0001752724-21-082003.txt : 20210423 0001752724-21-082003.hdr.sgml : 20210423 20210423133049 ACCESSION NUMBER: 0001752724-21-082003 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20210228 FILED AS OF DATE: 20210423 PERIOD START: 20210831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY ADVISOR SERIES II CENTRAL INDEX KEY: 0000795422 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04707 FILM NUMBER: 21848602 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY DIVERSIFIED TRUST DATE OF NAME CHANGE: 19930706 FORMER COMPANY: FORMER CONFORMED NAME: PLYMOUTH FUND DATE OF NAME CHANGE: 19920130 FORMER COMPANY: FORMER CONFORMED NAME: PLYMOUTH INVESTMENT SERIES DATE OF NAME CHANGE: 19911204 0000795422 S000005133 Fidelity Advisor Mortgage Securities Fund C000014042 Class A FMGAX C000014044 Class C FOMCX C000014045 Class M FMSAX C000014046 Class I FMSCX C000014129 Fidelity Mortgage Securities Fund FMSFX C000204997 Class Z FIKUX NPORT-P 1 primary_doc.xml NPORT-P false 0000795422 XXXXXXXX S000005133 C000014045 C000014046 C000014129 C000014042 C000204997 C000014044 Fidelity Advisor Series II 811-04707 0000795422 EIVUM2R16VT371T5KS40 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Advisor Mortgage Securities Fund S000005133 WIIX6BNCF8B12FQGCD90 2021-08-31 2021-02-28 N 2632564922.54 1197528651.20 1435036271.34 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 864816651.42000000 0.00000000 0.00000000 78331.03000000 USD N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193VFQ0 81994.90810000 PA USD 89828.34000000 0.006259656413 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J2VZ3 164854.36370000 PA USD 176028.39000000 0.012266476709 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0YY8 83250.53040000 PA USD 95072.84000000 0.006625117559 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -600.00000000 NC USD 68641.30000000 0.004783244951 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UST NOTES 0% 06/30/2040 2021-06-30 -132528016.30000000 USD 68641.30000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DHM7 444019.35600000 PA USD 470443.48000000 0.032782689148 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307TN31 24391.37570000 PA USD 26274.38000000 0.001830920968 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2X49 187535.86900000 PA USD 202982.35000000 0.014144753972 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F3M6 15992.29600000 PA USD 17495.14000000 0.001219142703 Long ABS-MBS USGA US N 2 2042-02-20 Fixed 0.03500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WAU7 899000.00000000 PA USD 954534.02000000 0.066516368893 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.04247500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEAV1 163949.79530000 PA USD 181483.05000000 0.012646582781 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207N4U5 566.58660000 PA USD 634.53000000 0.000044217000 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RYC1 150481.28950000 PA USD 166716.81000000 0.011617602518 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38381YCS1 787218.91900000 PA USD 794902.49000000 0.055392501630 Long ABS-CBDO USGA US N 2 2049-08-20 Variable 0.00611130 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300LCZ6 167614.75570000 PA USD 176021.14000000 0.012265971496 Long ABS-MBS USGSE US N 2 2037-06-01 Variable 0.02280000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAA6 525000.00000000 PA USD 534766.94000000 0.037265046931 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03112000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 313987P94 4483.89300000 PA USD 4778.85000000 0.000333012488 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389HXZ6 36742.03610000 PA USD 41198.11000000 0.002870875867 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FX84 1566400.94050000 PA USD 1735067.86000000 0.120907596180 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9PW2 25197.24830000 PA USD 27860.23000000 0.001941430370 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBS82 3767893.17600000 PA USD 4011450.92000000 0.279536552498 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNMM8 26344.19110000 PA USD 29153.08000000 0.002031522170 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N RETL 2019-RVP N/A 74952PAJ6 501428.16000000 PA USD 498905.37000000 0.034766045985 Long ABS-MBS CORP US N 2 2036-03-15 Variable 0.02212000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RUT8 667833.25480000 PA USD 739886.19000000 0.051558710032 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FMA1 769233.48330000 PA USD 846219.14000000 0.058968484413 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RPS2 18162.73040000 PA USD 18993.99000000 0.001323589541 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 0.02017000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31415TSC5 3144.85500000 PA USD 3277.88000000 0.000228417919 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MA5J3 65847.33990000 PA USD 71988.34000000 0.005016482261 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N GS MTG SECS TR 2015-GC34 54930070360RBP384M53 36250VAF9 8216496.19400000 PA USD 380839.53000000 0.026538669273 Long ABS-MBS CORP US N 2 2048-10-10 Variable 0.01221820 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193GKX2 28483.95950000 PA USD 31205.19000000 0.002174522736 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H6QY8 393869.70990000 PA USD 424790.57000000 0.029601382103 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AUF3 115993.57110000 PA USD 122675.38000000 0.008548590892 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3133A5A60 765807.95900000 PA USD 811382.11000000 0.056540878178 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31396HLM9 45399.94680000 PA USD 9257.38000000 0.000645097283 Long ABS-CBDO USGSE US N 2 2036-02-15 Variable 0.06487750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SPQ1 22410.54990000 PA USD 24835.44000000 0.001730648938 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QRZ6 907669.67860000 PA USD 1000583.74000000 0.069725327504 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFUA4 1710003.49390000 PA USD 1857107.06000000 0.129411855093 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04V7 236505.32580000 PA USD 270091.16000000 0.018821207895 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DEQ1 225812.51700000 PA USD 240309.39000000 0.016745875682 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177RCF6 1017454.16180000 PA USD 1100092.60000000 0.076659567564 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132DVLK9 12551006.01000000 PA USD 13091292.93000000 0.912262163086 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9CJ9 2163087.53080000 PA USD 2394989.33000000 0.166893992704 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DRX1 32201.53750000 PA USD 37496.99000000 0.002612964616 Long ABS-MBS USGA US N 2 2032-02-20 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M1RH4 4370.32320000 PA USD 4423.06000000 0.000308219387 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NHTD5 60749.91900000 PA USD 64227.20000000 0.004475649938 Long ABS-MBS USGSE US N 2 2036-12-01 Variable 0.02575000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDEA5 389833.70950000 PA USD 431523.62000000 0.030070572334 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4MR7 483502.61100000 PA USD 519689.45000000 0.036214377321 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FBH8 13058.53100000 PA USD 14533.97000000 0.001012794609 Long ABS-MBS USGA US N 2 2039-09-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230KL66 14493.44100000 PA USD 15967.44000000 0.001112685464 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N WELLS FARGO COML MTG TR 2018-C46 N/A 95001QAV3 10183961.45360000 PA USD 482843.00000000 0.033646745357 Long ABS-MBS CORP US N 2 2051-08-15 Variable 0.00938670 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UPA4 819957.62800000 PA USD 880959.77000000 0.061389373048 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292J4E7 25868.16340000 PA USD 30732.28000000 0.002141568168 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374GZM7 135975.89870000 PA USD 26555.75000000 0.001850528138 Long ABS-CBDO USGA US N 2 2034-05-16 Variable 0.06392620 N N N N N N CSMC SER 2015-1R N/A 12649MBC6 1002137.91020000 PA USD 974298.82000000 0.067893672059 Long ABS-CBDO CORP US N 2 2037-05-27 Variable 0.00473860 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F4Q6 58134.42120000 PA USD 63597.49000000 0.004431768817 Long ABS-MBS USGA US N 2 2042-03-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A4T4 6605.29490000 PA USD 7512.97000000 0.000523538683 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180B4B4 462024.87850000 PA USD 499117.76000000 0.034780846308 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176DQK2 269057.00050000 PA USD 295915.70000000 0.020620781920 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 17600000.00000000 NC USD 63896.62000000 0.004452613587 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2031-10-18 0.00000000 USD 0.00000000 USD 17600000.00000000 USD 1.00000000 0.86500000 USD 2021-10-14 XXXX -347063.38000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GRCZ2 76799.20480000 PA USD 85035.75000000 0.005925686458 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AWQD2 434024.76390000 PA USD 87672.13000000 0.006109401675 Long ABS-CBDO USGSE US N 2 2047-05-25 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204DT82 1114606.04280000 PA USD 1269058.45000000 0.088433893647 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296QY29 9240.99210000 PA USD 10402.89000000 0.000724921746 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.04500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WAW3 7720000.00000000 PA USD 187435.42000000 0.013061371600 Long ABS-MBS CORP US N 2 2033-07-05 Variable 0.01116000 N N N N N N SILVERSTONE MASTER ISSUER PLC 549300P6OXWKM20QS303 82846GAV2 994410.02000000 PA USD 996539.05000000 0.069443474698 Long ABS-CBDO CORP GB N 2 2070-01-21 Variable 0.00793630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KP24 61310.33590000 PA USD 67714.39000000 0.004718653552 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WGTP2 123368.72610000 PA USD 134495.23000000 0.009372253000 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181LT32 14941.79120000 PA USD 16497.84000000 0.001149646202 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31398SE82 87233.12330000 PA USD 95354.88000000 0.006644771418 Long ABS-CBDO USGSE US N 2 2040-12-25 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AMMM4 26342.40670000 PA USD 29582.07000000 0.002061416187 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209TVT3 2559.54820000 PA USD 2928.99000000 0.000204105642 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412D2G2 11015.95210000 PA USD 13427.25000000 0.000935673213 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J62X1 126579.23000000 PA USD 136431.64000000 0.009507191053 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193XHD3 24978.02130000 PA USD 27364.31000000 0.001906872359 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TNS0 249384.68600000 PA USD 269087.60000000 0.018751275168 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QDE59 4133986.51400000 PA USD 4460101.00000000 0.310800576199 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410EM88 4903.16590000 PA USD 5157.35000000 0.000359388128 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.02553000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNVR5 21303.33650000 PA USD 23521.50000000 0.001639087489 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4QA6 28055.75500000 PA USD 30924.39000000 0.002154955287 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 3050000.00000000 NC USD -20815.94000000 -0.00145055148 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 41921.95000000 USD 0.00000000 USD 3050000.00000000 USD -62737.89000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MAF45 34652.71990000 PA USD 37916.96000000 0.002642230078 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295R5T1 54155.38600000 PA USD 59798.56000000 0.004167041711 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409JKT6 62850.63560000 PA USD 66052.30000000 0.004602831393 Long ABS-MBS USGSE US N 2 2036-05-01 Variable 0.02803000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030645 81600000.00000000 PA USD 85460055.36000000 5.955254028541 Long ABS-MBS USGA US N 2 2051-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FXT4 36.83730000 PA USD 41.57000000 0.000002896790 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GSS67 60144.02160000 PA USD 66594.34000000 0.004640603260 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 1450000.00000000 NC USD -9896.10000000 -0.00068960626 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 6854.93000000 USD 0.00000000 USD 1450000.00000000 USD -16751.03000000 N N N WELLS FARGO COML MTG TR 2017 N/A 95001GAG8 15428677.53210000 PA USD 762833.93000000 0.053157815257 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.00882223 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137BGB32 511429.05530000 PA USD 38454.09000000 0.002679659794 Long ABS-CBDO USGSE US N 2 2034-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9X55 735617.92920000 PA USD 824017.43000000 0.057421366027 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCVQ6 2188897.72500000 PA USD 2331072.76000000 0.162439988908 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N BCAP LLC 2010-RR2 TR N/A 05532VBE6 37730.40170000 PA USD 37653.10000000 0.002623843086 Long ABS-CBDO CORP US N 2 2036-12-26 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AXRW0 10333.23510000 PA USD 11858.44000000 0.000826351238 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397R3R5 45692.18180000 PA USD 51064.22000000 0.003558392287 Long ABS-CBDO USGSE US N 2 2037-12-15 Fixed 0.05000000 N N N N N N WELLS FARGO MTG BACKED SECS 2003-I TR N/A 949802AA0 133703.84230000 PA USD 132519.17000000 0.009234551951 Long ABS-CBDO CORP US N 2 2033-09-25 Variable 0.02834941 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945R42 826285.50390000 PA USD 911734.50000000 0.063533899331 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N BFLD TR 2020 -OBRK N/A 05553JAA6 550000.00000000 PA USD 555496.65000000 0.038709589513 Long ABS-MBS CORP US N 2 2028-11-15 Variable 0.02162000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177Q2N2 17674.87230000 PA USD 19581.82000000 0.001364552268 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032633 -36075000.00000000 PA USD -38270502.86000000 -2.66686658897 Short ABS-MBS USGA US N 2 2051-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7DA8 38326.67470000 PA USD 42781.93000000 0.002981243809 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8LK7 1448738.72040000 PA USD 1556685.98000000 0.108477117344 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210BTU9 16449.98530000 PA USD 19206.73000000 0.001338414253 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A7CA4 90269.85670000 PA USD 101061.20000000 0.007042414329 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SLU9 6014.56000000 PA USD 6714.92000000 0.000467926848 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412LUZ1 73158.26340000 PA USD 82144.07000000 0.005724180750 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FW57 234366.36420000 PA USD 271748.55000000 0.018936702536 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E37H1 8851.07630000 PA USD 9787.36000000 0.000682028753 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARHT1 16489.98020000 PA USD 18165.56000000 0.001265860686 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.04000000 N N N N N N NATIONSTAR HECM LOAN TRUST 2020-1 N/A 63862XAA0 1140820.98000000 PA USD 1139279.73000000 0.079390308994 Long ABS-CBDO CORP US N 2 2030-09-25 Fixed 0.01268600 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAJT6 50912.12500000 PA USD 54132.89000000 0.003772231481 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396VYS1 37000.64960000 PA USD 8084.81000000 0.000563387153 Long ABS-CBDO USGSE US N 2 2037-05-25 Variable 0.06322370 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PB53 31150.22490000 PA USD 34511.04000000 0.002404889736 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E4JQ1 209319.63100000 PA USD 229546.25000000 0.015995850041 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPYW8 127022.41510000 PA USD 140565.90000000 0.009795285513 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176Q6C3 61633.11330000 PA USD 68282.75000000 0.004758259520 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132DVKW4 35290975.51900000 PA USD 37682479.06000000 2.625890356402 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312938BB8 28507.82190000 PA USD 31958.62000000 0.002227025242 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.04500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032633 169425000.00000000 PA USD 179736103.85000000 12.52484745087 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XCSA4 1579613.97800000 PA USD 1729278.93000000 0.120504196621 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DCV2 915735.01100000 PA USD 975382.51000000 0.067969188617 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4V45 1891798.99000000 PA USD 2092060.86000000 0.145784528362 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132ACLL2 476739.75500000 PA USD 506898.88000000 0.035323070930 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204JEW2 148.66490000 PA USD 154.33000000 0.000010754432 Long ABS-MBS USGA US N 2 2024-03-15 Fixed 0.07500000 N N N N N N RMF BUYOUT ISSUANCE TRUST 2020-2 N/A 76971EAA2 1399865.56000000 PA USD 1391855.53000000 0.096990965162 Long ABS-CBDO CORP US N 2 2050-10-25 Fixed 0.01718800 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H1GF1 25055.92580000 PA USD 27367.47000000 0.001907092562 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FTL0 563977.98960000 PA USD 630530.66000000 0.043938308222 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GSLX5 192572.96960000 PA USD 213226.00000000 0.014858579135 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KRC7 3395.04220000 PA USD 4017.17000000 0.000279935084 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945QT8 64050.13530000 PA USD 71805.73000000 0.005003757147 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AWT1 122786.72640000 PA USD 129859.86000000 0.009049238865 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SW47 59534.14820000 PA USD 65221.78000000 0.004544956897 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206CWA3 590.16750000 PA USD 651.55000000 0.000045403033 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LYR0 898880.12280000 PA USD 968845.27000000 0.067513643337 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A7HT2 118786.16830000 PA USD 7328.11000000 0.000510656778 Long ABS-CBDO USGSE US N 2 2027-07-25 Fixed 0.04500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38380GF25 149148.90780000 PA USD 156662.24000000 0.010916953329 Long ABS-CBDO USGA US N 2 2046-11-20 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287SCS4 3849.70740000 PA USD 4507.95000000 0.000314134917 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129455M6 77998.74860000 PA USD 87394.58000000 0.006090060700 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210QV25 290.76450000 PA USD 329.57000000 0.000022965970 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223S5C3 241.24740000 PA USD 245.10000000 0.000017079707 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292GXH4 6584.08020000 PA USD 7402.00000000 0.000515805777 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207KDA5 703.36450000 PA USD 749.31000000 0.000052215404 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNMC8 101809.83320000 PA USD 112410.56000000 0.007833290505 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QJT9 279277.23910000 PA USD 307865.59000000 0.021453505820 Long ABS-MBS USGA US N 2 2044-07-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224BYV5 551.36310000 PA USD 565.66000000 0.000039417818 Long ABS-MBS USGA US N 2 2022-01-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292GSM9 3931.36530000 PA USD 4444.24000000 0.000309695307 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VZT5 1635.46290000 PA USD 1830.14000000 0.000127532664 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210AJX6 2132.97070000 PA USD 2460.67000000 0.000171470927 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946Q25 45116.80310000 PA USD 50551.63000000 0.003522672632 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177L3E2 15305.50110000 PA USD 16956.82000000 0.001181630063 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMEG4 636.99420000 PA USD 641.77000000 0.000044721517 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MK74 172946.87990000 PA USD 189091.14000000 0.013176749868 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03500000 N N N N N N GS MORTGAGE SECURITIES CORP N/A 36228F6Y7 21218.86590000 PA USD 8728.69000000 0.000608255705 Long ABS-CBDO CORP US N 3 2034-06-25 Variable 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGQ4 45013.13520000 PA USD 49253.31000000 0.003432199658 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378WVW0 37532.43820000 PA USD 39332.02000000 0.002740838039 Long ABS-CBDO USGA US N 2 2039-04-20 Variable 0.08518490 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211DUZ1 79.85170000 PA USD 90.78000000 0.000006325972 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31329N6Q6 1962721.51300000 PA USD 2127845.86000000 0.148278193554 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417G5U6 2239809.47170000 PA USD 2402089.94000000 0.167388796225 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395EWW3 308.94730000 PA USD 355.65000000 0.000024783345 Long ABS-CBDO USGSE US N 2 2024-08-15 Variable 0.46070375 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E3WC4 17776.89270000 PA USD 19740.35000000 0.001375599376 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211CWR9 2386.95990000 PA USD 2793.77000000 0.000194682884 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 0.07500000 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAA0 1140000.00000000 PA USD 1190409.89000000 0.082953296287 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 0.03170000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287PHP1 307949.44530000 PA USD 365232.63000000 0.025451107912 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07500000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 130000.00000000 NC USD -887.24000000 -0.00006182700 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 1580.70000000 USD 0.00000000 USD 130000.00000000 USD -2467.94000000 N N N FNMA/FHLG TBA ISSUER N/A 01F030637 -140600000.00000000 PA USD -147229065.04000000 -10.2596058357 Short ABS-MBS USGA US N 2 2051-03-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397CDM8 434158.70940000 PA USD 496828.30000000 0.034621306089 Long ABS-CBDO USGSE US N 2 2036-11-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAUL0 1370282.52990000 PA USD 1455212.64000000 0.101405983184 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFFL6 60272.41900000 PA USD 65950.00000000 0.004595702653 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132CWFU3 3084670.08300000 PA USD 3264772.25000000 0.227504510875 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MDY7 3517.63690000 PA USD 4037.39000000 0.000281344108 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AQ6B9 251421.76150000 PA USD 12587.68000000 0.000877168072 Long ABS-CBDO USGSE US N 2 2031-05-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BCN6 6943.93730000 PA USD 7806.53000000 0.000543995309 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384V2T8 480.20870000 PA USD 564.56000000 0.000039341165 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209AKN9 3463.11580000 PA USD 3850.49000000 0.000268320047 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J85G1 1127216.26340000 PA USD 1233810.34000000 0.085977641446 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176TLV8 50123.49620000 PA USD 55531.35000000 0.003869682676 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296X6L3 104582.74930000 PA USD 119337.00000000 0.008315957051 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BLW0 74220.98630000 PA USD 74380.32000000 0.005183166550 Long ABS-CBDO USGA US N 2 2061-04-20 Variable 0.00643880 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224QU95 376.99050000 PA USD 391.35000000 0.000027271087 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PAH8 174801.31650000 PA USD 185611.41000000 0.012934266102 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HJ33 30996.49580000 PA USD 34282.61000000 0.002388971671 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EFA2 10499.12440000 PA USD 11631.88000000 0.000810563484 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38382DRU5 2376142.65700000 PA USD 2391413.18000000 0.166644789944 Long ABS-CBDO USGA US N 2 2050-03-20 Variable 0.00511130 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943WK5 2157059.15770000 PA USD 2380174.57000000 0.165861631342 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XCR72 796146.96750000 PA USD 858247.63000000 0.059806685527 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMGV8 53870.91850000 PA USD 58431.54000000 0.004071781401 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31349SY31 1792.98490000 PA USD 1886.51000000 0.000131460788 Long ABS-MBS USGSE US N 2 2034-05-01 Variable 0.02731000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L6BT7 81510.85560000 PA USD 89997.99000000 0.006271478414 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292SCG3 4093.83900000 PA USD 4470.05000000 0.000311493868 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209D6A7 33818.03270000 PA USD 38293.06000000 0.002668438475 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMD74 893464.69870000 PA USD 1026458.62000000 0.071528409455 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397U4B2 38446.73400000 PA USD 2050.37000000 0.000142879315 Long ABS-CBDO USGSE US N 2 2026-07-25 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38379WN73 409779.56870000 PA USD 435843.52000000 0.030371603053 Long ABS-CBDO USGA US N 2 2046-02-20 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AJAX2 29175.20840000 PA USD 216.73000000 0.000015102754 Long ABS-CBDO USGSE US N 2 2021-11-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AQL5 102548.93420000 PA USD 107714.84000000 0.007506070902 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L6P6 4125.21400000 PA USD 4612.01000000 0.000321386301 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416CAH9 5957.30080000 PA USD 6281.39000000 0.000437716462 Long ABS-MBS USGSE US N 2 2036-05-01 Variable 0.02972000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HPY6 221.27800000 PA USD 249.39000000 0.000017378654 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFJL2 40359.49080000 PA USD 46423.83000000 0.003235028335 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7VJ5 15571484.20800000 PA USD 16566287.16000000 1.154415919015 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBHW6 79941.36280000 PA USD 88389.99000000 0.006159425497 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJL33 206583.64950000 PA USD 219129.47000000 0.015269960374 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AVG0 107095.90040000 PA USD 113265.16000000 0.007892843007 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A4WY1 123140.08620000 PA USD 10920.04000000 0.000760959163 Long ABS-CBDO USGSE US N 2 2030-12-25 Variable 0.06532370 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296KYZ0 99975.58630000 PA USD 111252.68000000 0.007752604043 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2AD4 452207.08920000 PA USD 494419.76000000 0.034453467823 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31356DBU9 11307.51430000 PA USD 11990.48000000 0.000835552399 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DHH8 3256294.70400000 PA USD 3411832.60000000 0.237752359862 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179T7K5 7649150.43400000 PA USD 8233162.30000000 0.573725031515 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194PRG1 32670.94370000 PA USD 35792.18000000 0.002494165528 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N CFMT 2020-HB2 N/A 12529EAA4 2044335.21000000 PA USD 2066583.71000000 0.144009162086 Long ABS-CBDO CORP US N 2 2030-04-25 Fixed 0.03404700 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AX6L7 39379.94130000 PA USD 45192.50000000 0.003149223535 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A -22200000.00000000 NC USD -1241008.42000000 -0.08647923713 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Written GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-11-28 0.00000000 USD 0.00000000 USD -22200000.00000000 USD 1.00000000 1.27000000 USD 2025-11-25 XXXX -686563.42000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401H5M0 123520.80880000 PA USD 139916.10000000 0.009750004428 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MX47 2091934.87010000 PA USD 2285905.56000000 0.159292528394 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FHXU6 216567.13390000 PA USD 233989.68000000 0.016305488904 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPXP2 12931.40160000 PA USD 14277.35000000 0.000994912134 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6T35 627269.61500000 PA USD 668012.53000000 0.046550219206 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TV69 121936.03300000 PA USD 131417.30000000 0.009157768526 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HMA9 8223.09040000 PA USD 9733.38000000 0.000678267176 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293TF28 191.35130000 PA USD 217.85000000 0.000015180800 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204GHV7 111.30830000 PA USD 118.80000000 0.000008278536 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5FL1 20334.98620000 PA USD 22414.19000000 0.001561924980 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 17600000.00000000 NC USD 1318680.88000000 0.091891815303 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2031-10-18 0.00000000 USD 0.00000000 USD 17600000.00000000 USD 1.00000000 0.86500000 USD 2021-10-14 XXXX 907720.88000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XMK2 59069.13200000 PA USD 64712.34000000 0.004509456749 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5A74 96365.33770000 PA USD 110050.06000000 0.007668799890 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31336SRL4 138591.89070000 PA USD 146118.71000000 0.010182231133 Long ABS-MBS USGSE US N 2 2033-06-01 Variable 0.02851000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945NL8 42565.39030000 PA USD 47692.87000000 0.003323460943 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KD87 27003.10620000 PA USD 29924.93000000 0.002085308266 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396LZK9 69622.90390000 PA USD 17551.42000000 0.001223064555 Long ABS-CBDO USGSE US N 2 2036-12-25 Variable 0.06522370 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M8TQ9 21174.36260000 PA USD 23293.08000000 0.001623170122 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335GEJ0 317.73370000 PA USD 339.16000000 0.000023634245 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211C3T7 439.62640000 PA USD 507.81000000 0.000035386562 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TJA60 64539.09570000 PA USD 71994.98000000 0.005016944967 Long ABS-CBDO USGSE US N 2 2029-02-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L6T8 16442.01400000 PA USD 17976.84000000 0.001252709799 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128KMYZ2 3063.62620000 PA USD 3683.25000000 0.000256665986 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBRH3 1116898.96300000 PA USD 1214086.60000000 0.084603199532 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N GS MORTGAGE SECURITIES TRUST 2018-3PCK N/A 36255YAA9 9113000.00000000 PA USD 8839713.89000000 0.615992366642 Long ABS-MBS CORP US N 2 2031-09-15 Variable 0.01562000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKDD4 39089.54060000 PA USD 44603.68000000 0.003108191820 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJAU4 12537.66790000 PA USD 15158.29000000 0.001056300130 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416WDJ8 48417.71570000 PA USD 51148.50000000 0.003564265309 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176M6R9 204441.27470000 PA USD 226562.45000000 0.015787924983 Long ABS-MBS USGA US N 2 2041-05-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ALTL8 55752.40200000 PA USD 63669.73000000 0.004436802837 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RGA1 5185612.39100000 PA USD 5706717.17000000 0.397670587425 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 0.04000000 N N N N N N TOWD PT MTG TR 2019-1 N/A 89177BAA3 1433975.25470000 PA USD 1526237.65000000 0.106355336132 Long ABS-CBDO CORP US N 2 2058-03-25 Variable 0.03741176 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQTW2 4864925.78060000 PA USD 5271762.50000000 0.367360923572 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VC2 1786354.19530000 PA USD 1898747.14000000 0.132313529485 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDBQ6 2268204.69370000 PA USD 2457177.90000000 0.171227581425 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418A6M5 116304.72170000 PA USD 123004.46000000 0.008571522717 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TUJ7 4.35680000 PA USD 4.45000000 0.000000310096 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943MK6 474461.53420000 PA USD 531893.82000000 0.037064834570 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390RTR4 13871.39220000 PA USD 16528.99000000 0.001151816879 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31365DFB6 119.96170000 PA USD 124.09000000 0.000008647168 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCEA0 255637.66800000 PA USD 279221.60000000 0.019457459408 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SW54 69712.68040000 PA USD 76372.72000000 0.005322006246 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7Q44 1945764.23110000 PA USD 2085661.57000000 0.145338596079 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N CASCADE FUNDING MORTGAGE TRUST 2020-HB5 N/A 12526PAA2 1087000.00000000 PA USD 1085779.30000000 0.075662150266 Long ABS-CBDO CORP US N 2 2031-02-25 Fixed 0.00800600 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TJWJ8 85808.96950000 PA USD 95925.94000000 0.006684565534 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RAA3 150817.11430000 PA USD 158639.32000000 0.011054725456 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPX49 139326.56720000 PA USD 153833.64000000 0.010719843328 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L9NK7 715002.41290000 PA USD 772888.08000000 0.053858435179 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132DVK79 3687372.65400000 PA USD 3941857.78000000 0.274686978909 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378WVT7 75403.48130000 PA USD 77341.44000000 0.005389511160 Long ABS-CBDO USGA US N 2 2039-08-20 Variable 0.08651830 N N N N N N COMM 2014-UBS6 MTG TR N/A 12592PBG7 10269872.65660000 PA USD 270046.30000000 0.018818081841 Long ABS-MBS CORP US N 2 2047-12-10 Variable 0.00886496 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292GK47 617.83380000 PA USD 657.35000000 0.000045807204 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M1RJ0 392.96770000 PA USD 395.91000000 0.000027588849 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RYD0 535.61280000 PA USD 594.44000000 0.000041423343 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AQCV0 972114.15640000 PA USD 1031812.46000000 0.071901489920 Long ABS-CBDO USGSE US N 2 2045-10-25 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FY59 782229.70500000 PA USD 855982.70000000 0.059648854673 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137B6MF5 244731.11420000 PA USD 11593.06000000 0.000807858326 Long ABS-CBDO USGSE US N 2 2028-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208TGM6 413.49120000 PA USD 473.58000000 0.000033001256 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206ERU1 6922.46990000 PA USD 7677.56000000 0.000535008079 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5GU6 50094.07850000 PA USD 55451.28000000 0.003864103027 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7ZG7 15563786.83400000 PA USD 16295048.25000000 1.135514730563 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H2FQ6 66608.91440000 PA USD 72823.22000000 0.005074660582 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEQJ2 13532.71840000 PA USD 15162.89000000 0.001056620679 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132DV3T0 1584866.40600000 PA USD 1658091.67000000 0.115543537338 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020646 39600000.00000000 PA USD 39891891.60000000 2.779852495487 Long ABS-MBS USGA US N 2 2051-04-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418APE2 109824.10500000 PA USD 115356.42000000 0.008038571728 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BWC2 7123.20880000 PA USD 7162.16000000 0.000499092611 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.00793880 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QR29 4385.71700000 PA USD 4859.40000000 0.000338625587 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TZ57 265930.51000000 PA USD 286296.59000000 0.019950477609 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EDD8 30918.51990000 PA USD 34178.71000000 0.002381731436 Long ABS-MBS USGA US N 2 2035-04-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBRJ4 79502.77340000 PA USD 87905.05000000 0.006125632623 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6SF9 3742039.39100000 PA USD 4007999.98000000 0.279296074952 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946QN9 188874.78160000 PA USD 211626.88000000 0.014747145018 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FPF7 3342071.66630000 PA USD 3676709.29000000 0.256210199242 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31393UNH2 97038.69670000 PA USD 26185.84000000 0.001824751089 Long ABS-CBDO USGSE US N 2 2033-12-25 Variable 0.07982370 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NJA7 11326.96400000 PA USD 12348.92000000 0.000860530165 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133THQB6 23423.91400000 PA USD 26178.41000000 0.001824233332 Long ABS-CBDO USGSE US N 2 2029-01-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209M4D3 1488.25580000 PA USD 1691.90000000 0.000117899458 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LXK41 222687.15700000 PA USD 256673.47000000 0.017886200866 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RCQ7 114718.71360000 PA USD 115745.90000000 0.008065712505 Long ABS-CBDO USGA US N 2 2064-08-20 Fixed 0.02500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 1140000.00000000 NC USD -7780.39000000 -0.00054217375 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 14236.81000000 USD 0.00000000 USD 1140000.00000000 USD -22017.20000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQQ2 205548.62390000 PA USD 227725.39000000 0.015868964049 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQ6D9 241844.53430000 PA USD 266799.34000000 0.018591818571 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X7WF2 7077541.67000000 PA USD 7354785.26000000 0.512515635101 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209T5D7 733.67850000 PA USD 765.59000000 0.000053349871 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375ESP7 325.87500000 PA USD 357.94000000 0.000024942923 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335CAW4 3377679.93350000 PA USD 3702096.97000000 0.257979330832 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417AJS9 412659.47520000 PA USD 456919.39000000 0.031840267673 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210JLL0 531.24440000 PA USD 608.47000000 0.000042401018 Long ABS-MBS USGA US N 2 2028-11-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204JM29 109.51940000 PA USD 114.93000000 0.000008008856 Long ABS-MBS USGA US N 2 2024-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390KCN6 2027.50300000 PA USD 2412.54000000 0.000168117004 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0ZB7 467013.49640000 PA USD 533333.52000000 0.037165159560 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YDME6 666499.87620000 PA USD 731945.37000000 0.051005356771 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194A5E3 27943.88940000 PA USD 30402.20000000 0.002118566659 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5YQ0 1318226.56700000 PA USD 1395696.50000000 0.097258621811 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ATG3 2461138.50220000 PA USD 2715091.82000000 0.189200222616 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129366F9 30915.65140000 PA USD 34659.11000000 0.002415207942 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3133G7XF5 1182967.91300000 PA USD 1247683.12000000 0.086944361262 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N MORGAN STANLEY CAP I TR 2018-BOP N/A 61768FAA8 2179286.13000000 PA USD 2176672.51000000 0.151680661560 Long ABS-MBS CORP US N 2 2033-08-15 Variable 0.00962000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ALSX3 30790.58110000 PA USD 35163.11000000 0.002450329005 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QGE5 5021.74100000 PA USD 5575.10000000 0.000388498891 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BQ0 1179953.75800000 PA USD 1270417.86000000 0.088528623657 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397CDA4 154115.04010000 PA USD 36359.64000000 0.002533708779 Long ABS-CBDO USGSE US N 2 2036-11-15 Variable 0.06547750 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ66 174107.64280000 PA USD 191562.23000000 0.013348946909 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179N2J6 5317.97000000 PA USD 5789.46000000 0.000403436492 Long ABS-MBS USGA US N 2 2044-02-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FRQ73 517406.17680000 PA USD 563558.14000000 0.039271351620 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31356HXZ5 2082.67720000 PA USD 2223.03000000 0.000154911067 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224FRD4 589.17660000 PA USD 610.32000000 0.000042529935 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FV86 33246.37660000 PA USD 36826.28000000 0.002566226424 Long ABS-MBS USGA US N 2 2041-08-20 Fixed 0.04000000 N N N N N N CSMC SER 2014-3R N/A 12648GAJ6 140380.83780000 PA USD 14.04000000 0.000000978372 Long ABS-CBDO CORP US N 3 2037-05-27 Variable 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ETWB8 211140.64690000 PA USD 234311.41000000 0.016327908546 Long ABS-MBS USGSE US N 2 2039-02-01 Variable 0.06582000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615LV6 102.17080000 PA USD 108.36000000 0.000007551028 Long ABS-MBS USGSE US N 2 2023-03-01 Fixed 0.08500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359VSD6 145640.53080000 PA USD 161852.83000000 0.011278657775 Long ABS-CBDO USGSE US N 2 2029-04-25 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128K6NK2 114829.44070000 PA USD 131888.33000000 0.009190592087 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411HT42 4932.77260000 PA USD 5905.44000000 0.000411518518 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287P6S7 9460.97980000 PA USD 11089.69000000 0.000772781163 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.06500000 N N N N N N CONSUMER LENDING RECEIVABLES TRUST 2019-A CLRT 2019-A N/A 21053QAA2 79452.26240000 PA USD 79651.50000000 0.005550486882 Long ABS-CBDO CORP US N 2 2026-04-15 Fixed 0.03520000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307U5S3 477527.97780000 PA USD 506670.46000000 0.035307153562 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407G6Q6 8021.93680000 PA USD 9579.53000000 0.000667546193 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XPH6 69510.85070000 PA USD 76151.61000000 0.005306598273 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9BS9 587455.68530000 PA USD 658417.63000000 0.045881601960 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176ND57 304549.99550000 PA USD 337503.25000000 0.023518795778 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCJB3 35093.68750000 PA USD 6650.18000000 0.000463415464 Long ABS-CBDO USGSE US N 2 2034-04-25 Variable 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P75Z2 606682.10580000 PA USD 654363.13000000 0.045599065547 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210FBC9 1202.80930000 PA USD 1372.62000000 0.000095650543 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137A7WV8 666585.29000000 PA USD 745946.13000000 0.051980994829 Long ABS-CBDO USGSE US N 2 2041-03-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407NH97 16659.18410000 PA USD 19897.79000000 0.001386570527 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LH99 105363.03670000 PA USD 116691.80000000 0.008131627216 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C02Z0 376979.22270000 PA USD 430513.59000000 0.030000188747 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XUJ48 124770.09440000 PA USD 136442.00000000 0.009507912986 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409A5J4 19262.13260000 PA USD 20141.46000000 0.001403550586 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.02291000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M8VX8 129322.49080000 PA USD 141383.26000000 0.009852242958 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0W53 144116.48850000 PA USD 164582.30000000 0.011468859936 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335CAG9 288195.55710000 PA USD 319182.69000000 0.022242133970 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K5JZ1 558914.78900000 PA USD 591761.26000000 0.041236676160 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395RA81 240946.92010000 PA USD 279189.32000000 0.019455209988 Long ABS-CBDO USGSE US N 2 2035-03-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132CWA79 1331761.68110000 PA USD 1415552.80000000 0.098642301123 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179R4G1 17564.91000000 PA USD 19489.47000000 0.001358116891 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJMS6 2703885.78240000 PA USD 3022069.06000000 0.210591824078 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J92P2 119456.65700000 PA USD 132081.47000000 0.009204050980 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WH3U4 187905.49330000 PA USD 197891.41000000 0.013789993601 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 11000000.00000000 NC USD 426250.55000000 0.029703120298 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-06-13 0.00000000 USD 0.00000000 USD 11000000.00000000 USD 1.00000000 2.32750000 USD 2024-06-11 XXXX 122375.55000000 N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QSBV7 71625.77100000 PA USD 74941.41000000 0.005222265910 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.02406000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224J3E0 2317.11300000 PA USD 2468.47000000 0.000172014467 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MG53 1918476.60720000 PA USD 2097562.75000000 0.146167925640 Long ABS-MBS USGA US N 2 2042-07-20 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AA4A0 115318.63140000 PA USD 118417.59000000 0.008251888287 Long ABS-CBDO USGSE US N 2 2043-01-25 Fixed 0.01750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDZS4 83308.37720000 PA USD 93343.81000000 0.006504630709 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224AVX6 249.15540000 PA USD 257.54000000 0.000017946584 Long ABS-MBS USGA US N 2 2022-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJMF3 131207.99080000 PA USD 145320.76000000 0.010126626267 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N HERTZ FLEET LEASE FDG LP 549300FESQ105M6ZTE59 428041AW7 182578.46570000 PA USD 182693.76000000 0.012730950683 Long ABS-CBDO CORP US N 2 2031-04-10 Variable 0.00770500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312944WL1 599692.92050000 PA USD 672284.13000000 0.046847884156 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312933CQ5 29844.41780000 PA USD 33375.20000000 0.002325739123 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMMF3 49104.00150000 PA USD 54293.57000000 0.003783428411 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQYC1 76230.80170000 PA USD 87103.89000000 0.006069804069 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392JY37 24910.28340000 PA USD 5663.18000000 0.000394636714 Long ABS-CBDO USGSE US N 2 2033-03-25 Variable 0.07982370 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NA70 14372.36940000 PA USD 16118.84000000 0.001123235720 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q75Y9 216896.83600000 PA USD 231024.67000000 0.016098873221 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210AE29 3013.88000000 PA USD 3380.22000000 0.000235549446 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ATRX0 27259.77760000 PA USD 30518.56000000 0.002126675165 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31356A4S8 695.48000000 PA USD 744.23000000 0.000051861406 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAR41 320643.76100000 PA USD 345737.73000000 0.024092612633 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31372BPU8 128.89720000 PA USD 132.46000000 0.000009230428 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XDNC0 23064.41710000 PA USD 25761.63000000 0.001795190164 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VB4 2619803.48240000 PA USD 2784634.97000000 0.194046312669 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N UBS COML MTG TR 2017-C7 N/A 90276WAT4 12982389.32320000 PA USD 668961.75000000 0.046616365269 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.01030749 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TG58 44730.47800000 PA USD 48327.36000000 0.003367675156 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDCX0 418239.70690000 PA USD 456221.73000000 0.031791651480 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEKV1 36784.44250000 PA USD 41215.54000000 0.002872090470 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376REN2 6187.46390000 PA USD 6185.38000000 0.000431026039 Long ABS-CBDO USGA US N 2 2065-05-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209EUE0 3163.76440000 PA USD 3613.79000000 0.000251825690 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATYB7 55796.94580000 PA USD 64032.68000000 0.004462094880 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132Y4BD3 546218.84910000 PA USD 601556.44000000 0.041919249848 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31365D4P7 15.09220000 PA USD 15.79000000 0.000001100320 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224T2C3 145.62450000 PA USD 151.49000000 0.000010556527 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 19150000.00000000 NC USD -130696.83000000 -0.00910756282 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 260.33000000 USD 0.00000000 USD 19150000.00000000 USD -130957.16000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209NDK5 1150.46490000 PA USD 1304.02000000 0.000090870177 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943FB4 66683.98290000 PA USD 74758.50000000 0.005209519891 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XG6 740355.21500000 PA USD 794528.34000000 0.055366429118 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293R3X7 4368.07680000 PA USD 4969.54000000 0.000346300654 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615HC3 125.30870000 PA USD 130.46000000 0.000009091059 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 0.08500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397QAV0 723742.78700000 PA USD 805953.09000000 0.056162558821 Long ABS-CBDO USGSE US N 2 2041-01-25 Fixed 0.04750000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137B9ED3 86747.65030000 PA USD 5778.51000000 0.000402673445 Long ABS-CBDO USGSE US N 2 2034-03-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193YPG5 84769.97730000 PA USD 92868.53000000 0.006471510989 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FGD2 47544.94320000 PA USD 53185.24000000 0.003706194823 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDWH3 575006.10500000 PA USD 622912.16000000 0.043407415717 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCMJ2 2287862.02200000 PA USD 2431460.37000000 0.169435464354 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H4ZA5 17726.77090000 PA USD 18859.27000000 0.001314201625 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210K5Z4 625.89690000 PA USD 733.15000000 0.000051089300 Long ABS-MBS USGA US N 2 2029-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQBX9 34345.62440000 PA USD 38007.65000000 0.002648549779 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178WGJ2 19384.90130000 PA USD 21440.00000000 0.001494038891 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31394KF41 1601171.52360000 PA USD 1826037.81000000 0.127246805287 Long ABS-CBDO USGSE US N 2 2033-10-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HP40 4852.76940000 PA USD 5662.22000000 0.000394569817 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPH64 322854.86480000 PA USD 365917.63000000 0.025498841897 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.05255000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VQT0 9950644.73100000 PA USD 10371162.96000000 0.722710858751 Long ABS-MBS USGA US N 2 2050-07-20 Fixed 0.03000000 N N N N N N GMF FLOORPLAN OWNER REVOLVING TR N/A 361886BY9 325000.00000000 PA USD 325490.82000000 0.022681713800 Long ABS-CBDO CORP US N 2 2023-09-15 Variable 0.00517380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RQ36 10189.51800000 PA USD 11200.73000000 0.000780518947 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395MRB7 538967.43160000 PA USD 615449.01000000 0.042887348723 Long ABS-CBDO USGSE US N 2 2035-02-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AAGN8 644653.87000000 PA USD 719236.45000000 0.050119740132 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.05000000 N N N N N N CGDB COML MTG TR 2017-BIO N/A 125284AA7 390000.00000000 PA USD 389999.92000000 0.027177007842 Long ABS-MBS CORP US N 2 2036-11-15 Variable 0.01062250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293MFF4 350.70930000 PA USD 397.58000000 0.000027705223 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410UPS5 890.18170000 PA USD 901.14000000 0.000062795625 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BER9 209883.66280000 PA USD 209358.91000000 0.014589102323 Long ABS-CBDO USGA US N 2 2060-09-20 Variable 0.00443880 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210KZJ7 32793.03070000 PA USD 37692.61000000 0.002626596327 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293TGN1 186.51570000 PA USD 212.32000000 0.000014795444 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F8TH0 265595.18720000 PA USD 290263.75000000 0.020226927764 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5RG0 2383491.22900000 PA USD 2566227.54000000 0.178826667398 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FX76 20078.11000000 PA USD 21971.19000000 0.001531054680 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.03500000 N N N N N N TOWD PT MTG TR 2018-3 N/A 89175MAA1 658581.23120000 PA USD 696060.17000000 0.048504709177 Long ABS-CBDO CORP US N 2 2058-05-25 Fixed 0.03750000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300LKD6 241445.09510000 PA USD 253207.38000000 0.017644667598 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 0.02179000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406GVX4 1462.72320000 PA USD 1733.08000000 0.000120769072 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31398SVQ3 130145.38060000 PA USD 7540.06000000 0.000525426440 Long ABS-CBDO USGSE US N 2 2040-02-25 Fixed 0.04500000 N N N N N N GS MTG SECS CORP TR 2018-HART N/A 36259DAA1 562000.00000000 PA USD 562588.98000000 0.039203816045 Long ABS-MBS CORP US N 2 2031-10-15 Variable 0.01202000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7YN6 1284339.69140000 PA USD 1376280.30000000 0.095905610714 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132D9BV5 6405702.00200000 PA USD 6806756.60000000 0.474326449856 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QBF7 10326.68400000 PA USD 11219.66000000 0.000781838077 Long ABS-MBS USGA US N 2 2044-04-20 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TUUS5 98010.43430000 PA USD 113973.75000000 0.007942220853 Long ABS-CBDO USGSE US N 2 2031-09-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HC42 1170325.13640000 PA USD 1290351.58000000 0.089917697954 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MGD3 14283.23320000 PA USD 17053.45000000 0.001188363690 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BP42 1042373.67170000 PA USD 1130916.12000000 0.078807493760 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDDT6 97798.48300000 PA USD 109579.42000000 0.007636003506 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 N/A 35563PGL7 317603.52590000 PA USD 344462.11000000 0.024003721500 Long ABS-CBDO CORP US N 2 2057-08-25 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292J4F4 129215.39030000 PA USD 153898.86000000 0.010724388161 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MCXY5 13799.97500000 PA USD 15099.91000000 0.001052231940 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NG66 31729.70690000 PA USD 35547.73000000 0.002477131115 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6DM3 46363.81780000 PA USD 51307.26000000 0.003575328444 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F012635 9700000.00000000 PA USD 9537296.08000000 0.664603137249 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P76T5 1006011.40410000 PA USD 1085076.96000000 0.075613207949 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N EFF 2021-1 N/A 29374EAB2 1267000.00000000 PA USD 1266558.45000000 0.088259682023 Long ABS-CBDO CORP US N 2 2026-12-21 Fixed 0.00440000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 1200000.00000000 NC USD -8189.88000000 -0.00057070891 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 55734.81000000 USD 0.00000000 USD 1200000.00000000 USD -63924.69000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 31329NU48 47010.83100000 PA USD 50043.56000000 0.003487267952 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WC2Q5 34749.38400000 PA USD 38215.82000000 0.002663056033 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180KJU6 45713.07620000 PA USD 50745.08000000 0.003536153128 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASAG4 23551.32120000 PA USD 25954.61000000 0.001808637908 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179BPF5 239431.13030000 PA USD 253789.14000000 0.017685207340 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390KRR1 777.26740000 PA USD 924.68000000 0.000064436001 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205TGC1 1916.08580000 PA USD 2203.77000000 0.000153568940 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MS39 587.00630000 PA USD 632.02000000 0.000044042092 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128CUKL9 34385.84080000 PA USD 38430.78000000 0.002678035445 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ER2J8 1252416.87040000 PA USD 1353954.94000000 0.094349875821 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E35Z3 27356.13430000 PA USD 30551.92000000 0.002128999845 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A7F42 4057.74500000 PA USD 4629.24000000 0.000322586968 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211CBZ4 8120.46190000 PA USD 9300.94000000 0.000648132746 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DYX3 30197.76020000 PA USD 32759.19000000 0.002282812682 Long ABS-MBS USGA US N 2 2033-07-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPPE8 121723.26190000 PA USD 134701.74000000 0.009386643577 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290SDW8 1884.49800000 PA USD 2108.14000000 0.000146904997 Long ABS-MBS USGA US N 2 2033-09-20 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3133KJJV5 3964091.54000000 PA USD 4122594.95000000 0.287281585304 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204DH28 348.02890000 PA USD 362.05000000 0.000025229327 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJTC4 13560.03700000 PA USD 14971.42000000 0.001043278159 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208WXS7 919.93500000 PA USD 1043.76000000 0.000072734050 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N CSMC 2020-RPL4 TR N/A 126405AA7 474023.96000000 PA USD 481304.11000000 0.033539508346 Long ABS-CBDO CORP US N 2 2060-01-25 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335GDZ5 307.38960000 PA USD 320.82000000 0.000022356229 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AHQ94 263914.71570000 PA USD 11994.79000000 0.000835852740 Long ABS-CBDO USGSE US N 2 2032-04-25 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HX75 97709.27560000 PA USD 113348.76000000 0.007898668644 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176W2N0 87971.33380000 PA USD 97462.61000000 0.006791647845 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F8UP0 217192.58400000 PA USD 237365.50000000 0.016540731739 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FUF1 23167.89670000 PA USD 25901.84000000 0.001804960649 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBF81 97688.04760000 PA USD 108012.24000000 0.007526795117 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N LANARK MASTER ISSUER PLC 213800KIOPB5OYXIVY33 513770BD8 2972000.00000000 PA USD 3042531.50000000 0.212017742043 Long ABS-CBDO CORP GB N 2 2069-12-22 Variable 0.02710000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NEK7 12482.45040000 PA USD 13972.42000000 0.000973663194 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SYD5 86316.02300000 PA USD 94562.28000000 0.006589539364 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NA54 6907.50900000 PA USD 7675.59000000 0.000534870801 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ7C1 133896.48000000 PA USD 153659.85000000 0.010707732833 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 3800000.00000000 NC USD -10852.42000000 -0.00075624708 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX AAA CDSI S13 PRC INDX CY451600 Y 2072-12-16 4829.33000000 USD 0.00000000 USD 3800000.00000000 USD -15681.75000000 N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 1280000.00000000 NC USD -8735.87000000 -0.00060875604 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 10561.94000000 USD 0.00000000 USD 1280000.00000000 USD -19297.81000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 31292G6T8 5424.62860000 PA USD 6301.96000000 0.000439149875 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137BJGM9 722420.48600000 PA USD 774957.87000000 0.054002667770 Long ABS-CBDO USGSE US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4WF8 52706.46630000 PA USD 58095.59000000 0.004048370843 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMWJ6 368326.17940000 PA USD 403022.03000000 0.028084449017 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SWZ6 6535.70300000 PA USD 7202.79000000 0.000501923898 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 0.04500000 N N N N N N WFRBS COML MTG TR 2014-C24 N/A 92939KAH1 6127497.03940000 PA USD 166191.81000000 0.011581018077 Long ABS-MBS CORP US N 2 2047-11-15 Variable 0.00854158 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AUQ9 306057.66200000 PA USD 326702.11000000 0.022766122120 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 2000000.00000000 NC USD -13649.80000000 -0.00095118153 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 54853.98000000 USD 0.00000000 USD 2000000.00000000 USD -68503.78000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193PJB2 46346.60100000 PA USD 50774.35000000 0.003538192797 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307TPN5 37553.91730000 PA USD 40453.07000000 0.002818958015 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DQZ7 606804.02660000 PA USD 650746.77000000 0.045347060767 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395EWX1 418.27850000 PA USD 531.37000000 0.000037028332 Long ABS-CBDO USGSE US N 2 2024-08-15 Variable 0.84990738 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QT50 1962151.02960000 PA USD 2163007.60000000 0.150728427092 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7DP5 5712.24490000 PA USD 6376.41000000 0.000444337897 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030637 132725000.00000000 PA USD 138982771.39000000 9.684965750741 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 0.03000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC N/A 17323AAD3 1116643.38510000 PA USD 1116349.15000000 0.077792399557 Long ABS-CBDO CORP US N 2 2037-06-27 Variable 0.03450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335HQB2 5.67470000 PA USD 5.70000000 0.000000397202 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VME7 35142787.76600000 PA USD 37077992.15000000 2.583766897778 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JP6N7 42146.78110000 PA USD 46535.22000000 0.003242790508 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EZT6 206432.92180000 PA USD 228705.09000000 0.015937234101 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F5AQ6 2170068.40010000 PA USD 2364313.83000000 0.164756381230 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H5ZE4 240173.69200000 PA USD 259103.65000000 0.018055547108 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209W3G5 258.11710000 PA USD 294.83000000 0.000020545125 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYL5 122623.45800000 PA USD 132220.12000000 0.009213712756 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XJZ4 1388709.39310000 PA USD 1531075.71000000 0.106692474648 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180B3A7 238075.43980000 PA USD 252352.16000000 0.017585071892 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202ED30 2476.70440000 PA USD 2739.73000000 0.000190917125 Long ABS-MBS USGA US N 2 2035-06-20 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31398SD91 184606.37450000 PA USD 35331.19000000 0.002462041601 Long ABS-CBDO USGSE US N 2 2040-12-25 Variable 0.05932370 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NHLY7 16853.78880000 PA USD 17649.63000000 0.001229908285 Long ABS-MBS USGSE US N 2 2035-11-01 Variable 0.02015000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223TDG3 296.44870000 PA USD 300.20000000 0.000020919331 Long ABS-MBS USGA US N 2 2022-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390HD51 2852.44400000 PA USD 3370.77000000 0.000234890926 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419FET9 81344.77730000 PA USD 89646.48000000 0.006246983563 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FM60 5017.83100000 PA USD 5463.62000000 0.000380730446 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307UGP7 68637.43620000 PA USD 74064.92000000 0.005161188011 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XH4 507343.30600000 PA USD 543245.76000000 0.037855890533 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6S77 39545824.36700000 PA USD 42027929.90000000 2.928701576354 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193VFY3 49028.04960000 PA USD 53711.97000000 0.003742899818 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBTP3 2658710.60480000 PA USD 2844351.62000000 0.198207646510 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374H2N9 47186.71880000 PA USD 11031.87000000 0.000768751997 Long ABS-CBDO USGA US N 2 2034-08-17 Variable 0.07092620 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MDV6 3646.62370000 PA USD 4341.88000000 0.000302562387 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GERN2 154118.86190000 PA USD 172684.22000000 0.012033439394 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYH4 867617.99050000 PA USD 935518.82000000 0.065191301340 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEX79 100225.35460000 PA USD 110943.73000000 0.007731074971 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VTX8 3389963.35000000 PA USD 3543288.68000000 0.246912830760 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NF94 3942.95800000 PA USD 4408.25000000 0.000307187357 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128JRTD8 5789.67600000 PA USD 6086.93000000 0.000424165585 Long ABS-MBS USGSE US N 2 2037-04-01 Variable 0.02168000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395MT74 423843.41520000 PA USD 497178.24000000 0.034645691536 Long ABS-CBDO USGSE US N 2 2035-02-15 Fixed 0.05750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209PML8 1332.94650000 PA USD 1534.64000000 0.000106940850 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293P6F7 1820.98660000 PA USD 2075.05000000 0.000144599132 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MSBR9 68533.87110000 PA USD 74989.67000000 0.005225628891 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GE5T3 67997.80380000 PA USD 76228.75000000 0.005311973747 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVQG5 503165.66310000 PA USD 548676.34000000 0.038234318599 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.03500000 N N N N N N CITIGROUP COML MTG TR 2015-GC33 N/A 29425AAK9 16819342.00300000 PA USD 571322.77000000 0.039812427142 Long ABS-MBS CORP US N 2 2058-09-10 Variable 0.00883182 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403CW80 71639.94960000 PA USD 75425.96000000 0.005256031607 Long ABS-MBS USGSE US N 2 2035-08-01 Variable 0.02673000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F0LQ5 239597.72350000 PA USD 259546.92000000 0.018086436223 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AHTW0 151532.09050000 PA USD 26547.92000000 0.001849982507 Long ABS-CBDO USGSE US N 2 2044-01-25 Variable 0.05932370 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GKGW0 78682.47400000 PA USD 87142.51000000 0.006072495290 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176MZD8 7530.48770000 PA USD 8359.43000000 0.000582523951 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A15M9 41664.62610000 PA USD 45931.40000000 0.003200713523 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YYEZ2 276704.56520000 PA USD 301818.60000000 0.021032123440 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ANL8 113221.11730000 PA USD 118824.22000000 0.008280224156 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J8Z60 39629.51100000 PA USD 43377.04000000 0.003022713841 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JPJM8 165472.09100000 PA USD 175371.24000000 0.012220683442 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y9YQ5 130002.01730000 PA USD 142767.28000000 0.009948687907 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FTV40 340477.76340000 PA USD 370847.94000000 0.025842408823 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205XME1 450.82430000 PA USD 466.84000000 0.000032531581 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133THA56 49531.56760000 PA USD 55407.85000000 0.003861076622 Long ABS-CBDO USGSE US N 2 2028-12-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEDW9 9895661.33200000 PA USD 10563151.40000000 0.736089505956 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136A0U39 14555.23310000 PA USD 444.70000000 0.000030988763 Long ABS-CBDO USGSE US N 2 2026-09-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406PCX5 4159.21370000 PA USD 4373.46000000 0.000304763028 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.03708000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M8HN6 66449.44800000 PA USD 69677.03000000 0.004855419433 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394DTZ3 242561.52990000 PA USD 272835.13000000 0.019012420483 Long ABS-CBDO USGSE US N 2 2035-05-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W4P54 344722.02870000 PA USD 377194.40000000 0.026284659665 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177LQG2 28608.34810000 PA USD 31909.48000000 0.002223600938 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LLU5 55495.47450000 PA USD 61188.17000000 0.004263876197 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NDR6 127696.66870000 PA USD 139337.57000000 0.009709689767 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M5J43 47906.86310000 PA USD 57350.80000000 0.003996470413 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418M4E9 21237.45750000 PA USD 22362.73000000 0.001558339008 Long ABS-MBS USGSE US N 2 2040-03-01 Variable 0.02383000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5MF3 10253985.38030000 PA USD 10668475.05000000 0.743428947620 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RXZ1 29199.23100000 PA USD 32349.55000000 0.002254267062 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31391C4B8 56562.67550000 PA USD 67218.95000000 0.004684128989 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410DB82 49852.64100000 PA USD 59449.67000000 0.004142729433 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.06500000 N N N N N N CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2019-P1 N/A 21054AAA6 128862.38900000 PA USD 129472.54000000 0.009022248606 Long ABS-CBDO CORP US N 2 2026-07-15 Fixed 0.02940000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LTE7 1481.84540000 PA USD 1698.78000000 0.000118378889 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177WTW0 12298.17070000 PA USD 13617.34000000 0.000948919568 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J66H2 138346.12960000 PA USD 150953.13000000 0.010519115998 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371H4K1 42.15600000 PA USD 48.82000000 0.000003402004 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.08000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179N5V6 5407.03900000 PA USD 5874.60000000 0.000409369443 Long ABS-MBS USGA US N 2 2044-03-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JWNS5 584130.26300000 PA USD 619622.72000000 0.043178192243 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223MXG6 21.95310000 PA USD 22.30000000 0.000001553967 Long ABS-MBS USGA US N 2 2021-11-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386L4H2 78361.89180000 PA USD 93168.97000000 0.006492447045 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 0.09000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AC24 421.22130000 PA USD 451.74000000 0.000031479343 Long ABS-MBS USGA US N 2 2025-03-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQ5U2 562628.50440000 PA USD 620683.50000000 0.043252112326 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ3M3 132445.55880000 PA USD 151336.77000000 0.010545849817 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKN5 230674.72020000 PA USD 258039.85000000 0.017981416578 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417SBL3 435186.49220000 PA USD 487755.02000000 0.033989037750 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MXM4 2681.88630000 PA USD 2966.61000000 0.000206727178 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EK24 685.80520000 PA USD 787.59000000 0.000054882933 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N WFRBS COML MTG TR 2014-LC14 N/A 96221TAH0 6291835.70840000 PA USD 194283.71000000 0.013538592290 Long ABS-MBS CORP US N 2 2047-03-15 Variable 0.01261831 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211ERY6 4377.43370000 PA USD 5031.46000000 0.000350615528 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AX44 303707.09940000 PA USD 340393.52000000 0.023720203230 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQGK2 113558.42690000 PA USD 123054.92000000 0.008575039004 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AA2T1 124600.08030000 PA USD 128054.97000000 0.008923465737 Long ABS-CBDO USGSE US N 2 2042-06-25 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416T3P2 12219.12150000 PA USD 13439.21000000 0.000936506642 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AJG4 64723.32750000 PA USD 67868.73000000 0.004729408681 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380HES7 1742239.73120000 PA USD 1825728.56000000 0.127225255309 Long ABS-CBDO USGA US N 2 2047-09-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L6FD8 8534.04910000 PA USD 9492.73000000 0.000661497565 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410A6T8 42163.46410000 PA USD 44377.89000000 0.003092457722 Long ABS-MBS USGSE US N 2 2036-04-01 Variable 0.03435000 N N N N N N WELLS FARGO COML MTG TR 2015-C31 N/A 94989WAV9 8460376.57930000 PA USD 318315.75000000 0.022181721560 Long ABS-MBS CORP US N 2 2048-11-15 Variable 0.00972626 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J95F4 5940403.37340000 PA USD 6349429.85000000 0.442457795444 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M1Q44 4304.19510000 PA USD 4356.13000000 0.000303555393 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7DY6 18700.64790000 PA USD 20848.37000000 0.001452811362 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31394YPA6 262140.05260000 PA USD 294951.39000000 0.020553584316 Long ABS-CBDO USGSE US N 2 2034-05-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3131XUD95 171666.46400000 PA USD 184833.06000000 0.012880027055 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224VDF9 1609.51670000 PA USD 1677.87000000 0.000116921783 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.08000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 8400000.00000000 NC USD 266403.23000000 0.018564215784 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-22 0.00000000 USD 0.00000000 USD 8400000.00000000 USD 1.00000000 1.82000000 USD 2024-10-18 XXXX 27213.23000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383LQB4 4590.04990000 PA USD 5373.86000000 0.000374475552 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ECHT3 72635.84350000 PA USD 80403.72000000 0.005602905069 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HF29 4139.74030000 PA USD 4703.68000000 0.000327774293 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQMX7 48672.67820000 PA USD 53257.58000000 0.003711235810 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHVQ2 460762.04880000 PA USD 498405.71000000 0.034731227353 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQZ2 91760.82540000 PA USD 101660.96000000 0.007084208394 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396WYZ3 35007.02850000 PA USD 64736.49000000 0.004511139634 Long ABS-CBDO USGSE US N 2 2037-07-25 Variable 0.38894220 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XCE7 58597.39060000 PA USD 64919.50000000 0.004523892621 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJXR6 242947.83570000 PA USD 261888.63000000 0.018249617464 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENDS5 216161.77050000 PA USD 240246.60000000 0.016741500183 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390BE79 9053.43070000 PA USD 10759.08000000 0.000749742721 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07500000 N N N N N N PROSPER MARKETPLACE ISSUANCE TR SER 19-3 N/A 74362DAA6 152228.01900000 PA USD 152516.11000000 0.010628031712 Long ABS-CBDO CORP US N 2 2025-07-15 Fixed 0.03190000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VCC6 122248.53880000 PA USD 137631.11000000 0.009590775700 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395WMR5 156477.75140000 PA USD 175089.70000000 0.012201064425 Long ABS-CBDO USGSE US N 2 2035-07-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128K8UH7 56513.97630000 PA USD 66965.64000000 0.004666477171 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203BJY1 316.71590000 PA USD 329.48000000 0.000022959698 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NBW4 2692.70590000 PA USD 3006.92000000 0.000209536167 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FCN4 6872.90400000 PA USD 7688.24000000 0.000535752311 Long ABS-MBS USGA US N 2 2039-11-20 Fixed 0.04500000 N N N N N N CSMC 2018-SITE N/A 12690CAA1 672000.00000000 PA USD 669955.37000000 0.046685605331 Long ABS-MBS CORP US N 2 2036-04-15 Fixed 0.04284000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E6TA4 29107.27960000 PA USD 30531.38000000 0.002127568522 Long ABS-MBS USGSE US N 2 2042-02-01 Variable 0.03141000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137BE3R3 1232396.62330000 PA USD 1345423.05000000 0.093755334054 Long ABS-CBDO USGSE US N 2 2040-11-15 Fixed 0.04500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 4200000.00000000 NC USD -28664.58000000 -0.00199748121 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 32300.03000000 USD 0.00000000 USD 4200000.00000000 USD -60964.61000000 N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 8400000.00000000 NC USD 203059.42000000 0.014150124568 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-22 0.00000000 USD 0.00000000 USD 8400000.00000000 USD 1.00000000 1.82000000 USD 2024-10-18 XXXX -36130.58000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LPX7 115198.60820000 PA USD 125763.75000000 0.008763802874 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LXM80 2136.27210000 PA USD 2314.10000000 0.000161257248 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230NNW1 21070.98250000 PA USD 23390.44000000 0.001629954619 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 N/A 17291EBB6 17304159.66370000 PA USD 438999.61000000 0.030591534079 Long ABS-MBS CORP US N 2 2049-12-10 Variable 0.00770410 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E37F5 5014.55420000 PA USD 5490.62000000 0.000382611931 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E4KN0 34307.84450000 PA USD 37976.82000000 0.002646401401 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LGU3 2361165.39310000 PA USD 2608888.48000000 0.181799480062 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207J5Z2 224.77960000 PA USD 256.75000000 0.000017891533 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395UZR5 312215.27970000 PA USD 362757.22000000 0.025278609833 Long ABS-CBDO USGSE US N 2 2035-06-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVT51 120497.84430000 PA USD 137609.60000000 0.009589276783 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209CSJ6 19687.20060000 PA USD 22402.79000000 0.001561130575 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FJJ2 364576.08980000 PA USD 409620.60000000 0.028544268056 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKL9 18271.30700000 PA USD 19896.40000000 0.001386473666 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARUP4 15721.17550000 PA USD 17326.75000000 0.001207408505 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QGB84 4633.80040000 PA USD 4882.83000000 0.000340258298 Long ABS-MBS USGSE US N 2 2035-10-01 Variable 0.02933000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2MZ2 69677.35080000 PA USD 76138.05000000 0.005305653349 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P74W0 493554.80030000 PA USD 532344.80000000 0.037096260953 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.03500000 N N N N N N JPMBB COML MTG SECS TR 2013-C14 N/A 46640LAH5 700000.00000000 PA USD 744767.38000000 0.051898854048 Long ABS-MBS CORP US N 2 2046-08-15 Fixed 0.04409300 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GR6X4 194999.56020000 PA USD 215912.83000000 0.015045809943 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136AECM7 146953.68620000 PA USD 11292.99000000 0.000786948053 Long ABS-CBDO USGSE US N 2 2032-10-25 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RV60 2677665.01420000 PA USD 2651917.12000000 0.184797915771 Long ABS-CBDO USGA US N 2 2066-08-20 Variable 0.00460000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8CS0 492350.23050000 PA USD 539036.70000000 0.037562583661 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223CPC6 43.55440000 PA USD 44.82000000 0.000003123266 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KFF7 74291.73540000 PA USD 81869.54000000 0.005705050223 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020638 -49000000.00000000 PA USD -49466455.50000000 -3.44705262772 Short ABS-MBS USGA US N 2 2051-03-01 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7T44 83215.23280000 PA USD 89692.37000000 0.006250181392 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412QST7 208677.47820000 PA USD 232642.33000000 0.016211599291 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AK98 226270.34070000 PA USD 237367.59000000 0.016540877379 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E1JB4 35181.61990000 PA USD 36904.08000000 0.002571647890 Long ABS-MBS USGSE US N 2 2042-01-01 Variable 0.02175000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179ME30 139373.76300000 PA USD 152384.04000000 0.010618828460 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBJJ3 35695.83550000 PA USD 39468.36000000 0.002750338844 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31393NA66 46981.66150000 PA USD 9612.15000000 0.000669819306 Long ABS-CBDO USGSE US N 2 2033-03-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4DR8 36549.08690000 PA USD 40503.81000000 0.002822493814 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417F5B0 1061933.60290000 PA USD 1162630.08000000 0.081017469956 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312933WT7 566.88780000 PA USD 592.57000000 0.000041293032 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31367U3T0 1439.54440000 PA USD 1509.41000000 0.000105182707 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 0.08500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBDB6 106269.43940000 PA USD 117500.56000000 0.008187985373 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MVS6 371659.90650000 PA USD 406121.37000000 0.028300425439 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406EY73 1002.57140000 PA USD 1179.60000000 0.000082200012 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XJJ32 118772.22630000 PA USD 130880.20000000 0.009120340901 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WDBV2 179647.60670000 PA USD 200068.22000000 0.013941683844 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CUA0 4174027.62800000 PA USD 4440690.39000000 0.309447954639 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030633 39250000.00000000 PA USD 40889751.18000000 2.849387990856 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 0.03000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A -22200000.00000000 NC USD -325637.81000000 -0.02269195674 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Written GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-11-28 0.00000000 USD 0.00000000 USD -22200000.00000000 USD 1.00000000 1.27000000 USD 2025-11-25 XXXX 228807.19000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NLE6 102158.78320000 PA USD 113063.26000000 0.007878773676 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HYW9 581721.13810000 PA USD 659056.43000000 0.045926116514 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XSA91 57192.05400000 PA USD 61688.87000000 0.004298767301 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389Q2J6 13790.88880000 PA USD 16107.92000000 0.001122474763 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UHEK7 88431.56310000 PA USD 92848.03000000 0.006470082453 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.02328000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ74 42053.67450000 PA USD 47016.25000000 0.003276310915 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9WZ7 33075.60100000 PA USD 36571.21000000 0.002548451961 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9J52 6291840.73380000 PA USD 6965889.41000000 0.485415563990 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283H6B6 64027.72900000 PA USD 74702.75000000 0.005205634971 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128K5WC2 17640.96500000 PA USD 21080.69000000 0.001469000499 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A5P55 102365.28830000 PA USD 114666.57000000 0.007990499772 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TNM84 32477.38310000 PA USD 36036.15000000 0.002511166492 Long ABS-CBDO USGSE US N 2 2030-03-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312936C70 22975.94910000 PA USD 25657.00000000 0.001787899059 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N CFMT 2020-HB4 LLC N/A 12529LAA8 764128.25000000 PA USD 764012.10000000 0.053239915621 Long ABS-CBDO CORP US N 2 2030-12-26 Fixed 0.00946100 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJSS9 18903.31170000 PA USD 21168.61000000 0.001475127174 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416CAF3 7812.75200000 PA USD 8209.84000000 0.000572099825 Long ABS-MBS USGSE US N 2 2036-11-01 Variable 0.02551000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A3M81 126434.44150000 PA USD 13504.91000000 0.000941084923 Long ABS-CBDO USGSE US N 2 2041-06-25 Variable 0.06432370 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9RA1 900089.82820000 PA USD 996347.95000000 0.069430157961 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M7A9 5100.58510000 PA USD 5624.54000000 0.000391944100 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406WGL2 57.56880000 PA USD 60.05000000 0.000004184563 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.02100000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GTMQ7 122989.76700000 PA USD 136180.15000000 0.009489666060 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403EDZ7 10291.56730000 PA USD 10809.65000000 0.000753266674 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.02417000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4HK8 1060941.35420000 PA USD 1160420.52000000 0.080863497541 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133TGWC9 170554.75580000 PA USD 190410.45000000 0.013268685524 Long ABS-CBDO USGSE US N 2 2028-11-15 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M5M8 479366.24020000 PA USD 523365.16000000 0.036470517885 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0XL7 226902.40730000 PA USD 259124.55000000 0.018057003517 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCBE5 2760834.51900000 PA USD 2933256.37000000 0.204402942878 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3139883S4 2658.59910000 PA USD 2804.76000000 0.000195448718 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DMJ8 7228826.65000000 PA USD 7562818.68000000 0.527012371118 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211HWS6 396.86550000 PA USD 450.28000000 0.000031377604 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AAJ7 2950343.52580000 PA USD 3211464.56000000 0.223789783167 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ARH3 112805.34010000 PA USD 118586.42000000 0.008263653147 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.03000000 N N N N N N NATIONSTAR HECM LN TR 2019-1 N/A 63862VAA4 1156506.10770000 PA USD 1158500.39000000 0.080729693955 Long ABS-CBDO CORP US N 2 2029-06-25 Fixed 0.02651300 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200NVS7 89626.19570000 PA USD 104803.42000000 0.007303189619 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N THORNBURG MTG SECS TR N/A 885220DW0 977293.88590000 PA USD 950443.62000000 0.066231330802 Long ABS-CBDO CORP US N 2 2043-09-25 Variable 0.00437630 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335GEQ4 988.11300000 PA USD 1049.55000000 0.000073137524 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213J7F6 3684.01600000 PA USD 4306.07000000 0.000300066979 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287QND9 6846.20110000 PA USD 8016.81000000 0.000558648597 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GCZ1 6935.70500000 PA USD 7924.97000000 0.000552248759 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYJ0 567052.87930000 PA USD 611431.12000000 0.042607363466 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MQP8 629488.54420000 PA USD 688250.10000000 0.047960467184 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411WPK7 57642.94270000 PA USD 60527.64000000 0.004217847395 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.02395000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XTNN4 85198.57440000 PA USD 93328.42000000 0.006503558262 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312933G73 353801.70700000 PA USD 395313.08000000 0.027547253536 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDKY9 279387.98700000 PA USD 299475.54000000 0.020868848124 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MAEW5 750480.88180000 PA USD 827919.48000000 0.057693279015 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPXJ8 26299.82680000 PA USD 28969.61000000 0.002018737127 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVAV9 200020.77470000 PA USD 209962.97000000 0.014631196032 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N UPSTART SECURITIZATION TR 2021-1 N/A 91681NAA2 175000.00000000 PA USD 175180.97000000 0.012207424543 Long ABS-CBDO CORP US N 2 2031-03-20 Fixed 0.00870000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335GE50 928.35720000 PA USD 989.37000000 0.000068943901 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294SAU1 1499.94560000 PA USD 1778.23000000 0.000123915334 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P73S0 70506.48410000 PA USD 75285.50000000 0.005246243701 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31359D5R0 4281.62620000 PA USD 4968.76000000 0.000346246300 Long ABS-CBDO USGSE US N 2 2023-09-25 Variable 0.19467098 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y65H3 656258.13600000 PA USD 720697.96000000 0.050221584944 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4ER7 15459.49650000 PA USD 17132.26000000 0.001193855538 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209UGF7 2624.75910000 PA USD 2986.81000000 0.000208134808 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7TY9 2085502.07930000 PA USD 2241587.52000000 0.156204241298 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEDX7 8874173.70900000 PA USD 9439483.42000000 0.657787096293 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GPDN5 47164.39420000 PA USD 51726.74000000 0.003604559761 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25 N/A 61765TAG8 10080192.20930000 PA USD 374914.60000000 0.026125792601 Long ABS-MBS CORP US N 2 2048-10-15 Variable 0.01052754 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FY75 2670.41400000 PA USD 2985.54000000 0.000208046309 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389XL27 3734.00930000 PA USD 4438.27000000 0.000309279290 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFWM6 1545583.01380000 PA USD 1664112.85000000 0.115963121158 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AFZS4 111018.93030000 PA USD 122372.26000000 0.008527468081 Long ABS-CBDO USGSE US N 2 2034-10-15 Fixed 0.04500000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAE8 118000.00000000 PA USD 113859.83000000 0.007934282378 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03465000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JQRY1 372583.74700000 PA USD 394756.65000000 0.027508478906 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NTD0 18864.54100000 PA USD 20537.08000000 0.001431119227 Long ABS-MBS USGA US N 2 2043-11-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AJSY9 25809.03640000 PA USD 29692.80000000 0.002069132369 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371L5W5 1163.62000000 PA USD 1382.72000000 0.000096354358 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KDN4 40778.04870000 PA USD 45266.82000000 0.003154402498 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211JLK1 338.88940000 PA USD 390.19000000 0.000027190253 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335APZ5 2810473.75840000 PA USD 3075365.13000000 0.214305742051 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374MMQ4 305.52130000 PA USD 336.70000000 0.000023462821 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VSH4 28163628.13200000 PA USD 29397839.99000000 2.048578184198 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MQ2L6 31824.40540000 PA USD 34822.22000000 0.002426574205 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP75 422677.56460000 PA USD 472555.97000000 0.032929897274 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293RUJ8 916.93820000 PA USD 1041.11000000 0.000072549385 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERRK8 419360.64040000 PA USD 453359.76000000 0.031592216103 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293YAH9 809.99060000 PA USD 939.44000000 0.000065464547 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38382AFL4 565043.28500000 PA USD 570332.66000000 0.039743431674 Long ABS-CBDO USGA US N 2 2049-10-20 Variable 0.00611130 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F7YH6 170678.83530000 PA USD 186009.84000000 0.012962030557 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GUST2 1196566.78500000 PA USD 1324381.78000000 0.092289080523 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EV6N2 143000.30920000 PA USD 157041.91000000 0.010943410500 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N JPMBB COML MTG SECS TR 2014-C19 N/A 46641WAX5 3406807.90220000 PA USD 53374.12000000 0.003719356859 Long ABS-MBS CORP US N 2 2047-04-15 Variable 0.00740370 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GGEW1 13505.08430000 PA USD 15123.48000000 0.001053874407 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XPJ2 68971.70370000 PA USD 75560.96000000 0.005265439035 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N NORTH CAROLINA ST ED ASSISTANCE AUTH REV N/A 658262GC8 45417.12510000 PA USD 45453.91000000 0.003167439799 Long ABS-CBDO MUN US N 2 2025-07-25 Variable 0.01017750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENRB7 111472.89830000 PA USD 124938.31000000 0.008706282377 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5NG4 466309.02600000 PA USD 494219.95000000 0.034439544133 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MCZ1 347321.26200000 PA USD 379743.04000000 0.026462260751 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9A51 53070.85690000 PA USD 60225.33000000 0.004196781029 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KPU9 43098.59150000 PA USD 50932.64000000 0.003549223181 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298VAV9 198.57960000 PA USD 235.46000000 0.000016407947 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LKA3 418468.40570000 PA USD 478156.14000000 0.033320143159 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N CGDB COML MTG TR 2017-BIO N/A 125284AC3 500000.00000000 PA USD 499842.80000000 0.034831370466 Long ABS-MBS CORP US N 2 2036-11-15 Variable 0.01362250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AU48 2197303.18700000 PA USD 2396849.08000000 0.167023588732 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N METLIFE SECURITIZATION TRUST 2019-1 N/A 59166EAB1 370701.83000000 PA USD 385037.87000000 0.026831229125 Long ABS-CBDO CORP US N 2 2058-04-25 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LUU8 239307.86430000 PA USD 273067.34000000 0.019028601956 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206B4Q1 469.31410000 PA USD 507.01000000 0.000035330814 Long ABS-MBS USGA US N 2 2025-07-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W3QM8 41977.48320000 PA USD 45931.71000000 0.003200735125 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ATF5 116283.07020000 PA USD 122981.56000000 0.008569926938 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38381VKY5 249806.95000000 PA USD 252090.16000000 0.017566814514 Long ABS-CBDO USGA US N 2 2049-05-20 Variable 0.00511130 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E94A5 43203.78810000 PA USD 47824.12000000 0.003332607053 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2HP0 38257.08140000 PA USD 43654.29000000 0.003042033910 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TXV2 2948521.55400000 PA USD 3176635.40000000 0.221362725350 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BSV1 113357.45960000 PA USD 131750.61000000 0.009180995117 Long ABS-MBS USGA US N 2 2032-04-20 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HRGD6 165901.08820000 PA USD 179591.81000000 0.012514792384 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E75J9 28393.98910000 PA USD 31430.52000000 0.002190224778 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F012437 64675000.00000000 PA USD 65503409.14000000 4.564582125776 Long ABS-MBS USGA US N 2 2036-03-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQLB6 2681370.42660000 PA USD 3039579.53000000 0.211812035047 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCJC1 48643.62770000 PA USD 9262.70000000 0.000645468005 Long ABS-CBDO USGSE US N 2 2034-03-25 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMEP4 1803.91520000 PA USD 1825.68000000 0.000127221871 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MCP58 128240.92430000 PA USD 135504.90000000 0.009442611500 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04R6 145062.92920000 PA USD 165663.14000000 0.011544177893 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QDTY0 4171340.07700000 PA USD 4354294.22000000 0.303427467790 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5VC9 68209.56080000 PA USD 75504.08000000 0.005261475372 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291QSF2 108266.75470000 PA USD 120538.59000000 0.008399689429 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LP42 140007.07690000 PA USD 154270.26000000 0.010750269040 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VXY6 146.36710000 PA USD 165.90000000 0.000011560683 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7CL5 8393.72360000 PA USD 9270.12000000 0.000645985065 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283GW60 534.40620000 PA USD 595.28000000 0.000041481878 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 31635A105 451926760.53700000 NS USD 452017145.89000000 31.49865650907 Long STIV RF US N 1 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TR4H5 51338.13500000 PA USD 58440.47000000 0.004072403685 Long ABS-CBDO USGSE US N 2 2031-01-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287MT59 76364.76490000 PA USD 89152.81000000 0.006212582342 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359SXB1 147927.10990000 PA USD 165863.49000000 0.011558139213 Long ABS-CBDO USGSE US N 2 2031-05-25 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M7SM9 113065.48260000 PA USD 126364.08000000 0.008805636660 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FFUS8 560210.63060000 PA USD 610530.82000000 0.042544626375 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHVP4 603057.09680000 PA USD 667549.71000000 0.046517967756 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212WPT8 86502.84810000 PA USD 98841.08000000 0.006887706044 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205XM92 6786.18400000 PA USD 7407.87000000 0.000516214826 Long ABS-MBS USGA US N 2 2024-12-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARMG3 401138.71960000 PA USD 442106.25000000 0.030808019199 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLN4 1385472.19720000 PA USD 1524061.12000000 0.106203665401 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394D4V9 191383.85930000 PA USD 37099.93000000 0.002585295629 Long ABS-CBDO USGSE US N 2 2035-06-25 Variable 0.06602370 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MBXL5 206757.96300000 PA USD 226040.46000000 0.015751550292 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 2200000.00000000 NC USD -15014.78000000 -0.00104629968 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 24202.71000000 USD 0.00000000 USD 2200000.00000000 USD -39217.49000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31392XV96 101927.27170000 PA USD 117240.77000000 0.008169881998 Long ABS-CBDO USGSE US N 2 2032-11-15 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DSD4 15386.25380000 PA USD 17939.98000000 0.001250141223 Long ABS-MBS USGA US N 2 2032-03-20 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F012437 -28800000.00000000 PA USD -29168893.44000000 -2.03262412404 Short ABS-MBS USGA US N 2 2036-03-01 Fixed 0.01500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WML58 275609.79890000 PA USD 301744.14000000 0.021026934721 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GGAW5 13581.45300000 PA USD 15041.75000000 0.001048179080 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377YTR1 54479.74180000 PA USD 4986.32000000 0.000347469962 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M6XV4 45645.85580000 PA USD 49902.84000000 0.003477461928 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N COMM 2006 FL12 N/A 12592LBK7 4067513.22490000 PA USD 126313.78000000 0.008802131522 Long ABS-MBS CORP US N 2 2047-11-10 Variable 0.01018673 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAFT0 1046696.82000000 PA USD 1193573.92000000 0.083173780610 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WLXZ4 32552.39770000 PA USD 35790.87000000 0.002494074241 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAE2 165000.00000000 PA USD 166470.00000000 0.011600403650 Long ABS-MBS CORP US N 2 2036-11-10 Variable 0.03177097 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WMS39 39604.68910000 PA USD 43631.39000000 0.003040438131 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HMHP9 90487.05250000 PA USD 100163.31000000 0.006979845178 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N CIT MTG LN TR 2007-1 N/A 12559QAA0 1726080.28920000 PA USD 1735307.05000000 0.120924264052 Long ABS-CBDO CORP US N 2 2037-10-25 Variable 0.01467630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178VBM2 25178.18780000 PA USD 27808.13000000 0.001937799800 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 0.04000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377VGY6 542421.08010000 PA USD 107645.80000000 0.007501259874 Long ABS-CBDO USGA US N 2 2041-04-16 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8LJ0 2036110.80820000 PA USD 2274473.62000000 0.158495897659 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYLA3 33511.28100000 PA USD 36326.42000000 0.002531393855 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397GRY8 316877.50940000 PA USD 78758.83000000 0.005488281486 Long ABS-CBDO USGSE US N 2 2037-04-15 Variable 0.06647750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M3Q8 15209.26800000 PA USD 16866.37000000 0.001175327086 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J2LR2 65990.43290000 PA USD 70463.34000000 0.004910213170 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WGQ67 553870.78230000 PA USD 599323.63000000 0.041763657265 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3133A4GG5 67586.87200000 PA USD 70709.57000000 0.004927371622 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 0.03000000 N N N N N N CORE 2019 CORE MTG TR N/A 21871FAA6 2001000.00000000 PA USD 2004822.11000000 0.139705326620 Long ABS-MBS CORP US N 2 2031-12-15 Variable 0.00992000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5X81 1929570.04800000 PA USD 2035128.72000000 0.141817232124 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C16L5 23019.53990000 PA USD 25362.66000000 0.001767388079 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205C6T2 940.21950000 PA USD 1045.88000000 0.000072881781 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.08000000 N N N N N N LONDON CLEARING HOUSE N/A N/A 31285000.00000000 NC USD -19424.86000000 -0.00135361456 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2023-03-17 0.00000000 USD 0.00000000 USD 31313469.35000000 USD -19424.86000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205BU42 15.79250000 PA USD 16.74000000 0.000001166521 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QWF4 51244.72340000 PA USD 56490.42000000 0.003936515134 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NQ43 8676.74800000 PA USD 9446.03000000 0.000658243292 Long ABS-MBS USGA US N 2 2043-10-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NBB3 772831.56140000 PA USD 843283.35000000 0.058763904915 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F5CP6 1945128.33100000 PA USD 2102827.08000000 0.146534768632 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022630 20000000.00000000 PA USD 20769068.00000000 1.447285229982 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHLP5 2915276.69990000 PA USD 3123763.59000000 0.217678371786 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HCG7 69.32880000 PA USD 81.21000000 0.000005659090 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EXCQ4 280929.36730000 PA USD 295244.35000000 0.020573999131 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179AGC4 88609.88040000 PA USD 95419.18000000 0.006649252141 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396WJV9 130705.14440000 PA USD 268970.09000000 0.018743086524 Long ABS-CBDO USGSE US N 2 2037-06-25 Variable 0.39914220 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PEDY1 309.91760000 PA USD 311.52000000 0.000021708162 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362205SH0 532.61360000 PA USD 549.33000000 0.000038279868 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 0.07500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 11000000.00000000 NC USD 204772.04000000 0.014269467893 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-06-13 0.00000000 USD 0.00000000 USD 11000000.00000000 USD 1.00000000 2.32750000 USD 2024-06-11 XXXX -99102.96000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNYA9 92520.87590000 PA USD 102154.41000000 0.007118594285 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JQTN3 6615590.52230000 PA USD 7028752.67000000 0.489796168248 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31329PBU6 560638.08400000 PA USD 595263.76000000 0.041480746646 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.03500000 N N N N N N TOWD PT MTG TR 2018-6 N/A 89176LAA2 2983874.90460000 PA USD 3101103.89000000 0.216099338527 Long ABS-CBDO CORP US N 2 2058-03-25 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M65A4 34940.74240000 PA USD 38491.52000000 0.002682268090 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BNW2 2874717.56390000 PA USD 3109247.66000000 0.216666834288 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022634 -20700000.00000000 PA USD -21464929.17000000 -1.49577607191 Short ABS-MBS USGA US N 2 2051-03-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193NX21 178735.90910000 PA USD 195811.55000000 0.013645059286 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296Q6K0 345113.17540000 PA USD 388715.64000000 0.027087513240 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFYG6 18140.07220000 PA USD 20313.91000000 0.001415567704 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193TDY0 38779.69080000 PA USD 42605.72000000 0.002968964677 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 0.03500000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -72.00000000 NC USD 72417.60000000 0.005046395094 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UST NOTES 0% 06/30/2040 2021-06-30 -8998167.60000000 USD 72417.60000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M7ME3 154846.07320000 PA USD 172919.61000000 0.012049842464 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E6YX8 60274.20810000 PA USD 66720.10000000 0.004649366802 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FPTR0 109063.47060000 PA USD 119704.55000000 0.008341569644 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397QKY3 265489.01270000 PA USD 315661.68000000 0.021996773621 Long ABS-CBDO USGSE US N 2 2041-02-25 Fixed 0.05000000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -189.00000000 NC USD 287531.37000000 0.020036522821 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UST NOTES 0% 06/30/2040 2021-06-21 -25371375.12000000 USD 287531.37000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AU2T3 43452.97400000 PA USD 48113.54000000 0.003352775184 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WB3H6 74153.35830000 PA USD 81666.41000000 0.005690895180 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293SRE1 9717.95020000 PA USD 11097.80000000 0.000773346306 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377NRP1 294012.41430000 PA USD 319700.19000000 0.022278195776 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397J7J7 142414.37840000 PA USD 30152.39000000 0.002101158737 Long ABS-CBDO USGSE US N 2 2037-06-15 Variable 0.06467750 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FMB9 534025.04350000 PA USD 597376.86000000 0.041627997279 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERJ43 81084.89000000 PA USD 88869.47000000 0.006192837893 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132A5JW6 217182.01800000 PA USD 230921.21000000 0.016091663647 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224BEV7 23.03250000 PA USD 24.06000000 0.000001676612 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A9AV6 299013.02390000 PA USD 334945.54000000 0.023340562652 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297JPL2 73461.03460000 PA USD 83949.93000000 0.005850021471 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298GCJ7 41298.02150000 PA USD 48041.43000000 0.003347750224 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378UQY6 1477615.17510000 PA USD 1529158.23000000 0.106558855726 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X3EP3 1984500.65710000 PA USD 2172678.35000000 0.151402329919 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133T3TD0 57551.41760000 PA USD 61914.10000000 0.004314462375 Long ABS-CBDO USGSE US N 2 2024-01-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RLQ0 1391141.38860000 PA USD 1529198.96000000 0.106561693982 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M7LC8 229290.53360000 PA USD 260929.78000000 0.018182800338 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KZA9 4182.23220000 PA USD 4845.31000000 0.000337643730 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EFB0 348846.75130000 PA USD 386484.04000000 0.026932004975 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AXJ2 128447.88670000 PA USD 135847.13000000 0.009466459678 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M3AY3 757941.91520000 PA USD 842308.66000000 0.058695983984 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36184HKH6 132885.76350000 PA USD 139359.59000000 0.009711224223 Long ABS-MBS USGA US N 2 2045-04-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WN2K7 780516.99930000 PA USD 858127.94000000 0.059798344971 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQPN7 260514.03620000 PA USD 297509.32000000 0.020731832772 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.04500000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AA1 1302380.03000000 PA USD 1294331.58000000 0.090195042860 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.01232000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390FP37 177.06890000 PA USD 192.26000000 0.000013397570 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DMP4 1798777.16500000 PA USD 1872049.99000000 0.130453147936 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335GC45 422.41990000 PA USD 447.92000000 0.000031213148 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TGW4 651.83390000 PA USD 675.22000000 0.000047052469 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224VQP3 290.60570000 PA USD 298.40000000 0.000020793899 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N COMM 2014-LC17 MTG TR N/A 12592MBL3 13828023.18420000 PA USD 287393.34000000 0.020026904249 Long ABS-MBS CORP US N 2 2047-10-10 Variable 0.00722050 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6EZ6 528873.99300000 PA USD 550252.30000000 0.038344138820 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MC32 37809.22920000 PA USD 42270.94000000 0.002945635650 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210DFD8 947.68680000 PA USD 1098.61000000 0.000076556253 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200MT78 736.58010000 PA USD 816.50000000 0.000056897516 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 0.04500000 N N N N N N FAHB 2021-HB1 N/A 31735RAA5 895000.00000000 PA USD 895000.00000000 0.062367761559 Long ABS-CBDO CORP US N 2 2031-02-25 Variable 0.00875400 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XBBR4 40841.48500000 PA USD 45545.22000000 0.003173802705 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.04500000 N N N N N N LONDON CLEARING HOUSE N/A N/A 7884000.00000000 NC USD -85259.53000000 -0.00594128048 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2026-03-17 0.00000000 USD 0.00000000 USD 7840499.86000000 USD -85259.53000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QB4F2 3798296.79400000 PA USD 4035511.06000000 0.281213174927 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615G34 26.69030000 PA USD 27.85000000 0.000001940717 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209WC59 2134.59470000 PA USD 2464.99000000 0.000171771964 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207KEG1 435.42130000 PA USD 500.80000000 0.000034898072 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294QLV1 6199.27160000 PA USD 6868.11000000 0.000478601840 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HP57 74135.33920000 PA USD 85836.31000000 0.005981473201 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MY35 13515.11100000 PA USD 15080.88000000 0.001050905841 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389YU58 5192.76290000 PA USD 6147.11000000 0.000428359207 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9DU2 530971.13960000 PA USD 570020.08000000 0.039721649646 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176K2B2 30432.40910000 PA USD 33725.29000000 0.002350135022 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VN30 5650001.19100000 PA USD 5871999.34000000 0.409188217557 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946ZF6 70022.09440000 PA USD 78457.05000000 0.005467252052 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XXWB1 32227.68450000 PA USD 34753.71000000 0.002421800110 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M5F0 3237.16340000 PA USD 3625.68000000 0.000252654241 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2012-C6 N/A 46634SAF2 200000.00000000 PA USD 206428.96000000 0.014384929783 Long ABS-MBS CORP US N 2 2045-05-15 Fixed 0.04116600 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FM78 10387.61560000 PA USD 11426.96000000 0.000796283705 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QWYP8 131753.51070000 PA USD 141226.38000000 0.009841310830 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N FNMA STRIPPED MTG BKD SECS N/A 3136FER61 103462.66430000 PA USD 18905.62000000 0.001317431508 Long ABS-CBDO USGSE US N 2 2037-07-25 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AMF2 72869.06830000 PA USD 76410.72000000 0.005324654263 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.03000000 N N N N N N PROVIDENT FDG MTG TR 2019-1 N/A 74387LAE1 69561.50000000 PA USD 69942.59000000 0.004873924889 Long ABS-CBDO CORP US N 2 2049-12-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HBSB5 2756708.81000000 PA USD 2967283.32000000 0.206774098973 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128KG6J2 20893.36910000 PA USD 24761.57000000 0.001725501333 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6FQ2 19386.25720000 PA USD 21453.27000000 0.001494963606 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132A5KA2 371979.53300000 PA USD 395139.43000000 0.027535152796 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VN48 61995374.75500000 PA USD 65433483.25000000 4.559709364621 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F1ZN5 204774.25570000 PA USD 224113.71000000 0.015617285393 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LEH4 16824.49790000 PA USD 18634.45000000 0.001298535122 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMW64 65716.87790000 PA USD 71907.32000000 0.005010836411 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EBDP7 78474.31190000 PA USD 86866.57000000 0.006053266508 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0XX1 317034.06780000 PA USD 362055.70000000 0.025229724657 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N AFFRM 2021-A N/A 00833MAA2 450000.00000000 PA USD 450380.48000000 0.031384606019 Long ABS-CBDO CORP US N 2 2025-08-15 Fixed 0.00880000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AC7K9 567197.66020000 PA USD 663718.65000000 0.046251001682 Long ABS-CBDO USGSE US N 2 2041-06-15 Fixed 0.05500000 N N N N N N TOWD PT MTG TR 2020 N/A 89179JAA4 570690.64000000 PA USD 581939.98000000 0.040552283703 Long ABS-CBDO CORP US N 2 2060-10-25 Fixed 0.01750000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137A5SJ4 63208.64450000 PA USD 1053.16000000 0.000073389085 Long ABS-CBDO USGSE US N 2 2038-03-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QPH96 35491.61320000 PA USD 37561.18000000 0.002617437673 Long ABS-MBS USGSE US N 2 2036-07-01 Variable 0.02970000 N N N N N N CLUB 2019-HP1 A N/A 21055MAA9 959302.96700000 PA USD 970803.09000000 0.067650073338 Long ABS-CBDO CORP US N 2 2026-12-15 Fixed 0.02590000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCEU6 54868.92340000 PA USD 12613.60000000 0.000878974298 Long ABS-CBDO USGSE US N 2 2034-08-25 Variable 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223NUV4 352.78260000 PA USD 359.78000000 0.000025071143 Long ABS-MBS USGA US N 2 2022-02-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJWC9 269890.03300000 PA USD 303160.40000000 0.021125626303 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31339STN5 841808.04350000 PA USD 894381.31000000 0.062324648363 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TKW97 124574.04540000 PA USD 139523.63000000 0.009722655293 Long ABS-CBDO USGSE US N 2 2029-05-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYDJ3 111073.68670000 PA USD 120404.50000000 0.008390345415 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7TM5 2304743.25210000 PA USD 2477237.38000000 0.172625419264 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394FGT6 192483.73970000 PA USD 218264.70000000 0.015209699180 Long ABS-CBDO USGSE US N 2 2035-09-25 Fixed 0.05900000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RV92 1234.42260000 PA USD 1418.29000000 0.000098833041 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38375KNC2 74887.61180000 PA USD 16794.63000000 0.001170327909 Long ABS-CBDO USGA US N 2 2037-06-16 Variable 0.06582620 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177YB47 21074.91750000 PA USD 23348.70000000 0.001627045982 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EHJ1 72644.45650000 PA USD 81419.57000000 0.005673694221 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2BE1 802637.42630000 PA USD 856497.77000000 0.059684747145 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GD49 846577.33720000 PA USD 967327.88000000 0.067407904547 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VZR4 19796666.97100000 PA USD 20591091.38000000 1.434882991547 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617K53Y8 830656.43980000 PA USD 912052.88000000 0.063556085530 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BDY5 169851.60780000 PA USD 169520.77000000 0.011812995489 Long ABS-CBDO USGA US N 2 2060-07-20 Variable 0.00457500 N N N N N N BENCHMARK 2019-B14 MTG TR N/A 08162YAK8 7286918.93000000 PA USD 353804.69000000 0.024654755915 Long ABS-MBS CORP US N 2 2062-12-15 Variable 0.00787014 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QB3Q9 4128001.59800000 PA USD 4407736.86000000 0.307151599442 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7YR0 27661.65390000 PA USD 30267.35000000 0.002109169684 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359WKN0 113448.69830000 PA USD 126620.35000000 0.008823494745 Long ABS-CBDO USGSE US N 2 2029-07-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DLT7 2396095.53600000 PA USD 2506801.86000000 0.174685609699 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390MVU5 584.15480000 PA USD 692.58000000 0.000048262194 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFY28 595860.61680000 PA USD 638346.19000000 0.044482930693 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307UCF3 48439.62710000 PA USD 52269.98000000 0.003642415250 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQF98 778680.10220000 PA USD 843798.39000000 0.058799795298 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J62W3 82368.51740000 PA USD 89165.85000000 0.006213491030 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WPZC4 29139.62190000 PA USD 31938.40000000 0.002225616218 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312944LX7 43942.51130000 PA USD 49261.63000000 0.003432779434 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MNH9 368430.17780000 PA USD 402822.43000000 0.028070539960 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359WHX2 152820.29810000 PA USD 170366.76000000 0.011871948005 Long ABS-CBDO USGSE US N 2 2029-07-25 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209W4Y5 148.04100000 PA USD 168.46000000 0.000011739076 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377RBW4 708107.09000000 PA USD 827954.00000000 0.057695684529 Long ABS-CBDO USGA US N 2 2040-12-20 Variable 0.09777740 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MSX9 345192.18070000 PA USD 377199.47000000 0.026285012966 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AJXT4 18498.24930000 PA USD 21270.32000000 0.001482214800 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389W4G7 20315.81760000 PA USD 24169.60000000 0.001684250111 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 1100000.00000000 NC USD -7507.39000000 -0.00052314984 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 0.00000000 USD 4307.93000000 USD 1100000.00000000 USD -3199.46000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378PTA1 354.50920000 PA USD 404.92000000 0.000028216708 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AC3F9 76849.20210000 PA USD 87849.40000000 0.006121754672 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390FLR8 5646.26400000 PA USD 6625.30000000 0.000461681710 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VA6 3626901.85020000 PA USD 3851697.23000000 0.268404172558 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211KN42 751.30000000 PA USD 871.04000000 0.000060698117 Long ABS-MBS USGA US N 2 2030-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GDB3 1540.22810000 PA USD 1742.32000000 0.000121412959 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDFF6 124080.79780000 PA USD 133002.01000000 0.009268198487 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9QV7 629769.32680000 PA USD 697040.09000000 0.048572994559 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M1GL7 1265.48140000 PA USD 1272.03000000 0.000088640965 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCMK9 3557866.64500000 PA USD 3832974.06000000 0.267099455013 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4MC6 5736.98930000 PA USD 6334.12000000 0.000441390933 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RNX3 7935.71700000 PA USD 8723.26000000 0.000607877318 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9ER8 438860.80510000 PA USD 486850.94000000 0.033926037252 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCB39 1635520.78000000 PA USD 1760963.10000000 0.122712096911 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180MYH4 150219.09690000 PA USD 161003.58000000 0.011219478086 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPDD1 34142.68360000 PA USD 37697.72000000 0.002626952415 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178FWM4 9875.99300000 PA USD 10880.72000000 0.000758219162 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YWH42 337761.85600000 PA USD 365884.31000000 0.025496520004 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A6S4 22645.50910000 PA USD 25556.16000000 0.001780872059 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQKN1 59928.18920000 PA USD 63970.51000000 0.004457762586 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371YAC5 956.16640000 PA USD 1010.15000000 0.000070391948 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 0.06500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022634 127050000.00000000 PA USD 131744891.36000000 9.180596615650 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132CWM35 1848833.96900000 PA USD 1990067.51000000 0.138677157486 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H8L86 158647.22580000 PA USD 168281.87000000 0.011726663176 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411Y3V3 25822.15220000 PA USD 26990.73000000 0.001880839567 Long ABS-MBS USGSE US N 2 2037-04-01 Variable 0.03364000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ6N8 274404.92460000 PA USD 315250.62000000 0.021968129049 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBD88 2610271.91200000 PA USD 2808029.24000000 0.195676534181 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5A58 353786.90670000 PA USD 404027.76000000 0.028154532959 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TTZ3 273.29960000 PA USD 284.91000000 0.000019853853 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224KQW2 49.76650000 PA USD 51.33000000 0.000003576913 Long ABS-MBS USGA US N 2 2022-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7VF3 1901122.75770000 PA USD 2037810.44000000 0.142004106843 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A22Y7 3336934.29790000 PA USD 3666158.24000000 0.255474953018 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31367NST9 71.08520000 PA USD 73.37000000 0.000005112762 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312936JP3 579251.09580000 PA USD 647671.02000000 0.045132728205 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKM7 1090086.86980000 PA USD 1199177.97000000 0.083564296871 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MBF51 24720.19060000 PA USD 25239.23000000 0.001758786903 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RYY4 524.44640000 PA USD 600.69000000 0.000041858872 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QP5H3 4058392.63230000 PA USD 4397781.80000000 0.306457884572 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205TSE4 1123.75240000 PA USD 1218.33000000 0.000084898899 Long ABS-MBS USGA US N 2 2024-04-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LXR44 299954.39360000 PA USD 343353.48000000 0.023926467006 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VKM1 26139366.44200000 PA USD 27609410.43000000 1.923952096640 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NQG3 4770.25700000 PA USD 5393.05000000 0.000375812800 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31392UTM6 93723.09590000 PA USD 107580.92000000 0.007496738733 Long ABS-CBDO USGSE US N 2 2032-09-15 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M2Q2 624694.18360000 PA USD 682032.11000000 0.047527168728 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03500000 N N N N N N GS MTG SECS TR 2014-GC20 N/A 36252WAZ1 3525475.35640000 PA USD 87140.94000000 0.006072385886 Long ABS-MBS CORP US N 2 2047-04-10 Variable 0.01009105 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312935GN3 9644.54970000 PA USD 10776.97000000 0.000750989380 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283GK97 10647.50050000 PA USD 11309.46000000 0.000788095759 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M2A4 17615.62390000 PA USD 19656.95000000 0.001369787676 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N LANARK MASTER ISSUER PLC 213800KIOPB5OYXIVY33 513770BB2 397233.36000000 PA USD 398168.84000000 0.027746256171 Long ABS-CBDO CORP GB N 2 2069-12-22 Variable 0.00952380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GWUD3 99838.90300000 PA USD 106404.43000000 0.007414755440 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 1700000.00000000 NC USD -11602.33000000 -0.00080850430 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 21923.13000000 USD 0.00000000 USD 1700000.00000000 USD -33525.46000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205GB91 715.54310000 PA USD 777.11000000 0.000054152638 Long ABS-MBS USGA US N 2 2024-06-15 Fixed 0.08000000 N N N N N N UBS BARCLAYS COML MTG TR 2013-C6 549300G1IXWLFE766Q13 90349GAC9 1180442.00030000 PA USD 1176409.49000000 0.081977683316 Long ABS-MBS CORP US N 2 2046-04-10 Variable 0.00899500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMET6 1574.29420000 PA USD 1593.29000000 0.000111027855 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FVH33 235194.73930000 PA USD 256173.80000000 0.017851381537 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M73U7 311246.02840000 PA USD 340273.21000000 0.023711819470 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205QSJ9 1879.82630000 PA USD 2023.50000000 0.000141006888 Long ABS-MBS USGA US N 2 2024-08-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMGZ9 165692.56940000 PA USD 183569.24000000 0.012791958201 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GMJF0 606362.00670000 PA USD 671369.29000000 0.046784133851 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NWAR0 142036.77700000 PA USD 153703.72000000 0.010710789899 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377RLW3 1317613.08240000 PA USD 1432510.92000000 0.099824021776 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E3ZD9 5110.67530000 PA USD 5620.44000000 0.000391658393 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CJD7 13340.70300000 PA USD 14301.38000000 0.000996586656 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8W75 95083.13250000 PA USD 114268.66000000 0.007962771553 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPNK4 401038.99840000 PA USD 440167.49000000 0.030672917388 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BT65 5988.95940000 PA USD 6286.10000000 0.000438044677 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.02577000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7RY1 721666.72090000 PA USD 775678.50000000 0.054052884619 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4PY6 2483583.52600000 PA USD 2727708.36000000 0.190079401787 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ACUU6 72282.38080000 PA USD 82951.40000000 0.005780439258 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N WFRBS COML MTG TR 2013-C14 549300GADFYEKC4OLM57 92890PBS2 1112301.36950000 PA USD 1112474.11000000 0.077522368752 Long ABS-MBS CORP US N 2 2046-06-15 Variable 0.00828250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132CWC69 9728344.49000000 PA USD 10208859.53000000 0.711400801072 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CMJ0 2469286.67800000 PA USD 2622333.07000000 0.182736361607 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392FRK5 52659.98330000 PA USD 7408.54000000 0.000516261515 Long ABS-CBDO USGSE US N 2 2032-11-25 Variable 0.07432370 N N N N N N COMM 2013-CCRE7 MTG TR 549300FVY7JUBJ0PIH53 12625FAS5 304000.00000000 PA USD 317878.51000000 0.022151252644 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 0.03314000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390J3S8 1195.34120000 PA USD 1423.11000000 0.000099168921 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6NS9 74820.91390000 PA USD 82798.53000000 0.005769786565 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A7FW3 639129.67890000 PA USD 717332.24000000 0.049987045925 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129413N5 337334.12230000 PA USD 378180.66000000 0.026353386848 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128K6NL0 258268.11220000 PA USD 296703.03000000 0.020675646736 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPN83 23496.51370000 PA USD 25461.44000000 0.001774271529 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J8YQ7 55847.25130000 PA USD 61749.48000000 0.004302990888 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H6FW4 174219.77960000 PA USD 187951.40000000 0.013097327485 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VCD4 226271.84840000 PA USD 255608.51000000 0.017811989501 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WTXU5 60667.97380000 PA USD 64760.20000000 0.004512791857 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H020634 48750000.00000000 PA USD 49507141.13000000 3.449887791600 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 0.02000000 N N N N N N CONSUMER LN UNDERLYING BD CLUB CR TR 18-P3 N/A 21053NAA9 97759.37420000 PA USD 97976.97000000 0.006827490841 Long ABS-CBDO CORP US N 2 2026-01-15 Fixed 0.03820000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6FL0 7274718.66200000 PA USD 7769965.50000000 0.541447324724 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31339GVS7 285138.51710000 PA USD 41260.77000000 0.002875242307 Long ABS-CBDO USGSE US N 2 2031-11-15 Variable 0.08087750 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38381BSP0 291831.93100000 PA USD 294420.36000000 0.020516579676 Long ABS-CBDO USGA US N 2 2049-01-20 Variable 0.00511130 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128K8AJ5 30834.73360000 PA USD 34310.79000000 0.002390935385 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283H6W0 74771.33440000 PA USD 85955.61000000 0.005989786580 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BP2 335830.97500000 PA USD 362732.72000000 0.025276902559 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP67 225483.75400000 PA USD 248081.87000000 0.017287498229 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NX52 51908.27080000 PA USD 56510.49000000 0.003937913704 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J23P6 121493.40970000 PA USD 129728.38000000 0.009040076727 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KLL6 3313.52590000 PA USD 3978.89000000 0.000277267556 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177NVM9 222204.16750000 PA USD 244928.01000000 0.017067722599 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BR8 2528063.54000000 PA USD 2710823.57000000 0.188902791109 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BFQ0 211001.51880000 PA USD 210497.67000000 0.014668456414 Long ABS-CBDO USGA US N 2 2060-08-20 Variable 0.00443880 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J2XM0 82958.01430000 PA USD 88581.01000000 0.006172736659 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HHG3 1059.19220000 PA USD 1241.99000000 0.000086547638 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 313920CW8 66245.45190000 PA USD 75838.09000000 0.005284750742 Long ABS-CBDO USGSE US N 2 2031-07-25 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M8KV7 77309.50710000 PA USD 85045.12000000 0.005926339403 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LKV7 254377.02940000 PA USD 294554.94000000 0.020525957836 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEDD1 4125087.67700000 PA USD 4300856.84000000 0.299703702679 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E7ZV9 139548.00500000 PA USD 154471.66000000 0.010764303529 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298MDZ7 12822.46770000 PA USD 14998.08000000 0.001045135952 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132A5J97 3000974.91300000 PA USD 3145255.18000000 0.219176005709 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ASH2 100738.82370000 PA USD 106541.88000000 0.007424333595 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WN5F2 304877.69240000 PA USD 333596.77000000 0.023246574087 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374F2L7 232054.00590000 PA USD 259688.88000000 0.018096328656 Long ABS-CBDO USGA US N 2 2034-04-20 Fixed 0.05000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300MH89 36916.93860000 PA USD 38957.07000000 0.002714709779 Long ABS-MBS USGSE US N 2 2042-10-01 Variable 0.02664000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296XYZ1 106854.58470000 PA USD 122052.57000000 0.008505190596 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4FN4 1025277.59670000 PA USD 1096694.54000000 0.076422774943 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392CVK7 26746.90710000 PA USD 31197.19000000 0.002173965259 Long ABS-CBDO USGSE US N 2 2032-04-25 Fixed 0.06500000 N N N N N N BCAP LLC 2012-RR5 TR N/A 05539DBX7 65299.23450000 PA USD 64587.77000000 0.004500776132 Long ABS-CBDO CORP US N 2 2036-07-26 Variable 0.00551630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405SAG9 14597.03130000 PA USD 17362.74000000 0.001209916456 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RXE4 100061.43160000 PA USD 109803.96000000 0.007651650497 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYLF2 111475.46220000 PA USD 120879.22000000 0.008423426112 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946LH7 98297.73960000 PA USD 110138.81000000 0.007674984402 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 313988N52 2696.08620000 PA USD 2873.35000000 0.000200228388 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JWBD1 298644.56100000 PA USD 324631.30000000 0.022621818450 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CYL2 30745.27500000 PA USD 32690.26000000 0.002278009319 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MZ24 995.73240000 PA USD 1124.02000000 0.000078326940 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137BYKR0 862724.91470000 PA USD 913907.88000000 0.063685350555 Long ABS-CBDO USGSE US N 2 2047-05-15 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136ANY68 775760.14280000 PA USD 152802.79000000 0.010648008907 Long ABS-CBDO USGSE US N 2 2045-06-25 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DYH4 51581.10460000 PA USD 54674.28000000 0.003809958054 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJQU5 949893.67190000 PA USD 1038481.90000000 0.072366247511 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N LONDON CLEARING HOUSE N/A N/A 4399000.00000000 NC USD -41754.29000000 -0.00290963307 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2031-03-17 0.00000000 USD 0.00000000 USD 4130242.21000000 USD -41754.29000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ARH3 314240.61870000 PA USD 348003.60000000 0.024250508990 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N BAMLL COML MTG SECS TR 2020-JGDN N/A 05493DAA2 959000.00000000 PA USD 961121.60000000 0.066975422098 Long ABS-MBS CORP US N 2 2030-11-15 Variable 0.02862000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S5M5 2609749.34940000 PA USD 2823887.11000000 0.196781584298 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207UGA0 89.07710000 PA USD 100.14000000 0.000006978220 Long ABS-MBS USGA US N 2 2026-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XAB6 517970.28390000 PA USD 570948.44000000 0.039786342087 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XPDT7 125905.27300000 PA USD 138661.72000000 0.009662593397 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3133TDML7 65454.96350000 PA USD 74206.20000000 0.005171033059 Long ABS-CBDO USGSE US N 2 2028-04-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARLM1 30740.68160000 PA USD 33869.72000000 0.002360199576 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AWP8 582037.46950000 PA USD 612024.91000000 0.042648741514 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 0.02384000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5AR0 175874.42160000 PA USD 200850.14000000 0.013996171665 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SYE3 55278.15800000 PA USD 60559.19000000 0.004220045946 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F3P9 2899.04400000 PA USD 3241.15000000 0.000225858402 Long ABS-MBS USGA US N 2 2042-02-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206AM59 1186.82300000 PA USD 1308.21000000 0.000091162155 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F020638 98800000.00000000 PA USD 99740526.60000000 6.950383665694 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AKL3 1240.59880000 PA USD 1361.89000000 0.000094902827 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133TLBA5 16688.06470000 PA USD 18558.59000000 0.001293248844 Long ABS-CBDO USGSE US N 2 2029-06-15 Fixed 0.06000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38382BUU5 2486915.83100000 PA USD 2507624.88000000 0.174742961560 Long ABS-CBDO USGA US N 2 2049-12-20 Variable 0.00561130 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RVC0 124773.86610000 PA USD 136922.54000000 0.009541399247 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307UH50 61255.72400000 PA USD 66099.50000000 0.004606120508 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38375C5E6 245150.64180000 PA USD 52865.90000000 0.003683941727 Long ABS-CBDO USGA US N 2 2042-06-16 Variable 0.06592620 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QFA74 1421615.21300000 PA USD 1488409.52000000 0.103719296140 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GV3Q6 3224937.50500000 PA USD 3430966.51000000 0.239085699680 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QYU9 5694.33000000 PA USD 6309.35000000 0.000439664845 Long ABS-MBS USGA US N 2 2045-01-20 Fixed 0.04500000 N N N N N N LONDON CLEARING HOUSE N/A N/A 860000.00000000 NC USD -41644.80000000 -0.00290200330 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2051-03-17 0.00000000 USD 0.00000000 USD 726803.56000000 USD -41644.80000000 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397G6Z8 226707.81660000 PA USD 55663.25000000 0.003878874082 Long ABS-CBDO USGSE US N 2 2037-03-15 Variable 0.06637750 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SCA3 8765.71100000 PA USD 9712.46000000 0.000676809373 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AR3K5 51238.93830000 PA USD 56467.60000000 0.003934924930 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DWV2 1889.94680000 PA USD 2146.46000000 0.000149575313 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 5493007OD9MH69ES1S63 95000HBE1 900000.00000000 PA USD 950130.90000000 0.066209539018 Long ABS-MBS CORP US N 2 2049-10-15 Fixed 0.02684000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394EB64 10519.14490000 PA USD 14134.67000000 0.000984969528 Long ABS-CBDO USGSE US N 2 2035-08-25 Variable 0.17244162 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387QL81 185191.70460000 PA USD 213442.22000000 0.014873646350 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38381RQS1 1145640.41600000 PA USD 1157237.85000000 0.080641714297 Long ABS-CBDO USGA US N 2 2049-02-20 Variable 0.00561130 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298YEV9 235.20850000 PA USD 266.88000000 0.000018597439 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DZK0 380181.37650000 PA USD 407475.24000000 0.028394769396 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SJV0 6032.27300000 PA USD 6689.45000000 0.000466151980 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2XL8 48576.02430000 PA USD 53600.56000000 0.003735136251 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QHZQ6 7889.61720000 PA USD 8272.10000000 0.000576438391 Long ABS-MBS USGSE US N 2 2037-08-01 Variable 0.01970000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NNA2 125969.96540000 PA USD 137138.54000000 0.009556451132 Long ABS-MBS USGA US N 2 2043-09-20 Fixed 0.03500000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 128.00000000 NC USD -297273.60000000 -0.02071540670 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2021-06-21 20677273.60000000 USD -297273.60000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M3RR7 50199.92160000 PA USD 54881.63000000 0.003824407166 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293CM35 633.72400000 PA USD 649.80000000 0.000045281085 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YM5W5 114308.13420000 PA USD 125460.93000000 0.008742700969 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A8PY0 449672.44380000 PA USD 34202.04000000 0.002383357179 Long ABS-CBDO USGSE US N 2 2027-09-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X2JG0 189097.30930000 PA USD 202797.94000000 0.014131903426 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5VL0 1158844.69910000 PA USD 1292350.91000000 0.090057020565 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S2R7 4976437.63330000 PA USD 5457936.84000000 0.380334417255 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945T99 94146.62500000 PA USD 105546.49000000 0.007354970191 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BBF2 127636.75460000 PA USD 134989.27000000 0.009406680004 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AN2M4 17422.34720000 PA USD 18300.24000000 0.001275245815 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.02412000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L9KT1 692687.71990000 PA USD 748983.28000000 0.052192637563 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FFNR8 130342.25770000 PA USD 142448.49000000 0.009926473138 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31396UAR1 136023.65390000 PA USD 159647.62000000 0.011124988489 Long ABS-CBDO USGSE US N 2 2036-07-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YGLA8 338003.30160000 PA USD 371192.79000000 0.025866439574 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FQR6 346.58910000 PA USD 384.39000000 0.000026786082 Long ABS-MBS USGA US N 2 2025-07-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WBGV1 64837.39310000 PA USD 71447.10000000 0.004978766141 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NLD8 46458.97980000 PA USD 50650.65000000 0.003529572806 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.03500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8DB6 391605.87640000 PA USD 424089.07000000 0.029552498321 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 313921MN5 15296.91450000 PA USD 17794.08000000 0.001239974233 Long ABS-CBDO USGSE US N 2 2031-10-25 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QEAN2 3409104.68500000 PA USD 3639058.34000000 0.253586505977 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDY97 92256.78910000 PA USD 103370.16000000 0.007203313398 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QL66 123785.50070000 PA USD 136456.87000000 0.009508949196 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJVS6 5180.46300000 PA USD 5690.52000000 0.000396541893 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VSJ0 11871046.62100000 PA USD 12592450.12000000 0.877500476572 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDEK3 547979.39310000 PA USD 606581.84000000 0.042269443087 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2AG7 68510.65950000 PA USD 74906.00000000 0.005219798376 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205YBM3 1968.54100000 PA USD 2192.67000000 0.000152795441 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293KQ33 2331.64810000 PA USD 2653.36000000 0.000184898462 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128KLR66 4397.97560000 PA USD 5234.10000000 0.000364736425 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VXZ8 33723478.64000000 PA USD 35412111.01000000 2.467680553950 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E33N2 18181.87640000 PA USD 20207.74000000 0.001408169284 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYJF5 139764.98520000 PA USD 151549.70000000 0.010560687769 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406UNE4 1144.54090000 PA USD 1362.00000000 0.000094910493 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FCZM3 382733.45700000 PA USD 417111.99000000 0.029066302945 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396YMM1 190629.75480000 PA USD 38894.04000000 0.002710317556 Long ABS-CBDO USGSE US N 2 2038-03-25 Variable 0.06232370 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCUL8 30047.64330000 PA USD 6273.19000000 0.000437145048 Long ABS-CBDO USGSE US N 2 2035-07-25 Variable 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WJSM4 364690.13630000 PA USD 394390.14000000 0.027482938785 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCVU7 3147390.70500000 PA USD 3336085.59000000 0.232473955998 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBLF3 925920.80000000 PA USD 1006490.35000000 0.070136927553 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3133KYSK6 1410836.64200000 PA USD 1478225.68000000 0.103009638816 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M1UG2 5157.42920000 PA USD 5242.82000000 0.000365344075 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EJU4 100070.69520000 PA USD 112158.77000000 0.007815744607 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203XJ31 1021.90440000 PA USD 1090.68000000 0.000076003653 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ATJ7 4435950.84430000 PA USD 4852659.63000000 0.338155886852 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P73X9 320968.85640000 PA USD 342724.51000000 0.023882637452 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AXRF2 74906.52550000 PA USD 8161.38000000 0.000568722907 Long ABS-CBDO USGSE US N 2 2033-01-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223UNE4 115.25670000 PA USD 116.80000000 0.000008139167 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X6R86 52361.93900000 PA USD 55478.06000000 0.003865969181 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WSTY4 349378.15600000 PA USD 382507.49000000 0.026654900481 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31356DP83 287.42340000 PA USD 301.61000000 0.000021017587 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210APP6 7986.83210000 PA USD 9052.83000000 0.000630843288 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AWAE5 93796.11580000 PA USD 96402.46000000 0.006717771663 Long ABS-CBDO USGSE US N 2 2042-06-15 Fixed 0.01750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DWP8 186647.24500000 PA USD 197839.96000000 0.013786408326 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137A6ZL9 345326.80250000 PA USD 383206.08000000 0.026703581481 Long ABS-CBDO USGSE US N 2 2041-02-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615EH5 25.52190000 PA USD 26.24000000 0.000001828525 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K0JB5 5419744.35300000 PA USD 5771771.92000000 0.402203904895 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31398NFC3 1544211.12650000 PA USD 1718636.26000000 0.119762565889 Long ABS-CBDO USGSE US N 2 2040-09-25 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J82L3 164753.02310000 PA USD 180332.73000000 0.012566423135 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N 2021-03-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer