NPORT-P false 0000106444 XXXXXXXX S000002590 C000007105 C000007106 VANGUARD FIXED INCOME SECURITIES FUNDS 811-02368 0000106444 549300F3N7VQKU6I4K64 100 Vanguard Boulevard Malvern 19355 610-669-1000 VANGUARD SHORT-TERM FEDERAL FUND S000002590 K4A6QLIWM1594TB2F156 2022-01-31 2021-04-30 N 9470296342.30 1164142709.72 8306153632.58 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 974541679.70000000 0.00000000 0.00000000 0.00000000 USD N Freddie Mac REMICS N/A 3137FPQ32 18490824.87000000 PA USD 19014300.12000000 0.228918232928 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 2.50000000 N N N N N N Fannie Mae REMICS N/A 3136B04V5 13667778.60000000 PA USD 13999768.94000000 0.168546953972 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 3.50000000 N N N N N N Fannie Mae REMICS N/A 3136AGM66 3456978.97000000 PA USD 3485257.06000000 0.041959939752 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 2.12500000 N N N N N N Freddie Mac Gold Pool N/A 3128MCLJ2 766.09000000 PA USD 814.19000000 0.000009802250 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31418AG28 50906.42000000 PA USD 54629.44000000 0.000657698405 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31417KNM5 32227.19000000 PA USD 34413.67000000 0.000414315356 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31417YGK7 67178.97000000 PA USD 70783.45000000 0.000852180842 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31417Y3B1 3419.96000000 PA USD 3425.14000000 0.000041236174 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31418CTG9 600067.37000000 PA USD 633594.75000000 0.007628016263 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMTD5 1879994.43000000 PA USD 1943892.62000000 0.023403041961 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 2.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_06-20K N/A 83162CQR7 2900051.42000000 PA USD 3157169.98000000 0.038010011849 Long ABS-CBDO CORP US N 2 2026-11-01 Fixed 5.36000000 N N N N N N Freddie Mac Gold Pool N/A 31307JAA1 13491.49000000 PA USD 14499.72000000 0.000174565998 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PVTU4 235.20000000 PA USD 251.36000000 0.000003026190 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138LU7J8 5446.32000000 PA USD 5867.25000000 0.000070637388 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 3.50000000 N N N N N N N/A N/A N/A -86.00000000 NC USD -13523500.00000000 -0.16281302511 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A CBOT US Long Bond Future 2021-06-21 -13710745.56000000 USD 187245.56000000 N N N Fannie Mae Pool N/A 31417YPE1 26760.95000000 PA USD 28209.51000000 0.000339621818 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Freddie Mac Pool N/A 3131XBBW8 601397.68000000 PA USD 638857.42000000 0.007691374952 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_07-20I N/A 83162CRG0 2249696.43000000 PA USD 2494935.84000000 0.030037198327 Long ABS-CBDO CORP US N 2 2027-09-01 Fixed 5.56000000 N N N N N N Freddie Mac Pool N/A 3132D55Y4 2360461.58000000 PA USD 2485919.17000000 0.029928644231 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31419ANT0 68829.38000000 PA USD 72980.45000000 0.000878631111 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138WGU51 1652007.38000000 PA USD 1742790.80000000 0.020981923488 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PQ4C2 18617.61000000 PA USD 19640.12000000 0.000236452645 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PQCU3 1038.91000000 PA USD 1125.72000000 0.000013552843 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 5.00000000 N N N N N N Federal Farm Credit Banks Funding Corp N/A 3133EL6S8 275000000.00000000 PA USD 271817425.00000000 3.272482511445 Long DBT USGSE US N 2 2026-03-09 Fixed 0.68000000 N N N N N N Fannie Mae Pool N/A 31409VG49 217.14000000 PA USD 217.17000000 0.000002614567 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 5.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PGPN7 7948.26000000 PA USD 8129.84000000 0.000097877313 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3138AJBH4 4800.42000000 PA USD 5084.45000000 0.000061213050 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.00000000 N N N N N N Freddie Mac Strips N/A 3132J0P68 17702167.89000000 PA USD 18475752.63000000 0.222434515989 Long ABS-MBS CORP US N 2 2047-09-15 Fixed 2.50000000 N N N N N N Fannie Mae Principal Strip N/A 31358DDR2 122915000.00000000 PA USD 104226757.57000000 1.254813746295 Long DBT USGSE US N 2 2030-05-15 None 0.00000000 N N N N N N Fannie Mae Pool N/A 3140EYCM1 1029725.06000000 PA USD 1094257.41000000 0.013174056951 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCDW2 168747.21000000 PA USD 176622.09000000 0.002126400471 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307CKB3 87278.76000000 PA USD 91255.81000000 0.001098653047 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 2.50000000 N N N N N N Freddie Mac REMICS N/A 3137AKAM3 10296157.00000000 PA USD 10504551.22000000 0.126467095176 Long ABS-MBS USGSE US N 2 2039-12-15 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PRVT3 219297.31000000 PA USD 230574.15000000 0.002775943718 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 31418DLM2 9516324.80000000 PA USD 10020454.01000000 0.120638919688 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138A9PC2 23839.80000000 PA USD 25422.54000000 0.000306068742 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31418DAR3 104910.89000000 PA USD 112992.99000000 0.001360352757 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307NV68 2048887.09000000 PA USD 2178105.89000000 0.026222798016 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140X75T2 1646841.49000000 PA USD 1743350.02000000 0.020988656086 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCCZ6 3058.31000000 PA USD 3205.48000000 0.000038591629 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3138EJ5Z7 7858.84000000 PA USD 8340.97000000 0.000100419163 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138WDUX7 2258066.48000000 PA USD 2425509.79000000 0.029201359585 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.50000000 N N N N N N Fannie Mae REMICS N/A 3136AG6D9 2701262.81000000 PA USD 2733461.86000000 0.032908876730 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 2.10000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_05-20B N/A 83162CPH0 54462.65000000 PA USD 57312.14000000 0.000689996146 Long ABS-CBDO CORP US N 2 2025-02-01 Fixed 4.62500000 N N N N N N Fannie Mae Pool N/A 31418DN81 14085679.81000000 PA USD 14966458.78000000 0.180185190908 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31418AAX6 110884.19000000 PA USD 111542.55000000 0.001342890523 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31415MME2 103676.16000000 PA USD 106390.95000000 0.001280869036 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3138AHG34 1349.92000000 PA USD 1435.75000000 0.000017285377 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138AGL71 9806.75000000 PA USD 10401.57000000 0.000125227276 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 3.50000000 N N N N N N Resolution Funding Corp Interest Strip N/A 76116EHK9 4590000.00000000 PA USD 4146110.28000000 0.049916128010 Long DBT USGSE US N 2 2028-04-15 None 0.00000000 N N N N N N Fannie Mae Pool N/A 31419A6X0 2.90000000 PA USD 3.04000000 0.000000036599 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136AECF2 8382612.85000000 PA USD 8562000.76000000 0.103080211837 Long ABS-MBS USGSE US N 2 2032-11-25 Fixed 1.75000000 N N N N N N Resolution Funding Corp Interest Strip N/A 76116EHN3 15108000.00000000 PA USD 13013154.94000000 0.156668844758 Long DBT USGSE US N 2 2029-10-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380VSH5 11746436.50000000 PA USD 12106112.39000000 0.145748717463 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BPW39 3861747.84000000 PA USD 223338.78000000 0.002688835168 Long ABS-MBS USGSE US N 2 2026-03-25 Variable 1.49390000 N N N N N N Fannie Mae Pool N/A 31419CPC1 33473.32000000 PA USD 35622.84000000 0.000428872876 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31416WQU9 25780.46000000 PA USD 27315.32000000 0.000328856426 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380WWM7 1276785.20000000 PA USD 1303853.05000000 0.015697434789 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PVJ68 67.22000000 PA USD 71.93000000 0.000000865984 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 3.50000000 N N N N N N N/A N/A N/A 982.00000000 NC USD 30687.50000000 0.000369455001 N/A DE N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DIR US Long N/A US 10YR NOTE (CBT)Jun21 2021-06-21 0.00000000 USD 982.00000000 134.00000000 USD 2021-05-21 XXXX -186059.54000000 N N N Fannie Mae Pool N/A 3140F8UW5 2307586.61000000 PA USD 2445979.96000000 0.029447805424 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31418U5T7 34740.47000000 PA USD 36832.04000000 0.000443430757 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31415YW39 7042.56000000 PA USD 7349.87000000 0.000088487046 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138AS5S7 565387.84000000 PA USD 594156.53000000 0.007153209009 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138AP3G1 102462.91000000 PA USD 109297.23000000 0.001315858516 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4.00000000 N N N N N N Freddie Mac Pool N/A 3132DMJK2 10719704.10000000 PA USD 12616826.95000000 0.151897346330 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PUGK2 5219.53000000 PA USD 5487.39000000 0.000066064152 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 31306XT29 563288.77000000 PA USD 606755.12000000 0.007304886796 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_17-20L N/A 83162CZA4 2108451.68000000 PA USD 2225850.27000000 0.026797605347 Long ABS-CBDO CORP US N 2 2037-12-01 Fixed 2.78000000 N N N N N N Fannie Mae Pool N/A 31418BXS0 170929.61000000 PA USD 179163.79000000 0.002157000675 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307CSC3 38926.73000000 PA USD 40690.90000000 0.000489888603 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PKV76 2088.04000000 PA USD 2175.07000000 0.000026186248 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 5.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_08-20H N/A 83162CRY1 49885.29000000 PA USD 55488.90000000 0.000668045673 Long ABS-CBDO CORP US N 2 2028-08-01 Fixed 6.02000000 N N N N N N Fannie Mae Pool N/A 3138EJPE2 68.75000000 PA USD 71.42000000 0.000000859844 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 6.00000000 N N N N N N Fannie Mae Pool N/A 31412VJ41 156219.05000000 PA USD 165880.17000000 0.001997075630 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140X7XA2 566054.77000000 PA USD 597780.89000000 0.007196843646 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382AAF2 10977566.60000000 PA USD 11548729.39000000 0.139038234793 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31416MVX9 35091.72000000 PA USD 36517.38000000 0.000439642482 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31413GJE1 6250.87000000 PA USD 6412.74000000 0.000077204688 Long ABS-MBS USGSE US N 2 2022-07-01 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381ALK0 15630556.15000000 PA USD 16085249.03000000 0.193654605266 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMSE4 22501.82000000 PA USD 24166.84000000 0.000290951035 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307HS81 565132.63000000 PA USD 614985.92000000 0.007403979593 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138WFG67 151092.38000000 PA USD 158649.76000000 0.001910026794 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PKTE4 30366.65000000 PA USD 31718.89000000 0.000381872180 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31414C3W6 11194.64000000 PA USD 11491.12000000 0.000138344659 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 5.00000000 N N N N N N Freddie Mac Pool N/A 3132D54R0 5940270.41000000 PA USD 6254957.42000000 0.075305101454 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 3.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CAT8 40000000.00000000 PA USD 39143752.00000000 0.471262075462 Long DBT UST US N 2 2025-10-31 Fixed 0.25000000 N N N N N N Freddie Mac Gold Pool N/A 31307SD42 6766182.73000000 PA USD 7130616.10000000 0.085847389964 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 3138E4AG6 124999.99000000 PA USD 131268.30000000 0.001580374091 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PSL47 191264.85000000 PA USD 203642.44000000 0.002451705675 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3137EAEZ8 100000000.00000000 PA USD 100019000.00000000 1.204155430110 Long DBT USGSE US N 2 2023-11-06 Fixed 0.25000000 N N N N N N Freddie Mac Pool N/A 3131XCBE6 17770.63000000 PA USD 18973.72000000 0.000228429678 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31410LE81 2416.02000000 PA USD 2470.61000000 0.000029744333 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 5.50000000 N N N N N N Fannie Mae Pool N/A 3138WDAA9 3167649.98000000 PA USD 3375855.18000000 0.040642821326 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.00000000 N N N N N N Ginnie Mae II Pool N/A 36179U6K3 11092985.64000000 PA USD 11385670.74000000 0.137075128195 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136B65A7 12033388.54000000 PA USD 12598235.80000000 0.151673522514 Long ABS-MBS USGSE US N 2 2048-12-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379FUE7 1058588.78000000 PA USD 1121638.33000000 0.013503703153 Long ABS-MBS USGA US N 2 2045-11-20 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307HJV0 330669.05000000 PA USD 358583.24000000 0.004317079310 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31418BRA6 14614.24000000 PA USD 15630.98000000 0.000188185539 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.50000000 N N N N N N Fannie Mae REMICS N/A 3136AGSW3 6729808.00000000 PA USD 7190194.17000000 0.086564666246 Long ABS-MBS USGSE US N 2 2033-10-25 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138AJBU5 56524.01000000 PA USD 59660.54000000 0.000718269160 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.00000000 N N N N N N Freddie Mac Pool N/A 3132D54L3 85074.26000000 PA USD 89619.60000000 0.001078954278 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PKXU3 13532.35000000 PA USD 14110.64000000 0.000169881760 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3138AGGA0 10160.48000000 PA USD 10844.63000000 0.000130561394 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 3.50000000 N N N N N N Ginnie Mae II Pool N/A 36179UZH8 3151875.89000000 PA USD 3250800.98000000 0.039137260443 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136B7N49 4403981.22000000 PA USD 4498402.58000000 0.054157469016 Long ABS-MBS USGSE US N 2 2050-01-25 Fixed 2.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137F8ZX4 17514.42000000 PA USD 1114.52000000 0.000013418003 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 0.86600000 N N N N N N Freddie Mac Gold Pool N/A 3128PQXC0 13109.05000000 PA USD 13804.20000000 0.000166192447 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.50000000 N N N N N N Freddie Mac REMICS N/A 3137B3SN9 1712187.87000000 PA USD 1746294.65000000 0.021024107273 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3140XBAM2 404306.00000000 PA USD 428851.46000000 0.005163057161 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31418ADC9 15839.62000000 PA USD 17144.31000000 0.000206404922 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCHV0 42563.15000000 PA USD 44391.44000000 0.000534440391 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31418C2G8 4553412.26000000 PA USD 4874907.75000000 0.058690315224 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380ATX5 4357811.29000000 PA USD 4428930.77000000 0.053321079357 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 2.75000000 N N N N N N Fannie Mae Pool N/A 31411AN76 742.59000000 PA USD 750.34000000 0.000009033543 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 5.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_07-20C N/A 83162CQX4 680654.44000000 PA USD 744840.15000000 0.008967329319 Long ABS-CBDO CORP US N 2 2027-03-01 Fixed 5.23000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMNW9 7361.56000000 PA USD 7767.59000000 0.000093516088 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4.50000000 N N N N N N Fannie Mae REMICS N/A 3136AYWF6 2537995.29000000 PA USD 2624794.73000000 0.031600604155 Long ABS-MBS USGSE US N 2 2047-11-25 Fixed 3.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20A N/A 83162CZC0 10754421.83000000 PA USD 11485614.97000000 0.138278383449 Long ABS-MBS CORP US N 2 2038-01-01 Fixed 2.92000000 N N N N N N Fannie Mae REMICS N/A 3136AABJ3 17630809.27000000 PA USD 17814698.61000000 0.214475910247 Long ABS-MBS USGSE US N 2 2041-05-25 Fixed 1.75000000 N N N N N N Fannie Mae Pool N/A 31410K3V4 88035.79000000 PA USD 90775.50000000 0.001092870467 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140F1GQ9 810017.08000000 PA USD 858453.51000000 0.010335150876 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138AAYJ4 23764.47000000 PA USD 25214.84000000 0.000303568187 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N Fannie Mae Interest Strip N/A 3136FGS73 8574621.50000000 PA USD 7943872.34000000 0.095638398847 Long ABS-MBS CORP US N 2 2040-10-25 None 0.00000000 N N N N N N Freddie Mac REMICS N/A 3137FGYK5 747434.26000000 PA USD 789462.49000000 0.009504549577 Long ABS-MBS USGSE US N 2 2048-07-15 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31418QP23 97740.00000000 PA USD 103565.89000000 0.001246857385 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_06-20J N/A 83162CQP1 1461534.27000000 PA USD 1571193.19000000 0.018916014072 Long ABS-CBDO CORP US N 2 2026-10-01 Fixed 5.37000000 N N N N N N Fannie Mae Pool N/A 3140JXRE0 774216.86000000 PA USD 801602.54000000 0.009650706879 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CBR1 755300000.00000000 PA USD 754001790.36000000 9.077628752284 Long DBT UST US N 2 2024-03-15 Fixed 0.25000000 N N N N N N Fannie Mae Pool N/A 31412RJP3 6621.24000000 PA USD 6706.27000000 0.000080738574 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 5.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128MBT49 732.36000000 PA USD 778.44000000 0.000009371846 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3138YKYP2 344050.79000000 PA USD 361717.11000000 0.004354808808 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 3140K4N30 2264484.03000000 PA USD 2344584.72000000 0.028227081074 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380BCL7 887062.98000000 PA USD 904289.74000000 0.010886985480 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 2.75000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381VMD9 14719385.39000000 PA USD 14955337.14000000 0.180051294516 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 2.75000000 N N N N N N Freddie Mac Gold Pool N/A 3128MC5F8 1912.97000000 PA USD 2004.28000000 0.000024130061 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 5.00000000 N N N N N N Freddie Mac REMICS N/A 3137FBKV7 1808188.15000000 PA USD 1985137.44000000 0.023899599355 Long ABS-MBS USGSE US N 2 2047-11-15 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3140QARH5 0.01000000 PA USD 0.01000000 0.000000000120 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380ASF5 3299882.93000000 PA USD 3352120.08000000 0.040357068124 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 2.75000000 N N N N N N Freddie Mac REMICS N/A 3137FQA37 24457669.69000000 PA USD 25358445.66000000 0.305297093958 Long ABS-MBS USGSE US N 2 2049-10-25 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 3138WFT97 2292677.11000000 PA USD 2420044.04000000 0.029135555963 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 3.00000000 N N N N N N Freddie Mac Strips N/A 3134A4AB0 21820000.00000000 PA USD 18116491.40000000 0.218109274176 Long DBT USGSE US N 2 2031-03-15 None 0.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_06-20L N/A 83162CQS5 843879.16000000 PA USD 913397.93000000 0.010996641410 Long ABS-CBDO CORP US N 2 2026-12-01 Fixed 5.12000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_11-20H N/A 83162CUE1 53387.01000000 PA USD 56999.18000000 0.000686228337 Long ABS-CBDO CORP US N 2 2031-08-01 Fixed 3.29000000 N N N N N N Fannie Mae Pool N/A 31414U6C7 7.82000000 PA USD 7.82000000 0.000000094147 Long ABS-MBS USGSE US N 3 2022-03-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138ALNQ6 76524.62000000 PA USD 81007.10000000 0.000975266092 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 3.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTI SBAP_04-20G N/A 83162CNW9 108839.61000000 PA USD 114787.69000000 0.001381959629 Long ABS-CBDO CORP US N 2 2024-07-01 Fixed 5.19000000 N N N N N N Fannie Mae Pool N/A 3138AWBD4 70350.02000000 PA USD 74009.73000000 0.000891022888 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31418MJW3 877.09000000 PA USD 880.76000000 0.000010603704 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 5.50000000 N N N N N N Fannie Mae Pool N/A 31416LYV2 49809.71000000 PA USD 51961.56000000 0.000625579086 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137B53K7 1250287.36000000 PA USD 1269054.17000000 0.015278481787 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 2.25000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMKW2 76167.86000000 PA USD 79613.09000000 0.000958483234 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31417AXR5 10586.52000000 PA USD 11455.28000000 0.000137913172 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136AQVJ6 3022435.85000000 PA USD 3236303.41000000 0.038962720329 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PTJ63 139557.26000000 PA USD 147523.36000000 0.001776073096 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31418ACU0 11628.11000000 PA USD 12374.04000000 0.000148974369 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31419AYS0 14694.35000000 PA USD 15510.88000000 0.000186739623 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138EJKC1 3511.33000000 PA USD 3738.02000000 0.000045003020 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138A15F4 35116.69000000 PA USD 37460.11000000 0.000450992260 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_08-20C N/A 83162CRR6 64084.70000000 PA USD 70977.65000000 0.000854518868 Long ABS-CBDO CORP US N 2 2028-03-01 Fixed 5.49000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380W7M5 350000.00000000 PA USD 365813.00000000 0.004404120320 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 3.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25K N/A 83162CD83 8389415.27000000 PA USD 8793533.40000000 0.105867695072 Long ABS-CBDO CORP US N 2 2044-11-01 Fixed 2.48000000 N N N N N N Freddie Mac Gold Pool N/A 31306XRV7 2168.53000000 PA USD 2268.26000000 0.000027308187 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307NBU7 216043.65000000 PA USD 223482.10000000 0.002690560635 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.00000000 N N N N N N Freddie Mac Gold Pool N/A 31294NP45 5151.24000000 PA USD 5456.62000000 0.000065693704 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138ELT29 58191.37000000 PA USD 60866.01000000 0.000732782135 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2.50000000 N N N N N N Freddie Mac Pool N/A 3133JLD22 2644646.76000000 PA USD 2690404.97000000 0.032390503342 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138EMEP2 414454.12000000 PA USD 435621.37000000 0.005244561914 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PMJ84 185.08000000 PA USD 193.58000000 0.000002330561 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138WBPU3 2671314.39000000 PA USD 2874555.74000000 0.034607543601 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128MDT78 135142.93000000 PA USD 141665.73000000 0.001705551525 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 3138WQSM5 2068880.94000000 PA USD 2195980.36000000 0.026437993530 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PJ3S4 458.36000000 PA USD 496.20000000 0.000005973884 Long ABS-MBS USGSE US N 2 2023-02-01 Fixed 5.00000000 N N N N N N N/A N/A N/A -6544.00000000 NC USD -811047000.00000000 -9.76441125310 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A CBOT 5 Year US Treasury Note 2021-06-30 -811347626.15000000 USD 300626.15000000 N N N Freddie Mac Gold Pool N/A 3128PJ3H8 2786.03000000 PA USD 2872.39000000 0.000034581469 Long ABS-MBS USGSE US N 2 2023-03-01 Fixed 4.50000000 N N N N N N Freddie Mac Gold Pool N/A 31306XGP2 611731.67000000 PA USD 650104.74000000 0.007826784439 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307HN37 7706.01000000 PA USD 8354.49000000 0.000100581934 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3140X5XQ1 23091447.31000000 PA USD 26424803.95000000 0.318135265959 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION SBAP_08-20D N/A 83162CRS4 152667.61000000 PA USD 167549.65000000 0.002017174945 Long ABS-CBDO CORP US N 2 2028-04-01 Fixed 5.37000000 N N N N N N Freddie Mac Gold Pool N/A 3128PHAJ0 139.24000000 PA USD 142.84000000 0.000001719688 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 5.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_08-20J N/A 83162CSB0 63112.14000000 PA USD 69763.53000000 0.000839901753 Long ABS-CBDO CORP US N 2 2028-10-01 Fixed 5.63000000 N N N N N N Fannie Mae Pool N/A 3138YNLV7 1716894.95000000 PA USD 1805573.60000000 0.021737782370 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 3140QBYG7 6795448.63000000 PA USD 7161534.40000000 0.086219623628 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 3.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_07-20L N/A 83162CRL9 31747.69000000 PA USD 34891.98000000 0.000420073857 Long ABS-CBDO CORP US N 2 2027-12-01 Fixed 5.29000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F020455 88500000.00000000 PA USD 91417738.80000000 1.100602551359 Long ABS-MBS USGSE US N 2 2021-05-18 Fixed 2.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MBYW1 11899.68000000 PA USD 12379.86000000 0.000149044437 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3140K1TW6 2035262.24000000 PA USD 2147600.57000000 0.025855536328 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31417NJQ5 1193.69000000 PA USD 1244.72000000 0.000014985516 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136AF5B6 14762553.46000000 PA USD 15130436.29000000 0.182159359907 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307DBM7 85029.69000000 PA USD 89007.03000000 0.001071579384 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2.50000000 N N N N N N Resolution Funding Corp Interest Strip N/A 76116EGQ7 33485000.00000000 PA USD 29135398.96000000 0.350768842580 Long DBT USGSE US N 2 2029-07-15 None 0.00000000 N N N N N N Fannie Mae Pool N/A 31412QZY8 14698.66000000 PA USD 15508.53000000 0.000186711330 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCJ63 12656.28000000 PA USD 13286.68000000 0.000159961885 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136B5D36 5254863.82000000 PA USD 5442094.62000000 0.065518829300 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PRM63 17533.25000000 PA USD 18483.41000000 0.000222526705 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137FQ5M1 2751876.58000000 PA USD 2856117.66000000 0.034385562636 Long ABS-MBS USGSE US N 2 2049-10-25 Fixed 2.75000000 N N N N N N Fannie Mae Pool N/A 31419KYD1 30213.24000000 PA USD 31728.84000000 0.000381991971 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31418WQQ6 31713.19000000 PA USD 33756.76000000 0.000406406641 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PR3M9 106963.72000000 PA USD 113338.07000000 0.001364507267 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140QCNH5 1411959.35000000 PA USD 1486855.18000000 0.017900646265 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140QAZ37 4905637.84000000 PA USD 5170085.57000000 0.062244039764 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31416PFE2 3516.39000000 PA USD 3673.44000000 0.000044225524 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31412QBX6 39772.33000000 PA USD 41686.69000000 0.000501877184 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307QJZ1 2215933.57000000 PA USD 2344058.18000000 0.028220741918 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MB6E2 14555.62000000 PA USD 15470.51000000 0.000186253598 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 5.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMR47 2014054.97000000 PA USD 2163241.46000000 0.026043841177 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31417YZF7 13.31000000 PA USD 13.31000000 0.000000160242 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138A6FW5 75977.95000000 PA USD 80628.08000000 0.000970702969 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PVLM0 2609.50000000 PA USD 2761.92000000 0.000033251491 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128MBJN8 536.08000000 PA USD 547.42000000 0.000006590535 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381VXB1 9202074.22000000 PA USD 9383631.14000000 0.112972039226 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380Y3G8 1142657.70000000 PA USD 1185255.98000000 0.014269613017 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31417QKK9 67340.64000000 PA USD 70804.27000000 0.000852431499 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 4.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CBU4 550000000.00000000 PA USD 549656250.00000000 6.617458264244 Long DBT UST US N 2 2023-03-31 Fixed 0.12500000 N N N N N N Freddie Mac Gold Pool N/A 3128MCQV0 383285.35000000 PA USD 402818.18000000 0.004849635557 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138ER5Y2 3624420.55000000 PA USD 3834213.25000000 0.046161116439 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31417SFN5 53334.03000000 PA USD 56310.54000000 0.000677937616 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379XS35 2841272.35000000 PA USD 2877100.79000000 0.034638184137 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 2.75000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCAH8 3865.79000000 PA USD 4108.23000000 0.000049460077 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 5.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PPUM3 10311.74000000 PA USD 10725.52000000 0.000129127397 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138A6ZJ2 185255.99000000 PA USD 197095.92000000 0.002372890374 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137FRCP4 6327488.33000000 PA USD 6598178.28000000 0.079437228973 Long ABS-MBS USGSE US N 2 2049-12-25 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31418B2X3 508631.50000000 PA USD 535359.42000000 0.006445334912 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138WAAH0 9637.01000000 PA USD 10316.52000000 0.000124203337 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31412QKC2 3811.52000000 PA USD 3985.62000000 0.000047983942 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31419AMZ7 75743.65000000 PA USD 80164.17000000 0.000965117833 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N Israel Government AID Bond N/A 465139VE0 6905000.00000000 PA USD 6661784.49000000 0.080203001108 Long DBT NUSS IL N 2 2024-11-01 None 0.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCQ57 157672.27000000 PA USD 166972.11000000 0.002010221787 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25G N/A 83162CC68 10250908.09000000 PA USD 10842590.50000000 0.130536840270 Long ABS-CBDO CORP US N 2 2044-07-01 Fixed 2.69000000 N N N N N N Freddie Mac REMICS N/A 3137FQTC7 13286190.12000000 PA USD 13810064.60000000 0.166263052802 Long ABS-MBS USGSE US N 2 2049-07-25 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128Q0JD0 990.35000000 PA USD 1001.49000000 0.000012057205 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31418DJW3 5055737.25000000 PA USD 5216226.07000000 0.062799537556 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137FDWS7 2720490.30000000 PA USD 2778654.38000000 0.033452961538 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3.00000000 N N N N N N Freddie Mac Pool N/A 3131X7A73 37950.23000000 PA USD 40037.70000000 0.000482024553 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31418QP64 105596.81000000 PA USD 112346.99000000 0.001352575391 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138WEU49 1123272.81000000 PA USD 1194501.90000000 0.014380927115 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136AS5K8 12168079.78000000 PA USD 12290612.34000000 0.147969961593 Long ABS-MBS USGSE US N 2 2046-08-25 Fixed 1.85000000 N N N N N N Fannie Mae Pool N/A 31412SXL4 1332.42000000 PA USD 1383.95000000 0.000016661743 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138A7G69 87493.35000000 PA USD 93222.65000000 0.001122332358 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_13-20K N/A 83162CVX8 76786.82000000 PA USD 82361.54000000 0.000991572557 Long ABS-CBDO CORP US N 2 2033-11-01 Fixed 3.38000000 N N N N N N Freddie Mac REMICS N/A 3137FHKB8 22.28000000 PA USD 24.22000000 0.000000291591 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3135G06N8 180495000.00000000 PA USD 178712431.38000000 2.151566649080 Long DBT USGSE US N 2 2025-12-17 Fixed 0.65000000 N N N N N N Fannie Mae Pool N/A 31418DNB4 935992.37000000 PA USD 985573.48000000 0.011865582116 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140QCA22 31673082.19000000 PA USD 33688351.73000000 0.405583055890 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.50000000 N N N N N N Fannie Mae REMICS N/A 3136B3RX0 3451614.03000000 PA USD 3638277.32000000 0.043802191494 Long ABS-MBS USGSE US N 2 2046-12-25 Fixed 4.00000000 N N N N N N Freddie Mac Pool N/A 3132A8JF7 69661.36000000 PA USD 73511.36000000 0.000885022878 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140QCDW3 17214667.66000000 PA USD 18310050.73000000 0.220439586599 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PVM72 23754.66000000 PA USD 25340.32000000 0.000305078874 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140QAVG2 477545.42000000 PA USD 503287.12000000 0.006059207935 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_06-20H N/A 83162CQL0 615087.24000000 PA USD 670395.88000000 0.008071074888 Long ABS-CBDO CORP US N 2 2026-08-01 Fixed 5.70000000 N N N N N N Fannie Mae Pool N/A 3140K42E9 327987.41000000 PA USD 349415.48000000 0.004206706201 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380XH59 815864.74000000 PA USD 869605.75000000 0.010469415670 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31419BSF3 38077.97000000 PA USD 40155.55000000 0.000483443381 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138ERT75 937746.89000000 PA USD 991914.15000000 0.011941919134 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307HVY0 35732.57000000 PA USD 38235.53000000 0.000460327748 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMRA3 42683.74000000 PA USD 44130.05000000 0.000531293447 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCWP6 19648.09000000 PA USD 20602.17000000 0.000248035022 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31416BHJ0 891.07000000 PA USD 914.30000000 0.000011007501 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31418DKK7 902006.34000000 PA USD 950965.98000000 0.011448933189 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138Y1E92 101032.14000000 PA USD 108125.30000000 0.001301749338 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 3.50000000 N N N N N N Freddie Mac REMICS N/A 3137FQ5B5 3747682.74000000 PA USD 3903473.91000000 0.046994964007 Long ABS-MBS USGSE US N 2 2049-12-25 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31417JMX5 2354.93000000 PA USD 2466.92000000 0.000029699908 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_13-20G N/A 83162CVR1 63338.32000000 PA USD 67366.64000000 0.000811044955 Long ABS-CBDO CORP US N 2 2033-07-01 Fixed 3.15000000 N N N N N N Fannie Mae Pool N/A 3138A8WX0 10350.54000000 PA USD 10976.02000000 0.000132143233 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138WEP78 448291.75000000 PA USD 470494.56000000 0.005664409554 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128MBV53 22600.20000000 PA USD 23378.24000000 0.000281456869 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.50000000 N N N N N N Freddie Mac Coupon Strips N/A 3134A4CP7 4455000.00000000 PA USD 3698852.85000000 0.044531476464 Long DBT USGSE US N 2 2031-03-15 None 0.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PLQX3 74357.94000000 PA USD 77849.23000000 0.000937247653 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31374CPE0 2575.64000000 PA USD 2655.79000000 0.000031973764 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PRKU2 1281.31000000 PA USD 1342.51000000 0.000016162836 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31414DMT0 4732.97000000 PA USD 5033.18000000 0.000060595797 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_05-20C N/A 83162CPK3 39406.41000000 PA USD 41998.96000000 0.000505636686 Long ABS-CBDO CORP US N 2 2025-03-01 Fixed 4.95000000 N N N N N N Fannie Mae Pool N/A 31418DKE1 10356.66000000 PA USD 10394.58000000 0.000125143122 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138A8SR8 21068.73000000 PA USD 22363.64000000 0.000269241829 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXHL1 194850000.00000000 PA USD 193385702.25000000 2.328222072506 Long DBT USGSE US N 2 2025-12-30 Fixed 0.70000000 N N N N N N Fannie Mae Interest Strip N/A 31359YBB2 91000000.00000000 PA USD 86257899.00000000 1.038481863153 Long DBT USGSE US N 2 2026-05-15 None 0.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CBP5 3810000.00000000 PA USD 3772495.12000000 0.045418075403 Long DBT UST US N 2 2028-02-29 Fixed 1.12500000 N N N N N N Fannie Mae Pool N/A 31418BJJ6 602273.29000000 PA USD 624264.76000000 0.007515690024 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 31398NKF0 4194868.15000000 PA USD 4348987.61000000 0.052358622322 Long ABS-MBS USGSE US N 2 2040-06-25 Fixed 2.50000000 N N N N N N N/A N/A N/A -3447.00000000 NC USD -455111718.75000000 -5.47921142422 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A US 10YR NOTE (CBT)Jun21 2021-06-21 -456201888.54000000 USD 1090169.79000000 N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20J N/A 83162CZW6 23430577.13000000 PA USD 25993882.27000000 0.312947284866 Long ABS-CBDO CORP US N 2 2038-10-01 Fixed 3.77000000 N N N N N N Fannie Mae Pool N/A 3138AMK20 12950.15000000 PA USD 13801.93000000 0.000166165118 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136B6DU4 13965566.51000000 PA USD 14352133.39000000 0.172789163611 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PSAB3 33584.01000000 PA USD 35823.90000000 0.000431293491 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25L N/A 83162CNU3 387412.19000000 PA USD 409595.41000000 0.004931228437 Long ABS-CBDO CORP US N 2 2024-06-01 Fixed 5.52000000 N N N N N N Fannie Mae Pool N/A 3138WBGA7 2146782.02000000 PA USD 2302306.93000000 0.027718087478 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307CX86 18630.34000000 PA USD 19494.48000000 0.000234699246 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 2.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20K N/A 83162CZZ9 14463304.04000000 PA USD 16037345.42000000 0.193077880923 Long ABS-CBDO CORP US N 2 2038-11-01 Fixed 3.87000000 N N N N N N Fannie Mae Pool N/A 3138WAQM2 128992.44000000 PA USD 138094.59000000 0.001662557618 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022469 152000000.00000000 PA USD 158792500.00000000 1.911745279754 Long ABS-MBS USGSE US N 2 2021-06-17 Fixed 2.50000000 N N N N N N Fannie Mae REMICS N/A 3136A0A72 3745204.19000000 PA USD 4411625.82000000 0.053112740446 Long ABS-MBS USGSE US N 2 2041-09-25 Fixed 5.25000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380UKN2 250000.00000000 PA USD 261987.50000000 0.003154137421 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31418PTH8 3078.64000000 PA USD 3243.08000000 0.000039044305 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138ATGA2 25688.10000000 PA USD 26967.64000000 0.000324670614 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31416WTS1 9038.43000000 PA USD 9614.20000000 0.000115747919 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.00000000 N N N N N N Freddie Mac Pool N/A 3132A9QS9 500790.47000000 PA USD 531963.52000000 0.006404450766 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380UX32 1212052.90000000 PA USD 1248220.56000000 0.015027660397 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.00000000 N N N N N N Resolution Funding Corp Principal Strip N/A 76116FAB3 358296000.00000000 PA USD 307251002.06000000 3.699076800781 Long DBT USGSE US N 2 2030-01-15 None 0.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25E N/A 83162CB93 6041172.87000000 PA USD 6486467.72000000 0.078092315732 Long ABS-CBDO CORP US N 2 2044-05-01 Fixed 3.07000000 N N N N N N Freddie Mac Gold Pool N/A 3128MBZD2 15588.48000000 PA USD 16566.91000000 0.000199453450 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 5.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PRP45 25296.56000000 PA USD 26722.81000000 0.000321723040 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380XV87 15917865.01000000 PA USD 16315970.81000000 0.196432326341 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138XVDZ0 302016.67000000 PA USD 324494.59000000 0.003906676957 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31412PRP8 1433.98000000 PA USD 1499.76000000 0.000018056010 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138EGDG6 2065.20000000 PA USD 2115.54000000 0.000025469550 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 5.50000000 N N N N N N Private Export Funding Corp CYQE6SAYPFKNQJ6FMH60 742651DT6 8700000.00000000 PA USD 9363463.57000000 0.112729236469 Long DBT CORP US N 2 2024-01-15 Fixed 3.55000000 N N N N N N Fannie Mae REMICS N/A 3136ATHU1 23478425.36000000 PA USD 23452364.31000000 0.282349271966 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 1.75000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137F82T9 10753.48000000 PA USD 772.02000000 0.000009294554 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.97430000 N N N N N N Freddie Mac Gold Pool N/A 31307GZT9 287998.92000000 PA USD 312365.39000000 0.003760650281 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3137EAEP0 136000000.00000000 PA USD 140704240.00000000 1.693975890935 Long DBT USGSE US N 2 2025-02-12 Fixed 1.50000000 N N N N N N Freddie Mac Pool N/A 3132ABBW1 2578800.01000000 PA USD 2856565.40000000 0.034390953097 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MBQF7 35.90000000 PA USD 36.22000000 0.000000436062 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138WENH8 34200.90000000 PA USD 36189.83000000 0.000435699020 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.50000000 N N N N N N Freddie Mac Pool N/A 3133N3VN1 7758533.17000000 PA USD 7892775.97000000 0.095023236014 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31418CNV2 654029.98000000 PA USD 690171.42000000 0.008309157890 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380AZY6 3435949.63000000 PA USD 3485805.26000000 0.041966539678 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 2.75000000 N N N N N N Freddie Mac Gold Pool N/A 3128MB5P8 9640.14000000 PA USD 10078.40000000 0.000121336546 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31417Y3M7 81.23000000 PA USD 81.34000000 0.000000979273 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381YXL3 7245424.27000000 PA USD 7526909.00000000 0.090618465934 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31416LFL5 13060.21000000 PA USD 13663.86000000 0.000164502856 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140QHDE2 570001.35000000 PA USD 600937.60000000 0.007234848120 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31413UXU8 961.33000000 PA USD 978.67000000 0.000011782469 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 5.50000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CBM2 439563000.00000000 PA USD 437571252.13000000 5.268037066081 Long DBT UST US N 2 2024-02-15 Fixed 0.12500000 N N N N N N Freddie Mac Gold Pool N/A 3128MDDB6 14977.03000000 PA USD 15921.68000000 0.000191685354 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31418DLK6 116497.28000000 PA USD 122961.57000000 0.001480367152 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138EN3P2 2864931.92000000 PA USD 3101774.12000000 0.037343086309 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 3.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_12-20I N/A 83162CVA8 37749.72000000 PA USD 39223.09000000 0.000472217246 Long ABS-CBDO CORP US N 2 2032-09-01 Fixed 2.20000000 N N N N N N N/A N/A N/A 1002.00000000 NC USD 221199327.62000000 2.663077730134 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Long N/A CBOT 2 Year US Treasury Note Future 2021-06-30 221177057.26000000 USD 22270.36000000 N N N Fannie Mae Pool N/A 31416N3N0 10946.60000000 PA USD 11394.79000000 0.000137184917 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N Freddie Mac Pool N/A 3131XBWV7 266488.41000000 PA USD 283160.30000000 0.003409042410 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31418B5W2 868407.94000000 PA USD 912332.10000000 0.010983809598 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138WZSX1 2867581.27000000 PA USD 3005287.11000000 0.036181453449 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31416NDX7 2042.07000000 PA USD 2115.61000000 0.000025470393 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137ANJR7 4354942.80000000 PA USD 4402019.73000000 0.052997090166 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 2.25000000 N N N N N N Fannie Mae Pool N/A 31410GN82 1155.92000000 PA USD 1204.29000000 0.000014498768 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 4.50000000 N N N N N N Freddie Mac REMICS N/A 3137FPMR3 6332343.27000000 PA USD 6584243.89000000 0.079269469133 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 3.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25F N/A 83162CC35 9517381.45000000 PA USD 10135249.85000000 0.122020977438 Long ABS-CBDO CORP US N 2 2044-06-01 Fixed 2.77000000 N N N N N N Fannie Mae Pool N/A 31418WBE9 26227.62000000 PA USD 27661.50000000 0.000333024179 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.50000000 N N N N N N Fannie Mae REMICS N/A 3136A9YR3 8001569.20000000 PA USD 8065181.68000000 0.097098874361 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 1.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTI SBAP_05-20A N/A 83162CPG2 129968.37000000 PA USD 137238.80000000 0.001652254534 Long ABS-CBDO CORP US N 2 2025-01-01 Fixed 4.86000000 N N N N N N Fannie Mae REMICS N/A 3136B5BW4 9827909.47000000 PA USD 10114196.47000000 0.121767510178 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 3.50000000 N N N N N N Fannie Mae REMICS N/A 3136AMHN2 3920196.74000000 PA USD 3959829.93000000 0.047673449169 Long ABS-MBS USGSE US N 2 2044-12-25 Fixed 2.00000000 N N N N N N Fannie Mae Pool N/A 3138A2QV4 6560.92000000 PA USD 6998.85000000 0.000084261022 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138A32B2 192614.75000000 PA USD 204811.12000000 0.002465775725 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31419LJM6 25681.78000000 PA USD 27332.28000000 0.000329060612 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138AN7J6 20974.89000000 PA USD 22453.88000000 0.000270328252 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 3.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20B N/A 83162CZF3 16743548.05000000 PA USD 18074994.99000000 0.217609687823 Long ABS-CBDO CORP US N 2 2038-02-01 Fixed 3.22000000 N N N N N N Fannie Mae Pool N/A 3138WGNM2 1076354.46000000 PA USD 1135162.16000000 0.013666520151 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 3.00000000 N N N N N N SMALL BUSNIESS ADMINISTRATION PARTICIPANT SBAP_07-20E N/A 83162CRA3 1245320.89000000 PA USD 1352642.64000000 0.016284825682 Long ABS-CBDO CORP US N 2 2027-05-01 Fixed 5.31000000 N N N N N N Fannie Mae REMICS N/A 3136B26S6 1311969.27000000 PA USD 1322714.30000000 0.015924510411 Long ABS-MBS USGSE US N 2 2047-05-25 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138YXNL5 103707.33000000 PA USD 108926.44000000 0.001311394477 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Fannie Mae REMICS N/A 3136AEHM2 6403446.00000000 PA USD 6429764.16000000 0.077409646443 Long ABS-MBS USGSE US N 2 2041-06-25 Fixed 1.75000000 N N N N N N Fannie Mae REMICS N/A 3136ALF55 5139073.04000000 PA USD 5211996.49000000 0.062748616514 Long ABS-MBS USGSE US N 2 2044-06-25 Fixed 2.25000000 N N N N N N Freddie Mac REMICS N/A 3137FPY74 34345620.44000000 PA USD 35401404.81000000 0.426206959032 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 2.50000000 N N N N N N Freddie Mac REMICS N/A 3137B52H5 2497804.24000000 PA USD 2568616.99000000 0.030924265353 Long ABS-MBS USGSE US N 2 2043-06-15 Fixed 2.25000000 N N N N N N Freddie Mac REMICS N/A 3137FRTL5 8620423.70000000 PA USD 9086788.62000000 0.109398272918 Long ABS-MBS USGSE US N 2 2049-12-25 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31419FG59 96822.61000000 PA USD 101809.32000000 0.001225709570 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31417KVX2 40411.16000000 PA USD 42394.39000000 0.000510397373 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 31418BG75 986997.17000000 PA USD 1022439.25000000 0.012309418958 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 3.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20C N/A 83162CZH9 33285326.40000000 PA USD 35893897.43000000 0.432136209101 Long ABS-CBDO CORP US N 2 2038-03-01 Fixed 3.20000000 N N N N N N Freddie Mac REMICS N/A 3137BEWK6 16609068.75000000 PA USD 17253168.44000000 0.207715498691 Long ABS-MBS USGSE US N 2 2037-04-15 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 3138A5ET5 6828.28000000 PA USD 7142.07000000 0.000085985286 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 3.00000000 N N N N N N Freddie Mac Pool N/A 3131XBA25 132014.28000000 PA USD 140340.54000000 0.001689597209 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31413KSZ5 460.17000000 PA USD 471.08000000 0.000005671457 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 5.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMSV6 12821065.40000000 PA USD 13538806.59000000 0.162997305237 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31416PEA1 78876.41000000 PA USD 82164.29000000 0.000989197812 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMSH7 138788.71000000 PA USD 149089.29000000 0.001794925745 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3140H7F51 469568.33000000 PA USD 498932.79000000 0.006006784994 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31416XR77 46874.20000000 PA USD 49844.70000000 0.000600093643 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137AUTR0 21810544.94000000 PA USD 21920251.98000000 0.263903762796 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 1.25000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMNL3 361531.84000000 PA USD 378511.07000000 0.004556995773 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 31415SJ86 5479.49000000 PA USD 5610.66000000 0.000067548232 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31414KTE0 17785.05000000 PA USD 18254.22000000 0.000219767425 Long ABS-MBS USGSE US N 2 2023-01-01 Fixed 5.00000000 N N N N N N Fannie Mae REMICS N/A 3136B02X3 9940430.33000000 PA USD 10307132.80000000 0.124090322138 Long ABS-MBS USGSE US N 2 2048-03-25 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137FMJZ6 6993726.65000000 PA USD 7606610.00000000 0.091578007540 Long ABS-MBS USGSE US N 2 2049-07-15 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31418SFL8 128189.34000000 PA USD 136006.20000000 0.001637414933 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138LTEA2 46151.77000000 PA USD 48967.26000000 0.000589529909 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31417TNX2 16223.20000000 PA USD 16994.68000000 0.000204603487 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137F1G69 36035459.13000000 PA USD 1308206.08000000 0.015749842079 Long ABS-MBS USGSE US N 2 2027-04-25 Variable 0.81130000 N N N N N N Vanguard Cmt Funds-Vanguard Market Liquidity Fund 1I6HV0TLSTR3A4XQ6L78 N/A 1057437982.55000000 NS USD 1057437982.55000000 12.73077803909 Long STIV CORP US N 1 N N N Resolution Funding Corp Principal Strip N/A 76116FAC1 227307000.00000000 PA USD 194067442.78000000 2.336429728662 Long DBT USGSE US N 2 2030-04-15 None 0.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCYR0 56498.66000000 PA USD 60063.33000000 0.000723118457 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137BP3H0 3691922.75000000 PA USD 4029770.60000000 0.048515483559 Long ABS-MBS USGSE US N 2 2046-04-15 Fixed 3.50000000 N N N N N N Resolution Funding Corp Interest Strip N/A 76116EGR5 4155000.00000000 PA USD 3563157.65000000 0.042897805742 Long DBT USGSE US N 2 2030-01-15 None 0.00000000 N N N N N N Fannie Mae Pool N/A 3138M5ZD4 5938.14000000 PA USD 6383.61000000 0.000076853984 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-20C N/A 83162CB36 7818535.47000000 PA USD 8431977.76000000 0.101514830244 Long ABS-CBDO CORP US N 2 2039-03-01 Fixed 3.20000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_09-20J N/A 83162CSV6 1377993.74000000 PA USD 1483548.06000000 0.017860830964 Long ABS-CBDO CORP US N 2 2029-10-01 Fixed 3.92000000 N N N N N N Fannie Mae Pool N/A 31417DBD4 96999.44000000 PA USD 100306.25000000 0.001207613709 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 2.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PNBR8 13214.64000000 PA USD 13865.84000000 0.000166934547 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138AFMB3 30949.55000000 PA USD 33015.84000000 0.000397486507 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3135G05X7 130000000.00000000 PA USD 128120720.00000000 1.542479535864 Long DBT USGSE US N 2 2025-08-25 Fixed 0.37500000 N N N N N N Resolution Funding Corp Interest Strip N/A 76116EHM5 13171000.00000000 PA USD 11535938.89000000 0.138884246551 Long DBT USGSE US N 2 2029-04-15 None 0.00000000 N N N N N N Fannie Mae Pool N/A 31419EPE3 22668.18000000 PA USD 24218.10000000 0.000291568168 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31414EEH3 46715.82000000 PA USD 47942.31000000 0.000577190263 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 5.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCMQ5 28886.23000000 PA USD 30495.53000000 0.000367143823 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PQZR5 7805.76000000 PA USD 8218.55000000 0.000098945316 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.00000000 N N N N N N Freddie Mac Pool N/A 3132A63D3 135147.51000000 PA USD 141864.44000000 0.001707943848 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31374CPY6 981387.67000000 PA USD 1036567.76000000 0.012479515860 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31417QQ31 11421.51000000 PA USD 11963.55000000 0.000144032370 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31418NYJ3 12009.52000000 PA USD 12662.44000000 0.000152446494 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PLWF5 1584.23000000 PA USD 1651.42000000 0.000019881886 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 5.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307DM45 403182.53000000 PA USD 422067.48000000 0.005081383016 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381V3P3 2300000.00000000 PA USD 2496813.30000000 0.030059801569 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 3.50000000 N N N N N N Fannie Mae REMICS N/A 31398NDE1 8304992.10000000 PA USD 9362965.04000000 0.112723234533 Long ABS-MBS USGSE US N 2 2040-09-25 Fixed 5.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MBWR4 3437.82000000 PA USD 3654.62000000 0.000043998945 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 5.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CBC4 103930000.00000000 PA USD 102013790.63000000 1.228171246795 Long DBT UST US N 2 2025-12-31 Fixed 0.37500000 N N N N N N Freddie Mac Pool N/A 31329K5S9 564775.64000000 PA USD 594220.56000000 0.007153979883 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMMJ9 26751.63000000 PA USD 28461.97000000 0.000342661251 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31416YQP6 432.87000000 PA USD 433.43000000 0.000005218179 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 3.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_09-20A N/A 83162CSG9 40682.12000000 PA USD 45011.51000000 0.000541905579 Long ABS-CBDO CORP US N 2 2029-01-01 Fixed 5.72000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_05-20J N/A 83162CPV9 368698.56000000 PA USD 394946.21000000 0.004754862809 Long ABS-CBDO CORP US N 2 2025-10-01 Fixed 5.09000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMTR4 402471.96000000 PA USD 416135.04000000 0.005009960788 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PQKX8 40395.67000000 PA USD 42537.15000000 0.000512116099 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31410G3K7 1125.64000000 PA USD 1197.29000000 0.000014414493 Long ABS-MBS USGSE US N 2 2023-03-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38376MCK1 5780384.19000000 PA USD 5866454.11000000 0.070627806437 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 2.75000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380ADT1 2247289.24000000 PA USD 2287875.28000000 0.027544340993 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 2.75000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379DMZ4 0.08000000 PA USD 0.08000000 0.000000000963 Long ABS-MBS USGA US N 3 2043-09-20 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307NFQ2 1312586.24000000 PA USD 1357591.41000000 0.016344405245 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.00000000 N N N N N N Fannie Mae Pool N/A 31415A2G5 666.74000000 PA USD 692.07000000 0.000008332015 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 5.00000000 N N N N N N Freddie Mac REMICS N/A 3137FHNX7 4419948.45000000 PA USD 4838296.57000000 0.058249543459 Long ABS-MBS USGSE US N 2 2048-05-15 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140FF5J6 1548596.63000000 PA USD 1641334.65000000 0.019760465825 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 2.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_09-20D N/A 83162CSL8 35200.61000000 PA USD 37792.78000000 0.000454997363 Long ABS-CBDO CORP US N 2 2029-04-01 Fixed 4.31000000 N N N N N N Fannie Mae Pool N/A 31410LDT6 1550.28000000 PA USD 1564.22000000 0.000018832061 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 5.50000000 N N N N N N Fannie Mae Pool N/A 31417NAJ0 9053.81000000 PA USD 9541.37000000 0.000114871099 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138YHVT4 627777.01000000 PA USD 657810.93000000 0.007919561316 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31416RRP0 6498.06000000 PA USD 6793.83000000 0.000081792732 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PLUC4 31943.54000000 PA USD 32906.15000000 0.000396165920 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 5.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MBHC4 1831.64000000 PA USD 1871.74000000 0.000022534377 Long ABS-MBS USGSE US N 2 2022-07-01 Fixed 5.00000000 N N N N N N Fannie Mae REMICS N/A 3136ATR48 10677388.96000000 PA USD 11041701.47000000 0.132933990369 Long ABS-MBS USGSE US N 2 2044-09-25 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138WQCF7 2676558.95000000 PA USD 2766580.19000000 0.033307597142 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 2.00000000 N N N N N N Freddie Mac Gold Pool N/A 31306XJL8 287307.64000000 PA USD 303584.45000000 0.003654934202 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31418AAK4 6174.64000000 PA USD 6211.30000000 0.000074779498 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MDE25 44186.02000000 PA USD 46596.69000000 0.000560989984 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.00000000 N N N N N N Freddie Mac Pool N/A 3131X7MT2 2718668.26000000 PA USD 2866615.47000000 0.034511948572 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 3.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CAL5 14700000.00000000 PA USD 13951218.75000000 0.167962445280 Long DBT UST US N 2 2027-09-30 Fixed 0.37500000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25H N/A 83162CC84 10897328.61000000 PA USD 11340740.91000000 0.136534205983 Long ABS-CBDO CORP US N 2 2044-08-01 Fixed 2.31000000 N N N N N N Fannie Mae Pool N/A 3138AYDR7 37298.77000000 PA USD 39591.89000000 0.000476657328 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PV5X4 43489.42000000 PA USD 46358.01000000 0.000558116452 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307DM29 441667.15000000 PA USD 460921.76000000 0.005549160061 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128MDC76 24784.01000000 PA USD 26363.96000000 0.000317402749 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138YNB22 1628639.88000000 PA USD 1710118.45000000 0.020588572348 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3135G04Z3 110000000.00000000 PA USD 109319210.00000000 1.316123139971 Long DBT USGSE US N 2 2025-06-17 Fixed 0.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BNGU2 111413057.13000000 PA USD 5418484.90000000 0.065234585581 Long ABS-MBS USGSE US N 2 2026-01-25 Variable 1.30550000 N N N N N N Fannie Mae Pool N/A 3138WEQG7 3879771.84000000 PA USD 4126295.26000000 0.049677569697 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCU60 36985.19000000 PA USD 38907.03000000 0.000468412116 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136AD7B9 9293354.04000000 PA USD 9412123.10000000 0.113315061535 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 1.65000000 N N N N N N Freddie Mac Gold Pool N/A 3128PWLW6 55525.73000000 PA USD 59212.18000000 0.000712871235 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F012460 101500000.00000000 PA USD 102562583.20000000 1.234778306985 Long ABS-MBS USGSE US N 2 2021-06-17 Fixed 1.50000000 N N N N N N Fannie Mae Pool N/A 31416MY24 38839.10000000 PA USD 40524.49000000 0.000487885148 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137BF6L0 8107398.00000000 PA USD 8208821.55000000 0.098828193085 Long ABS-MBS USGSE US N 2 2044-06-15 Fixed 2.25000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BSP98 6819511.09000000 PA USD 297235.21000000 0.003578494007 Long ABS-MBS USGSE US N 2 2026-08-25 Variable 1.05140000 N N N N N N Fannie Mae REMICS N/A 3136AXM28 2494408.72000000 PA USD 2635018.54000000 0.031723691332 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MB6Q5 115751.95000000 PA USD 121689.65000000 0.001465054168 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31416PUN5 89922.40000000 PA USD 93738.79000000 0.001128546306 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140QCDR4 26952061.10000000 PA USD 27694501.44000000 0.333421492848 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31417AD63 34282.16000000 PA USD 35813.58000000 0.000431169246 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20D N/A 83162CZJ5 24562967.47000000 PA USD 26671943.86000000 0.321110649282 Long ABS-CBDO CORP US N 2 2038-04-01 Fixed 3.31000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCN76 928.51000000 PA USD 986.90000000 0.000011881552 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 5.00000000 N N N N N N SMALL_BUSINESS_ADMINISTRATION_PARTICIPATION_CERTIFICATES SBAP_10-20H N/A 83162CTL7 105411.12000000 PA USD 113257.92000000 0.001363542320 Long ABS-CBDO CORP US N 2 2030-08-01 Fixed 3.52000000 N N N N N N Fannie Mae Pool N/A 31411YCR2 432.46000000 PA USD 441.79000000 0.000005318827 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3138W9AB6 583193.03000000 PA USD 602820.22000000 0.007257513485 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2.00000000 N N N N N N Fannie Mae Pool N/A 31418ADZ8 2727.53000000 PA USD 2757.47000000 0.000033197917 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307HN45 32545.60000000 PA USD 35288.35000000 0.000424845862 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 3.50000000 N N N N N N Freddie Mac Pool N/A 3132D55F5 124266.29000000 PA USD 132036.59000000 0.001589623739 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.00000000 N N N N N N Freddie Mac Strips N/A 3128HXJS5 7050172.74000000 PA USD 7345081.47000000 0.088429395781 Long ABS-MBS CORP US N 2 2042-06-15 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140XARF1 5275248.02000000 PA USD 5389495.12000000 0.064885569884 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3.00000000 N N N N N N Freddie Mac Pool N/A 3131X65A4 8266.80000000 PA USD 8716.16000000 0.000104936176 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138A55C2 5057.17000000 PA USD 5347.55000000 0.000064380581 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 4.00000000 N N N N N N Fannie Mae Principal Strip N/A 31358DDG6 43650000.00000000 PA USD 37303551.90000000 0.449107415418 Long DBT USGSE US N 2 2030-01-15 None 0.00000000 N N N N N N Fannie Mae Pool N/A 31412PMR9 1295.82000000 PA USD 1357.23000000 0.000016340054 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136AG7C0 11251979.33000000 PA USD 11457102.91000000 0.137935119151 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 2.25000000 N N N N N N Fannie Mae Pool N/A 3140X64S7 1281148.99000000 PA USD 1362048.42000000 0.016398064377 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 3.00000000 N N N N N N United States Small Business Administration N/A 83162CE25 6610047.70000000 PA USD 6890578.12000000 0.082957508671 Long ABS-CBDO CORP US N 2 2044-12-01 Fixed 2.38000000 N N N N N N Freddie Mac REMICS N/A 3137F3MZ4 6199995.17000000 PA USD 6842376.67000000 0.082377198552 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138WBKD6 53801.12000000 PA USD 57655.13000000 0.000694125494 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCDC6 15056.60000000 PA USD 15813.30000000 0.000190380538 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 5.00000000 N N N N N N Tennessee Valley Authority Principal Strip N/A 88059FAV3 17342000.00000000 PA USD 16688778.89000000 0.200920662297 Long DBT USGA US N 2 2025-11-01 None 0.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PRWU9 111803.66000000 PA USD 118624.91000000 0.001428156945 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137FPZY4 2147335.92000000 PA USD 2207311.01000000 0.026574406249 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 2.25000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCGJ8 13560.74000000 PA USD 14286.80000000 0.000172002597 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38379FUM9 1293830.76000000 PA USD 1369649.24000000 0.016489572678 Long ABS-MBS USGA US N 2 2045-11-20 Fixed 3.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPAT SBAP_06-20D N/A 83162CQE6 408978.48000000 PA USD 443876.61000000 0.005343948952 Long ABS-CBDO CORP US N 2 2026-04-01 Fixed 5.64000000 N N N N N N Fannie Mae Pool N/A 31417Y4X2 15202.92000000 PA USD 16217.76000000 0.000195249940 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137FQJK0 11420775.44000000 PA USD 11636057.06000000 0.140089595915 Long ABS-MBS USGSE US N 2 2049-10-25 Fixed 2.50000000 N N N N N N Freddie Mac REMICS N/A 3137F3TU8 4488346.24000000 PA USD 4621380.82000000 0.055638036863 Long ABS-MBS USGSE US N 2 2045-10-15 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MDCM3 11852.06000000 PA USD 12433.51000000 0.000149690344 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140Q8DN2 319085.49000000 PA USD 351710.13000000 0.004234332105 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PMW55 42755.67000000 PA USD 44880.39000000 0.000540326991 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.50000000 N N N N N N Freddie Mac Gold Pool N/A 31323AEB4 11064988.08000000 PA USD 11850871.11000000 0.142675799584 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20F N/A 83162CZM8 13149318.90000000 PA USD 14423882.38000000 0.173652968847 Long ABS-CBDO CORP US N 2 2038-06-01 Fixed 3.60000000 N N N N N N CMC SECURITIES CORPORATION IV CMC4_97-NAM3 N/A 83162CTV5 200283.16000000 PA USD 217553.58000000 0.002619185601 Long ABS-CBDO CORP US N 2 2031-02-01 Fixed 4.22000000 N N N N N N Fannie Mae Pool N/A 31418DP55 33000008.44000000 PA USD 35063459.37000000 0.422138343703 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PSSZ1 61544.84000000 PA USD 64966.55000000 0.000782149631 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31417YBM8 39133.21000000 PA USD 40836.48000000 0.000491641279 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BPVP1 143727.30000000 PA USD 10577.18000000 0.000127341492 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 1.10110000 N N N N N N Fannie Mae REMICS N/A 3136B3EF3 1053236.92000000 PA USD 1150798.26000000 0.013854767331 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136B1HW7 2161884.51000000 PA USD 2223779.26000000 0.026772671905 Long ABS-MBS USGSE US N 2 2044-10-25 Fixed 3.50000000 N N N N N N Fannie Mae REMICS N/A 3136AEFW2 18607093.67000000 PA USD 18776604.29000000 0.226056549403 Long ABS-MBS USGSE US N 2 2041-12-25 Fixed 1.50000000 N N N N N N Fannie Mae Pool N/A 31414RQB4 8326.49000000 PA USD 8619.20000000 0.000103768848 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 4.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307HD79 504836.15000000 PA USD 542531.15000000 0.006531677284 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 31306XGU1 220652.31000000 PA USD 238717.91000000 0.002873988618 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20E N/A 83162CZL0 7295675.25000000 PA USD 7986429.78000000 0.096150759223 Long ABS-CBDO CORP US N 2 2038-05-01 Fixed 3.50000000 N N N N N N Resolution Funding Corp Interest Strip N/A 76116EGP9 13174000.00000000 PA USD 11604634.08000000 0.139711286274 Long DBT USGSE US N 2 2029-01-15 None 0.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PUTM4 51883.95000000 PA USD 55327.81000000 0.000666106268 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136A6EY6 20054602.12000000 PA USD 22494043.92000000 0.270811797072 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140J9JF9 23824956.16000000 PA USD 28402709.44000000 0.341947797938 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 6.00000000 N N N N N N Fannie Mae Pool N/A 31416XFD7 2710640.80000000 PA USD 2992270.14000000 0.036024738674 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31418SSZ3 12651.10000000 PA USD 13315.55000000 0.000160309459 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PVJD3 618647.26000000 PA USD 659968.75000000 0.007945539887 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380AUE5 9798400.47000000 PA USD 9944004.70000000 0.119718526045 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 2.75000000 N N N N N N Fannie Mae Pool N/A 31419AM95 9789.50000000 PA USD 10323.16000000 0.000124283277 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 31418DSA1 639539.58000000 PA USD 673353.00000000 0.008106676444 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31418WCN8 79786.06000000 PA USD 84716.20000000 0.001019920937 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PRQY8 673257.25000000 PA USD 707808.21000000 0.008521491912 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Private Export Funding Corp CYQE6SAYPFKNQJ6FMH60 742651DJ8 4430000.00000000 PA USD 4536331.47000000 0.054614105043 Long DBT CORP US N 2 2021-12-15 Fixed 4.30000000 N N N N N N SMALL BUSINESS ADMINSTRATION SBAP 2011-20I N/A 83162CA45 2044226.60000000 PA USD 2237099.38000000 0.026933036384 Long ABS-CBDO CORP US N 2 2043-12-01 Fixed 3.67000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BN6H2 10169365.63000000 PA USD 368178.83000000 0.004432603179 Long ABS-MBS USGSE US N 2 2025-12-25 Variable 1.02110000 N N N N N N Freddie Mac Gold Pool N/A 3128PSAR8 16847.56000000 PA USD 17937.26000000 0.000215951459 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137B1H21 11388136.80000000 PA USD 11672840.22000000 0.140532438193 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 1.75000000 N N N N N N Fannie Mae Pool N/A 3138AXCP4 5000.01000000 PA USD 5246.72000000 0.000063166662 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PQRE3 7176.92000000 PA USD 7579.03000000 0.000091245964 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION SBAP_02-20L N/A 83162CMR1 153426.10000000 PA USD 157209.59000000 0.001892688203 Long ABS-CBDO CORP US N 2 2022-12-01 Fixed 5.10000000 N N N N N N Freddie Mac Pool N/A 3132A9US4 429448.24000000 PA USD 454937.75000000 0.005477116968 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CAH4 2320000.00000000 PA USD 2223575.00000000 0.026770212764 Long DBT UST US N 2 2027-08-31 Fixed 0.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380WKW8 4000000.00000000 PA USD 4257880.00000000 0.051261753494 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMQ22 127790.26000000 PA USD 133718.71000000 0.001609875231 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381BL77 700000.00000000 PA USD 760599.00000000 0.009157054319 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31418MBN1 551.18000000 PA USD 559.42000000 0.000006735006 Long ABS-MBS USGSE US N 2 2022-04-01 Fixed 5.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307HPZ4 144949.25000000 PA USD 157217.33000000 0.001892781387 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PVRL6 2618.54000000 PA USD 2777.65000000 0.000033440869 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 3.50000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 912828Z52 265000000.00000000 PA USD 273198437.50000000 3.289108889443 Long DBT UST US N 2 2025-01-31 Fixed 1.37500000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380XT23 543610.63000000 PA USD 563637.25000000 0.006785779253 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PKL77 6132.32000000 PA USD 6401.39000000 0.000077068042 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 5.00000000 N N N N N N Freddie Mac REMICS N/A 3137A4PM3 14168128.43000000 PA USD 16222082.01000000 0.195301974025 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31418WWH9 81450.68000000 PA USD 86092.72000000 0.001036493229 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 3.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BRQL2 136443327.97000000 PA USD 7179729.78000000 0.086438682663 Long ABS-MBS USGSE US N 2 2026-07-25 Variable 1.30990000 N N N N N N Fannie Mae Pool N/A 31418XFS2 27232.09000000 PA USD 28783.06000000 0.000346526939 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 3.50000000 N N N N N N Fannie Mae REMICS N/A 3136ABRJ4 16177873.51000000 PA USD 16402584.17000000 0.197475087694 Long ABS-MBS USGSE US N 2 2041-07-25 Fixed 1.75000000 N N N N N N Freddie Mac REMICS N/A 3137BRMN2 964337.50000000 PA USD 985350.41000000 0.011862896517 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 2.75000000 N N N N N N Freddie Mac Gold Pool N/A 3128PSSU2 21175.81000000 PA USD 22298.12000000 0.000268453016 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4.50000000 N N N N N N Freddie Mac Gold Pool N/A 31294MBQ3 20289.16000000 PA USD 21490.06000000 0.000258724566 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CBH3 200000000.00000000 PA USD 196000000.00000000 2.359696300718 Long DBT UST US N 2 2026-01-31 Fixed 0.37500000 N N N N N N Freddie Mac Gold Pool N/A 3128PVTK6 71905.71000000 PA USD 76731.99000000 0.000923796902 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.00000000 N N N N N N Freddie Mac Pool N/A 3132A4SK5 1691516.59000000 PA USD 1938226.48000000 0.023334825789 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 5.00000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXEJ9 174650000.00000000 PA USD 173067321.70000000 2.083603667299 Long DBT USGSE US N 2 2025-11-24 Fixed 0.64000000 N N N N N N Fannie Mae Pool N/A 31418DK35 30638961.67000000 PA USD 31611567.93000000 0.380580101552 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138A6CZ1 69242.38000000 PA USD 72989.74000000 0.000878742956 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138WCKF9 225043.45000000 PA USD 243346.12000000 0.002929708873 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PVQW3 1847.04000000 PA USD 1961.86000000 0.000023619356 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_08-20B N/A 83162CRP0 70490.47000000 PA USD 77408.40000000 0.000931940383 Long ABS-CBDO CORP US N 2 2028-02-01 Fixed 5.16000000 N N N N N N Fannie Mae REMICS N/A 3136ACLS8 2660647.42000000 PA USD 2916548.49000000 0.035113105524 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3140X5ZC0 547418.42000000 PA USD 577010.11000000 0.006946778683 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31416W6T4 1014389.44000000 PA USD 1072859.86000000 0.012916446136 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31419H2W1 2777.13000000 PA USD 2954.61000000 0.000035571338 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140X4UU8 3544533.80000000 PA USD 3736913.02000000 0.044989693007 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31412QEP0 11812.13000000 PA USD 12391.60000000 0.000149185778 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.50000000 N N N N N N Freddie Mac REMICS N/A 3137BMGL4 3735183.99000000 PA USD 4027536.84000000 0.048488590726 Long ABS-MBS USGSE US N 2 2045-12-15 Fixed 3.50000000 N N N N N N Freddie Mac REMICS N/A 3137AUYN3 12722845.84000000 PA USD 12850328.76000000 0.154708536928 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3135G06K4 138500000.00000000 PA USD 137140899.50000000 1.651075883813 Long DBT USGSE US N 2 2025-12-17 Fixed 0.65000000 N N N N N N Freddie Mac Gold Pool N/A 3128MDXU2 186797.28000000 PA USD 198682.29000000 0.002391989105 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31417YZE0 7.28000000 PA USD 7.28000000 0.000000087645 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 3.50000000 N N N N N N Fannie Mae REMICS N/A 3136AX6D2 6724553.25000000 PA USD 6959172.91000000 0.083783339651 Long ABS-MBS USGSE US N 2 2046-08-25 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31417YY68 9837.57000000 PA USD 10489.21000000 0.000126282398 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20L N/A 83162CA37 19298332.85000000 PA USD 21101762.05000000 0.254049744122 Long ABS-CBDO CORP US N 2 2038-12-01 Fixed 3.54000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38378JCB6 3907352.34000000 PA USD 4006716.31000000 0.048237926809 Long ABS-MBS USGA US N 2 2042-12-20 Variable 2.04550000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FWHV5 12398.84000000 PA USD 1375.25000000 0.000016557001 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 1.53120000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CAU5 247000000.00000000 PA USD 235885000.00000000 2.839882458648 Long DBT UST US N 2 2027-10-31 Fixed 0.50000000 N N N N N N Fannie Mae Pool N/A 31410KAD6 240.96000000 PA USD 256.18000000 0.000003084219 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3140EAD42 1248101.82000000 PA USD 1323439.99000000 0.015933247186 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 31294MAX9 8225.30000000 PA USD 8684.10000000 0.000104550197 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_09-20K N/A 83162CSX2 740421.46000000 PA USD 799218.33000000 0.009622002738 Long ABS-CBDO CORP US N 2 2029-11-01 Fixed 4.09000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMLH4 33516.94000000 PA USD 35172.51000000 0.000423451233 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138EJLM8 13.61000000 PA USD 13.91000000 0.000000167466 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31418RFR7 21518.87000000 PA USD 22558.58000000 0.000271588764 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382A5Y7 53254665.36000000 PA USD 53261055.92000000 0.641224064422 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 1.50000000 N N N N N N Freddie Mac REMICS N/A 3137FLRN6 541571.39000000 PA USD 580667.43000000 0.006990810135 Long ABS-MBS USGSE US N 2 2049-05-15 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 31294MGR6 147410.62000000 PA USD 154313.86000000 0.001857825737 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138XUUP5 190277.41000000 PA USD 198993.14000000 0.002395731511 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31412MNP9 1000212.69000000 PA USD 1145723.63000000 0.013793672506 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3138WFLT1 94937.25000000 PA USD 99563.65000000 0.001198673349 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307HY27 58209.59000000 PA USD 61895.58000000 0.000745177403 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307G4N6 4908.40000000 PA USD 5223.47000000 0.000062886749 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31410LJR4 22794.93000000 PA USD 24093.97000000 0.000290073734 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PR3U1 36006.05000000 PA USD 38332.31000000 0.000461492908 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PSLY1 15878.43000000 PA USD 16617.19000000 0.000200058784 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.50000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022451 78000000.00000000 PA USD 81510000.00000000 0.981320640161 Long ABS-MBS USGSE US N 2 2021-05-18 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 3138AHQE9 90357.35000000 PA USD 96041.79000000 0.001156272737 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_09-20I N/A 83162CSU8 868338.43000000 PA USD 943484.44000000 0.011358860932 Long ABS-CBDO CORP US N 2 2029-09-01 Fixed 4.20000000 N N N N N N Fannie Mae Pool N/A 3138WEPX1 800748.33000000 PA USD 840558.49000000 0.010119707956 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31418SJB6 229171.37000000 PA USD 242232.47000000 0.002916301343 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31418DJK9 1200421.90000000 PA USD 1265021.76000000 0.015229934527 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31411YXW8 22978.92000000 PA USD 23462.26000000 0.000282468408 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 5.00000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F020463 137000000.00000000 PA USD 141340118.90000000 1.701631406691 Long ABS-MBS USGSE US N 2 2021-06-17 Fixed 2.00000000 N N N N N N Fannie Mae REMICS N/A 3136B2JD5 2389045.23000000 PA USD 2509620.34000000 0.030213988941 Long ABS-MBS USGSE US N 2 2048-07-25 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307AWS7 13087.70000000 PA USD 13703.47000000 0.000164979731 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 2.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-20A N/A 83162CA60 8000083.73000000 PA USD 8687610.93000000 0.104592466191 Long ABS-CBDO CORP US N 2 2039-01-01 Fixed 3.37000000 N N N N N N Fannie Mae Pool N/A 3140F8TS6 967298.45000000 PA USD 1025648.50000000 0.012348055975 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 3138A3L47 131272.52000000 PA USD 139993.68000000 0.001685421269 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38381RWP0 1500000.00000000 PA USD 1632570.00000000 0.019654945865 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FFXM4 114000000.00000000 PA USD 3134772.00000000 0.037740356591 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.40240000 N N N N N N Fannie Mae Pool N/A 31414EMW1 4601.40000000 PA USD 4766.68000000 0.000057387332 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3140J76W0 256286.31000000 PA USD 262006.49000000 0.003154366047 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136B0QY5 2586790.62000000 PA USD 2740112.29000000 0.032988943031 Long ABS-MBS USGSE US N 2 2045-11-25 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31417VRS4 8359.08000000 PA USD 8806.10000000 0.000106018987 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137FQRR6 2787700.86000000 PA USD 2943867.86000000 0.035442010709 Long ABS-MBS USGSE US N 2 2024-05-15 Fixed 6.50000000 N N N N N N Fannie Mae REMICS N/A 3136ATMR2 2004606.29000000 PA USD 2041871.92000000 0.024582640898 Long ABS-MBS USGSE US N 2 2046-09-25 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 3138XTUD5 160870.79000000 PA USD 169738.04000000 0.002043521556 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137AUXK0 11596168.80000000 PA USD 11969565.44000000 0.144104792295 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 2.00000000 N N N N N N Fannie Mae REMICS N/A 3136AA5D3 32118647.85000000 PA USD 32549358.92000000 0.391870417521 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 1.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PFNK7 4015.99000000 PA USD 4064.03000000 0.000048927941 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31412RLV7 603264.77000000 PA USD 638055.77000000 0.007681723674 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138XF5S0 28801.80000000 PA USD 30869.81000000 0.000371649879 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31371NHX6 1841.14000000 PA USD 1874.06000000 0.000022562308 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 5.50000000 N N N N N N Fannie Mae REMICS N/A 3136AGT77 1528656.71000000 PA USD 1546526.71000000 0.018619047737 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 2.25000000 N N N N N N SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_07-20D N/A 83162CQY2 490719.55000000 PA USD 535252.35000000 0.006444045868 Long ABS-CBDO CORP US N 2 2027-04-01 Fixed 5.32000000 N N N N N N Freddie Mac Gold Pool N/A 31294MHB0 12943.79000000 PA USD 13812.40000000 0.000166291169 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136AM4A4 8316267.64000000 PA USD 8445502.44000000 0.101677657476 Long ABS-MBS USGSE US N 2 2044-04-25 Fixed 1.75000000 N N N N N N Fannie Mae Pool N/A 3138A7W53 141188.34000000 PA USD 150356.48000000 0.001810181783 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380YZM0 4060721.78000000 PA USD 4183477.40000000 0.050366000739 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138ALCC9 76.81000000 PA USD 81.52000000 0.000000981441 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMM67 7229.01000000 PA USD 7678.95000000 0.000092448928 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138AP3B2 166917.36000000 PA USD 177329.11000000 0.002134912473 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31418CYF5 99125.68000000 PA USD 105202.73000000 0.001266563738 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMLZ4 54125.88000000 PA USD 57352.59000000 0.000690483134 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 4.00000000 N N N N N N N/A N/A N/A -6061.00000000 NC USD -882159609.38000000 -10.6205549331 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A Ultra 10-Year US Treasury Note Futures 2021-06-21 -895390241.19000000 USD 13230631.81000000 N N N Freddie Mac Gold Pool N/A 3128MBPU5 1579.91000000 PA USD 1626.31000000 0.000019579580 Long ABS-MBS USGSE US N 2 2023-01-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31418VSP8 213190.40000000 PA USD 225142.51000000 0.002710550755 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N SMALL BUSNIESS ADMINISTRATION PARTICIPANT SBAP_07-20G N/A 83162CRD7 486486.25000000 PA USD 536949.47000000 0.006464477949 Long ABS-CBDO CORP US N 2 2027-07-01 Fixed 5.82000000 N N N N N N Freddie Mac Gold Pool N/A 3128MCRH0 433.93000000 PA USD 453.65000000 0.000005461613 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31417QMZ4 2000.15000000 PA USD 2091.99000000 0.000025186025 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31418XZL5 194906.43000000 PA USD 205023.01000000 0.002468326725 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3140QBN61 4305665.03000000 PA USD 4537770.95000000 0.054631435327 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307HPH4 153771.07000000 PA USD 166770.83000000 0.002007798523 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 3138AGMB1 16999.56000000 PA USD 18145.66000000 0.000218460442 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31412NEC6 51901.40000000 PA USD 53274.14000000 0.000641381587 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 5.00000000 N N N N N N Freddie Mac Pool N/A 3131XATH4 52757.33000000 PA USD 56171.90000000 0.000676268493 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.50000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CAZ4 522200000.00000000 PA USD 513224687.50000000 6.178848961894 Long DBT UST US N 2 2025-11-30 Fixed 0.37500000 N N N N N N Freddie Mac Gold Pool N/A 3128PVG87 73049.83000000 PA USD 77932.09000000 0.000938245226 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION SBAP_05-20G N/A 83162CPR8 31771.93000000 PA USD 33592.78000000 0.000404432442 Long ABS-CBDO CORP US N 2 2025-07-01 Fixed 4.75000000 N N N N N N Fannie Mae Pool N/A 31417KXX0 9394.80000000 PA USD 9883.95000000 0.000118995511 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMSK0 306101.50000000 PA USD 328810.77000000 0.003958640600 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PLDZ2 9188.41000000 PA USD 9543.83000000 0.000114900716 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 5.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PTUX1 2094.39000000 PA USD 2217.87000000 0.000026701528 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128PUFD9 27903.85000000 PA USD 29879.05000000 0.000359721855 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 3.50000000 N N N N N N Fannie Mae Pool N/A 31410CJQ6 159.59000000 PA USD 159.61000000 0.000001921587 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 5.50000000 N N N N N N Fannie Mae Pool N/A 3138AG4A3 52262.03000000 PA USD 55918.69000000 0.000673220030 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380HHT2 4416297.38000000 PA USD 4541587.74000000 0.054677386680 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31413JV27 3813.34000000 PA USD 3914.35000000 0.000047125904 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 5.50000000 N N N N N N Fannie Mae Pool N/A 31410KFK5 1.58000000 PA USD 1.67000000 0.000000020105 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PUJ60 1734.76000000 PA USD 1848.57000000 0.000022255427 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136B8CK3 9202027.21000000 PA USD 9397202.21000000 0.113135424959 Long ABS-MBS USGSE US N 2 2049-12-25 Fixed 2.50000000 N N N N N N Federal Farm Credit Banks Funding Corp N/A 3133EMGX4 37000000.00000000 PA USD 36983165.00000000 0.445250192037 Long DBT USGSE US N 2 2022-11-23 Fixed 0.12500000 N N N N N N Fannie Mae Pool N/A 31417KVV6 31120.32000000 PA USD 32505.35000000 0.000391340582 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.00000000 N N N N N N Fannie Mae REMICS N/A 3136AUU90 2961257.33000000 PA USD 2992232.08000000 0.036024280459 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307SDG5 3444485.92000000 PA USD 3632803.89000000 0.043736295410 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N Fannie Mae Pool N/A 31418NYK0 10891.76000000 PA USD 11481.95000000 0.000138234259 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138WFNN2 6021687.23000000 PA USD 6385392.32000000 0.076875442021 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3138AAAY7 125236.02000000 PA USD 132347.96000000 0.001593372406 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128PRAZ2 26910.74000000 PA USD 28528.80000000 0.000343465835 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 4.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BGK32 20041278.02000000 PA USD 351373.71000000 0.004230281855 Long ABS-MBS USGSE US N 2 2024-12-25 Variable 0.65290000 N N N N N N Fannie Mae Pool N/A 31418UC28 88796.32000000 PA USD 93662.93000000 0.001127633007 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 31416NB43 10699.79000000 PA USD 11172.56000000 0.000134509431 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 3140XAXR8 1000000.00000000 PA USD 1058337.60000000 0.012741608773 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137AUZS1 6686386.14000000 PA USD 6794638.73000000 0.081802468754 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 1.50000000 N N N N N N Freddie Mac Gold Pool N/A 31307DM37 260942.41000000 PA USD 272931.85000000 0.003285899371 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2.50000000 N N N N N N Freddie Mac REMICS N/A 3137BGB81 18130394.15000000 PA USD 18572413.16000000 0.223598237903 Long ABS-MBS USGSE US N 2 2044-07-15 Fixed 2.25000000 N N N N N N Freddie Mac Gold Pool N/A 3128MC4Y8 101203.59000000 PA USD 107652.06000000 0.001296051876 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MBUF2 16869.36000000 PA USD 17399.74000000 0.000209480112 Long ABS-MBS USGSE US N 2 2023-03-01 Fixed 5.00000000 N N N N N N Fannie Mae Interest Strip N/A 31359YBA4 72402000.00000000 PA USD 69746077.43000000 0.839691637251 Long DBT USGSE US N 2 2025-11-15 None 0.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION SBAP_08-20F N/A 83162CRV7 52097.94000000 PA USD 57039.95000000 0.000686719178 Long ABS-CBDO CORP US N 2 2028-06-01 Fixed 5.68000000 N N N N N N Fannie Mae Pool N/A 31416YEA2 135600.59000000 PA USD 143803.75000000 0.001731291718 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.00000000 N N N N N N Fannie Mae Pool N/A 3138ETG26 2030824.62000000 PA USD 2327480.17000000 0.028021154832 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 5.00000000 N N N N N N Freddie Mac Pool N/A 3131X7F52 144692.76000000 PA USD 152521.94000000 0.001836252334 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136B6S46 7329438.54000000 PA USD 7450227.69000000 0.089695279181 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 2.50000000 N N N N N N Freddie Mac Strips N/A 3134A3U53 23050000.00000000 PA USD 19899963.95000000 0.239580976108 Long DBT USGSE US N 2 2029-09-15 None 0.00000000 N N N N N N N/A N/A N/A -215.00000000 NC USD -39969843.75000000 -0.48120761447 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A CME Ultra Long Term US Treasury Bond Future 2021-06-21 -40413704.25000000 USD 443860.50000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38380AXH5 3394448.80000000 PA USD 3442242.64000000 0.041442077672 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 2.75000000 N N N N N N Fannie Mae Pool N/A 31419AEE3 3029.25000000 PA USD 3108.65000000 0.000037425866 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 5.00000000 N N N N N N Fannie Mae Pool N/A 31416W2K7 16371.97000000 PA USD 17237.42000000 0.000207525899 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4.50000000 N N N N N N 2021-06-25 VANGUARD FIXED INCOME SECURITIES FUNDS Christine M. Buchanan Christine M. Buchanan Treasurer XXXX