Ginnie Mae II Pool

NPORT-P false 0000747677 XXXXXXXX S000005964 C000113855 C000075469 C000075471 C000075470 C000016427 C000152123 C000177603 DEUTSCHE DWS INCOME TRUST 811-04049 0000747677 PZIHX0V87XPKPHRF7Y22 875 Third Avenue NEW YORK 10022-6225 212-454-4500 DWS GNMA Fund S000005964 7ZTO776E5MK53FQ3GJ57 2020-09-30 2020-06-30 N 2079863813.95 613674322.22 1466189491.73 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 217254395.84000000 0.00000000 0.00000000 8651670.76000000 USD N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CQV8 866.91000000 PA USD 963.10000000 0.000065687280 Long ABS-MBS USGA US N 2 2026-08-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178NBQ1 3397300.52000000 PA USD 3724976.10000000 0.254058300172 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296VJ33 34476.03000000 PA USD 36594.14000000 0.002495867021 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 7.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AGZ70 2464905.46000000 PA USD 2434839.36000000 0.166065803481 Long ABS-MBS USGSE US N 2 2033-05-25 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202BSS5 24.97000000 PA USD 26.55000000 0.000001810816 Long ABS-MBS USGA US N 2 2023-10-20 Fixed 7.50000000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2017-4 46648UAE4 3238589.22000000 PA USD 3283407.41000000 0.223941545654 Long ABS-MBS CORP US N 2 2048-11-25 Variable 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2W24 6389326.19000000 PA USD 7510413.85000000 0.512240327212 Long ABS-MBS USGA US N 2 2035-12-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378EB85 5624121.44000000 PA USD 1121725.62000000 0.076506183295 Long ABS-MBS USGA US N 2 2042-05-16 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296XFG4 18686.70000000 PA USD 23022.47000000 0.001570224730 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36178FDF0 595057.73000000 PA USD 646201.70000000 0.044073545994 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296RWF0 16448.46000000 PA USD 19068.59000000 0.001300554267 Long ABS-MBS USGA US N 2 2038-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178DPF2 5284870.77000000 PA USD 5653860.92000000 0.385615976099 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AR3Q2 2770517.63000000 PA USD 3121259.79000000 0.212882428063 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2W57 5296782.29000000 PA USD 6062139.10000000 0.413462184403 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620AP5G6 1157590.08000000 PA USD 1323349.47000000 0.090257737998 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 5.00000000 N N N N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 Freddie Mac Strips 31282YBP3 53658.12000000 PA USD 4262.32000000 0.000290707307 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AL6V1 148896.44000000 PA USD 160739.08000000 0.010963049517 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290R5P4 34024.34000000 PA USD 38869.65000000 0.002651065924 Long ABS-MBS USGA US N 2 2033-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DVN8 45344.00000000 PA USD 53408.34000000 0.003642662855 Long ABS-MBS USGA US N 2 2032-12-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376UEH8 9059412.83000000 PA USD 2023039.18000000 0.137979380660 Long ABS-MBS USGA US N 2 2038-02-20 Floating 6.33000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296MMN5 6645.83000000 PA USD 7504.46000000 0.000511834250 Long ABS-MBS USGA US N 2 2038-09-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DXV8 62934.03000000 PA USD 76524.24000000 0.005219259886 Long ABS-MBS USGA US N 2 2033-05-20 Fixed 6.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31393M6A4 86957.00000000 PA USD 17182.28000000 0.001171900364 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179R4E6 29663660.65000000 PA USD 31694599.79000000 2.161698741450 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ECR8 84814.07000000 PA USD 102737.98000000 0.007007142022 Long ABS-MBS USGA US N 2 2035-02-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CBL6 47.36000000 PA USD 47.70000000 0.000003253331 Long ABS-MBS USGA US N 2 2022-06-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176B6F9 105029.63000000 PA USD 111598.36000000 0.007611455451 Long ABS-MBS USGA US N 2 2041-05-15 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241KFJ2 788824.54000000 PA USD 902565.19000000 0.061558563547 Long ABS-MBS USGA US N 2 2035-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DST9 1279.90000000 PA USD 1497.16000000 0.000102112312 Long ABS-MBS USGA US N 2 2032-04-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378YJL4 13669692.11000000 PA USD 1921506.38000000 0.131054436744 Long ABS-MBS USGA US N 2 2043-01-20 Floating 6.06000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31393F7F7 359282.16000000 PA USD 337442.54000000 0.023014933738 Long ABS-MBS USGSE US N 2 2032-01-15 None 0.00000000 N N N N N N New Jersey Turnpike Authority 5493005YN67D71KSMI84 NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE 646140CF8 2850000.00000000 PA USD 2872201.50000000 0.195895654429 Long DBT MUN US N 2 2021-01-01 Fixed 2.54000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295KX81 28909.99000000 PA USD 32208.58000000 0.002196754251 Long ABS-MBS USGA US N 2 2038-09-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DXD8 157633.52000000 PA USD 185218.55000000 0.012632647488 Long ABS-MBS USGA US N 2 2033-04-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36292LFC3 62313.42000000 PA USD 74269.82000000 0.005065499406 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 7.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Bill 9127962S7 3000000.00000000 PA USD 2998493.34000000 0.204509264110 Long STIV UST US N 2 2020-10-22 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296MTA6 23449.32000000 PA USD 27487.93000000 0.001874787000 Long ABS-MBS USGA US N 2 2038-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178NB65 4994977.25000000 PA USD 5464804.41000000 0.372721564356 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179M5M8 5649649.95000000 PA USD 6135225.56000000 0.418446973914 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296P7H8 83945.77000000 PA USD 95716.00000000 0.006528214841 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 7.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137A9MJ2 1885706.68000000 PA USD 18044.12000000 0.001230681307 Long ABS-MBS USGSE US N 2 2038-05-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E3J6 297016.84000000 PA USD 368574.53000000 0.025138260237 Long ABS-MBS USGA US N 2 2039-03-20 Fixed 6.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Long: BDW63PSU8 IRS USD R V 03MLIBOR BDW63PSW4 CCPVANILLA / Short: BDW63PSU8 IRS USD P F 1.74050 BDW63PSV6 CCPVANILLA 000000000 36600000.00000000 OU Notional Amount USD -3889646.70000000 -0.26528949511 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 ICE Libor USD 3 Months US0003M Index Y 2030-01-23 0.00000000 USD 0.00000000 USD 36600000.00000000 USD -3889646.70000000 N N N Freddie Mac N/A Freddie Mac REMICS 3137FLZK3 6827310.48000000 PA USD 7561793.98000000 0.515744658016 Long ABS-MBS USGSE US N 2 2049-04-15 Fixed 4.00000000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36292FVY0 2798.80000000 PA USD 3159.61000000 0.000215498066 Long ABS-MBS USGA US N 2 2035-09-15 Fixed 7.00000000 N N N N N N United Auto Credit Securitization Trust N/A United Auto Credit Securitization Trust 2019-1 90945QAA9 409105.35000000 PA USD 409334.74000000 0.027918269930 Long ABS-O CORP US N 2 2021-07-12 Fixed 2.82000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377VQ41 11427622.67000000 PA USD 11443657.34000000 0.780503298144 Long ABS-MBS USGA US N 2 2039-06-16 Floating 0.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178DLK5 5427053.11000000 PA USD 5950501.88000000 0.405848078543 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.50000000 N N N N N N Canadian Pacer Auto Receivables Trust 549300R5H05NC0BS7G21 Canadian Pacer Auto Receivables Trust 2019-1 13646BAG3 7170000.00000000 PA USD 7376219.24000000 0.503087716942 Long ABS-O CORP CA N 2 2023-10-19 Fixed 2.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RZT9 10117896.25000000 PA USD 10854463.72000000 0.740317931701 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 3.50000000 N N N N N N MVW Owner Trust N/A MVW Owner Trust 2019-1 55389PAA7 11870066.53000000 PA USD 12074262.54000000 0.823513100326 Long ABS-O CORP US N 2 2036-11-20 Fixed 2.89000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137AGZ60 5757556.63000000 PA USD 502962.18000000 0.034304036608 Long ABS-MBS USGSE US N 2 2041-02-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176SV23 214471.09000000 PA USD 230468.96000000 0.015718906819 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 4.25000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FG2J5 4945544.80000000 PA USD 509976.86000000 0.034782465900 Long ABS-MBS USGSE US N 2 2040-09-25 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620A9YU9 2842394.40000000 PA USD 3186846.41000000 0.217355698426 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2W40 2766118.94000000 PA USD 3224475.14000000 0.219922128632 Long ABS-MBS USGA US N 2 2035-01-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36195L3Q3 811595.52000000 PA USD 867161.86000000 0.059143914541 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290XLT5 25329.23000000 PA USD 26792.12000000 0.001827329970 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2WZ1 4829969.09000000 PA USD 5606805.62000000 0.382406616035 Long ABS-MBS USGA US N 2 2035-02-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DTF8 3672.85000000 PA USD 4447.10000000 0.000303310044 Long ABS-MBS USGA US N 2 2032-06-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178GQ56 3789075.28000000 PA USD 4063463.78000000 0.277144516648 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296JGD1 142693.60000000 PA USD 176485.68000000 0.012037030751 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 6.50000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AR4Q8 23520534.95000000 PA USD 4361390.69000000 0.297464326037 Long ABS-MBS USGSE US N 2 2046-05-25 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EU64 28149.14000000 PA USD 29736.96000000 0.002028179861 Long ABS-MBS USGA US N 2 2023-08-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379DDM3 9618562.07000000 PA USD 10795533.47000000 0.736298652451 Long ABS-MBS USGA US N 2 2044-07-16 Fixed 3.00000000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379QDS1 10688000.00000000 PA USD 11763684.89000000 0.802330459763 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294PZM8 31424.90000000 PA USD 37176.93000000 0.002535615635 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296LF39 13939.28000000 PA USD 15879.42000000 0.001083040090 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 6.50000000 N N N N N N New Residential Mortgage Loan Trust N/A New Residential Mortgage Loan Trust 2019-NQM3 64829PAA7 10992955.71000000 PA USD 11153597.97000000 0.760720086517 Long ABS-MBS CORP US N 2 2049-07-25 Variable 2.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CX32 1512.35000000 PA USD 1733.65000000 0.000118241878 Long ABS-MBS USGA US N 2 2027-10-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EGF0 102529.11000000 PA USD 125539.52000000 0.008562298441 Long ABS-MBS USGA US N 2 2035-12-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178NBP3 9714191.54000000 PA USD 10651142.31000000 0.726450596602 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176A5M7 2208523.73000000 PA USD 2390558.36000000 0.163045661797 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2XH0 2467634.46000000 PA USD 2894771.10000000 0.197434991611 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BDW55B286 IRS USD R V 03MLIBOR BDW55B2A1 CCPVANILLA / Short: BDW55B286 IRS USD P F 2.72350 BDW55B294 CCPVANILLA 000000000 13100000.00000000 OU Notional Amount USD -2433450.76000000 -0.16597109539 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-03-05 0.00000000 USD 0.00000000 USD 13100000.00000000 USD -2433450.76000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E5L9 12832.26000000 PA USD 15408.84000000 0.001050944648 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290QU52 47609.32000000 PA USD 52507.54000000 0.003581224684 Long ABS-MBS USGA US N 2 2033-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DMC2 58229.35000000 PA USD 70498.43000000 0.004808275492 Long ABS-MBS USGA US N 2 2031-03-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36291FVF2 214076.64000000 PA USD 243433.69000000 0.016603153369 Long ABS-MBS USGA US N 2 2034-03-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36291HVQ4 15856.74000000 PA USD 17231.75000000 0.001175274416 Long ABS-MBS USGA US N 2 2034-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379Q3N3 9820676.40000000 PA USD 10408520.78000000 0.709902835800 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 3.00000000 N N N N N N World Omni Auto Receivables Trust N/A World Omni Auto Receivables Trust 2020-B 98163WAG1 6090000.00000000 PA USD 6092617.48000000 0.415540932080 Long ABS-O CORP US N 2 2023-07-17 Fixed 0.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2W32 3164620.10000000 PA USD 3746418.48000000 0.255520756432 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DTE1 42452.05000000 PA USD 49598.12000000 0.003382790579 Long ABS-MBS USGA US N 2 2032-06-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200KT49 58304.53000000 PA USD 66118.95000000 0.004509577402 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 5.00000000 N N N N N N NRZ Excess Spread Collateralized Notes N/A NRZ Excess Spread-Collateralized Notes Series 2018-PLS1 40423XAC6 5631514.82000000 PA USD 5645324.42000000 0.385033752583 Long ABS-O CORP US N 2 2023-01-25 Fixed 3.59000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RQ28 9434251.00000000 PA USD 10121050.13000000 0.690296185253 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 3.50000000 N N N N N N GM Financial Automobile Leasing Trust N/A GM Financial Automobile Leasing Trust 2020-2 36259PAB2 2770000.00000000 PA USD 2771711.86000000 0.189041858206 Long ABS-O CORP US N 2 2022-10-20 Fixed 0.71000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200H2G8 233922.65000000 PA USD 265021.22000000 0.018075509440 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290TTJ8 349396.87000000 PA USD 440944.62000000 0.030074190443 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DXE6 93921.08000000 PA USD 113375.08000000 0.007732634876 Long ABS-MBS USGA US N 2 2033-04-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374UT27 382783.12000000 PA USD 94909.90000000 0.006473235590 Long ABS-MBS USGA US N 2 2035-08-16 Fixed 6.00000000 N N N N N N Verizon Owner Trust 54930074536XOX02QB08 Verizon Owner Trust 2018-1 92349FAB9 14027082.19000000 PA USD 14032216.10000000 0.957053380831 Long ABS-O CORP US N 2 2022-09-20 Floating 0.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H030674 386700000.00000000 PA USD 409615842.00000000 27.93744221401 Long ABS-MBS USGA US N 2 2050-07-21 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295WZF7 24797.78000000 PA USD 28525.45000000 0.001945550023 Long ABS-MBS USGA US N 2 2039-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241KZ68 2908999.38000000 PA USD 3321945.25000000 0.226569980806 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620A9PB1 64185.97000000 PA USD 73101.37000000 0.004985806433 Long ABS-MBS USGA US N 2 2034-01-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CPM9 6661.94000000 PA USD 7212.61000000 0.000491928911 Long ABS-MBS USGA US N 2 2026-06-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36291J7H7 28722.46000000 PA USD 31895.64000000 0.002175410489 Long ABS-MBS USGA US N 2 2034-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178NFK0 14538909.47000000 PA USD 15755523.96000000 1.074589884109 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375CQR4 4590853.14000000 PA USD 100682.92000000 0.006866978693 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 3.50000000 N N N N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 Freddie Mac Strips 31325VBS2 11572408.21000000 PA USD 2627725.44000000 0.179221407247 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296R4C8 19127.86000000 PA USD 23767.39000000 0.001621031260 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H022671 175300000.00000000 PA USD 184497991.00000000 12.58350247636 Long ABS-MBS USGA US N 2 2050-07-21 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CH97 1470.76000000 PA USD 1614.42000000 0.000110109914 Long ABS-MBS USGA US N 2 2025-08-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296RGF8 97311.47000000 PA USD 114703.74000000 0.007823254814 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380FWY8 5731733.00000000 PA USD 6328970.29000000 0.431661141052 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36178DJY8 187012.79000000 PA USD 202373.24000000 0.013802666104 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376XKB8 1812169.41000000 PA USD 2158034.72000000 0.147186617566 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 5.00000000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622AAGA6 12670015.31000000 PA USD 13549955.10000000 0.924161247671 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378W2U6 14689019.92000000 PA USD 2820158.74000000 0.192346129603 Long ABS-MBS USGA US N 2 2043-09-20 Floating 5.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378FBP4 13963659.50000000 PA USD 2032930.09000000 0.138653980366 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294UAM4 40681.45000000 PA USD 45334.79000000 0.003092014385 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176TDH8 106326.28000000 PA USD 113063.68000000 0.007711396148 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38373SWS2 1212739.85000000 PA USD 1403877.55000000 0.095750075820 Long ABS-MBS USGA US N 2 2033-03-16 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294NDR6 84877.36000000 PA USD 97400.83000000 0.006643127000 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36291AWE5 865.86000000 PA USD 953.76000000 0.000065050254 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 5.00000000 N N N N N N HPEFS Equipment Trust N/A HPEFS Equipment Trust 40438PAB8 29230000.00000000 PA USD 29225323.20000000 1.993284180854 Long ABS-O CORP US N 2 2030-07-22 Fixed 0.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176LHT5 136984.55000000 PA USD 145015.13000000 0.009890613104 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SLS4 25776505.68000000 PA USD 27541308.58000000 1.878427634036 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N Sequoia Mortgage Trust N/A Sequoia Mortgage Trust 2019-CH1 81747MAA7 11605324.58000000 PA USD 12021715.50000000 0.819929181583 Long ABS-MBS CORP US N 2 2049-03-25 Variable 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379EDQ2 4587019.00000000 PA USD 5231959.01000000 0.356840574803 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BDW5DDSG7 IRS USD R V 03MLIBOR BDW5DDSJ1 CCPVANILLA / Short: BDW5DDSG7 IRS USD P F 2.17850 BDW5DDSH5 CCPVANILLA 000000000 15800000.00000000 OU Notional Amount USD -814745.96000000 -0.05556894007 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2023-02-21 0.00000000 USD 0.00000000 USD 15800000.00000000 USD -814745.96000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SNV5 7349125.82000000 PA USD 7852287.83000000 0.535557502921 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SQW0 9893862.67000000 PA USD 10571251.52000000 0.721001724512 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AQ6G3 150286.28000000 PA USD 161779.47000000 0.011034008285 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36292J3L1 8098.32000000 PA USD 9267.67000000 0.000632092239 Long ABS-MBS USGA US N 2 2036-01-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36205UAH3 1040960.67000000 PA USD 1190547.03000000 0.081200079301 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EPP8 26755.15000000 PA USD 32802.41000000 0.002237255838 Long ABS-MBS USGA US N 2 2037-09-20 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294TZ24 180954.24000000 PA USD 209685.19000000 0.014301370401 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FNAQ3 64800000.00000000 PA USD 4333318.56000000 0.295549694254 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 1.02000000 N N N N N N DWS 5493003GD84DGSXJ7618 DWS Central Cash Management Government Fund 25160K306 232499214.40000000 NS USD 232499214.40000000 15.85737830692 Long STIV RF US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FY59 8809295.67000000 PA USD 9618650.85000000 0.656030540680 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D6G1 23435.80000000 PA USD 28786.95000000 0.001963385371 Long ABS-MBS USGA US N 2 2034-06-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A2V58 7568806.45000000 PA USD 8087009.02000000 0.551566428869 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR ULTRA FUT SEP20 XCBT 20200921 000000000 125.00000000 NC USD 116866.25000000 0.007970746664 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US 10 Year Ultra Bond UXYU0 Comdty 2020-09-21 19568680.63000000 USD 116866.25000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296XM27 14390.65000000 PA USD 16139.16000000 0.001100755399 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 6.50000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A Americredit Automobile Receivables Trust 2019-2 03066KAG5 2040000.00000000 PA USD 2099888.28000000 0.143220797301 Long ABS-O CORP US N 2 2025-04-18 Fixed 2.74000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290UDT0 700655.89000000 PA USD 894358.94000000 0.060998864406 Long ABS-MBS USGA US N 2 2037-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295NNM5 6695.00000000 PA USD 8056.85000000 0.000549509462 Long ABS-MBS USGA US N 2 2038-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290SYJ4 491014.99000000 PA USD 561545.60000000 0.038299660662 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DZH7 160520.52000000 PA USD 189535.42000000 0.012927075324 Long ABS-MBS USGA US N 2 2033-09-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290YBT4 19898.75000000 PA USD 22222.99000000 0.001515696990 Long ABS-MBS USGA US N 2 2037-04-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294TYK5 27310.85000000 PA USD 33529.64000000 0.002286855838 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620ASEZ8 4098035.81000000 PA USD 4616839.19000000 0.314886937605 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EVQ9 109362.78000000 PA USD 135436.52000000 0.009237313509 Long ABS-MBS USGA US N 2 2038-08-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36206C6P9 148843.92000000 PA USD 161999.17000000 0.011048992706 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 4.49000000 N N N N N N GM Financial Securitized Term Auto Receivables Tr N/A GM Financial Consumer Automobile Receivables Trust 2020-1 36258NAB8 8806493.97000000 PA USD 8877374.80000000 0.605472542947 Long ABS-O CORP US N 2 2023-01-17 Fixed 1.83000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136ABJ87 949894.77000000 PA USD 1063450.98000000 0.072531619275 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.50000000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ET58 161353.33000000 PA USD 200393.63000000 0.013667648767 Long ABS-MBS USGA US N 2 2038-06-20 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379LMZ6 14162957.37000000 PA USD 397444.17000000 0.027107285398 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31398SBJ1 9404290.31000000 PA USD 1602431.73000000 0.109292266725 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36180KB42 1177597.98000000 PA USD 1288628.70000000 0.087889642318 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CTR4 390.58000000 PA USD 437.32000000 0.000029826976 Long ABS-MBS USGA US N 2 2027-01-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DMT5 2585.65000000 PA USD 3139.99000000 0.000214159903 Long ABS-MBS USGA US N 2 2031-04-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36180CYS2 6135657.11000000 PA USD 6712776.53000000 0.457838264962 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2XF4 4992344.02000000 PA USD 5799146.45000000 0.395525031567 Long ABS-MBS USGA US N 2 2034-01-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202B7A7 92.29000000 PA USD 97.99000000 0.000006683310 Long ABS-MBS USGA US N 2 2024-07-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178FZ33 480476.61000000 PA USD 525670.20000000 0.035852814589 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241LYS9 1288968.99000000 PA USD 1446242.55000000 0.098639538624 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 4.55000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 Avis Budget Rental Car Funding AESOP LLC 05377RCA0 4600000.00000000 PA USD 4599447.08000000 0.313700725993 Long ABS-O CORP US N 2 2021-12-20 Fixed 2.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376UGB9 4135000.00000000 PA USD 4603781.52000000 0.313996352174 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36205UAC4 3086133.83000000 PA USD 3529612.19000000 0.240733698468 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620ARVE8 1886644.91000000 PA USD 2125943.27000000 0.144997852050 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380FAM8 3495516.00000000 PA USD 3896112.69000000 0.265730501546 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290WJ86 286973.45000000 PA USD 329758.94000000 0.022490881421 Long ABS-MBS USGA US N 2 2033-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DU90 36024.00000000 PA USD 43711.76000000 0.002981317233 Long ABS-MBS USGA US N 2 2032-11-20 Fixed 6.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137ATUR1 4940192.24000000 PA USD 5061611.00000000 0.345222157746 Long ABS-MBS USGSE US N 2 2042-09-15 Fixed 3.00000000 N Y N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416WTV4 484830.20000000 PA USD 532812.93000000 0.036339977404 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A26K3 29297137.21000000 PA USD 31673869.81000000 2.160284873725 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36292DVW9 123630.68000000 PA USD 144783.88000000 0.009874840927 Long ABS-MBS USGA US N 2 2037-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210BW43 140585.34000000 PA USD 170330.22000000 0.011617203708 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FJP2 259992.32000000 PA USD 287434.51000000 0.019604185654 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EWF2 1231188.39000000 PA USD 1524668.93000000 0.103988532082 Long ABS-MBS USGA US N 2 2038-09-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E2D0 282301.40000000 PA USD 347934.67000000 0.023730539058 Long ABS-MBS USGA US N 2 2039-02-20 Fixed 6.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137FUQ98 15000000.00000000 PA USD 14997645.00000000 1.022899501366 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 0.52000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136ABK69 1244000.00000000 PA USD 1237864.65000000 0.084427330640 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EZJ1 703035.96000000 PA USD 863133.32000000 0.058869151966 Long ABS-MBS USGA US N 2 2039-01-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ENM7 31532.04000000 PA USD 38634.71000000 0.002635042074 Long ABS-MBS USGA US N 2 2037-06-20 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MNH9 16202855.67000000 PA USD 17615522.54000000 1.201449242363 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376MZ83 2661827.06000000 PA USD 2916863.98000000 0.198941814578 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 3.00000000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DRK9 1064.03000000 PA USD 1184.50000000 0.000080787647 Long ABS-MBS USGA US N 2 2032-01-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2WV0 6250958.71000000 PA USD 7001332.04000000 0.477518907309 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374CF63 548655.08000000 PA USD 593894.35000000 0.040505975070 Long ABS-MBS USGA US N 2 2033-10-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2Y71 3925447.92000000 PA USD 4698117.74000000 0.320430460489 Long ABS-MBS USGA US N 2 2039-01-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36291Y3V7 51483.19000000 PA USD 57425.20000000 0.003916628807 Long ABS-MBS USGA US N 2 2036-01-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379CDS2 626622.00000000 PA USD 795708.87000000 0.054270534230 Long ABS-MBS USGA US N 2 2044-06-20 Floating 15.71000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36177WFG0 109933.62000000 PA USD 114209.68000000 0.007789557942 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 2.99000000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2017-2 46648HAF0 6753160.20000000 PA USD 6854246.90000000 0.467487111226 Long ABS-MBS CORP US N 2 2047-05-25 Variable 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36291QYC2 54586.07000000 PA USD 64340.93000000 0.004388309312 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300CFP9NBBMZH1008 Wells Fargo Commercial Mortgage Trust 2016-NXS6 95000KBB0 2370000.00000000 PA USD 2522774.23000000 0.172063314068 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 2.92000000 N N N N N N FannieMae Whole Loan N/A Fannie Mae REMIC Trust 2007-W8 31396XVS0 229464.27000000 PA USD 67556.83000000 0.004607646581 Long ABS-MBS USGSE US N 2 2037-09-25 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2W73 5321877.39000000 PA USD 6214318.39000000 0.423841421934 Long ABS-MBS USGA US N 2 2035-02-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DT92 131.94000000 PA USD 140.17000000 0.000009560155 Long ABS-MBS USGA US N 2 2032-08-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36292LLW2 205298.17000000 PA USD 236717.27000000 0.016145066605 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294R5J4 227444.43000000 PA USD 269456.73000000 0.018378029001 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379PS24 10000000.00000000 PA USD 11197086.80000000 0.763686199032 Long ABS-MBS USGA US N 2 2045-01-20 Fixed 3.00000000 N N N N N N CNH Equipment Trust N/A CNH Equipment Trust 2020-A 12597PAB4 4310000.00000000 PA USD 4320277.63000000 0.294660250558 Long ABS-O CORP US N 2 2023-07-17 Fixed 1.08000000 N N N N N N New Residential Mortgage Loan Trust N/A New Residential Mortgage Loan Trust 2019-NQM2 64830QAA2 4280997.83000000 PA USD 4365394.71000000 0.297737416249 Long ABS-MBS CORP US N 2 2049-04-25 Variable 3.60000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136B3XD7 3321042.14000000 PA USD 3322946.49000000 0.226638269387 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 0.58000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295GQV7 31529.38000000 PA USD 35422.40000000 0.002415949657 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36177U3L6 3188105.37000000 PA USD 3487978.31000000 0.237894100979 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 3.50000000 N N N N N N Nissan Auto Receivables Owner Trust N/A Nissan Auto Receivables 2020-A Owner Trust 65479MAB2 8820000.00000000 PA USD 8895650.90000000 0.606719046219 Long ABS-O CORP US N 2 2022-12-15 Fixed 1.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A2RL8 10303347.31000000 PA USD 11472767.54000000 0.782488730461 Long ABS-MBS USGA US N 2 2036-05-20 Fixed 5.00000000 N N N N N N Volkswagen Auto Loan Enhanced Trust N/A Volkswagen Auto Loan Enhanced Trust 2020-1 92868JAB2 9050000.00000000 PA USD 9084647.93000000 0.619609401188 Long ABS-O CORP US N 2 2022-12-20 Fixed 0.93000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137ACAG4 346401.72000000 PA USD 9578.54000000 0.000653294819 Long ABS-MBS USGSE US N 2 2040-04-15 Fixed 6.00000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 31395QCM0 5038235.25000000 PA USD 579396.05000000 0.039517132899 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FG42 65164.37000000 PA USD 78667.69000000 0.005365451767 Long ABS-MBS USGA US N 2 2038-11-20 Fixed 7.00000000 N N N N N N Ford Credit Auto Owner Trust N/A Ford Credit Auto Owner Trust 2020-A 34528GAJ5 2630000.00000000 PA USD 2641816.85000000 0.180182497890 Long ABS-O CORP US N 2 2022-10-15 Fixed 1.03000000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2017-4 46648UAF1 2600580.21000000 PA USD 2629599.30000000 0.179349212010 Long ABS-MBS CORP US N 2 2048-11-25 Variable 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DSQ5 25325.61000000 PA USD 29516.98000000 0.002013176343 Long ABS-MBS USGA US N 2 2032-04-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290VKX1 612290.14000000 PA USD 755076.57000000 0.051499248511 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D2X8 9304.52000000 PA USD 11344.35000000 0.000773730139 Long ABS-MBS USGA US N 2 2033-12-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294XAF3 451414.60000000 PA USD 548951.43000000 0.037440687789 Long ABS-MBS USGA US N 2 2037-07-15 Fixed 6.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US LONG BOND(CBT) SEP20 XCBT 20200921 000000000 -741.00000000 NC USD -869660.17000000 -0.05931430929 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USU0 Comdty 2020-09-21 -131445152.33000000 USD -869660.17000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294SAY3 46017.00000000 PA USD 55325.55000000 0.003773424261 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 7.00000000 N N N N N N United Auto Credit Securitization Trust N/A United Auto Credit Securitization Trust 2020-1 90945BAA2 9000000.00000000 PA USD 9007200.00000000 0.614327141942 Long ABS-O CORP US N 2 2022-05-10 Fixed 0.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379LGG5 4168567.26000000 PA USD 222975.12000000 0.015207796895 Long ABS-MBS USGA US N 2 2044-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DSB8 19419.31000000 PA USD 22648.39000000 0.001544710975 Long ABS-MBS USGA US N 2 2032-03-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2XC1 6157830.03000000 PA USD 7276536.93000000 0.496288983862 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 5.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137BATC6 6850725.03000000 PA USD 7326064.30000000 0.499666949007 Long ABS-MBS USGSE US N 2 2054-02-15 Fixed 4.00000000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202E6J3 173664.90000000 PA USD 210613.18000000 0.014364663038 Long ABS-MBS USGA US N 2 2038-11-20 Fixed 7.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31397PHT0 191982.19000000 PA USD 169536.81000000 0.011563089965 Long ABS-MBS USGSE US N 2 2037-11-15 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EFB0 25665.95000000 PA USD 30939.99000000 0.002110231329 Long ABS-MBS USGA US N 2 2035-09-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295J7A8 14480.21000000 PA USD 14606.60000000 0.000996228665 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 6.00000000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2019-1 46650HAD0 3798243.84000000 PA USD 3828624.09000000 0.261127508524 Long ABS-MBS CORP US N 2 2049-05-25 Variable 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381BGP3 56091657.67000000 PA USD 9648011.92000000 0.658033083337 Long ABS-MBS USGA US N 2 2048-12-20 Floating 5.91000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379PAB3 7801399.14000000 PA USD 590983.60000000 0.040307450253 Long ABS-MBS USGA US N 2 2039-10-16 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DHW4 2544.34000000 PA USD 2979.82000000 0.000203235667 Long ABS-MBS USGA US N 2 2030-07-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176XKP3 15391667.90000000 PA USD 16839406.95000000 1.148515048360 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CXA6 1014.12000000 PA USD 1152.39000000 0.000078597616 Long ABS-MBS USGA US N 2 2027-08-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290NK84 107559.24000000 PA USD 119182.26000000 0.008128707828 Long ABS-MBS USGA US N 2 2033-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36201LEY6 22522.76000000 PA USD 25120.01000000 0.001713285366 Long ABS-MBS USGA US N 2 2034-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297A2G7 57499.64000000 PA USD 65882.73000000 0.004493466251 Long ABS-MBS USGA US N 2 2039-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2XK3 309957.18000000 PA USD 365380.16000000 0.024920391399 Long ABS-MBS USGA US N 2 2034-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296XSD7 41278.45000000 PA USD 46253.30000000 0.003154660448 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 7.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Bill 912796SZ3 9264000.00000000 PA USD 9263507.81000000 0.631808361896 Long STIV UST US N 2 2020-07-16 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DBZ3 1589.37000000 PA USD 1785.37000000 0.000121769389 Long ABS-MBS USGA US N 2 2029-05-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200AGG8 9581.99000000 PA USD 10718.03000000 0.000731012605 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296R2C0 13660.97000000 PA USD 16712.24000000 0.001139841752 Long ABS-MBS USGA US N 2 2038-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378T5G1 15999244.94000000 PA USD 15942923.60000000 1.087371290677 Long ABS-MBS USGA US N 2 2043-07-20 Floating 0.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179R7J2 26811041.08000000 PA USD 28646674.02000000 1.953817987482 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296YTP7 51533.75000000 PA USD 63504.32000000 0.004331249156 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178WN88 751251.91000000 PA USD 821914.60000000 0.056057870052 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36292KPQ3 22490.85000000 PA USD 25904.76000000 0.001766808461 Long ABS-MBS USGA US N 2 2035-12-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295HTA8 64926.36000000 PA USD 74725.06000000 0.005096548599 Long ABS-MBS USGA US N 2 2037-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AQYU1 1066322.60000000 PA USD 1201572.88000000 0.081952086464 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36291YK89 86322.02000000 PA USD 88559.43000000 0.006040108082 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AQF39 10179971.74000000 PA USD 2106800.73000000 0.143692254096 Long ABS-MBS USGSE US N 2 2046-01-25 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DFY2 1929.96000000 PA USD 2263.48000000 0.000154378408 Long ABS-MBS USGA US N 2 2030-02-20 Fixed 7.50000000 N N N N N N Dell Equipment Finance Trust N/A Dell Equipment Finance Trust 2020-1 24703NAA7 5175866.36000000 PA USD 5195975.64000000 0.354386364743 Long ABS-O CORP US N 2 2021-05-21 Fixed 1.98000000 N N N N N N CFK Trust N/A CFK Trust 2020-MF2 12529AAA2 15000000.00000000 PA USD 15066580.50000000 1.027601178768 Long ABS-MBS CORP US N 2 2039-03-15 Fixed 2.39000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294SD46 2195.95000000 PA USD 2560.78000000 0.000174655459 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RNW5 20510725.31000000 PA USD 22003874.94000000 1.500752465088 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617AQF20 8434315.89000000 PA USD 9094508.09000000 0.620281903621 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176NB42 245489.17000000 PA USD 268151.16000000 0.018288983894 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 4.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NNA2 20741645.61000000 PA USD 22524346.70000000 1.536250725233 Long ABS-MBS USGA US N 2 2043-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AR3L3 1034512.10000000 PA USD 1165479.32000000 0.079490361005 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 4.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 5YR NOTE (CBT) SEP20 XCBT 20200930 000000000 -333.00000000 NC USD -120494.71000000 -0.00821822217 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 5 Year US Treasury Note FVU0 Comdty 2020-09-30 -41751653.89000000 USD -120494.71000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381YRM8 13745251.44000000 PA USD 1117413.89000000 0.076212106027 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380B7B5 2573147.37000000 PA USD 2735156.97000000 0.186548668192 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.00000000 N Y N N N N World Financial Network Credit Card Master Trust N/A World Financial Network Credit Card Master Trust 981464GL8 14187000.00000000 PA USD 14372936.24000000 0.980291860026 Long ABS-O CORP US N 2 2024-12-16 Fixed 3.07000000 N N N N N N Freddie Mac N/A Freddie Mac Pool 3131WMDU7 97172.87000000 PA USD 117376.16000000 0.008005524569 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36225B5J3 171837.72000000 PA USD 201941.47000000 0.013773217659 Long ABS-MBS USGA US N 2 2034-05-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375JB95 1345235.16000000 PA USD 1277503.87000000 0.087130884323 Long ABS-MBS USGA US N 2 2035-05-20 None 0.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31398G5J4 2519669.00000000 PA USD 883706.30000000 0.060272311661 Long ABS-MBS USGSE US N 2 2040-02-25 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376UEN5 14910226.60000000 PA USD 2676670.01000000 0.182559623097 Long ABS-MBS USGA US N 2 2038-02-20 Floating 6.28000000 N N N N N N General Motors N/A GMF Floorplan Owner Revolving Trust 361886CE2 19000000.00000000 PA USD 19243635.10000000 1.312493044626 Long ABS-O CORP US N 2 2026-04-15 Fixed 3.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SYS0 23852005.76000000 PA USD 25359484.72000000 1.729618501772 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36180KB34 1161546.63000000 PA USD 1269242.53000000 0.086567427822 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CDZ3 168.77000000 PA USD 176.04000000 0.000012006633 Long ABS-MBS USGA US N 2 2024-12-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CP98 1885.17000000 PA USD 2090.79000000 0.000142600258 Long ABS-MBS USGA US N 2 2026-07-20 Fixed 7.50000000 N N N N N N Transportation Finance Equipment Trust N/A Transportation Finance Equipment Trust 2019-1 89389JAB8 4500000.00000000 PA USD 4524497.55000000 0.308588867640 Long ABS-O CORP US N 2 2022-01-24 Fixed 1.90000000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2020-2 46591TBB9 5600515.81000000 PA USD 5537835.96000000 0.377702608785 Long ABS-MBS CORP US N 2 2050-07-25 Floating 0.97000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200HZF4 132019.72000000 PA USD 147288.99000000 0.010045699470 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2W81 3474349.45000000 PA USD 4020081.29000000 0.274185656947 Long ABS-MBS USGA US N 2 2035-11-15 Fixed 5.50000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A AmeriCredit Automobile Receivables Trust 2017-3 03065HAG3 7700000.00000000 PA USD 7887620.51000000 0.537967333314 Long ABS-O CORP US N 2 2023-07-18 Fixed 3.18000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200NJ69 19522.82000000 PA USD 22284.20000000 0.001519871757 Long ABS-MBS USGA US N 2 2034-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TNS0 24024855.15000000 PA USD 25773362.49000000 1.757846624558 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EBF5 144105.52000000 PA USD 170938.72000000 0.011658705846 Long ABS-MBS USGA US N 2 2034-11-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295CXG1 170794.76000000 PA USD 202176.68000000 0.013789259924 Long ABS-MBS USGA US N 2 2037-07-15 Fixed 7.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137B7R76 1231741.26000000 PA USD 1242244.23000000 0.084726035550 Long ABS-MBS USGSE US N 2 2054-02-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296P7J4 784.10000000 PA USD 896.86000000 0.000061169446 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379CS80 2079541.80000000 PA USD 138738.07000000 0.009462492452 Long ABS-MBS USGA US N 2 2029-07-16 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2W99 2903344.62000000 PA USD 3404481.64000000 0.232199293420 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 5.50000000 N N N N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 Freddie Mac Strips 31325UPE0 13461284.90000000 PA USD 1619845.41000000 0.110479949497 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378WNY5 9936698.92000000 PA USD 9923483.71000000 0.676821363539 Long ABS-MBS USGA US N 2 2043-08-20 Floating 0.54000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36180MYW1 7491271.20000000 PA USD 8135130.30000000 0.554848493041 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 3.50000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A Americredit Automobile Receivables Trust 2019-1 03066GAD1 5590000.00000000 PA USD 5706663.86000000 0.389217348247 Long ABS-O CORP US N 2 2023-11-20 Fixed 2.97000000 N N N N N N HYUNDAI CAPITAL AMERICA N/A HYUNDAI CAPITAL AMERICA 44890MH54 20000000.00000000 PA USD 19983320.00000000 1.362942519552 Long STIV CORP US N 2 2020-08-05 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200MUE1 52605.65000000 PA USD 59491.61000000 0.004057566251 Long ABS-MBS USGA US N 2 2035-11-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380YU78 14839274.34000000 PA USD 3075319.56000000 0.209749120243 Long ABS-MBS USGA US N 2 2048-09-20 Floating 6.06000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36194F4X1 15906175.02000000 PA USD 17074730.44000000 1.164565053583 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 3.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR NOTE (CBT)SEP20 XCBT 20200921 000000000 244.00000000 NC USD 64185.42000000 0.004377702906 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYU0 Comdty 2020-09-21 33893752.08000000 USD 64185.42000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297A3G6 110804.68000000 PA USD 130866.47000000 0.008925617782 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NDR6 7142375.56000000 PA USD 7756247.81000000 0.529007188617 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380HG63 3605708.00000000 PA USD 4035190.30000000 0.275216151988 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296XZY3 1037077.29000000 PA USD 1162754.21000000 0.079304497580 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296KP63 52779.47000000 PA USD 62869.74000000 0.004287968257 Long ABS-MBS USGA US N 2 2038-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QRX1 21560818.70000000 PA USD 23176147.69000000 1.580706165248 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176NGD7 406961.17000000 PA USD 446195.52000000 0.030432322869 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 4.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374MC56 142073.80000000 PA USD 179956.02000000 0.012273721849 Long ABS-MBS USGA US N 2 2036-03-20 Fixed 5.50000000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200TTG3 101018.48000000 PA USD 115084.83000000 0.007849246679 Long ABS-MBS USGA US N 2 2035-01-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376PSZ4 572992.72000000 PA USD 103249.82000000 0.007042051561 Long ABS-MBS USGA US N 2 2039-12-16 Fixed 6.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137BJ2C6 8726222.61000000 PA USD 1859574.97000000 0.126830466354 Long ABS-MBS USGSE US N 2 2043-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296T3C5 100904.39000000 PA USD 119217.28000000 0.008131096333 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DNN7 1537.07000000 PA USD 1835.74000000 0.000125204825 Long ABS-MBS USGA US N 2 2031-06-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296SAT2 4168.70000000 PA USD 4739.08000000 0.000323224250 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294WPH5 306128.99000000 PA USD 373131.56000000 0.025449067948 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290TTN9 63214.69000000 PA USD 73147.28000000 0.004988937679 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 7.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US ULTRA BOND CBT SEP20 XCBT 20200921 000000000 187.00000000 NC USD 181485.18000000 0.012378016690 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond WNU0 Comdty 2020-09-21 40613733.57000000 USD 181485.18000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620AP6X8 974031.16000000 PA USD 1071745.38000000 0.073097330600 Long ABS-MBS USGA US N 2 2029-03-20 Fixed 5.00000000 N N N N N N Hertz Vehicle Financing LLC 549300FPK70TCB78NG05 Hertz Vehicle Financing II LP 42806DAH2 4018398.92000000 PA USD 3960726.86000000 0.270137446922 Long ABS-O CORP US N 2 2021-09-25 Fixed 2.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179F6W0 6459128.48000000 PA USD 7014277.07000000 0.478401810241 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376JAY0 259170.77000000 PA USD 347715.54000000 0.023715593513 Long ABS-MBS USGA US N 2 2039-11-20 Fixed 5.50000000 N Y N N N N Fannie Mae N/A Fannie Mae REMICS 3136ALUN9 12129582.27000000 PA USD 2543996.24000000 0.173510740211 Long ABS-MBS USGSE US N 2 2044-10-25 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Bill 912796TJ8 16000000.00000000 PA USD 15995740.00000000 1.090973580851 Long STIV UST US N 2 2020-09-10 None 0.00000000 N N N N N N MERCEDES-BENZ AUTO RECEIVABLES TRUST N/A Mercedes-Benz Auto Receivables Trust 2020-1 58769VAC4 6000000.00000000 PA USD 6001874.40000000 0.409351890315 Long ABS-O CORP US N 2 2025-02-18 Fixed 0.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380FUD6 3819630.83000000 PA USD 4181227.03000000 0.285176442307 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.00000000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378JKT8 2325858.00000000 PA USD 1782687.96000000 0.121586464099 Long ABS-MBS USGA US N 2 2043-01-20 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EQP7 41570.32000000 PA USD 51225.41000000 0.003493778279 Long ABS-MBS USGA US N 2 2037-12-20 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378UPR2 5669000.00000000 PA USD 6647747.35000000 0.453403014241 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 3.63000000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2019-9 46651YBB5 8586370.07000000 PA USD 8522004.06000000 0.581234834110 Long ABS-MBS CORP US N 2 2050-05-25 Floating 1.07000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36201EBW9 52281.30000000 PA USD 59578.33000000 0.004063480903 Long ABS-MBS USGA US N 2 2034-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296PK91 45929.71000000 PA USD 47186.93000000 0.003218337756 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TG58 24192902.82000000 PA USD 25953640.51000000 1.770142308098 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DPF2 3626.61000000 PA USD 4370.46000000 0.000298082889 Long ABS-MBS USGA US N 2 2031-08-20 Fixed 7.50000000 N N N N N N Verizon Owner Trust 549300DBBHVB9QKK8Q94 Verizon Owner Trust 2018-A 92348XAA3 11997000.00000000 PA USD 12261190.74000000 0.836262352796 Long ABS-O CORP US N 2 2023-04-20 Fixed 3.23000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378WUM3 9458801.34000000 PA USD 9480284.55000000 0.646593404431 Long ABS-MBS USGA US N 2 2039-04-20 Floating 0.69000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BDW5EE967 IRS USD R V 03MLIBOR BDW5EE983 CCPVANILLA / Short: BDW5EE967 IRS USD P F 2.08450 BDW5EE975 CCPVANILLA 000000000 7700000.00000000 OU Notional Amount USD -273672.63000000 -0.01866557027 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2022-05-31 0.00000000 USD 0.00000000 USD 7700000.00000000 USD -273672.63000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AC4V3 533152.47000000 PA USD 597761.89000000 0.040769756799 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296NZW9 19168.42000000 PA USD 21933.63000000 0.001495961478 Long ABS-MBS USGA US N 2 2038-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176LR64 147455.78000000 PA USD 164092.63000000 0.011191775069 Long ABS-MBS USGA US N 2 2036-02-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXD58 2186675.49000000 PA USD 2518250.45000000 0.171754774141 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378VTG0 26984712.77000000 PA USD 4258169.33000000 0.290424215561 Long ABS-MBS USGA US N 2 2043-03-20 Floating 5.96000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36296REX1 56561.87000000 PA USD 65003.95000000 0.004433529933 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 6.50000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AYMA8 16761804.97000000 PA USD 4405492.13000000 0.300472221008 Long ABS-MBS USGSE US N 2 2057-10-25 Floating 5.87000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620C3TJ1 1622982.25000000 PA USD 1828838.15000000 0.124734092033 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202EXP9 197492.89000000 PA USD 238935.25000000 0.016296341731 Long ABS-MBS USGA US N 2 2038-11-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376M6A0 5888857.00000000 PA USD 6508369.47000000 0.443896884182 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36176D6A6 215293.52000000 PA USD 236794.87000000 0.016150359236 Long ABS-MBS USGA US N 2 2041-05-15 Fixed 4.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202D4C2 5116.28000000 PA USD 6223.26000000 0.000424451275 Long ABS-MBS USGA US N 2 2034-02-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210KEY7 31719.85000000 PA USD 36303.69000000 0.002476057167 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380WSE0 3951000.00000000 PA USD 4467811.11000000 0.304722625226 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620A94V0 136888.31000000 PA USD 147934.53000000 0.010089727885 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36177WUC2 3177182.86000000 PA USD 3476028.43000000 0.237079071266 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36290RYU1 78892.50000000 PA USD 89728.21000000 0.006119823563 Long ABS-MBS USGA US N 2 2033-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379NAG7 11990192.51000000 PA USD 11948474.91000000 0.814933879788 Long ABS-MBS USGA US N 2 2043-03-20 Floating 0.46000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620C02U1 1255402.48000000 PA USD 1414635.28000000 0.096483796124 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DBL4 3587.34000000 PA USD 4183.08000000 0.000285302822 Long ABS-MBS USGA US N 2 2029-04-20 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294ULF7 28016.60000000 PA USD 32475.22000000 0.002214940168 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297AZ63 27899.53000000 PA USD 33644.47000000 0.002294687705 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A2XN7 6719087.42000000 PA USD 7995294.02000000 0.545311098265 Long ABS-MBS USGA US N 2 2038-01-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295ACS2 259613.08000000 PA USD 316141.57000000 0.021562122207 Long ABS-MBS USGA US N 2 2037-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213FML4 166314.19000000 PA USD 187738.31000000 0.012804505219 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 5.00000000 N N N N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 Freddie Mac Strips 31325UEW2 20254527.83000000 PA USD 3319453.60000000 0.226400040289 Long ABS-MBS USGSE US N 2 2042-12-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294RPC7 55068.60000000 PA USD 63509.46000000 0.004331599725 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N 2020-07-28 DEUTSCHE DWS INCOME TRUST Diane Kenneally Diane Kenneally Treasurer and Chief Financial Officer XXXX