 36202DY21 45627.01000000 PA USD 53293.78000000 0.004505851334 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 36223QUQ8 149.60000000 PA USD 149.95000000 0.000012677884 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 36178WDR7 4660569.59000000 PA USD 4993416.19000000 0.422180430855 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 II Pool 36202E4K2 56786.91000000 PA USD 66466.11000000 0.005619537785 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 36208WTM5 29741.15000000 PA USD 33334.52000000 0.002818347496 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 36179RYY9 5471492.06000000 PA USD 5732670.67000000 0.484682486162 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 36203S3Q8 335.11000000 PA USD 336.40000000 0.000028441750 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 36225B4P0 101757.11000000 PA USD 117052.71000000 0.009896504048 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 I Pool 36241KBA5 16306.81000000 PA USD 18758.84000000 0.001586011430 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 36210QY55 197.61000000 PA USD 212.77000000 0.000017989153 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 II Pool 36202DZY0 633.80000000 PA USD 729.12000000 0.000061645211 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 36179RN21 34130.85000000 PA USD 39739.58000000 0.003359878761 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 I Pool 36224SWR9 286.73000000 PA USD 287.82000000 0.000024334436 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 I Pool 36207HCE5 689.93000000 PA USD 703.34000000 0.000059465578 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 II Pool 36202EVN6 254369.05000000 PA USD 298770.73000000 0.025260292897 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 36203TWH4 2524.09000000 PA USD 2533.67000000 0.000214215248 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 36202CA60 161.87000000 PA USD 162.43000000 0.000013733036 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 I Pool 36204ATV7 6482.28000000 PA USD 6507.45000000 0.000550188075 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 36210B4H5 8223.44000000 PA USD 9285.53000000 0.000785067558 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 II Pool 36179QWD9 3459653.45000000 PA USD 3674524.71000000 0.310671565563 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179N5W4 118350.50000000 PA USD 129429.80000000 0.010942955013 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 36200RLK6 8527.13000000 PA USD 8733.24000000 0.000738372866 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 36202FKN5 687098.14000000 PA USD 761837.45000000 0.064411387043 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 I Pool 36203TPY5 18.33000000 PA USD 18.40000000 0.000001555672 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 3622AAKC7 2839696.88000000 PA USD 3082749.01000000 0.260638459871 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 36292E2B5 55202.06000000 PA USD 61439.24000000 0.005194528921 Long ABS-MBS USGA US N 2 2035-07-20 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31283HRL1 433998.17000000 PA USD 500820.50000000 0.042343078651 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 36295GLV2 9531.59000000 PA USD 10031.10000000 0.000848103574 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 II Pool 3622A2MZ2 229765.58000000 PA USD 247631.00000000 0.020936560922 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N GS Mortgage-Backed Securities N/A GS Mortgage-Backed Securities Trust 2021-GR2 36262JAD7 6358000.00000000 PA USD 6451383.13000000 0.545447766779 Long ABS-MBS CORP US N 2 2052-02-25 Variable 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207AKY7 5026.50000000 PA USD 5616.13000000 0.000474829273 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 36179TLV5 4081568.85000000 PA USD 4447691.05000000 0.376040780970 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290NBL5 5574.55000000 PA USD 6354.35000000 0.000537243866 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 II Pool 36202FP75 209759.06000000 PA USD 235093.23000000 0.019876524879 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 36203QQS3 522.99000000 PA USD 524.88000000 0.000044377247 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 36225BVQ8 4309.19000000 PA USD 5154.79000000 0.000435824169 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 36241KX37 786.47000000 PA USD 934.37000000 0.000078998568 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 I Pool 36210MTX9 2068.12000000 PA USD 2310.72000000 0.000195365402 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 36203V4A5 556.86000000 PA USD 559.04000000 0.000047265386 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 36202AN45 99.62000000 PA USD 100.81000000 0.000008523224 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 II Pool 36179MCZ1 191973.91000000 PA USD 207138.36000000 0.017513012884 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 36209ACN8 21567.32000000 PA USD 24097.25000000 0.002037360195 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 21H020691 7040000.00000000 PA USD 7186025.02000000 0.607559839525 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210RW22 10271.37000000 PA USD 10890.59000000 0.000920771232 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 36205NCS3 322.45000000 PA USD 323.69000000 0.000027367152 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 36202C5T6 28520.28000000 PA USD 32302.18000000 0.002731065817 Long ABS-MBS USGA US N 2 2028-10-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209B5B0 7760.00000000 PA USD 8670.28000000 0.000733049761 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 36202DLV1 8729.38000000 PA USD 10277.94000000 0.000868973258 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 II Pool 36179WB23 1621769.47000000 PA USD 1721938.16000000 0.145585420208 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 II Pool 36184NEC1 229401.14000000 PA USD 247851.76000000 0.020955225609 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 36202FAT3 37584.35000000 PA USD 41163.49000000 0.003480266671 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 II Pool 36202FFT8 3560407.64000000 PA USD 3937001.50000000 0.332863299653 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 36209D5Z3 986.19000000 PA USD 1101.87000000 0.000093160260 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 36202F2V7 66818.20000000 PA USD 78553.13000000 0.006641464081 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 36206WMD4 162.41000000 PA USD 163.06000000 0.000013786301 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 36292NSH4 65922.61000000 PA USD 73767.72000000 0.006236870036 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 36194GHD9 1286011.52000000 PA USD 1386874.95000000 0.117256691942 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 36295CKS9 27484.75000000 PA USD 29191.35000000 0.002468053182 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 I Pool 36208YS83 1171.86000000 PA USD 1309.32000000 0.000110699621 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 36209GZ91 2453.61000000 PA USD 2741.43000000 0.000231780819 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 36224QK21 1169.26000000 PA USD 1173.77000000 0.000099239219 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 36208RFY5 190.52000000 PA USD 212.87000000 0.000017997608 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 21H042695 -2882000.00000000 PA USD -3071131.25000000 -0.25965620829 Short ABS-MBS USGA US N 2 2051-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ECA5 1683.54000000 PA USD 1929.66000000 0.000163147764 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 36207QSU2 1749.69000000 PA USD 1756.49000000 0.000148506688 Long ABS-MBS USGA US N 2 2026-11-15 Fixed 8.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380TES1 2042785.09000000 PA USD 52307.56000000 0.004422468982 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 II Pool 36202DH95 15125.59000000 PA USD 16940.90000000 0.001432309302 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 36179R4J5 62815.17000000 PA USD 73849.09000000 0.006243749659 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 36179TXY6 1226138.19000000 PA USD 1353312.57000000 0.114419079472 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 36202EDQ9 17154.98000000 PA USD 20145.73000000 0.001703269394 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 II Pool 36194HHL9 709273.12000000 PA USD 766529.36000000 0.064808075905 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 II Pool 36202DCD1 7620.55000000 PA USD 8714.00000000 0.000736746174 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 36296JJ97 25111.52000000 PA USD 29175.10000000 0.002466679287 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 II Pool 36179THW8 722955.78000000 PA USD 756601.06000000 0.063968663804 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 I Pool 36208VWM3 35445.00000000 PA USD 36302.98000000 0.003069323115 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 I Pool 36206MBD8 268.46000000 PA USD 269.55000000 0.000022789755 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 36179MX47 4662585.71000000 PA USD 5029936.57000000 0.425268134578 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 II Pool 36202CRE5 11807.70000000 PA USD 13164.59000000 0.001113032053 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 36203EE20 575.56000000 PA USD 583.89000000 0.000049366390 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140LNC47 16378069.54000000 PA USD 17109455.98000000 1.446560275068 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210U3V3 9868.24000000 PA USD 11025.82000000 0.000932204579 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 6.50000000 N N N N N N Verus Securitization Trust N/A Verus Securitization Trust 2020-2 92537UAA0 3090829.07000000 PA USD 3110152.62000000 0.262955364258 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 II Pool 36202FPG5 1256302.44000000 PA USD 1406879.91000000 0.118948059597 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 I Pool 36203XTV8 3901.59000000 PA USD 3916.74000000 0.000331150242 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 36206WZ99 4164.91000000 PA USD 4653.47000000 0.000393438859 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 36202EYM5 98353.82000000 PA USD 115118.31000000 0.009732955529 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 36202FP67 508649.64000000 PA USD 557248.37000000 0.047113909193 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 I Pool 36212UCY5 173.75000000 PA USD 198.16000000 0.000016753915 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 8159093.60000000 PA USD 713086.83000000 0.060289648142 Long ABS-MBS USGA US N 2 2029-08-20 Fixed 3.50000000 N N N N N N GS Mortgage-Backed Securities N/A GS Mortgage-Backed Securities Trust 2021-GR1 36262QAD1 10844415.15000000 PA USD 11001995.35000000 0.930190266622 Long ABS-MBS CORP US N 2 2051-11-25 Variable 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BFU7 1265.08000000 PA USD 1479.15000000 0.000125058308 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 36206KMB4 6478.20000000 PA USD 6737.94000000 0.000569675409 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 36188KDZ3 148385.21000000 PA USD 160442.71000000 0.013565016385 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 II Pool 3617G9GX3 704854.40000000 PA USD 763027.68000000 0.064512017913 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 36206NJZ9 405.61000000 PA USD 437.60000000 0.000036997948 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 36194N5K1 342925.52000000 PA USD 362223.56000000 0.030625065648 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 II Pool 3622A26H0 4223313.10000000 PA USD 4598089.61000000 0.388756590437 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 I Pool 36225BMZ8 6192.50000000 PA USD 7094.22000000 0.000599797962 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 II Pool 36179M5P1 42833.09000000 PA USD 47600.32000000 0.004024484008 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 36212DVL0 137211.06000000 PA USD 154046.66000000 0.013024246891 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379DLJ1 6283640.47000000 PA USD 602604.89000000 0.050948685712 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 I Pool 36294VL40 38999.64000000 PA USD 44360.83000000 0.003750593503 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 II Pool 36202EMB2 757637.94000000 PA USD 891700.31000000 0.075390956160 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 36202FAS5 957952.11000000 PA USD 1018972.65000000 0.086151503507 Long ABS-MBS USGA US N 2 2039-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36209YKY3 38018.72000000 PA USD 44260.13000000 0.003742079578 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 36297GP46 2354412.35000000 PA USD 2689595.27000000 0.227398327459 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 II Pool 36179QPF2 1315639.00000000 PA USD 1401263.47000000 0.118473204114 Long ABS-MBS USGA US N 2 2044-09-20 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F0224A0 -10825000.00000000 PA USD -11310349.05000000 -0.95626077486 Short ABS-MBS USGSE US N 2 2036-10-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381WCU0 9545823.32000000 PA USD 1411738.49000000 0.119358839977 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 36212DVA4 97023.90000000 PA USD 108405.18000000 0.009165377740 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 36202FFU5 1875653.07000000 PA USD 2118033.16000000 0.179074228550 Long ABS-MBS USGA US N 2 2040-04-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X6S36 2091759.92000000 PA USD 2219939.87000000 0.187690177451 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 36179N2K3 208875.20000000 PA USD 227091.87000000 0.019200030574 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 I Pool 36208CF85 941.01000000 PA USD 1051.39000000 0.000088892306 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 36178GR97 58257.45000000 PA USD 62097.90000000 0.005250216921 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 I Pool 36210LE25 342.01000000 PA USD 382.13000000 0.000032308103 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 36187SWY9 86212.06000000 PA USD 90781.93000000 0.007675377509 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 I Pool 36290XHL7 78247.99000000 PA USD 88459.57000000 0.007479027975 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 36202DM32 672.98000000 PA USD 745.05000000 0.000062992051 Long ABS-MBS USGA US N 2 2031-05-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617KGV80 4762089.13000000 PA USD 5120906.59000000 0.432959414611 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 36202EDD8 15224.58000000 PA USD 16842.34000000 0.001423976309 Long ABS-MBS USGA US N 2 2035-04-20 Fixed 4.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F020497 -21350000.00000000 PA USD -22091952.00000000 -1.86781743377 Short ABS-MBS USGSE US N 2 2036-09-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617LYXQ8 8247530.98000000 PA USD 8769927.04000000 0.741474660920 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 36202EB99 537845.46000000 PA USD 599232.91000000 0.050663593520 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 36201FW86 2429.12000000 PA USD 2615.78000000 0.000221157437 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 36212KXG3 1120.15000000 PA USD 1161.56000000 0.000098206895 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 I Pool 36208RSH8 3400.21000000 PA USD 3799.07000000 0.000321201547 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 II Pool 36179SHX8 313526.77000000 PA USD 328006.27000000 0.027732082230 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 II Pool 36179NBB3 755712.55000000 PA USD 815341.55000000 0.068935020389 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 36209YEB0 6818.93000000 PA USD 7151.89000000 0.000604673811 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 II Pool 36202EB81 4237.39000000 PA USD 4684.76000000 0.000396084347 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 II Pool 3622A2YK2 227330.14000000 PA USD 243201.67000000 0.020562072520 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JAEM6 2939831.71000000 PA USD 3270670.23000000 0.276526713245 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 I Pool 36203G4A8 1839.84000000 PA USD 1846.69000000 0.000156132865 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 36203N6R4 821.33000000 PA USD 831.83000000 0.000070329076 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 36202DC90 46422.51000000 PA USD 53403.69000000 0.004515143940 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 3617VFLU2 3191264.54000000 PA USD 3344692.85000000 0.282785134417 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CV26 6099.59000000 PA USD 6706.23000000 0.000566994410 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 3622AARG1 388603.97000000 PA USD 413293.55000000 0.034942901286 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 I Pool 36206YM32 16190.99000000 PA USD 18090.26000000 0.001529484719 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 36179UED0 63737.62000000 PA USD 74598.07000000 0.006307073982 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 36179RTA7 9215377.54000000 PA USD 10031413.60000000 0.848130088618 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 36202ERD3 51931.46000000 PA USD 61014.03000000 0.005158578514 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 I Pool 36208QSN7 3529.60000000 PA USD 3943.64000000 0.000333424567 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 36179NDQ8 1540259.71000000 PA USD 1641153.27000000 0.138755266587 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 36206JBC7 4799.92000000 PA USD 5303.73000000 0.000448416661 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 I Pool 36225BHL5 1490.90000000 PA USD 1751.26000000 0.000148064505 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 36202EGQ6 268694.33000000 PA USD 315556.74000000 0.026679506651 Long ABS-MBS USGA US N 2 2036-01-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FGD2 6335379.55000000 PA USD 7005503.88000000 0.592297243786 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 II Pool 36179SEG8 5263475.83000000 PA USD 5556205.20000000 0.469762786837 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 36202EC49 36153.45000000 PA USD 42473.23000000 0.003591001802 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 I Pool 36294SEE3 2827.74000000 PA USD 3236.67000000 0.000273652081 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 I Pool 36203S3M7 499.04000000 PA USD 500.97000000 0.000042355718 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QKPE2 16407602.49000000 PA USD 17032706.55000000 1.440071309159 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210AS24 34297.97000000 PA USD 36099.54000000 0.003052122789 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 36202FLP9 77551.73000000 PA USD 85968.82000000 0.007268441501 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 II Pool 36179UZH8 4933742.69000000 PA USD 5079268.22000000 0.429438998063 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 II Pool 36179RQ36 10749435.04000000 PA USD 11701244.20000000 0.989309949327 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MX54 3305154.85000000 PA USD 3620187.77000000 0.306077517747 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 21H032696 90732000.00000000 PA USD 95488341.11000000 8.073292402946 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382BS79 1596381.82000000 PA USD 90195.89000000 0.007625829342 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 36203VWV8 1177.57000000 PA USD 1315.70000000 0.000111239033 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 36225ATR1 21646.70000000 PA USD 24185.94000000 0.002044858706 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 I Pool 36224XQA2 1285.74000000 PA USD 1290.65000000 0.000109121121 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 36213UMD9 417.14000000 PA USD 435.13000000 0.000036789116 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 36179TCY9 4089987.29000000 PA USD 4375545.54000000 0.369941064596 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 I Pool 36296Q3J6 211149.54000000 PA USD 238010.80000000 0.020123197880 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FGW0 861666.82000000 PA USD 943934.95000000 0.079807259945 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 II Pool 36202FJP2 470279.63000000 PA USD 514440.93000000 0.043494650798 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 II Pool 3620AR5K3 25145.23000000 PA USD 27897.11000000 0.002358628536 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 II Pool 36183QVG7 65998.79000000 PA USD 71742.21000000 0.006065618401 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 36203JTH0 219.55000000 PA USD 220.07000000 0.000018606349 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QCKG0 9554414.34000000 PA USD 10067412.63000000 0.851173713547 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 II Pool 36202EAZ2 1914659.13000000 PA USD 2248742.41000000 0.190125357753 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 36182JHQ8 383870.45000000 PA USD 413183.74000000 0.034933617134 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 36205USM3 2536.53000000 PA USD 2548.01000000 0.000215427658 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 36202EPB9 123954.89000000 PA USD 149763.86000000 0.012662147222 Long ABS-MBS USGA US N 2 2037-08-20 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H032696 -2933000.00000000 PA USD -3086753.34000000 -0.26097701562 Short ABS-MBS USGA US N 2 2051-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379HFS9 4181125.35000000 PA USD 158548.69000000 0.013404881890 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194HHM7 374385.22000000 PA USD 405983.53000000 0.034324857991 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179M5L0 1005004.76000000 PA USD 1070805.90000000 0.090533870805 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 36202FLN4 85972.24000000 PA USD 94034.70000000 0.007950390804 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 I Pool 36212UCW9 305.73000000 PA USD 309.10000000 0.000026133605 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 I Pool 36206TDM1 701.65000000 PA USD 704.45000000 0.000059559426 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 36209FPW3 206.83000000 PA USD 211.09000000 0.000017847113 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 I Pool 36206YGJ4 4436.68000000 PA USD 4957.12000000 0.000419111681 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 36208MBT1 322.09000000 PA USD 359.87000000 0.000030426078 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 36202FQB5 35974.86000000 PA USD 42254.81000000 0.003572534956 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 36209BHT8 21899.05000000 PA USD 24467.89000000 0.002068696849 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 36223RDU6 212.01000000 PA USD 212.70000000 0.000017983235 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 36202FJQ0 75415.12000000 PA USD 83461.66000000 0.007056467604 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 I Pool 3622AABW3 269792.56000000 PA USD 317222.28000000 0.026820323752 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 36208HMH6 2126.77000000 PA USD 2376.25000000 0.000200905794 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 6.50000000 N N N N N N 2021-10-25 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

August

31,

2021

(Unaudited)

1

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

3.9%

Home

Equity

Loans

Backed

0.8%

Flagstar

Mortgage

Trust

Series

2021-5INV,

Class

A16,

CMO,

ARM

2.50%,

5/25/33 (1)

6,082‌

6,170‌

Flagstar

Mortgage

Trust

Series

2021-5INV,

Class

A2,

CMO,

ARM

2.50%,

5/25/33 (1)

3,706‌

3,793‌

9,963‌

Whole

Loans

Backed

3.1%

CIM

Trust

Series

2021-INV1,

Class

A29,

CMO,

ARM

2.50%,

7/1/51 (1)

2,621‌

2,667‌

GS

Mortgage-Backed

Securities

Trust

Series

2021-GR1,

Class

A4,

CMO,

ARM

2.50%,

11/25/51 (1)

10,844‌

11,002‌

GS

Mortgage-Backed

Securities

Trust

Series

2021-GR2,

Class

A4,

CMO,

ARM

2.50%,

2/25/52 (1)

6,358‌

6,451‌

Verus

Securitization

Trust

Series

2020-2,

Class

A1,

CMO,

ARM

2.226%,

5/25/60 (1)

3,091‌

3,110‌

Verus

Securitization

Trust

Series

2020-2,

Class

A2,

CMO,

ARM

2.989%,

5/25/60 (1)

9,132‌

9,301‌

Vista

Point

Securitization

Trust

Series

2020-1,

Class

A2,

CMO,

ARM

2.77%,

3/25/65 (1)

4,000‌

4,070‌

36,601‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$46,254)

46,564‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

126.3%

U.S.

Government

Agency

Obligations

16.6%

Federal

Home

Loan

Mortgage

6.50%,

8/1/36

23‌

26‌

7.00%,

11/1/30

-

4/1/32

436‌

503‌

Federal

National

Mortgage

Assn.

3.50%,

7/1/48

-

11/1/48

2,137‌

2,250‌

Federal

National

Mortgage

Assn.,

ARM,

12M

USD

LIBOR

+

1.586%,

1.988%,

11/1/35

5‌

5‌

Federal

National

Mortgage

Assn.,

CMO,

5.50%,

12/25/36

810‌

942‌

T.

ROWE

PRICE

GNMA

Fund

2

Par/Shares

$

Value

(Amounts

in

000s)

Federal

National

Mortgage

Assn.,

CMO,

IO

3.00%,

2/25/28

6,077‌

333‌

8.50%,

4/25/22

—‌

—‌

Federal

National

Mortgage

Assn.,

UMBS

2.00%,

5/1/36

16,408‌

17,033‌

2.50%,

8/1/36

-

6/1/51

27,044‌

28,261‌

3.00%,

12/1/49

9,554‌

10,067‌

3.50%,

5/1/50

2,092‌

2,220‌

5.00%,

1/1/49

2,940‌

3,271‌

UMBS,

TBA(2)

1.50%,

10/1/36

2,004‌

2,034‌

2.00%,

10/1/36

-

10/1/51

98,928‌

100,348‌

2.50%,

10/1/36

-

10/1/51

17,406‌

18,068‌

3.00%,

10/1/51

5,884‌

6,152‌

3.50%,

10/1/51

1,384‌

1,465‌

4.00%,

10/1/51

877‌

940‌

4.50%,

10/1/51

1,028‌

1,112‌

5.00%,

10/1/51

576‌

632‌

195,662‌

U.S.

Government

Obligations

109.7%

Government

National

Mortgage

Assn.

2.50%,

2/20/31

-

8/20/51

78,693‌

82,014‌

3.00%,

11/20/26

-

5/20/51 (3)

244,979‌

257,214‌

3.50%,

1/20/27

-

3/20/51

187,704‌

201,670‌

4.00%,

3/20/39

-

10/20/50

121,793‌

131,132‌

4.50%,

5/20/30

-

6/20/50 (3)

60,602‌

66,898‌

5.00%,

5/15/33

-

6/20/49

39,728‌

44,074‌

5.50%,

5/20/31

-

3/20/49

29,802‌

34,211‌

6.00%,

6/20/31

-

11/20/48

6,570‌

7,675‌

6.50%,

12/15/23

-

6/20/48

22,739‌

26,548‌

7.00%,

1/20/28

-

1/20/34

359‌

412‌

7.50%,

3/15/22

-

6/15/32

718‌

784‌

8.00%,

12/15/21

-

3/15/30

387‌

412‌

8.50%,

12/15/21

-

9/15/24

3‌

1‌

9.00%,

5/15/22

-

3/20/25

13‌

13‌

9.50%,

3/15/23

-

12/15/24

7‌

6‌

10.00%,

3/15/26

—‌

—‌

Government

National

Mortgage

Assn.,

CMO

3.50%,

9/20/41

-

6/20/47

8,307‌

8,961‌

Government

National

Mortgage

Assn.,

CMO,

ARM,

IO,

2.687%,

2/16/51

8,728‌

1,032‌

Government

National

Mortgage

Assn.,

CMO,

IO

3.00%,

6/20/37

-

1/20/50

10,926‌

517‌

3.50%,

8/20/29

-

2/16/51

45,098‌

4,292‌

4.00%,

5/20/37

-

6/20/49

26,843‌

3,614‌

T.

ROWE

PRICE

GNMA

Fund

3

Par/Shares

$

Value

(Amounts

in

000s)

4.50%,

4/20/39

-

6/20/49

8,693‌

931‌

5.00%,

2/16/40

26,921‌

4,709‌

Government

National

Mortgage

Assn.,

TBA(2)

2.00%,

10/20/51

6,865‌

6,995‌

2.50%,

9/20/51

-

10/20/51

312,623‌

324,185‌

3.00%,

10/20/51

3,315‌

3,460‌

3.50%,

9/20/51

-

10/20/51

68,312‌

71,893‌

4.00%,

9/20/51

-

10/20/51

13,243‌

14,021‌

1,297,674‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$1,490,667)

1,493,336‌

SHORT-TERM

INVESTMENTS

18.0%

Money

Market

Funds

18.0%

T.

Rowe

Price

Government

Reserve

Fund,

0.05% (4)(5)

212,597‌

212,597‌

Total

Short-Term

Investments

(Cost

$212,597)

212,597‌

Total

Investments

in

Securities

148.2%

(Cost

$1,749,518)

$

1,752,497‌

Other

Assets

Less

Liabilities

(48.2)%

(569,949‌)

Net

Assets

100.0%

$

1,182,548‌

‡

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

$46,564

and

represents

3.9%

of

net

assets.

(2)

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$551,305

and

represents

46.6%

of

net

assets.

(3)

At

August

31,

2021,

all

or

a

portion

of

this

security

is

pledged

as

collateral

and/

or

margin

deposit

to

cover

future

funding

obligations.

(4)

Seven-day

yield

(5)

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

CPI

Consumer

Price

Index

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

TBA

To-Be-Announced

T.

ROWE

PRICE

GNMA

Fund

4

.

.

.

.

.

.

.

.

.

.

UMBS

Uniform

Mortgage-Backed

Securities

T.

ROWE

PRICE

GNMA

Fund

5

Par

$

Value

(Amounts

in

000s)

TBA

SALES

COMMITMENTS

(16.0)%

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

(16.0)%

U.S.

Government

Agency

Obligations

(15.2)%

UMBS,

TBA

1.50%,

9/1/36

33,775

(34,315‌)

2.00%,

9/1/36

-

10/1/51

33,574

(34,460‌)

2.50%,

10/1/36

-

9/1/51

92,550

(96,189‌)

3.00%,

10/1/36

2,935

(3,096‌)

3.50%,

10/1/51

5,834

(6,177‌)

4.00%,

10/1/51

2,890

(3,099‌)

4.50%,

10/1/51

2,862

(3,097‌)

(180,433‌)

U.S.

Government

Obligations

(0.8)%

Government

National

Mortgage

Assn.,

TBA

3.50%,

10/20/51

2,933

(3,088‌)

4.00%,

10/20/51

2,909

(3,082‌)

4.50%,

10/20/51

2,882

(3,075‌)

(9,245‌)

Total

TBA

Sales

Commitments

(Proceeds

$(189,663))

(189,678‌)

T.

ROWE

PRICE

GNMA

Fund

6

(Amounts

in

000s)

SWAPS

(0.0)%

Description

Notional

Amount

$

Value

Initial

$

Value

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

(0.0)%

Zero-Coupon

Inflation

Swaps

(0.0)%

30

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

2.30%,

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

7/12/51

2,100

(120)

—

(120‌)

30

Year

Zero-Coupon

Inflation

Swap

Receive

Fixed

2.50%,

at

Maturity,

Pay

Variable

(Change

in

CPI)

at

Maturity,

6/18/51

2,100

32

—

32‌

Total

Centrally

Cleared

Zero-Coupon

Inflation

Swaps

(88‌)

Total

Centrally

Cleared

Swaps

(88‌)

Net

payments

(receipts)

of

variation

margin

to

date

105‌

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

17‌

T.

ROWE

PRICE

GNMA

Fund

7

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Short,

451

U.S.

Treasury

Notes

ten

year

contracts

12/21

(60,187)

$

(29‌)

Short,

69

Ultra

U.S.

Treasury

Bonds

contracts

12/21

(13,613)

(66‌)

Net

payments

(receipts)

of

variation

margin

to

date

204‌

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

109‌

T.

ROWE

PRICE

GNMA

Fund

8

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

three

months

ended

August

31,

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%

$

—‌#

$

—‌

$

18‌+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/21

Purchase

Cost

Sales

Cost

Value

08/31/21

T.

Rowe

Price

Government

Reserve

Fund,

0.05%

$

56,249‌

¤

¤

$

212,597‌^

#

Capital

gain

distributions

from

mutual

funds

represented

$0

of

the

net

realized

gain

(loss).

+

Investment

income

comprised

$18

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

$212,597.

T.

ROWE

PRICE

GNMA

Fund

Unaudited

Notes

to

Portfolio

of

Investments

9

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

10

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

11

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

August

31,

2021

(for

further

detail

by

category,

please

refer

to

the

accompanying

Portfolio

of

Investments):

T.

ROWE

PRICE

GNMA

Fund

12

F70-054Q1

08/21

($000s)

Level

1

Level

2

Level

3

Total

Value

Assets

Fixed

Income

Securities

1

$

—‌

$

1,539,900‌

$

—‌

$

1,539,900‌

Short-Term

Investments

212,597‌

—‌

—‌

212,597‌

Total

Securities

212,597‌

1,539,900‌

—‌

1,752,497‌

Swaps*

—‌

32‌

—‌

32‌

Total

$

212,597‌

$

1,539,932‌

$

—‌

$

1,752,529‌

Liabilities

TBA

Sales

Commitments

$

—‌

$

189,678‌

$

—‌

$

189,678‌

Swaps*

—‌

120‌

—‌

120‌

Futures

Contracts*

95‌

—‌

—‌

95‌

Total

$

95‌

$

189,798‌

$

—‌

$

189,893‌

1

Includes

Non-U.S.

Government

Mortgage-Backed

Securities

and

U.S.

Government

&

Agency

Mortgage-Backed

Securities.

*

The

fair

value

presented

includes

cumulative

gain

(loss)

on

open

futures

contracts

and

centrally

cleared

swaps;

however,

the

net

value

reflected

on

the

accompanying

Portfolio

of

Investments

is

only

the

unsettled

variation

margin

receivable

(payable)

at

that

date.