NPORT-P false 0000763852 XXXXXXXX S000003488 C000116212 C000009647 C000009648 C000009646 JPMorgan Trust II 811-04236 0000763852 549300IMXLYKELY96B40 277 Park Avenue New York 10172 800-480-4111 JPMorgan Mortgage-Backed Securities Fund S000003488 5493003VJIZTX1Q7MD45 2020-02-29 2020-02-29 N 3063927181.40 59910318.38 3004016863.02 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 26726577.32000000 0.00000000 0.00000000 0.00000000 USD N FNMA B1V7KEBTPIMZEU4LTD58 31397MW94 27945.72000000 PA USD 30621.46000000 0.001019350469 Long ABS-MBS USGSE US N 2 2039-02-25 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BR61 10585.38000000 PA USD 10604.79000000 0.000353020321 Long ABS-MBS USGA US N 2 2062-04-20 Floating 2.28438000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359TUU0 286883.97000000 PA USD 323331.20000000 0.010763295105 Long ABS-MBS USGSE US N 2 2028-05-20 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374XBQ7 218952.47000000 PA USD 40878.62000000 0.001360798619 Long ABS-MBS USGA US N 2 2039-03-20 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HSAW1 2508014.64000000 PA USD 2875363.54000000 0.095717290252 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 3.82000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LEX30 3972651.36000000 PA USD 4256507.35000000 0.141693856728 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2.60000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LAF61 2000000.00000000 PA USD 2266687.78000000 0.075455228228 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 3.12000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381BJC4 20442.83000000 PA USD 22704.61000000 0.000755808340 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 6.00000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669GBC4 192943.49000000 PA USD 200327.24000000 0.006668645654 Long ABS-MBS CORP US N 2 2034-11-20 Variable 3.93442600 N N N N N N Banc of America Mortgage Trust N/A 05948XYP0 205518.03000000 PA USD 211434.52000000 0.007038393246 Long ABS-MBS CORP US N 2 2033-11-25 Variable 4.56346100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312915YY1 8005.72000000 PA USD 8625.35000000 0.000287127216 Long ABS-MBS USGSE US N 2 2023-05-15 Floating 7.31800100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T4EV4 1757.22000000 PA USD 2113.33000000 0.000070350137 Long ABS-MBS USGSE US N 2 2024-02-15 Floating 15.46593800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617KAZM8 5280313.12000000 PA USD 5747962.84000000 0.191342562379 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31349UB56 149486.00000000 PA USD 158562.40000000 0.005278345869 Long ABS-MBS USGSE US N 2 2036-11-01 Variable 4.34599900 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410GVM2 122970.46000000 PA USD 137376.85000000 0.004573105154 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L2KZ9 3211054.81000000 PA USD 3305356.94000000 0.110031237863 Long ABS-MBS USGSE US N 2 2023-01-01 Fixed 2.34000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395NJD0 318937.80000000 PA USD 58448.48000000 0.001945677493 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 4.95325100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T7HX0 6088.06040000 PA USD 5953.61000000 0.000198188301 Long ABS-MBS USGSE US N 2 2024-02-15 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132HTSS6 1889992.33000000 PA USD 1719222.66000000 0.057230792581 Long ABS-MBS USGSE US N 2 2043-09-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416CK88 144762.78000000 PA USD 152165.70000000 0.005065407650 Long ABS-MBS USGSE US N 2 2037-07-01 Variable 4.09399900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137B6HW4 1438219.36000000 PA USD 1302620.87000000 0.043362635078 Long ABS-MBS USGSE US N 2 2043-12-15 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377QRC3 1356790.04000000 PA USD 1585381.89000000 0.052775399150 Long ABS-MBS USGA US N 2 2037-02-20 Variable 5.87821000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36241KYC6 5793.90000000 PA USD 5957.32000000 0.000198311802 Long ABS-MBS USGA US N 2 2024-10-15 Fixed 9.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381UQH3 3000000.00000000 PA USD 3101134.71000000 0.103232932816 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 2.98000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137ANDK8 1000000.00000000 PA USD 1110826.70000000 0.036978044753 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138NJAY4 806080.40000000 PA USD 817152.28000000 0.027201987114 Long ABS-MBS USGSE US N 2 2020-12-01 Variable 3.54300000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137B5UH4 1000000.00000000 PA USD 1237888.90000000 0.041207787986 Long ABS-MBS USGSE US N 2 2043-11-15 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397EMU6 32369.17000000 PA USD 4890.59000000 0.000162801682 Long ABS-MBS USGSE US N 2 2037-01-15 Floating 4.74149900 N N N N N N Sierra Timeshare Receivables Funding LLC N/A 82652NAB4 7898543.01000000 PA USD 7983382.05000000 0.265756898647 Long ABS-O CORP US Y 3 2036-08-20 Fixed 2.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HSCX7 4912056.30000000 PA USD 5648570.02000000 0.188033898528 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.89000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LAFK0 2349658.67000000 PA USD 2567902.89000000 0.085482306095 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 3.08000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FCZH2 254836.72000000 PA USD 54488.88000000 0.001813867314 Long ABS-MBS USGSE US N 2 2036-05-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393X5J2 695.48000000 PA USD 696.91000000 0.000023199270 Long ABS-MBS USGSE US N 2 2033-07-25 Floating 10.94649800 N N N N N N LB-UBS Commercial Mortgage Trust N/A 52108MEQ2 2554042.58000000 PA USD 349.14000000 0.000011622438 Long ABS-MBS CORP US Y 3 2041-02-15 Variable 0.38005600 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398QSW8 2373000.00000000 PA USD 2849024.75000000 0.094840504561 Long ABS-MBS USGSE US N 2 2040-10-15 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B23T7 5129486.58000000 PA USD 5359147.54000000 0.178399382705 Long ABS-MBS USGSE US N 2 2048-09-25 Fixed 3.50000000 N N N N N N JP Morgan Mortgage Trust N/A 466247K85 221605.76000000 PA USD 230334.61000000 0.007667553828 Long ABS-MBS CORP US N 2 2033-11-25 Variable 4.11070000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398LKA5 1287387.42000000 PA USD 1344789.32000000 0.044766370540 Long ABS-MBS USGSE US N 2 2024-12-15 Fixed 4.00000000 N N N N N N MASTR Asset Securitization Trust N/A 55265K8G7 3573.85000000 PA USD 3301.76000000 0.000109911500 Long ABS-MBS CORP US N 3 2034-03-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393XZV2 397673.48000000 PA USD 465818.93000000 0.015506535124 Long ABS-MBS USGSE US N 2 2034-04-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AQHL7 3091000.00000000 PA USD 3283764.03000000 0.109312436638 Long ABS-MBS USGSE US N 2 2025-06-25 Variable 2.71100200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L8C44 1161863.19000000 PA USD 1243341.60000000 0.041389301614 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 2.97000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TEHE7 39138.60000000 PA USD 3851.41000000 0.000128208667 Long ABS-MBS USGSE US N 2 2028-06-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T5X32 105434.72000000 PA USD 104390.40000000 0.003475027097 Long ABS-MBS USGSE US N 2 2024-02-15 Floating 1.24999900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31283LA48 13481.02000000 PA USD 14406.59000000 0.000479577534 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 10.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QALL2 10740030.52000000 PA USD 11949715.06000000 0.397791211064 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375KHZ8 287981.25000000 PA USD 39328.27000000 0.001309189388 Long ABS-MBS USGA US N 2 2037-06-16 Floating 4.81150100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FCW44 1580980.84000000 PA USD 1480116.60000000 0.049271248048 Long ABS-MBS USGSE US N 2 2036-07-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31393HUX8 753553.00000000 PA USD 770208.41000000 0.025639283836 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 2.65849900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31283LA55 192652.74000000 PA USD 218361.26000000 0.007268975839 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31390LY75 30482.08000000 PA USD 32646.30000000 0.001086754884 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392GVR3 306034.90000000 PA USD 366457.67000000 0.012198921867 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFT50 1058608.81000000 PA USD 1147926.09000000 0.038213037487 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394FVU6 301021.25000000 PA USD 411870.43000000 0.013710656390 Long ABS-MBS USGSE US N 2 2035-10-25 Floating 12.80812700 N N N N N N VOLT LXXXVII LLC N/A 92870GAB4 4000000.00000000 PA USD 4036238.00000000 0.134361362936 Long ABS-O CORP US Y 2 2050-02-25 Variable 3.67179800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396KJK9 145739.01000000 PA USD 138792.61000000 0.004620234050 Long ABS-MBS USGSE US N 2 2036-08-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31388PKC4 51925.92000000 PA USD 58935.01000000 0.001961873474 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381PNE4 664317.30000000 PA USD 667816.29000000 0.022230777004 Long ABS-MBS USGSE US N 2 2020-12-01 Fixed 3.59000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396QTN9 146873.05000000 PA USD 158472.82000000 0.005275363861 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396LM80 61406.08000000 PA USD 57721.58000000 0.001921479892 Long ABS-MBS USGSE US N 2 2036-12-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397S5E0 260098.35000000 PA USD 303917.61000000 0.010117040744 Long ABS-MBS USGSE US N 2 2051-05-25 Variable 5.89454600 N N N N N N United States of America 254900HROIFWPRGM1V77 9128337N4 150000.00000000 PA USD 130056.48000000 0.004329419105 Long DBT UST US N 2 2030-11-15 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TJVQ3 10511.85000000 PA USD 16771.19000000 0.000558292138 Long ABS-MBS USGSE US N 2 2029-03-15 Floating 23.37833500 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EJ3Q9 614680.20000000 PA USD 644532.24000000 0.021455679824 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392HZK2 543097.00000000 PA USD 549727.45000000 0.018299745809 Long ABS-MBS USGSE US N 2 2033-02-25 Floating 2.37674900 N N N N N N Banc of America Funding Trust N/A 05946XXQ1 73244.82000000 PA USD 73703.23000000 0.002453489223 Long ABS-MBS CORP US N 2 2035-03-20 Variable 4.43590600 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L5G20 1447778.17000000 PA USD 1547093.10000000 0.051500812763 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 3.38000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JUYR9 1880587.53000000 PA USD 2112271.29000000 0.070314894566 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 5.00000000 N N N N N N Vericrest Opportunity Loan Trust N/A 91833HAA2 4673276.29000000 PA USD 4699618.61000000 0.156444481648 Long ABS-O CORP US Y 3 2049-11-25 Variable 3.27750100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128C6QE2 125276.65000000 PA USD 142033.34000000 0.004728113937 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374D3F4 324591.54000000 PA USD 4962.45000000 0.000165193813 Long ABS-MBS USGA US N 2 2038-04-20 Floating 4.65300000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LXWB4 1992633.49000000 PA USD 2234711.12000000 0.074390764829 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 5.00000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59020UJQ9 135267.48000000 PA USD 136959.04000000 0.004559196777 Long ABS-MBS CORP US N 2 2029-11-25 Floating 2.75850000 N N N N N N Banc of America Funding Trust N/A 05946XA86 33308.78000000 PA USD 28294.43000000 0.000941886523 Long ABS-MBS CORP US N 3 2035-08-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RU97 1594050.77000000 PA USD 1757356.35000000 0.058500215882 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.50000000 N N N N N N Vericrest Opportunity Loan Trust N/A 92870DAB1 3500000.00000000 PA USD 3529854.30000000 0.117504476870 Long ABS-O CORP US Y 3 2049-10-25 Variable 3.96709900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392W7B0 42874.63000000 PA USD 52433.23000000 0.001745437272 Long ABS-MBS USGSE US N 2 2043-09-25 Variable 6.50000200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377NF41 1346382.05000000 PA USD 1246179.99000000 0.041483788101 Long ABS-MBS USGA US N 2 2040-12-20 None 0.00000000 N N N N N N Renaissance Home Equity Loan Trust N/A 75970QAE0 478553.14000000 PA USD 195928.46000000 0.006522215717 Long ABS-O CORP US N 3 2037-06-25 Variable 5.67500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128C6QN2 106191.12000000 PA USD 125606.97000000 0.004181300429 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393YT96 72119.19000000 PA USD 109675.79000000 0.003650971182 Long ABS-MBS USGSE US N 2 2034-05-25 Floating 17.49300100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TJHS5 26809.01000000 PA USD 29116.19000000 0.000969241896 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375KBN1 309177.99000000 PA USD 38719.57000000 0.001288926519 Long ABS-MBS USGA US N 2 2037-05-20 Floating 4.55299900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TJVY6 15666.23000000 PA USD 17396.52000000 0.000579108600 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.50000000 N N N N N N GSR Mortgage Loan Trust N/A 36242DCH4 303759.67700000 PA USD 312331.35000000 0.010397123726 Long ABS-MBS CORP US N 2 2034-09-25 Fixed 6.00000000 N N N N N N RALI Trust N/A 76110HZL6 232198.19000000 PA USD 238482.82000000 0.007938797645 Long ABS-MBS CORP US N 3 2034-09-25 Variable 4.75527200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392MW81 139493.50000000 PA USD 142395.13000000 0.004740157478 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 2.65849900 N N N N N N PRPM N/A 69359CAA3 2364726.30000000 PA USD 2396469.91000000 0.079775514561 Long ABS-MBS CORP US Y 2 2024-10-25 Variable 3.49999900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36207T5S6 38650.44000000 PA USD 42808.53000000 0.001425042932 Long ABS-MBS USGA US N 2 2026-08-15 Fixed 6.37500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136A35N7 966306.41000000 PA USD 1118826.09000000 0.037244334536 Long ABS-MBS USGSE US N 2 2052-03-25 Variable 5.61357400 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAV90 993118.92000000 PA USD 1112628.88000000 0.037038037092 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N RALI Trust N/A 761118GD4 92258.70000000 PA USD 81344.39000000 0.002707853973 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.52056300 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LKL96 670959.33000000 PA USD 745189.81000000 0.024806445635 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 2.94000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416RZH9 435604.29000000 PA USD 477099.59000000 0.015882054321 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.00000000 N N N N N N PFP Ltd. N/A 69346TAJ3 3000000.00000000 PA USD 2998686.00000000 0.099822542173 Long ABS-MBS CORP KY Y 3 2036-04-14 Floating 4.30013200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MKJ59 2968853.00000000 PA USD 3312164.96000000 0.110257868415 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 5.00000000 N N N N N N CoreVest American Finance Trust N/A 21872NAC4 23448527.93890000 PA USD 2133553.42000000 0.071023350310 Long ABS-O CORP US Y 2 2052-10-15 Variable 2.03528500 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381RUY8 2810113.44000000 PA USD 2886059.12000000 0.096073332860 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 4.05000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QBP93 11700146.51000000 PA USD 12878659.33000000 0.428714615038 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617GSF61 1970402.68000000 PA USD 2170413.55000000 0.072250378375 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416YFK9 304957.86000000 PA USD 355854.56000000 0.011845957470 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TNDG6 54476.22000000 PA USD 65637.59000000 0.002184994059 Long ABS-MBS USGSE US N 2 2030-01-15 Fixed 8.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HXWB9 1970380.48000000 PA USD 2185641.43000000 0.072757295636 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402Q4R9 76937.46000000 PA USD 81204.45000000 0.002703195544 Long ABS-MBS USGSE US N 2 2034-08-01 Variable 4.37500100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31400JBY4 30273.34000000 PA USD 34026.92000000 0.001132714014 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFT35 1109041.16000000 PA USD 1182747.40000000 0.039372195760 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31407LEA1 39946.64000000 PA USD 46424.85000000 0.001545425745 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 7.00000000 N N N N N N Pretium Mortgage Credit Partners I LLC N/A 74142FAA8 5020009.26000000 PA USD 5060681.38000000 0.168463813978 Long ABS-MBS CORP US Y 2 2060-02-27 Variable 3.10489900 N N N N N N Diamond Resorts Owner Trust N/A 25273BAA0 1777903.71000000 PA USD 1785628.88000000 0.059441373381 Long ABS-O CORP US Y 2 2028-11-20 Fixed 3.08000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX4H7 2611439.11000000 PA USD 2878547.44000000 0.095823278338 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 4.50000000 N N N N N N VNDO Mortgage Trust N/A 91830MAA4 2500000.00000000 PA USD 2525592.50000000 0.084073845626 Long ABS-MBS CORP US Y 2 2029-12-13 Fixed 3.80800000 N N N N N N FREMF Mortgage Trust N/A 30285FAG4 1626000.00000000 PA USD 1737993.51000000 0.057855650925 Long ABS-MBS USGSE US Y 2 2047-11-25 Variable 4.07268700 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HU2Q5 1448029.69000000 PA USD 1582957.76000000 0.052694702865 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FG6Y6 4025000.00000000 PA USD 4650627.08000000 0.154813614305 Long ABS-MBS USGSE US N 2 2028-05-25 Variable 3.84999800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132WD3F9 2436149.56000000 PA USD 2571927.58000000 0.085616283039 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396KYB2 132181.02000000 PA USD 126569.39000000 0.004213338199 Long ABS-MBS USGSE US N 2 2036-08-25 None 0.00000000 N N N N N N FHLMC Pool N/A 3133KGYU6 5768703.78000000 PA USD 6168600.42000000 0.205345066332 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31292GX68 26677.81000000 PA USD 29906.07000000 0.000995536022 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396X4C5 988741.44000000 PA USD 181917.05000000 0.006055793236 Long ABS-MBS USGSE US N 2 2037-12-25 Floating 4.82325100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359XEP0 30689.87000000 PA USD 35335.40000000 0.001176271692 Long ABS-MBS USGSE US N 2 2029-12-18 Fixed 7.50000000 N N N N N N HERO Funding 549300Z5C0ID42MSJA91 42771AAB2 1615802.88000000 PA USD 1700128.56000000 0.056595173646 Long ABS-O CORP KY Y 2 2048-09-20 Fixed 3.95000000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410F6J9 66601.00000000 PA USD 72964.59000000 0.002428900812 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B2K50 2123461.20000000 PA USD 2379173.28000000 0.079199731176 Long ABS-MBS USGSE US N 2 2048-09-25 Fixed 4.00000000 N N N N N N HERO Funding Trust N/A 42770LAA1 40226.69000000 PA USD 42197.71000000 0.001404709491 Long ABS-O CORP US Y 2 2040-09-21 Fixed 3.84000000 N Y N N N N Bear Stearns ARM Trust N/A 07384MG48 241977.12000000 PA USD 249204.73000000 0.008295716747 Long ABS-MBS CORP US N 2 2034-04-25 Variable 4.22925100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418MCX8 84641.30000000 PA USD 88124.50000000 0.002933555436 Long ABS-MBS USGSE US N 2 2037-11-01 Variable 3.73700200 N N N N N N Vericrest Opportunity Loan Trust N/A 91834UAA2 4520000.00000000 PA USD 4548367.52000000 0.151409520232 Long ABS-O CORP US Y 3 2050-02-25 Variable 2.98140100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397UZD4 569670.08000000 PA USD 653301.81000000 0.021747607945 Long ABS-MBS USGSE US N 2 2051-07-25 Variable 5.43318800 N N N N N N HERO Funding Trust N/A 42771XAC0 1431359.13000000 PA USD 1538089.85000000 0.051201105723 Long ABS-O CORP KY Y 2 2047-09-20 Fixed 4.46000000 N Y N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TMGW0 22996.37000000 PA USD 26384.98000000 0.000878323298 Long ABS-MBS USGSE US N 2 2029-11-15 Fixed 8.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358LJB3 3271.33000000 PA USD 3409.37000000 0.000113493703 Long ABS-MBS USGSE US N 2 2022-01-25 Fixed 8.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31395TC51 167.62000000 PA USD 0.07000000 0.000000002330 Long ABS-MBS USGSE US N 2 2020-04-15 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617G9K67 2144471.82000000 PA USD 2327770.63000000 0.077488600635 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381VLL2 19482814.54000000 PA USD 3154102.07000000 0.104996150615 Long ABS-MBS USGA US N 2 2049-05-20 Floating 4.40300200 N N N N N N Banc of America Alternative Loan Trust N/A 05948KY78 751595.81000000 PA USD 130405.78000000 0.004341046869 Long ABS-MBS CORP US N 3 2036-01-25 Fixed 5.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L8K60 2000000.00000000 PA USD 2294012.98000000 0.076364850285 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.55000000 N N N N N N BAMLL Commercial Mortgage Securities Trust N/A 05525MAG1 2500000.00000000 PA USD 2828736.00000000 0.094165117207 Long ABS-MBS CORP US Y 3 2046-08-15 Variable 4.21390100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140F4KN5 894319.02000000 PA USD 945486.41000000 0.031474071322 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397SVY7 1374398.24000000 PA USD 1608274.64000000 0.053537470438 Long ABS-MBS USGSE US N 2 2032-11-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418SQD4 2981428.33000000 PA USD 3352215.60000000 0.111591104606 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3622AAGT5 7892148.01000000 PA USD 8777772.90000000 0.292201185953 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 5.00000000 N N N N N N FREMF Mortgage Trust N/A 30292RAL8 3000000.00000000 PA USD 3177161.10000000 0.105763757158 Long ABS-MBS USGSE US Y 2 2048-04-25 Variable 3.69450700 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAXU1 1309115.91000000 PA USD 1431521.97000000 0.047653593014 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FCHW9 158343.70000000 PA USD 21861.49000000 0.000727741920 Long ABS-MBS USGSE US N 2 2034-04-25 Variable 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137A0WW1 1305617.31000000 PA USD 158009.07000000 0.005259926198 Long ABS-MBS USGSE US N 2 2040-08-15 Fixed 5.00000000 N N N N N N Banc of America Funding Trust N/A 05946XGF4 69111.38000000 PA USD 57686.09000000 0.001920298474 Long ABS-MBS CORP US N 3 2034-03-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RU63 6312495.55000000 PA USD 6877268.97000000 0.228935764464 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.25000000 N N N N N N B2R Mortgage Trust N/A 05605LAA9 1690439.54000000 PA USD 1697237.30000000 0.056498927182 Long ABS-O CORP US Y 2 2049-06-15 Fixed 2.56720000 N N N N N N American Homes 4 Rent Trust N/A 02665UAE5 1500000.00000000 PA USD 1662274.20000000 0.055335048896 Long ABS-O CORP US Y 2 2036-10-17 Fixed 6.23100000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128MCMA0 1598.59000000 PA USD 1602.63000000 0.000053349567 Long ABS-MBS USGSE US N 2 2021-02-01 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377DSY3 519334.46000000 PA USD 592298.04000000 0.019716868014 Long ABS-MBS USGA US N 2 2034-08-20 Variable 5.71106900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374EZ91 314366.00000000 PA USD 41749.06000000 0.001389774488 Long ABS-MBS USGA US N 2 2033-12-16 Floating 4.89150000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375PYG0 143848.94000000 PA USD 17942.97000000 0.000597299243 Long ABS-MBS USGA US N 2 2038-02-20 Floating 4.18299800 N N N N N N Alternative Loan Trust N/A 12668AZU2 227693.29000000 PA USD 227433.72000000 0.007570986794 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393YQ99 156331.42000000 PA USD 152177.16000000 0.005065789139 Long ABS-MBS USGSE US N 2 2034-03-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MBC23 2252959.45000000 PA USD 2443782.19000000 0.081350481752 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N UBS-BAMLL Trust N/A 90269PAA9 3015000.00000000 PA USD 3124282.59000000 0.104003497066 Long ABS-MBS CORP US Y 2 2030-06-10 Fixed 3.66300000 N N N N N N Provident Funding Mortgage Loan Trust N/A 743873AX9 10076.50000000 PA USD 10061.21000000 0.000334925217 Long ABS-MBS CORP US N 2 2035-05-25 Variable 4.28225800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394TMU6 3240617.76000000 PA USD 3889236.15000000 0.129467853455 Long ABS-MBS USGSE US N 2 2034-03-15 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LNWS6 2383913.40000000 PA USD 2692414.46000000 0.089627142015 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 3.57000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339WCD6 53325.94000000 PA USD 63372.52000000 0.002109592685 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 7.00000000 N N N N N N HERO Funding II N/A 42771VAA8 2230589.54000000 PA USD 2285987.12000000 0.076097679348 Long ABS-O CORP KY Y 3 2047-09-20 Fixed 4.99000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417FPB8 931793.32000000 PA USD 973743.66000000 0.032414720169 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N Alternative Loan Trust N/A 12667G2U6 3594766.95000000 PA USD 544455.13000000 0.018124236807 Long ABS-MBS CORP US N 3 2035-09-25 Floating 3.42325100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381AH74 6917210.17000000 PA USD 7173894.70000000 0.238810067556 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JR5K0 4931810.67000000 PA USD 5526392.72000000 0.183966767564 Long ABS-MBS USGA US N 2 2049-04-15 Fixed 5.00000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GBH0 43824.27000000 PA USD 44824.30000000 0.001492145418 Long ABS-MBS CORP US N 2 2033-10-25 Fixed 5.25000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339G4S7 11347.92000000 PA USD 11183.52000000 0.000372285526 Long ABS-MBS USGSE US N 2 2031-10-15 Floating 2.15849900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38373SF69 7754.37000000 PA USD 7462.94000000 0.000248432027 Long ABS-MBS USGA US N 2 2033-03-16 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418M3U4 790.49000000 PA USD 835.38000000 0.000027808765 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 6.00000000 N N N N N N MRCD 2019-MARK Mortgage Trust N/A 55348UAG3 5000000.00000000 PA USD 5211908.00000000 0.173497960819 Long ABS-MBS CORP US Y 2 2036-12-15 Fixed 2.71752000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137F1G44 1848000.00000000 PA USD 2042560.21000000 0.067994299071 Long ABS-MBS USGSE US N 2 2027-04-25 Fixed 3.24300000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GCK2 6344.93000000 PA USD 6582.92000000 0.000219137251 Long ABS-MBS CORP US N 3 2031-06-25 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132FYBH9 4737648.45000000 PA USD 5156590.89000000 0.171656522753 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137AAYT4 3094846.30000000 PA USD 3743603.15000000 0.124619911295 Long ABS-MBS USGSE US N 2 2041-05-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LNH20 5250000.00000000 PA USD 5971849.17000000 0.198795460954 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 3.81000000 N N N N N N Camillo Issuer LLC N/A 133715AA0 3851685.82000000 PA USD 3843260.26000000 0.127937373032 Long ABS-O USGA US N 3 2023-12-05 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LPA63 5030000.00000000 PA USD 5913240.84000000 0.196844462252 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.80000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392HY64 225619.36000000 PA USD 259869.44000000 0.008650731731 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 6.50000000 N N N N N N Diamond Resorts Owner Trust N/A 25272XAB1 463530.34000000 PA USD 476964.84000000 0.015877568660 Long ABS-O CORP US Y 3 2029-10-22 Fixed 4.11000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397TP89 63996.98000000 PA USD 8584.09000000 0.000285753722 Long ABS-MBS USGSE US N 2 2038-05-15 Floating 4.39150000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396PHH7 32521.10000000 PA USD 100380.46000000 0.003341541162 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 29.23949200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31405FTF9 25133.45000000 PA USD 28081.91000000 0.000934811996 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 6.00000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 126694LU0 547053.86010000 PA USD 503515.81000000 0.016761417560 Long ABS-MBS CORP US N 2 2035-11-25 Variable 3.56852200 N N N N N N FHLMC Pool N/A 3133A0AC8 1192626.82000000 PA USD 1287278.86000000 0.042851918570 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396KAA0 82574.71000000 PA USD 76717.41000000 0.002553827541 Long ABS-MBS USGSE US N 2 2036-07-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403R3Y2 3408.78000000 PA USD 3408.78000000 0.000113474063 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 8.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374H4S6 31993.62000000 PA USD 34717.85000000 0.001155714218 Long ABS-MBS USGA US N 2 2034-08-17 Floating 11.43339800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381NXT5 2599467.27000000 PA USD 2596353.00000000 0.086429375013 Long ABS-MBS USGSE US N 2 2020-10-01 Fixed 3.28000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LGZP4 2970000.00000000 PA USD 3351969.47000000 0.111582911243 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.35000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395DUD9 120496.13000000 PA USD 110619.69000000 0.003682392444 Long ABS-MBS USGSE US N 2 2036-06-25 None 0.00000000 N N N N N N HERO Funding Trust N/A 42770WAA7 1637729.34000000 PA USD 1715213.10000000 0.057097319296 Long ABS-O CORP US Y 2 2041-09-20 Fixed 3.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412YFJ6 1417.71000000 PA USD 1420.86000000 0.000047298669 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418MEQ1 3349.05000000 PA USD 3400.33000000 0.000113192773 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TJP56 58134.29000000 PA USD 64261.10000000 0.002139172412 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132H3XT5 6709971.30000000 PA USD 7148380.43000000 0.237960729115 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LCJ97 4500000.00000000 PA USD 4848105.56000000 0.161387428269 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 2.95000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393A5Z6 23070.01000000 PA USD 4334.20000000 0.000144280148 Long ABS-MBS USGSE US N 2 2033-05-25 Variable 6.00000100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31282YWT2 989.64000000 PA USD 4.97000000 0.000000165445 Long ABS-MBS USGSE US N 2 2020-12-15 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358Q7C3 1652.03000000 PA USD 1628.44000000 0.000054208750 Long ABS-MBS USGSE US N 2 2022-10-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392EUN8 260759.00000000 PA USD 263015.53000000 0.008755461170 Long ABS-MBS USGSE US N 2 2031-02-25 Floating 2.37674900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128JNXP5 14799.25000000 PA USD 15495.51000000 0.000515826332 Long ABS-MBS USGSE US N 2 2037-07-01 Variable 4.53200000 N Y N N N N GNMA 549300M8ZYFG0OCMTT87 38374M2N8 77816.74000000 PA USD 75634.56000000 0.002517780806 Long ABS-MBS USGA US N 2 2036-05-20 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617BFSU7 3229899.45000000 PA USD 3492213.67000000 0.116251466927 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377YX39 2184493.13000000 PA USD 2562885.79000000 0.085315293051 Long ABS-MBS USGA US N 2 2040-07-20 Variable 5.56484000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339GJU6 197641.42000000 PA USD 226942.20000000 0.007554624702 Long ABS-MBS USGSE US N 2 2031-10-15 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381VD93 8320000.00000000 PA USD 8571794.15000000 0.285344408532 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.65000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397BDU2 154395.65000000 PA USD 152853.89000000 0.005088316643 Long ABS-MBS USGSE US N 2 2036-05-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AKSC8 927655.00000000 PA USD 965646.83000000 0.032145186729 Long ABS-MBS USGSE US N 2 2034-08-25 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AY6X6 5000000.00000000 PA USD 5448191.00000000 0.181363529182 Long ABS-MBS USGSE US N 2 2027-09-25 Variable 2.95899800 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669G3R0 118668.60000000 PA USD 109451.25000000 0.003643496524 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376R4N3 17608252.61000000 PA USD 1850627.35000000 0.061605091928 Long ABS-MBS USGA US N 2 2067-05-20 Variable 2.12721100 N N N N N N GS Mortgage Securities Trust N/A 362332AR9 1919346.84000000 PA USD 8975.25000000 0.000298774953 Long ABS-MBS CORP US Y 3 2039-11-10 Variable 1.11434000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LET53 1430606.60000000 PA USD 1557997.02000000 0.051863790752 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392CH31 216045.05000000 PA USD 241737.15000000 0.008047130260 Long ABS-MBS USGSE US N 2 2032-05-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L4P64 6068394.24000000 PA USD 6495016.43000000 0.216211050941 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 3.49000000 N N N N N N Washington Mutual Mortgage Pass-Through Certificates WMALT Trust N/A 92922FY44 301219.54350000 PA USD 299230.05000000 0.009960997678 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 5.50000000 N N N N N N Citigroup Global Markets Mortgage Securities VII, Inc. 549300VB2N1G56GWKB41 79549ASK6 2208.63000000 PA USD 2190.05000000 0.000072904051 Long ABS-O CORP US Y 3 2032-04-25 Variable 3.94999900 N N N N N N Tricon American Homes Trust N/A 89613BAC1 1247000.00000000 PA USD 1259611.29000000 0.041930899440 Long ABS-O CORP US Y 3 2033-11-17 Fixed 3.48700000 N N N N N N Renew N/A 75973LAA6 574914.82000000 PA USD 607315.93000000 0.020216794967 Long ABS-O CORP KY Y 2 2052-09-20 Fixed 3.67000000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393CX24 166585.73000000 PA USD 166234.15000000 0.005533728922 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 2.02675000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398RCX1 457083.21000000 PA USD 459750.70000000 0.015304531264 Long ABS-MBS USGSE US N 2 2040-05-25 Floating 2.22675100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138M1MA3 929988.80000000 PA USD 1002738.93000000 0.033379936788 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N Bear Stearns Asset-Backed Securities Trust N/A 07384YMA1 303449.45000000 PA USD 312580.12000000 0.010405404971 Long ABS-MBS CORP US N 2 2033-10-25 Variable 5.74999900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31406YB58 48903.90000000 PA USD 51070.96000000 0.001700088991 Long ABS-MBS USGSE US N 2 2035-05-01 Variable 4.52099900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L5FA3 4909954.80000000 PA USD 5469217.16000000 0.182063464001 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.76500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 313399SN8 9527.96000000 PA USD 11117.89000000 0.000370100785 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T6TR2 99935.34000000 PA USD 96911.52000000 0.003226064447 Long ABS-MBS USGSE US N 2 2023-11-15 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375KYH9 323562.55000000 PA USD 54720.38000000 0.001821573662 Long ABS-MBS USGA US N 2 2037-07-20 Floating 5.10300000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375J8N8 15319.33000000 PA USD 14120.89000000 0.000470066935 Long ABS-MBS USGA US N 2 2037-05-20 None 0.00000000 N N N N N N GSR Mortgage Loan Trust N/A 36228FYY6 44877.68000000 PA USD 46872.50000000 0.001560327459 Long ABS-MBS CORP US N 2 2033-10-25 Variable 4.28651600 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393XRE9 102301.72000000 PA USD 146560.69000000 0.004878823811 Long ABS-MBS USGSE US N 2 2034-04-25 Floating 15.05143800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403BBP7 147542.23000000 PA USD 154379.65000000 0.005139107303 Long ABS-MBS USGSE US N 2 2033-11-01 Variable 3.48800000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HGFH2 7916136.66000000 PA USD 8915553.43000000 0.296787729115 Long ABS-MBS USGA US N 2 2048-12-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403JD45 4869.27000000 PA USD 5121.88000000 0.000170501040 Long ABS-MBS USGSE US N 2 2033-11-01 Variable 3.90200000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K36V6 1340786.79000000 PA USD 1451919.85000000 0.048332613171 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359EFW6 10481.05000000 PA USD 12492.50000000 0.000415859849 Long ABS-MBS USGSE US N 2 2023-10-25 Floating 25.21750000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138WU4B6 1995450.16000000 PA USD 2113459.05000000 0.070354433625 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128LUJ31 43960.15000000 PA USD 46440.34000000 0.001545941388 Long ABS-MBS USGSE US N 2 2037-02-01 Variable 3.88000100 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396PE72 122930.14000000 PA USD 115271.95000000 0.003837260416 Long ABS-MBS USGSE US N 2 2037-03-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396WQH2 1034446.20000000 PA USD 210640.66000000 0.007011966630 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.77325100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396Q5D7 133500.01000000 PA USD 122259.30000000 0.004069860642 Long ABS-MBS USGSE US N 2 2039-09-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132G7D69 1855069.68000000 PA USD 1965500.72000000 0.065429084110 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418AHB7 732011.68000000 PA USD 788955.99000000 0.026263367550 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375Y5V0 206176.56000000 PA USD 26035.25000000 0.000866681220 Long ABS-MBS USGA US N 2 2039-02-16 Floating 4.44150000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140F5P31 538408.53000000 PA USD 573688.21000000 0.019097369827 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140F0LN2 676631.93000000 PA USD 715344.91000000 0.023812945886 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31405YXX4 51912.54000000 PA USD 54340.04000000 0.001808912615 Long ABS-MBS USGSE US N 2 2034-10-01 Variable 3.56299900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFUE9 1584392.61000000 PA USD 1689689.63000000 0.056247674598 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394KZD9 87560.51000000 PA USD 113020.87000000 0.003762324752 Long ABS-MBS USGSE US N 2 2033-07-15 Floating 9.96966700 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137A0Y41 947924.76000000 PA USD 1155662.38000000 0.038470568998 Long ABS-MBS USGSE US N 2 2036-11-15 Fixed 7.50000000 N N N N N N Washington Mutual Mortgage Pass-Through Certificates WMALT Trust N/A 9393362D4 61125.04000000 PA USD 62797.25000000 0.002090442659 Long ABS-MBS CORP US N 2 2035-03-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376WBQ7 122598.83000000 PA USD 113912.53000000 0.003792007009 Long ABS-MBS USGA US N 2 2035-11-20 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LGHE9 3654303.49000000 PA USD 3925940.51000000 0.130689696130 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 2.67000000 N N N N N N JP Morgan Mortgage Trust N/A 46628KAT7 104736.36000000 PA USD 106073.47000000 0.003531054412 Long ABS-MBS CORP US N 2 2034-08-25 Variable 4.12447700 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395B4J9 76009.07000000 PA USD 70954.46000000 0.002361986075 Long ABS-MBS USGSE US N 2 2036-04-25 None 0.00000000 N N N N N N JP Morgan Mortgage Trust N/A 466247K51 281380.79000000 PA USD 293252.25000000 0.009762004122 Long ABS-MBS CORP US N 2 2034-08-25 Variable 4.67524800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393EBW8 27264.40000000 PA USD 33513.32000000 0.001115616906 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 7.24185000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381QB96 1342465.12000000 PA USD 1361271.77000000 0.045315050882 Long ABS-MBS USGSE US N 2 2021-02-01 Fixed 4.33000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 313929RL7 164485.86000000 PA USD 187714.80000000 0.006248793151 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136A1Y82 1637441.43000000 PA USD 1942520.02000000 0.064664085075 Long ABS-MBS USGSE US N 2 2041-11-25 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38373A2C9 385415.54000000 PA USD 54391.07000000 0.001810611340 Long ABS-MBS USGA US N 2 2039-07-16 Floating 4.44150000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395BZL0 168674.13000000 PA USD 157489.52000000 0.005242631023 Long ABS-MBS USGSE US N 2 2036-04-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396JMD4 25015.22000000 PA USD 41742.22000000 0.001389546793 Long ABS-MBS USGSE US N 2 2036-03-15 Fixed 6.00000000 N N N N N N Vendee Mortgage Trust N/A 911760KE5 222049.30000000 PA USD 251766.29000000 0.008380987906 Long ABS-MBS USGSE US N 2 2027-02-15 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394ABD7 88170.71000000 PA USD 92751.07000000 0.003087568220 Long ABS-MBS USGSE US N 2 2024-07-25 Fixed 5.50000000 N N N N N N Credit Suisse First Boston Mortgage Securities Corp. N/A 22541QPB2 105347.60000000 PA USD 107737.00000000 0.003586431265 Long ABS-MBS CORP US N 2 2033-09-25 Fixed 5.25000000 N N N N N N Progress Residential Trust N/A 74332NAE3 2000000.00000000 PA USD 2001628.60000000 0.066631736480 Long ABS-O CORP US Y 2 2032-11-12 Fixed 4.32700000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339GX63 11424.08000000 PA USD 11441.29000000 0.000380866370 Long ABS-MBS USGSE US N 2 2031-11-15 Floating 2.15849900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LAXE4 1394793.14000000 PA USD 1588026.68000000 0.052863440933 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.37000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312907DL9 1615.62000000 PA USD 1687.59000000 0.000056177780 Long ABS-MBS USGSE US N 2 2021-09-15 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LGZ58 4260434.81000000 PA USD 4665747.95000000 0.155316969336 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617G85E9 2229391.59000000 PA USD 2466548.65000000 0.082108349003 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358FZY8 0.09000000 PA USD 0.23000000 0.000000007656 Long ABS-MBS USGSE US N 2 2021-02-25 Fixed 908.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396HVT3 133969.88000000 PA USD 125296.63000000 0.004170969595 Long ABS-MBS USGSE US N 2 2036-02-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LAZV4 2365338.39000000 PA USD 2670488.59000000 0.088897256965 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.32000000 N N N N N N MASTR Alternative Loan Trust N/A 576434LD4 60687.20000000 PA USD 62610.90000000 0.002084239298 Long ABS-MBS CORP US N 2 2034-01-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410LWY4 4797519.41000000 PA USD 5370986.05000000 0.178793472037 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396PRZ6 254019.87000000 PA USD 85022.94000000 0.002830308346 Long ABS-MBS USGSE US N 2 2036-08-25 Floating 4.87325200 N N N N N N CSFB Mortgage-Backed Pass-Through Certificates N/A 225458QZ4 755003.58000000 PA USD 86178.00000000 0.002868758862 Long ABS-MBS CORP US N 3 2035-06-25 Variable 5.50000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394BNG5 203595.96000000 PA USD 206145.53000000 0.006862329321 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 2.37674900 N N N N N N MASTR Alternative Loan Trust N/A 576434PD0 115792.54000000 PA USD 101957.29000000 0.003394031879 Long ABS-MBS CORP US N 3 2034-04-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403QVP2 68131.49000000 PA USD 76400.66000000 0.002543283326 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397M5Z6 146076.30000000 PA USD 29386.11000000 0.000978227198 Long ABS-MBS USGSE US N 2 2039-02-25 Floating 4.92324800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137BSRZ8 1491105.11000000 PA USD 1539148.37000000 0.051236342543 Long ABS-MBS USGSE US N 2 2022-09-25 Fixed 2.83800000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128E54X4 881135.01000000 PA USD 949389.41000000 0.031603997357 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394VPT1 164289.61000000 PA USD 188889.12000000 0.006287884809 Long ABS-MBS USGSE US N 2 2045-08-25 Fixed 6.00000000 N N N N N N MASTR Adjustable Rate Mortgages Trust N/A 576433VM5 123950.70000000 PA USD 122988.98000000 0.004094150785 Long ABS-MBS CORP US N 2 2034-12-25 Variable 4.31977000 N N N N N N Legacy Mortgage Asset Trust N/A 52475FAF0 7859687.30000000 PA USD 7948332.00000000 0.264590125902 Long ABS-O CORP US Y 2 2059-05-25 Variable 3.20000000 N N N N N N RALI Trust N/A 76110HH44 95788.62000000 PA USD 84381.08000000 0.002808941622 Long ABS-MBS CORP US N 2 2034-12-26 Variable 4.03743200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HDK78 4173658.21000000 PA USD 4429633.72000000 0.147457019117 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T3TD0 76948.09000000 PA USD 82671.57000000 0.002752034151 Long ABS-MBS USGSE US N 2 2024-01-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L3MT9 1779890.06000000 PA USD 1845506.81000000 0.061434635494 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 2.64000000 N N N N N N BAMLL Commercial Mortgage Securities Trust N/A 05523EAA4 5185000.00000000 PA USD 5128467.95000000 0.170720344919 Long ABS-MBS CORP US Y 2 2048-02-27 Variable 2.93856100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398EP99 47626.41000000 PA USD 48756.91000000 0.001623057133 Long ABS-MBS USGSE US N 2 2039-07-15 Floating 2.85850100 N N N N N N Residential Asset Securitization Trust N/A 45660L2X6 814847.57000000 PA USD 182698.28000000 0.006081799414 Long ABS-MBS CORP US N 3 2036-02-25 Fixed 5.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617KJQM9 1102848.61000000 PA USD 1237254.62000000 0.041186673591 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N Bear Stearns ARM Trust N/A 07384MVR0 128137.90000000 PA USD 131956.33000000 0.004392662758 Long ABS-MBS CORP US N 2 2033-07-25 Variable 4.39888000 N N N N N N Multifamily Connecticut Avenue Securities Trust 549300HG8ZEWVWVSN227 62547NAA7 3688252.54000000 PA USD 3684021.38000000 0.122636507982 Long ABS-MBS CORP US Y 3 2049-10-15 Floating 3.32674900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381QER3 1731093.04000000 PA USD 1756619.08000000 0.058475673077 Long ABS-MBS USGSE US N 2 2021-02-01 Fixed 4.48000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L03V1 3020459.49000000 PA USD 3116038.85000000 0.103729073173 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 2.42000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31395TC93 26255.41000000 PA USD 33457.36000000 0.001113754067 Long ABS-MBS USGSE US N 2 2025-04-15 Floating 24.70324700 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31393JLU0 492145.72000000 PA USD 563965.97000000 0.018773728501 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 5.30000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TPUN7 109029.14000000 PA USD 135901.14000000 0.004523980596 Long ABS-MBS USGSE US N 2 2030-09-15 Fixed 9.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132HBQA6 4869662.22000000 PA USD 5254321.85000000 0.174909865343 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381RQR8 7553990.80000000 PA USD 7743511.59000000 0.257771908184 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 4.06000000 N N N N N N VNDO Mortgage Trust N/A 91830CAA6 2991216.00000000 PA USD 3101354.97000000 0.103240264999 Long ABS-MBS CORP US Y 2 2030-11-15 Fixed 2.99560000 N N N N N N FREMF Mortgage Trust 549300J7N4IBRYXP6K82 30287EAG5 1830000.00000000 PA USD 1933663.83000000 0.064369273481 Long ABS-MBS USGSE US Y 2 2047-11-25 Variable 3.83254200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3622A25K4 9250380.30000000 PA USD 9750944.19000000 0.324596852635 Long ABS-MBS USGA US N 2 2048-02-15 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410GAH6 98281.10000000 PA USD 112347.65000000 0.003739914092 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3622AAA38 3504590.42000000 PA USD 3731200.74000000 0.124207050430 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396VQB7 122820.44000000 PA USD 137399.05000000 0.004573844164 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 6.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410QPY1 47620.59000000 PA USD 49887.42000000 0.001660690411 Long ABS-MBS USGSE US N 2 2036-10-01 Variable 3.97199900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128NFF28 70339.58000000 PA USD 73382.41000000 0.002442809522 Long ABS-MBS USGSE US N 2 2036-08-01 Variable 3.78799900 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413STL8 708484.90000000 PA USD 825724.27000000 0.027487338042 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 313921AM0 57616.45000000 PA USD 67857.85000000 0.002258903764 Long ABS-MBS USGSE US N 2 2031-07-25 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LAAQ2 1484150.94000000 PA USD 1667113.13000000 0.055496130881 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3.20000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAV74 1092350.63000000 PA USD 1223629.73000000 0.040733117881 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MNJ20 6313844.00000000 PA USD 6810996.01000000 0.226729619724 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393CV67 12916.28000000 PA USD 20475.92000000 0.000681618011 Long ABS-MBS USGSE US N 2 2031-10-25 Floating 18.06975000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381VGJ8 2736714.53000000 PA USD 2843453.13000000 0.094655032233 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 2.90000000 N N N N N N Banc of America Funding Trust N/A 05946XQF3 250319.10000000 PA USD 48083.12000000 0.001600627499 Long ABS-MBS CORP US N 3 2035-02-25 Fixed 5.50000000 N N N N N N Bear Stearns ARM Trust N/A 07384MM66 91790.46000000 PA USD 92781.49000000 0.003088580864 Long ABS-MBS CORP US N 2 2034-05-25 Variable 4.15367600 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392EUP3 260759.00000000 PA USD 263015.53000000 0.008755461170 Long ABS-MBS USGSE US N 2 2031-02-25 Floating 2.37674900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413HZB7 43672.14000000 PA USD 51104.98000000 0.001701221475 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378GKK3 3925027.23000000 PA USD 4364312.35000000 0.145282551630 Long ABS-MBS USGA US N 2 2042-11-16 Variable 4.01856100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LGCX2 4020000.00000000 PA USD 4339192.54000000 0.144446344273 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 2.69000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397KNW7 49131.16000000 PA USD 49420.82000000 0.001645157875 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 2.25850000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX6A0 5066491.11000000 PA USD 5680611.29000000 0.189100512714 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 5.00000000 N N N N N N RALI Trust N/A 74922KAA3 184244.17000000 PA USD 175561.59000000 0.005844227845 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31349UJY5 79135.00000000 PA USD 84140.24000000 0.002800924356 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 3.87500000 N Y N N N N GNMA 549300M8ZYFG0OCMTT87 38374VZG7 1526969.51000000 PA USD 1768027.15000000 0.058855433595 Long ABS-MBS USGA US N 2 2039-07-20 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140GWPL1 3084264.47000000 PA USD 3289918.51000000 0.109517311653 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAWB4 993082.54000000 PA USD 1113002.55000000 0.037050476104 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413RX68 143528.57000000 PA USD 161828.56000000 0.005387072289 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381VHY4 1623361.98000000 PA USD 1667770.72000000 0.055518021237 Long ABS-MBS USGSE US N 2 2022-07-01 Fixed 2.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K4UX3 3341422.08000000 PA USD 3720108.82000000 0.123837814154 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617J22T9 3993992.09000000 PA USD 4321744.19000000 0.143865510317 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393XFS1 235337.31000000 PA USD 272042.16000000 0.009055946501 Long ABS-MBS USGSE US N 2 2044-01-25 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376JGF5 108150.77000000 PA USD 2115.53000000 0.000070423372 Long ABS-MBS USGA US N 2 2039-06-16 Floating 4.74149900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LAG45 2495214.34000000 PA USD 2831831.06000000 0.094268147920 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.39000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GLD8 47774.18000000 PA USD 47466.05000000 0.001580086003 Long ABS-MBS CORP US N 2 2034-08-25 Variable 4.57603900 N N N N N N Progress Residential Trust N/A 74333NAJ1 6285000.00000000 PA USD 6501120.41000000 0.216414244874 Long ABS-O CORP US Y 3 2036-05-17 Fixed 4.14200000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617J76E7 4051589.71000000 PA USD 4384572.65000000 0.145956991918 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398PQB8 186337.26000000 PA USD 187607.02000000 0.006245205288 Long ABS-MBS USGSE US N 2 2040-04-25 Floating 2.22675100 N N N N N N Cascade Funding Mortgage Trust N/A 147278AA3 1925081.73000000 PA USD 1932692.93000000 0.064336953423 Long ABS-MBS CORP US Y 2 2048-06-25 Variable 4.57999900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392JFP9 294265.91000000 PA USD 24077.90000000 0.000801523463 Long ABS-MBS USGSE US N 2 2033-03-25 Fixed 5.00000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922FFA1 9273.91000000 PA USD 8521.55000000 0.000283671843 Long ABS-MBS CORP US N 3 2033-10-25 None 0.00000000 N N N N N N Alternative Loan Trust N/A 12667FT47 122144.00000000 PA USD 3028.85000000 0.000100826664 Long ABS-MBS CORP US N 3 2035-02-25 Floating 3.47325100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX5H6 3577916.92000000 PA USD 3943776.74000000 0.131283442132 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 4.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416CBZ8 203303.08000000 PA USD 240577.39000000 0.008008523286 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 7.00000000 N N N N N N Impac CMB Trust N/A 45254NNL7 69184.28000000 PA USD 67079.71000000 0.002233000447 Long ABS-MBS CORP US N 3 2035-04-25 Floating 2.40675100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396PU90 36395.50000000 PA USD 1398.93000000 0.000046568646 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.45325000 N N N N N N American Homes 4 Rent Trust N/A 02666BAA4 1850558.38000000 PA USD 2018007.82000000 0.067176980423 Long ABS-O CORP US Y 3 2052-10-17 Fixed 3.73200000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TCX78 2521.57000000 PA USD 473.35000000 0.000015757235 Long ABS-MBS USGSE US N 2 2024-03-15 Floating 26.78279000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397MRZ2 199.25000000 PA USD 199.20000000 0.000006631121 Long ABS-MBS USGSE US N 2 2023-09-25 Floating 2.27675200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403DQT9 50341.63000000 PA USD 52748.04000000 0.001755916907 Long ABS-MBS USGSE US N 2 2035-06-01 Variable 3.78400000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128JLW39 33574.98000000 PA USD 35181.56000000 0.001171150549 Long ABS-MBS USGSE US N 2 2034-04-01 Variable 4.69400000 N Y N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394LME9 2485.50000000 PA USD 2485.50000000 0.000082739215 Long ABS-MBS USGSE US N 2 2029-12-20 Variable 7.99976500 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394ATX4 49724.95000000 PA USD 58909.93000000 0.001961038592 Long ABS-MBS USGSE US N 2 2032-11-25 Floating 8.50000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669FXJ7 44416.78000000 PA USD 46422.93000000 0.001545361831 Long ABS-MBS CORP US N 2 2034-06-25 Variable 4.53571200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396XDL5 38282.76000000 PA USD 64568.68000000 0.002149411369 Long ABS-MBS USGSE US N 2 2037-08-25 Floating 18.05191900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397NKR5 451.35000000 PA USD 11.78000000 0.000000392141 Long ABS-MBS USGSE US N 2 2024-03-25 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371NBU8 31293.68000000 PA USD 35557.96000000 0.001183680439 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375LT67 259551.80000000 PA USD 33096.41000000 0.001101738489 Long ABS-MBS USGA US N 2 2037-11-20 Floating 4.88300000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398PSE0 104613.05000000 PA USD 20144.53000000 0.000670586448 Long ABS-MBS USGSE US N 2 2040-05-25 Floating 4.77325100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371KNW7 24419.43000000 PA USD 27245.67000000 0.000906974602 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 6.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828G53 6400000.00000000 PA USD 6504249.98000000 0.216518424382 Long DBT UST US N 2 2021-11-30 Fixed 1.87500000 N N N N N N MASTR Alternative Loan Trust N/A 576434TR5 175591.63000000 PA USD 27678.86000000 0.000921394960 Long ABS-MBS CORP US N 3 2034-08-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TV5T9 54434.37000000 PA USD 66280.23000000 0.002206386748 Long ABS-MBS USGSE US N 2 2031-06-15 Fixed 8.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128KHFU5 35606.95000000 PA USD 41398.64000000 0.001378109441 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 313920LG3 49846.95000000 PA USD 58460.88000000 0.001946090273 Long ABS-MBS USGSE US N 2 2031-08-25 Fixed 7.00000000 N N N N N N CSFB Mortgage-Backed Pass-Through Certificates N/A 22541SUD8 151175.02000000 PA USD 157701.50000000 0.005249687574 Long ABS-MBS CORP US N 2 2034-09-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396L5A4 147645.95000000 PA USD 147444.09000000 0.004908231102 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 1.86675100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312905B27 0.36000000 PA USD 0.78000000 0.000000025965 Long ABS-MBS USGSE US N 2 2021-05-15 Fixed 1007.78000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393YV85 183790.42000000 PA USD 222079.99000000 0.007392767754 Long ABS-MBS USGSE US N 2 2044-01-25 Variable 10.15323100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HGMS0 3698064.60000000 PA USD 4030778.81000000 0.134179633264 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TRUS2 23447.64000000 PA USD 27570.12000000 0.000917775140 Long ABS-MBS USGSE US N 2 2031-03-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EN4Y2 1888941.24000000 PA USD 2062444.44000000 0.068656220455 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MBSC4 1606075.66000000 PA USD 1749793.40000000 0.058248454645 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396K4E9 724376.80000000 PA USD 74250.58000000 0.002471709826 Long ABS-MBS USGSE US N 2 2026-10-25 Floating 5.02324900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412TXU2 76355.43000000 PA USD 96537.73000000 0.003213621440 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 7.00000000 N N N N N N Residential Asset Securitization Trust N/A 45660LAN9 355246.26000000 PA USD 371138.31000000 0.012354734574 Long ABS-MBS CORP US N 2 2034-12-25 Variable 4.12006700 N N N N N N BAMLL Re-REMIC Trust N/A 05525QAA5 3585000.00000000 PA USD 3380538.13000000 0.112533926543 Long ABS-MBS CORP US Y 2 2047-11-26 Variable 2.15689700 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3139216E3 14379.16000000 PA USD 13924.51000000 0.000463529688 Long ABS-MBS USGSE US N 2 2041-12-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397MT31 6663.79000000 PA USD 46.97000000 0.000001563573 Long ABS-MBS USGSE US N 2 2024-02-25 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137BLVZ8 14198.71000000 PA USD 14226.79000000 0.000473592214 Long ABS-MBS USGSE US N 2 2020-09-25 Fixed 2.59700000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374TAH7 347413.39000000 PA USD 41597.58000000 0.001384731907 Long ABS-MBS USGA US N 2 2039-02-20 Floating 4.30300100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378GPG7 2642057.26000000 PA USD 2928094.83000000 0.097472649572 Long ABS-MBS USGA US N 2 2042-01-20 Variable 3.69821200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396N7B6 76289.43000000 PA USD 69682.08000000 0.002319630121 Long ABS-MBS USGSE US N 2 2036-04-15 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RMJ2 3801301.90000000 PA USD 3828898.21000000 0.127459278179 Long ABS-MBS USGA US N 2 2065-12-20 Floating 2.39438200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LAAN9 1000000.00000000 PA USD 1114649.32000000 0.037105295037 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3.13000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31322YU25 1172016.00000000 PA USD 1232027.20000000 0.041012659255 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N BAMLL Re-REMIC Trust N/A 05524RAA4 5500000.00000000 PA USD 5387069.60000000 0.179328873493 Long ABS-MBS CORP US Y 2 2020-12-26 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31377U5W9 5420000.00000000 PA USD 6270270.74000000 0.208729545336 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.61000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396PXY2 49169.62000000 PA USD 51094.56000000 0.001700874606 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 2.37674900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397F2P6 350029.55000000 PA USD 357824.18000000 0.011911523680 Long ABS-MBS USGSE US N 2 2022-02-15 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394VX39 482917.14000000 PA USD 430470.26000000 0.014329821689 Long ABS-MBS USGSE US N 2 2036-03-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132VNKA0 1095082.17000000 PA USD 1207173.61000000 0.040185314032 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L8NF7 1926703.28000000 PA USD 2056551.89000000 0.068460064765 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 2.95000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LLVE2 11600913.72000000 PA USD 12800519.66000000 0.426113442223 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.03000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFTY7 1241961.14000000 PA USD 1395183.03000000 0.046443914718 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HD6Z9 2424561.69000000 PA USD 2597655.93000000 0.086472747938 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393EQX0 33283.94000000 PA USD 41089.13000000 0.001367806236 Long ABS-MBS USGSE US N 2 2033-09-25 Floating 9.78874900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402REL9 228431.61000000 PA USD 241715.88000000 0.008046422208 Long ABS-MBS USGSE US N 2 2035-04-01 Variable 4.03899800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B1DP6 5322536.90000000 PA USD 5569928.42000000 0.185416017085 Long ABS-MBS USGSE US N 2 2045-07-25 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T6RU7 34.30000000 PA USD 34.72000000 0.000001155785 Long ABS-MBS USGSE US N 2 2020-10-15 Fixed 9.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132G7BQ7 945369.21000000 PA USD 1011837.52000000 0.033682817578 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128S4DJ3 49664.86000000 PA USD 52420.92000000 0.001745027487 Long ABS-MBS USGSE US N 2 2036-09-01 Variable 4.33699900 N Y N N N N FHLMC S6XOOCT0IEG5ABCC6L87 313399C47 157465.92000000 PA USD 181522.37000000 0.006042654827 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374DBJ7 66034.95000000 PA USD 62919.67000000 0.002094517869 Long ABS-MBS USGA US N 2 2036-07-20 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137AJXA7 1916229.98000000 PA USD 2136461.72000000 0.071120164014 Long ABS-MBS USGSE US N 2 2041-12-15 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381TYU8 3367798.36000000 PA USD 3375158.68000000 0.112354851317 Long ABS-MBS USGSE US N 2 2022-03-01 Variable 2.46200000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398CR83 557446.32000000 PA USD 98940.31000000 0.003293600352 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397NGH2 161350.80000000 PA USD 26564.89000000 0.000884312279 Long ABS-MBS USGSE US N 2 2039-03-25 Floating 5.02324900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FAMQ2 2364693.51000000 PA USD 2500395.23000000 0.083235059722 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398FVM0 208660.77000000 PA USD 230229.32000000 0.007664048855 Long ABS-MBS USGSE US N 2 2039-11-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JRPP0 1286462.50000000 PA USD 1404274.55000000 0.046746560157 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132G7FN0 1821755.36000000 PA USD 1929827.88000000 0.064241579458 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128MSE71 216734.00000000 PA USD 223271.68000000 0.007432437638 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381TKP4 2545429.98000000 PA USD 2617992.15000000 0.087149715510 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 3.14000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128MBQ75 67501.20000000 PA USD 69979.81000000 0.002329541184 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MBSH3 1113763.35000000 PA USD 1218847.04000000 0.040573908056 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395NQK6 236866.77000000 PA USD 280310.22000000 0.009331179976 Long ABS-MBS USGSE US N 2 2036-07-25 Fixed 6.50000000 N N N N N N Mid-State Capital Trust 549300CMSF2YH7CURY06 59560WAC1 649874.08000000 PA USD 677171.33000000 0.022542194697 Long ABS-O CORP US Y 3 2045-12-15 Fixed 5.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31409EFC0 7455.18000000 PA USD 7522.45000000 0.000250413041 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375KKT8 14399.50000000 PA USD 13094.00000000 0.000435883039 Long ABS-MBS USGA US N 2 2037-06-16 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380F3R5 1354778.10000000 PA USD 1618083.83000000 0.053864006221 Long ABS-MBS USGA US N 2 2044-08-20 Variable 6.00997000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FHCW5 2249276.22000000 PA USD 2479532.08000000 0.082540551303 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396FZ71 149269.80000000 PA USD 142823.54000000 0.004754418717 Long ABS-MBS USGSE US N 2 2035-04-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402RHZ5 64186.16000000 PA USD 67301.27000000 0.002240375905 Long ABS-MBS USGSE US N 2 2034-02-01 Variable 3.66900100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418AJY5 1923334.25000000 PA USD 2073106.04000000 0.069011131912 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380L3G6 6000000.00000000 PA USD 6000000.00000000 0.199732567212 Long ABS-MBS USGA US N 2 2070-02-20 Floating 2.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397MRK5 278580.12000000 PA USD 46899.35000000 0.001561221262 Long ABS-MBS USGSE US N 2 2038-09-25 Floating 4.22325000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BR95 1903219.63000000 PA USD 1898812.34000000 0.063209110553 Long ABS-MBS USGA US N 2 2063-04-20 Fixed 1.65000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378JBH4 1610914.89000000 PA USD 1820869.62000000 0.060614493960 Long ABS-MBS USGA US N 2 2041-09-20 Variable 4.67656900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JWX21 3710130.05000000 PA USD 4197197.11000000 0.139719492312 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFT68 1231770.41000000 PA USD 1342193.53000000 0.044679959907 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140J73J2 4024975.34000000 PA USD 4355694.36000000 0.144995669419 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.00000000 N N N N N N Pretium Mortgage Credit Partners I LLC N/A 74142QAA4 5095369.88000000 PA USD 5137059.69000000 0.171006353301 Long ABS-O CORP US Y 3 2059-01-25 Variable 3.72110000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396VB56 732637.20000000 PA USD 819613.03000000 0.027283902433 Long ABS-MBS USGSE US N 2 2037-05-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFTZ4 1304462.63000000 PA USD 1465381.04000000 0.048780719510 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374NPR2 169211.67000000 PA USD 11409.72000000 0.000379815444 Long ABS-MBS USGA US N 2 2036-06-20 Floating 4.85300200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138M1MB1 927753.04000000 PA USD 1000720.17000000 0.033312734769 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LYP2 22381030.10060000 PA USD 1499526.78000000 0.049917388895 Long ABS-MBS USGA US N 2 2069-07-20 Variable 2.24545000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TBEZ9 8209.99000000 PA USD 9578.63000000 0.000318860726 Long ABS-MBS USGSE US N 2 2027-09-15 Fixed 7.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LD42 30406637.20000000 PA USD 1942984.12000000 0.064679534390 Long ABS-MBS USGA US N 2 2069-08-20 Variable 2.11340200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128DHG65 46195.17000000 PA USD 48173.29000000 0.001603629147 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 6.00000000 N N N N N N Vericrest Opportunity Loan Trust N/A 91834DAB8 4900000.00000000 PA USD 4941926.36000000 0.164510606476 Long ABS-O CORP US Y 3 2049-09-25 Variable 4.25000200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31400RRY9 145242.29000000 PA USD 162924.96000000 0.005423570087 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX5D5 2647757.34000000 PA USD 2919421.03000000 0.097183909515 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 4.75000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 589929Y36 434512.88000000 PA USD 440197.05000000 0.014653614479 Long ABS-MBS CORP US N 2 2028-10-25 Floating 2.24674900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358QKR5 3428.62000000 PA USD 3559.64000000 0.000118496005 Long ABS-MBS USGSE US N 2 2022-09-25 Fixed 7.50000000 N N N N N N Sequoia Mortgage Trust N/A 81744FDV6 1139426.87000000 PA USD 1132442.41000000 0.037697604961 Long ABS-MBS CORP US N 2 2034-10-20 Floating 2.32700000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312911GW4 4560.08000000 PA USD 4825.04000000 0.000160619604 Long ABS-MBS USGSE US N 2 2022-08-15 Fixed 8.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358NWF5 1422.41000000 PA USD 1500.46000000 0.000049948454 Long ABS-MBS USGSE US N 2 2022-06-25 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FGCE5 44925.36000000 PA USD 7425.29000000 0.000247178705 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396KJ52 170225.10000000 PA USD 158068.30000000 0.005261897892 Long ABS-MBS USGSE US N 2 2036-09-25 None 0.00000000 N N N N N N Alternative Loan Trust N/A 12668AYH2 290839.86000000 PA USD 36035.20000000 0.001199567167 Long ABS-MBS CORP US N 3 2035-12-25 Floating 3.47325100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T3Q84 35159.80000000 PA USD 37623.58000000 0.001252442370 Long ABS-MBS USGSE US N 2 2023-07-15 Fixed 7.50000000 N N N N N N Headlands Residential LLC N/A 42210BAA1 6000000.00000000 PA USD 6093787.80000000 0.202854646890 Long ABS-MBS CORP US Y 2 2024-06-25 Variable 3.96699800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B4NV6 4820265.36000000 PA USD 5067148.27000000 0.168679088735 Long ABS-MBS USGSE US N 2 2049-05-25 Fixed 3.50000000 N N N N N N JP Morgan Mortgage Trust N/A 466247DA8 36124.01000000 PA USD 37167.98000000 0.001237276010 Long ABS-MBS CORP US N 2 2034-07-25 Variable 4.90867600 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392DA93 386239.28000000 PA USD 435456.82000000 0.014495818094 Long ABS-MBS USGSE US N 2 2031-05-25 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31283HTD7 40786.48000000 PA USD 47971.31000000 0.001596905483 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36200QSL9 62505.26000000 PA USD 70746.89000000 0.002355076326 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 7.00000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GPS1 128149.47000000 PA USD 111465.04000000 0.003710533098 Long ABS-MBS CORP US N 2 2035-02-25 Variable 2.73269200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TVTX4 56365.69000000 PA USD 66516.77000000 0.002214260872 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31335PMN2 159224.46000000 PA USD 182203.14000000 0.006065316817 Long ABS-MBS USGSE US N 2 2038-10-17 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381UM20 3416219.53000000 PA USD 3519982.55000000 0.117175858542 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 2.94000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31391KA23 10187.57000000 PA USD 10206.93000000 0.000339776055 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359AXU8 93.07000000 PA USD 91.24000000 0.000003037266 Long ABS-MBS USGSE US N 2 2023-02-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371PAK6 176597.35000000 PA USD 216946.88000000 0.007221892881 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358UVD5 2449.14000000 PA USD 2767.72000000 0.000092133970 Long ABS-MBS USGSE US N 2 2023-04-25 Floating 18.11634100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395NBG1 200992.85000000 PA USD 185532.76000000 0.006176155742 Long ABS-MBS USGSE US N 2 2036-06-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31393LFK4 1160756.01000000 PA USD 1408414.33000000 0.046884368304 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TKGP9 2252.55000000 PA USD 228.64000000 0.000007611142 Long ABS-MBS USGSE US N 2 2029-04-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136A0GK7 148029.86000000 PA USD 149337.16000000 0.004971249057 Long ABS-MBS USGSE US N 2 2041-08-25 Floating 2.17675100 N N N N N N Banc of America Funding Trust N/A 05946X3C5 84629.31000000 PA USD 65984.16000000 0.002196530945 Long ABS-MBS CORP US N 3 2036-01-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312904FD2 1.08000000 PA USD 2.67000000 0.000000088880 Long ABS-MBS USGSE US N 2 2021-10-15 Fixed 1009.50000000 N Y N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TJ3M3 95935.94000000 PA USD 13573.00000000 0.000451828355 Long ABS-MBS USGSE US N 2 2029-01-15 Floating 5.84150000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374KY98 26279.91000000 PA USD 26584.60000000 0.000884968401 Long ABS-MBS USGA US N 2 2034-01-17 Floating 7.49999900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36193UAK0 2744169.16000000 PA USD 2909307.85000000 0.096847254281 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31405YX48 136194.49000000 PA USD 140761.49000000 0.004685775627 Long ABS-MBS USGSE US N 2 2034-10-01 Variable 3.81499900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403EDC8 63907.48000000 PA USD 67561.87000000 0.002249050956 Long ABS-MBS USGSE US N 2 2033-09-01 Variable 4.06000100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137A0MJ1 21015.59000000 PA USD 21341.90000000 0.000710445412 Long ABS-MBS USGSE US N 2 2021-11-15 Variable 6.98896400 N N N N N N CARS-DB4 LP N/A 12510HAG5 10000000.00000000 PA USD 10157220.00000000 0.338121271056 Long ABS-O CORP US Y 2 2050-02-15 Fixed 4.17000000 N N N N N N Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates N/A 15132EGQ5 16480.21000000 PA USD 15844.29000000 0.000527436786 Long ABS-MBS CORP US N 3 2033-11-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LKUC9 925207.11000000 PA USD 1020337.15000000 0.033965759731 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.11000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312914MW1 23731.28000000 PA USD 25191.75000000 0.000838602150 Long ABS-MBS USGSE US N 2 2023-02-15 Fixed 7.50000000 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46627QBE7 4419439.25000000 PA USD 6070.10000000 0.000202066109 Long ABS-MBS CORP US N 3 2043-06-12 Variable 0.31929500 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339NKQ8 34550.00000000 PA USD 37764.21000000 0.001257123768 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6.37500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31373UED5 9208.49000000 PA USD 9395.97000000 0.000312780201 Long ABS-MBS USGSE US N 2 2029-03-01 Variable 4.06900100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359SDC1 21359.04000000 PA USD 25311.27000000 0.000842580822 Long ABS-MBS USGSE US N 2 2031-03-25 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359PD37 132453.35000000 PA USD 148962.27000000 0.004958769434 Long ABS-MBS USGSE US N 2 2027-06-17 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410GCM3 59968.87000000 PA USD 75461.61000000 0.002512023515 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 7.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RUE6 1377946.70000000 PA USD 1501020.15000000 0.049967101332 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379QAH8 418506.75000000 PA USD 490703.47000000 0.016334910633 Long ABS-MBS USGA US N 2 2038-01-20 Variable 5.49375100 N N N N N N Morgan Stanley Capital I Trust 5493005SNWQW3UUOQX45 61760VAN3 366353.66000000 PA USD 368398.54000000 0.012263531025 Long ABS-MBS CORP US N 2 2045-03-15 Fixed 2.99100000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202CX40 4126.81000000 PA USD 4657.43000000 0.000155040075 Long ABS-MBS USGA US N 2 2027-10-20 Fixed 8.00000000 N N N N N N JPMCC Re-REMIC Trust N/A 46642KAA0 456000.00000000 PA USD 456119.02000000 0.015183637136 Long ABS-MBS CORP US Y 2 2049-11-27 Fixed 4.28602800 N N N N N N First Horizon Alternative Mortgage Securities Trust N/A 32051GYZ2 232195.77000000 PA USD 188067.87000000 0.006260546414 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403R4D7 12343.04000000 PA USD 12513.24000000 0.000416550258 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 8.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36183SX89 1780530.00000000 PA USD 1936091.93000000 0.064450101922 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L4KG7 1075661.31000000 PA USD 1239652.71000000 0.041266503036 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 3.85000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397QW95 2483714.10000000 PA USD 560685.54000000 0.018664527050 Long ABS-MBS USGSE US N 2 2041-01-25 Floating 4.90325000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396XC69 268955.95000000 PA USD 264373.13000000 0.008800653992 Long ABS-MBS USGSE US N 2 2036-06-27 Floating 1.73173000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397YVC2 3159.75000000 PA USD 33.98000000 0.000001131152 Long ABS-MBS USGSE US N 2 2021-12-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31411BAT0 13134.26000000 PA USD 13803.34000000 0.000459496089 Long ABS-MBS USGSE US N 2 2036-11-01 Variable 3.74900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393EF61 259522.66000000 PA USD 294971.35000000 0.009819230831 Long ABS-MBS USGSE US N 2 2033-09-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31282YAK5 500.49000000 PA USD 24.27000000 0.000000807918 Long ABS-MBS USGSE US N 2 2022-04-01 Fixed 9.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393UZG1 28612.88000000 PA USD 33931.68000000 0.001129543592 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 12.94650000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358T7F0 3932.53000000 PA USD 4190.25000000 0.000139488231 Long ABS-MBS USGSE US N 2 2023-03-25 Fixed 7.50000000 N N N N N N Renew N/A 75973LAB4 398366.99000000 PA USD 402531.28000000 0.013399767656 Long ABS-O CORP KY Y 3 2052-09-20 Fixed 5.75000000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396WLY0 248543.00000000 PA USD 37997.45000000 0.001264888039 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.99325000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393YT54 44288.13000000 PA USD 59170.34000000 0.001969707318 Long ABS-MBS USGSE US N 2 2034-05-25 Floating 12.02643700 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128QLSF9 41513.80000000 PA USD 43790.70000000 0.001457738155 Long ABS-MBS USGSE US N 2 2036-05-01 Variable 4.75700000 N Y N N N N DBWF Mortgage Trust N/A 23306NAA0 1244229.26000000 PA USD 1276120.22000000 0.042480461268 Long ABS-MBS CORP US Y 2 2034-06-10 Fixed 2.99800000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31411JEH5 366053.82000000 PA USD 435824.22000000 0.014508048385 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402HGD7 168114.86000000 PA USD 188463.69000000 0.006273722771 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128NHVH3 22409.06000000 PA USD 23599.88000000 0.000785610769 Long ABS-MBS USGSE US N 2 2037-02-01 Variable 4.21800100 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396WFF8 472968.80000000 PA USD 92553.66000000 0.003080996686 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 4.47324800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36203CRH7 2739.29000000 PA USD 2782.91000000 0.000092639626 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 7.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36201SRB7 20285.61000000 PA USD 22513.23000000 0.000749437537 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312905D33 32.99000000 PA USD 35.66000000 0.000001187077 Long ABS-MBS USGSE US N 2 2021-05-15 Floating 37.76175000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAZA3 5960735.11000000 PA USD 6486768.14000000 0.215936475585 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 4.50000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59020UGG4 314929.53000000 PA USD 308343.66000000 0.010264378465 Long ABS-MBS CORP US N 2 2029-09-25 Floating 2.39474900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410GNM1 131726.10000000 PA USD 142406.66000000 0.004740541298 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.00000000 N N N N N N Structured Asset Securities Corp. Pass-Through Certificates N/A 86358RXZ5 357096.45000000 PA USD 348165.18000000 0.011589987535 Long ABS-O CORP US N 3 2032-02-25 Fixed 3.45000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417YU47 1153626.93000000 PA USD 1198042.74000000 0.039881358681 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FFTW1 2092886.55000000 PA USD 2209126.89000000 0.073539097506 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N MASTR Alternative Loan Trust N/A 576434PF5 69196.32000000 PA USD 13936.32000000 0.000463922828 Long ABS-MBS CORP US N 3 2034-04-25 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M4VW0 50769.48000000 PA USD 56635.71000000 0.001885332625 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617J77K2 3960825.86000000 PA USD 4263059.05000000 0.141911954705 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N American Homes 4 Rent Trust N/A 02665XAD1 3650000.00000000 PA USD 3981206.84000000 0.132529443792 Long ABS-O CORP US Y 3 2036-12-17 Fixed 5.04000000 N N N N N N Commercial Mortgage Trust N/A 12593PAW2 1562000.00000000 PA USD 1727689.31000000 0.057512636871 Long ABS-MBS CORP US N 2 2048-08-10 Fixed 3.75900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31384VZF2 2261.39000000 PA USD 2481.48000000 0.000082605395 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397QHL5 184291.29000000 PA USD 208215.67000000 0.006931241717 Long ABS-MBS USGSE US N 2 2051-02-25 Variable 5.86222600 N N N N N N WFRBS Commercial Mortgage Trust N/A 92937EAJ3 750000.00000000 PA USD 779041.20000000 0.025933316473 Long ABS-MBS CORP US Y 3 2045-03-15 Variable 4.26056000 N N N N N N Commercial Mortgage Trust N/A 12592GBD4 1500000.00000000 PA USD 1635146.55000000 0.054432003033 Long ABS-MBS CORP US N 2 2047-08-10 Fixed 3.79600000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132VM3T0 4485343.28000000 PA USD 4801523.29000000 0.159836762206 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LYA31 1663937.80000000 PA USD 1793109.96000000 0.059690409267 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31282YDX4 152422.04000000 PA USD 28983.58000000 0.000964827473 Long ABS-MBS USGSE US N 2 2035-09-15 Fixed 5.00000000 N N N N N N Alternative Loan Trust N/A 12668ANZ4 14294.78000000 PA USD 14298.35000000 0.000475974358 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312905PC0 167.41000000 PA USD 172.01000000 0.000005725999 Long ABS-MBS USGSE US N 2 2021-04-15 Fixed 9.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3129087F7 7.22200000 PA USD 19.12000000 0.000000636481 Long ABS-MBS USGSE US N 2 2023-05-15 Floating 1558.74939100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374XPH2 1078545.94000000 PA USD 192597.89000000 0.006411345168 Long ABS-MBS USGA US N 2 2039-03-20 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AQRZ5 239760.14000000 PA USD 239147.65000000 0.007960929012 Long ABS-MBS USGSE US N 2 2045-11-25 Fixed 3.00000000 N N N N N N MASTR Alternative Loan Trust N/A 576434SK1 556394.94000000 PA USD 577755.78000000 0.019232774193 Long ABS-MBS CORP US N 2 2034-07-25 Fixed 6.00000000 N N N N N N BAMLL Re-REMIC Trust N/A 05526VAG0 4500000.00000000 PA USD 4487994.00000000 0.149399760542 Long ABS-MBS CORP US Y 2 2045-09-27 Variable 2.55275300 N N N N N N JP Morgan Mortgage Trust N/A 466247DX8 61667.51000000 PA USD 64661.63000000 0.002152505560 Long ABS-MBS CORP US N 2 2034-09-25 Variable 4.78763600 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402RR84 1099.24000000 PA USD 1101.40000000 0.000036664241 Long ABS-MBS USGSE US N 2 2020-08-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36213J5Q4 35492.49000000 PA USD 39390.02000000 0.001311244969 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L1KJ7 3974227.71000000 PA USD 4089944.42000000 0.136149183127 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 2.37000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416XA83 890380.76000000 PA USD 951002.30000000 0.031657688467 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 3.50000000 N N N N N N UBS Commercial Mortgage Trust N/A 90269GAG6 5689488.85000000 PA USD 188572.99000000 0.006277361233 Long ABS-MBS CORP US Y 2 2045-05-10 Variable 2.07466600 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376R5T9 7737645.26000000 PA USD 682460.31000000 0.022718258289 Long ABS-MBS USGA US N 2 2067-06-20 Variable 1.65853100 N N N N N N MASTR Asset Securitization Trust N/A 57643MEE0 225.75000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2019-08-25 Fixed 4.75000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M7VE3 540294.45000000 PA USD 623442.85000000 0.020753640156 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137F1G51 993000.00000000 PA USD 1099909.76000000 0.036614633344 Long ABS-MBS USGSE US N 2 2027-05-25 Fixed 3.32600000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136A12F1 1632101.57000000 PA USD 1982876.10000000 0.066007488986 Long ABS-MBS USGSE US N 2 2041-11-25 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410S5Y9 152059.83000000 PA USD 161896.03000000 0.005389318282 Long ABS-MBS USGSE US N 2 2034-10-01 Variable 4.56599900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 313637PE4 1966077.79000000 PA USD 2234523.55000000 0.074384520856 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 3.75000000 N N N N N N Diamond Resorts Owner Trust N/A 25272XAA3 679844.49000000 PA USD 694805.01000000 0.023129198059 Long ABS-O CORP US Y 2 2029-10-22 Fixed 3.27000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138W6A63 2019399.36000000 PA USD 2148530.94000000 0.071521933396 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202CQX4 1971.55000000 PA USD 2260.88000000 0.000075261894 Long ABS-MBS USGA US N 2 2026-08-20 Fixed 8.00000000 N N N N N N Vericrest Opportunity Loan Trust N/A 92870NAA1 7460000.00000000 PA USD 7490190.62000000 0.249339166907 Long ABS-O CORP US Y 2 2050-03-25 Variable 2.98149800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LHQS6 1911189.18000000 PA USD 2181195.57000000 0.072609298464 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 3.32000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398JSS3 346847.00000000 PA USD 53414.92000000 0.001778116516 Long ABS-MBS USGSE US N 2 2039-09-15 Floating 5.14149800 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GLA4 58957.49000000 PA USD 60925.85000000 0.002028146071 Long ABS-MBS CORP US N 2 2034-08-25 Variable 3.88342100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JUYQ1 2588526.22000000 PA USD 2915289.06000000 0.097046361353 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAV66 1389789.21000000 PA USD 1557333.58000000 0.051841705656 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HGEC4 3966174.17000000 PA USD 4323269.18000000 0.143916275345 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 4.50000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GCA4 32969.92000000 PA USD 31404.01000000 0.001045400589 Long ABS-MBS CORP US N 3 2033-09-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371HBY3 35425.08000000 PA USD 40271.54000000 0.001340589678 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L4NG4 950338.73000000 PA USD 1021889.93000000 0.034017449854 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 3.74000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LTY9 25684000.49070000 PA USD 997926.16000000 0.033219725637 Long ABS-MBS USGA US N 2 2069-04-20 Variable 1.80542900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LJZY9 2400000.00000000 PA USD 2646707.98000000 0.088105629917 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 2.99000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31385WZX0 97374.67000000 PA USD 99254.89000000 0.003304072331 Long ABS-MBS USGSE US N 2 2033-01-01 Variable 3.28700200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396QHD4 25014.28000000 PA USD 29301.53000000 0.000975411635 Long ABS-MBS USGSE US N 2 2039-07-25 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375JTE5 86359.07000000 PA USD 77114.64000000 0.002567050836 Long ABS-MBS USGA US N 2 2037-04-16 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MHJV9 3864826.69000000 PA USD 4229765.66000000 0.140803658996 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418MFV9 63248.31000000 PA USD 66829.64000000 0.002224675927 Long ABS-MBS USGSE US N 2 2037-12-01 Variable 4.16499800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381PSZ2 2810488.74000000 PA USD 2833785.47000000 0.094333207808 Long ABS-MBS USGSE US N 2 2021-01-01 Fixed 3.87000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31400KQ66 27636.49000000 PA USD 30465.07000000 0.001014144440 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TQKD8 77921.10000000 PA USD 92221.91000000 0.003069953139 Long ABS-MBS USGSE US N 2 2030-12-15 Fixed 7.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LCDV7 2074417.33000000 PA USD 2224609.19000000 0.074054484093 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140K8HT1 1252997.62000000 PA USD 1331284.08000000 0.044316797831 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296NA23 288402.92000000 PA USD 331123.72000000 0.011022698443 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31407CGA9 2932.50000000 PA USD 3101.49000000 0.000103244759 Long ABS-MBS USGSE US N 2 2020-07-01 Fixed 5.00000000 N N N N N N Residential Asset Securitization Trust N/A 45660LDY2 2131972.82000000 PA USD 198110.59000000 0.006594856122 Long ABS-MBS CORP US N 3 2035-03-25 Floating 3.42325100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MBSG5 2379729.27000000 PA USD 2592796.43000000 0.086310981203 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N FREMF Mortgage Trust N/A 30287TAQ0 3000000.00000000 PA USD 3149857.80000000 0.104854864124 Long ABS-MBS USGSE US Y 2 2048-10-25 Variable 3.72054200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396KGX4 714173.12000000 PA USD 820531.07000000 0.027314462848 Long ABS-MBS USGSE US N 2 2036-08-25 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392MH39 663140.49000000 PA USD 823055.82000000 0.027398508647 Long ABS-MBS USGSE US N 2 2042-02-25 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JYXJ0 6786774.67000000 PA USD 7310949.99000000 0.243372468377 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140J96A4 3443079.88000000 PA USD 3758828.69000000 0.125126750660 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.00000000 N N N N N N CSFB Mortgage-Backed Pass-Through Certificates N/A 2254586J2 530443.04000000 PA USD 6171.70000000 0.000205448247 Long ABS-MBS CORP US N 3 2035-10-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202TFE1 74571.02000000 PA USD 77451.27000000 0.002578256831 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 6.50000000 N N N N N N HERO Funding Trust N/A 40417QAC9 3255776.22000000 PA USD 3497324.54000000 0.116421601458 Long ABS-O CORP US Y 2 2047-09-20 Fixed 4.29000000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LH2M5 4394581.47000000 PA USD 4820192.82000000 0.160458247732 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.34000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128S4YT8 50096.34000000 PA USD 53540.19000000 0.001782286599 Long ABS-MBS USGSE US N 2 2038-04-01 Variable 4.59299900 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381VFL4 3866476.94000000 PA USD 4008550.91000000 0.133439694009 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.86000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12652DAE7 7968500.00000000 PA USD 8344712.01000000 0.277785125400 Long ABS-MBS CORP US Y 3 2032-10-15 Variable 4.23659900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TNCF9 90278.96000000 PA USD 107343.42000000 0.003573329474 Long ABS-MBS USGSE US N 2 2030-01-15 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128NFGD3 125702.44000000 PA USD 131272.68000000 0.004369904896 Long ABS-MBS USGSE US N 2 2036-10-01 Variable 3.84599900 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JAA81 5710940.15000000 PA USD 6397050.56000000 0.212949888489 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31391JWX4 44278.85000000 PA USD 49806.23000000 0.001657987696 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396L4Z0 358249.06000000 PA USD 326965.43000000 0.010884274120 Long ABS-MBS USGSE US N 2 2037-01-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375K3J9 211515.36000000 PA USD 37261.14000000 0.001240377191 Long ABS-MBS USGA US N 2 2037-08-20 Floating 5.12799800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BQ96 4072886.82000000 PA USD 4067909.35000000 0.135415662943 Long ABS-MBS USGA US N 2 2063-03-20 Floating 2.14438000 N N N N N N Alternative Loan Trust N/A 12667FGZ2 7113.62790000 PA USD 7317.09000000 0.000243576861 Long ABS-MBS CORP US N 2 2019-04-25 Fixed 4.75000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 589929W61 64966.64000000 PA USD 64959.39000000 0.002162417621 Long ABS-MBS CORP US N 2 2033-07-25 Variable 4.81781900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RWJ1 7184907.16000000 PA USD 7211288.70000000 0.240054867493 Long ABS-MBS USGA US N 2 2066-07-20 Floating 2.89024900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31336CNR0 62436.56000000 PA USD 66062.12000000 0.002199126137 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 3.97699900 N Y N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31393QYH9 33526.28000000 PA USD 44125.13000000 0.001468870915 Long ABS-MBS USGSE US N 2 2033-05-15 Floating 9.68299900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31400FEM5 93462.82000000 PA USD 98341.51000000 0.003273667042 Long ABS-MBS USGSE US N 2 2033-07-01 Variable 4.63299800 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 5899293T3 171944.53000000 PA USD 175222.14000000 0.005832927975 Long ABS-MBS CORP US N 2 2033-08-25 Variable 3.97746000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359KL96 1121.63000000 PA USD 1173.25000000 0.000039056039 Long ABS-MBS USGSE US N 2 2022-08-25 Fixed 6.50000000 N N N N N N Wells Fargo Mortgage-Backed Securities Trust N/A 949803AA8 584444.56000000 PA USD 583638.96000000 0.019428617967 Long ABS-MBS CORP US N 2 2034-10-25 Variable 4.59942800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31282YNU9 497664.36000000 PA USD 125539.01000000 0.004179038125 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 6.04149800 N N N N N N CSFB Mortgage-Backed Pass-Through Certificates N/A 22541Q3U4 243240.49000000 PA USD 253178.42000000 0.008427995964 Long ABS-MBS CORP US N 2 2033-12-25 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3139204T4 30793.96000000 PA USD 36643.85000000 0.001219828372 Long ABS-MBS USGSE US N 2 2031-09-25 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375JQ32 409851.40000000 PA USD 403195.74000000 0.013421886706 Long ABS-MBS USGA US N 2 2037-05-16 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JUYU2 2797223.28000000 PA USD 3124788.67000000 0.104020343842 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LARK7 1885727.35000000 PA USD 2141886.97000000 0.071300763866 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.40000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45660L5S4 116628.67000000 PA USD 107230.08000000 0.003569556526 Long ABS-MBS CORP US N 2 2036-03-25 Variable 3.64388800 N N N N N N Structured Asset Securities Corp. N/A 86359BBS9 704670.91000000 PA USD 721692.73000000 0.024024256950 Long ABS-MBS CORP US N 2 2033-12-25 Variable 4.10515600 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394FVR3 41970.91000000 PA USD 40285.57000000 0.001341056719 Long ABS-MBS USGSE US N 2 2035-10-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398LQM3 172598.59000000 PA USD 160434.36000000 0.005340661098 Long ABS-MBS USGSE US N 2 2036-04-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396X6G4 796011.30000000 PA USD 35228.28000000 0.001172705800 Long ABS-MBS USGSE US N 2 2038-01-25 Floating 1.76958400 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312904AL9 0.24000000 PA USD 0.37000000 0.000000012316 Long ABS-MBS USGSE US N 2 2021-09-15 Fixed 1010.00000000 N Y N N N N GNMA 549300M8ZYFG0OCMTT87 36210ASU2 1596.67000000 PA USD 1772.00000000 0.000058987684 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TVPR1 85499.66000000 PA USD 133328.64000000 0.004438345258 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 16.61789900 N N N N N N Residential Asset Securitization Trust N/A 76113FBC3 231782.70000000 PA USD 203275.31000000 0.006766783252 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.00000000 N N N N N N GSMPS Mortgage Loan Trust N/A 36242DJQ7 134090.68000000 PA USD 125298.42000000 0.004171029182 Long ABS-MBS CORP US Y 2 2034-06-25 Floating 2.02675000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128DHG99 122423.46000000 PA USD 131341.30000000 0.004372189171 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HU2R3 4358391.73000000 PA USD 4769332.46000000 0.158765169354 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N American Homes 4 Rent N/A 02666AAD0 4390000.00000000 PA USD 4692469.68000000 0.156206502625 Long ABS-O CORP US Y 3 2052-04-17 Fixed 4.40700000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398LQT8 433907.11000000 PA USD 395841.57000000 0.013177075497 Long ABS-MBS USGSE US N 2 2037-05-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393UVB6 21764.32000000 PA USD 20863.56000000 0.000694522066 Long ABS-MBS USGSE US N 2 2033-08-25 None 0.00000000 N N N N N N FNMA, Grantor Trust N/A 3136AV6R5 5863761.44000000 PA USD 6348477.55000000 0.211332953158 Long ABS-O USGSE US N 2 2027-06-25 Fixed 2.89800000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402HJY8 28254.29000000 PA USD 31459.23000000 0.001047238795 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MBCZ0 2114434.96000000 PA USD 2304037.61000000 0.076698557799 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L9WF5 1676150.22000000 PA USD 1803614.37000000 0.060040088063 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 2.81000000 N N N N N N LHOME Mortgage Trust N/A 50201TAA6 7250000.00000000 PA USD 7283480.50000000 0.242458043084 Long ABS-MBS CORP US Y 2 2024-10-25 Fixed 3.22800000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403KJW4 48895.90000000 PA USD 53485.08000000 0.001780452055 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 4.50000000 N N N N N N Mid-State Capital Corp. Trust N/A 59548PAB5 1640978.03000000 PA USD 1849299.53000000 0.061560890445 Long ABS-O CORP US Y 3 2040-10-15 Fixed 6.08300000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T6J36 19389.68000000 PA USD 20757.02000000 0.000690975482 Long ABS-MBS USGSE US N 2 2026-03-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412BWG3 136114.39000000 PA USD 141449.31000000 0.004708672302 Long ABS-MBS USGSE US N 2 2036-09-01 Variable 3.84999800 N N N N N N VOLT LXXXIV LLC N/A 92870FAA8 8000000.00000000 PA USD 8044683.20000000 0.267797537990 Long ABS-O CORP US Y 3 2049-12-27 Variable 3.42550100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394LJU7 21927.20000000 PA USD 22725.78000000 0.000756513063 Long ABS-MBS USGSE US N 2 2031-06-15 Fixed 4.00000000 N N N N N N MASTR Asset Securitization Trust N/A 57643MCH5 84676.37000000 PA USD 88815.02000000 0.002956541991 Long ABS-MBS CORP US Y 2 2033-12-27 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX4P9 1626065.39000000 PA USD 1822404.66000000 0.060665593540 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 5.00000000 N N N N N N Rmip Frn N/A N/A 2610171.47000000 PA USD 2610171.47000000 0.086889374761 Long ABS-MBS CORP US N 3 2021-08-25 Fixed 0.00000000 N N N N N N Morgan Stanley Mortgage Loan Trust N/A 61745MA52 329994.24000000 PA USD 360154.26000000 0.011989089157 Long ABS-MBS CORP US N 2 2034-04-25 Variable 5.61477200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396HUN7 133466.51000000 PA USD 122652.07000000 0.004082935469 Long ABS-MBS USGSE US N 2 2036-02-15 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128NHQ71 76375.65000000 PA USD 79996.18000000 0.002662973733 Long ABS-MBS USGSE US N 2 2036-11-01 Variable 3.76499900 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359SFZ8 257552.50000000 PA USD 294339.39000000 0.009798193666 Long ABS-MBS USGSE US N 2 2031-03-25 Fixed 6.50000000 N N N N N N GSMPS Mortgage Loan Trust N/A 362341LL1 1638420.45000000 PA USD 1446255.03000000 0.048144038330 Long ABS-MBS CORP US Y 2 2035-09-25 Floating 1.97674900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375XHT4 976909.07000000 PA USD 154026.71000000 0.005127358367 Long ABS-MBS USGA US N 2 2038-07-20 Floating 4.50299900 N N N N N N Seasoned Credit Risk Transfer Trust N/A 35563PMT3 4550379.34000000 PA USD 4934046.39000000 0.164248292036 Long ABS-MBS CORP US N 2 2059-02-25 Fixed 4.00000000 N N N N N N Ladder Capital Commercial Mortgage Trust N/A 50184BAC2 2686000.00000000 PA USD 3089565.05000000 0.102847793167 Long ABS-MBS CORP US Y 2 2036-02-15 Fixed 3.98510000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140H26Q6 1561263.75000000 PA USD 1681279.28000000 0.055967704465 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.50000000 N N N N N N Banc of America Funding Trust N/A 05946XGP2 132310.55000000 PA USD 137536.78000000 0.004578429025 Long ABS-MBS CORP US N 2 2034-10-25 Fixed 5.50000000 N N N N N N American Homes 4 Rent Trust N/A 02665XAE9 3172000.00000000 PA USD 3551967.22000000 0.118240588584 Long ABS-O CORP US Y 3 2036-12-17 Fixed 6.41800000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376R5Q5 9364687.27000000 PA USD 1017479.83000000 0.033870643088 Long ABS-MBS USGA US N 2 2067-06-20 Variable 2.05808000 N N N N N N MASTR Alternative Loan Trust N/A 576434JU9 41505.53000000 PA USD 42640.07000000 0.001419435107 Long ABS-MBS CORP US N 2 2033-12-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JPRJ6 1950412.41000000 PA USD 2083043.61000000 0.069341941306 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394ARN8 1245710.18000000 PA USD 1257797.06000000 0.041870505970 Long ABS-MBS USGSE US N 2 2032-11-25 Floating 2.42674900 N N N N N N Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust N/A 1729732Y4 25765.85240000 PA USD 22126.30000000 0.000736557116 Long ABS-MBS CORP US N 3 2035-09-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LN33 26402112.69000000 PA USD 1724060.60000000 0.057391841611 Long ABS-MBS USGA US N 2 2069-11-20 Variable 2.34059000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381RQ31 2706436.67000000 PA USD 3097465.35000000 0.103110784367 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4.55200000 N N N N N N Residential Asset Securitization Trust N/A 45661EDV3 295508.11000000 PA USD 292122.30000000 0.009724389486 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6.00000000 N N N N N N KGS-Alpha SBA COOF Trust N/A 48247QAA2 8638462.31000000 PA USD 219486.05000000 0.007306418705 Long ABS-O CORP US Y 3 2037-09-25 Variable 0.98132000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HRPC1 5300000.00000000 PA USD 6159737.43000000 0.205050028374 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.85000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132H3S79 2748131.01000000 PA USD 2965340.67000000 0.098712517446 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128P7EP4 294416.66000000 PA USD 320229.97000000 0.010660059001 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128JNBN4 39424.24000000 PA USD 41032.39000000 0.001365917432 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 4.27200100 N Y N N N N Progress Residential Trust N/A 74333BAJ7 6400000.00000000 PA USD 6673127.04000000 0.222140132505 Long ABS-O CORP US Y 3 2035-08-17 Fixed 4.46600000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L7YQ3 1839831.36000000 PA USD 2109628.54000000 0.070226920693 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.63000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31400RXM8 8841.76000000 PA USD 9801.41000000 0.000326276796 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N Orange Lake Timeshare Trust N/A 68504UAC5 5515544.66000000 PA USD 5701932.01000000 0.189810253071 Long ABS-O CORP US Y 3 2038-04-09 Fixed 3.61000000 N N N N N N Chase Mortgage Finance Trust N/A 16163LAD4 241112.29000000 PA USD 245665.74000000 0.008177908154 Long ABS-MBS CORP US N 2 2035-06-25 Variable 4.13727800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JWU73 5941257.73000000 PA USD 6246747.28000000 0.207946478493 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HLYC4 2151136.38000000 PA USD 2315435.23000000 0.077077970450 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418AK31 4225226.94000000 PA USD 4498062.86000000 0.149734940418 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N Sequoia Mortgage Trust N/A 81743PAA4 279642.13000000 PA USD 278292.21000000 0.009264002923 Long ABS-MBS CORP US N 2 2033-04-20 Floating 2.40700000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396JLG8 23468.11000000 PA USD 21720.54000000 0.000723049869 Long ABS-MBS USGSE US N 2 2036-03-15 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K4UZ8 1651709.09000000 PA USD 1848168.47000000 0.061523238858 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TSTA1 356697.73000000 PA USD 423774.95000000 0.014106943113 Long ABS-MBS USGSE US N 2 2031-04-15 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TAVG4 6903.81000000 PA USD 756.17000000 0.000025171962 Long ABS-MBS USGSE US N 2 2027-07-15 Fixed 8.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LEPA3 2500000.00000000 PA USD 2680612.35000000 0.089234264394 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.64000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398LQK7 172598.60000000 PA USD 155686.94000000 0.005182625367 Long ABS-MBS USGSE US N 2 2036-04-15 None 0.00000000 N N N N N N LHOME Mortgage Trust N/A 501888AB7 2595000.00000000 PA USD 2598599.52000000 0.086504158881 Long ABS-MBS CORP US Y 2 2024-03-25 Fixed 3.84400000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396R2P1 245103.18000000 PA USD 227268.05000000 0.007565471845 Long ABS-MBS USGSE US N 2 2036-03-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381SVG4 9882303.78000000 PA USD 11338807.32000000 0.377454849191 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 4.08000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395BVH3 4795.57000000 PA USD 4755.94000000 0.000158319350 Long ABS-MBS USGSE US N 2 2036-01-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3620C4Z78 101603.09000000 PA USD 113447.48000000 0.003776526070 Long ABS-MBS USGA US N 2 2039-01-20 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128DHKC7 328248.07000000 PA USD 378239.83000000 0.012591135377 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403DTT6 102115.23000000 PA USD 106200.09000000 0.003535269435 Long ABS-MBS USGSE US N 2 2035-04-01 Variable 4.56800000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397MUL9 188253.88000000 PA USD 16208.24000000 0.000539552230 Long ABS-MBS USGSE US N 2 2038-09-25 Floating 4.22325000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LEQV9 13511587.11000000 PA USD 14263039.03000000 0.474798900285 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 3.50000000 N N N N N N Gnr Frn N/A N/A 7380000.00000000 PA USD 7380000.00000000 0.245671057671 Long ABS-MBS CORP US N 2 2060-02-20 Fixed 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LCA70 2345420.41000000 PA USD 2541030.98000000 0.084587773500 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 3.10000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617GRB59 4649479.59000000 PA USD 5149976.49000000 0.171436337571 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398KQQ6 176937.87000000 PA USD 158030.71000000 0.005260646567 Long ABS-MBS USGSE US N 2 2036-05-15 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376JMG6 496643.34000000 PA USD 553960.65000000 0.018440663793 Long ABS-MBS USGA US N 2 2039-08-16 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JNM46 3227572.02000000 PA USD 3492211.66000000 0.116251400016 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LE4D3 2997171.00000000 PA USD 3193580.26000000 0.106310330654 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LRZM0 2232640.63000000 PA USD 2502581.24000000 0.083307829287 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392DCF7 14756.06000000 PA USD 16641.61000000 0.000553978581 Long ABS-MBS USGSE US N 2 2032-06-25 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36213E6A9 53638.42000000 PA USD 61004.69000000 0.002030770557 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LE4F8 2199437.00000000 PA USD 2343572.55000000 0.078014626976 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375QK73 157852.95000000 PA USD 27133.85000000 0.000903252253 Long ABS-MBS USGA US N 2 2038-06-20 Floating 4.55299900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31292J4W7 151333.63000000 PA USD 174910.37000000 0.005822549538 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LNUN9 2362000.00000000 PA USD 2765805.23000000 0.092070229832 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3.88000000 N N N N N N CSFB Mortgage-Backed Pass-Through Certificates N/A 22541QP89 219190.80000000 PA USD 224020.60000000 0.007457368257 Long ABS-MBS CORP US N 2 2033-11-25 Fixed 5.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FCG91 307.86000000 PA USD 2.32000000 0.000000077229 Long ABS-MBS USGSE US N 2 2020-11-25 Fixed 4.50000000 N N N N N N Headlands Residential LLC N/A 42210AAA3 3325000.00000000 PA USD 3337785.29000000 0.111110737462 Long ABS-MBS CORP US Y 2 2022-08-25 Variable 3.87500000 N N N N N N RALI Trust N/A 76110HCC1 1477.48000000 PA USD 0.01000000 0.000000000332 Long ABS-MBS CORP US N 3 2018-05-25 Floating 5.92324900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137AWH65 1099389.46000000 PA USD 1078118.25000000 0.035889220971 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 2.34150100 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90269CAD2 1300000.00000000 PA USD 1352208.26000000 0.045013337862 Long ABS-MBS CORP US N 2 2063-05-10 Fixed 3.52500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31404FQ71 39380.94000000 PA USD 44269.59000000 0.001473679810 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX5L7 4828063.53000000 PA USD 5413290.25000000 0.180201726449 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FFPD5 219992.30000000 PA USD 52343.72000000 0.001742457595 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140EVJB4 1090198.05000000 PA USD 1152812.87000000 0.038375712340 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.50000000 N N N N N N Epobuyeritrus3.06 N/A N/A 4941611.46000000 PA USD 4808762.70000000 0.160077753197 Long ABS-MBS CORP US N 3 2055-04-14 Fixed 3.06000000 N N N N N N American Homes 4 Rent Trust N/A 02665XAB5 5850000.00000000 PA USD 6262898.27000000 0.208484124942 Long ABS-O CORP US Y 3 2036-12-17 Fixed 4.20100000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K36Q7 1335850.59000000 PA USD 1500051.57000000 0.049934858504 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L8D35 962894.59000000 PA USD 1051856.05000000 0.035014984867 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.12000000 N N N N N N Camillo Issuer LLC N/A 133716AB6 2821307.03000000 PA USD 2821307.03000000 0.093917815999 Long ABS-O CORP US Y 3 2028-06-05 Fixed 5.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36181B5N6 1974898.25000000 PA USD 2107541.48000000 0.070157445051 Long ABS-MBS USGA US N 2 2043-12-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L3E92 2000000.00000000 PA USD 2070415.96000000 0.068921582481 Long ABS-MBS USGSE US N 2 2023-03-01 Fixed 2.65000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132HTJV9 795084.66000000 PA USD 837352.95000000 0.027874442394 Long ABS-MBS USGSE US N 2 2043-01-15 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFT92 1025399.61000000 PA USD 1123730.42000000 0.037407593606 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398PU23 160471.79000000 PA USD 153056.28000000 0.005095053955 Long ABS-MBS USGSE US N 2 2035-10-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397LC23 143283.42000000 PA USD 23426.08000000 0.000779825183 Long ABS-MBS USGSE US N 2 2038-07-25 Floating 5.57325000 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90269CAH3 10315417.92000000 PA USD 266409.08000000 0.008868428246 Long ABS-MBS CORP US Y 3 2063-05-10 Variable 1.30676800 N N N N N N MRCD 2019-MARK Mortgage Trust N/A 55348UAS7 7000000.00000000 PA USD 6876816.80000000 0.228920712285 Long ABS-MBS CORP US Y 3 2036-12-15 Fixed 2.71752000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31387Y5U3 32630.27000000 PA USD 38659.83000000 0.001286937848 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394VX47 1770694.90000000 PA USD 400727.91000000 0.013339735702 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 5.07325000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396LU57 208433.29000000 PA USD 189182.62000000 0.006297655060 Long ABS-MBS USGSE US N 2 2036-12-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393UUR2 55447.72000000 PA USD 4299.18000000 0.000143114376 Long ABS-MBS USGSE US N 2 2033-08-25 Fixed 5.50000000 N N N N N N Alternative Loan Trust N/A 02147WAJ8 374665.79000000 PA USD 299908.87000000 0.009983594755 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31335ADJ4 3257759.57000000 PA USD 3662371.65000000 0.121915815290 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AKXV0 4230616.42000000 PA USD 4495274.48000000 0.149642118702 Long ABS-MBS USGSE US N 2 2024-07-25 Variable 3.10299800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381NLA9 1600000.00000000 PA USD 1603986.43000000 0.053394721239 Long ABS-MBS USGSE US N 2 2020-10-01 Fixed 4.04000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392XEX2 126177.91000000 PA USD 140857.28000000 0.004688964357 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371MPM3 21115.59000000 PA USD 23678.32000000 0.000788221940 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6.00000000 N N N N N N Goodgreen Trust N/A 38218AAA3 3119075.80000000 PA USD 3112853.87000000 0.103623049135 Long ABS-MBS CORP US N 2 2051-10-20 Fixed 5.00000000 N N N N N N Home Equity Mortgage Loan Asset-Backed Trust N/A 456606KH4 60289.13000000 PA USD 59676.26000000 0.001986548768 Long ABS-O CORP US N 3 2036-03-25 Floating 1.82675200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392GWB7 128557.11000000 PA USD 142799.93000000 0.004753632769 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 5.78914900 N N N N N N GSR Mortgage Loan Trust N/A 36242DLW1 185168.96000000 PA USD 191135.25000000 0.006362655694 Long ABS-MBS CORP US N 2 2034-11-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138NXRT6 1565831.79000000 PA USD 1636306.37000000 0.054470612004 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36183FAV1 465989.56000000 PA USD 487288.88000000 0.016221243162 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396RKM8 116191.06000000 PA USD 105250.75000000 0.003503667083 Long ABS-MBS USGSE US N 2 2036-05-15 None 0.00000000 N N N N N N Alternative Loan Trust N/A 12667GQN6 2251091.93000000 PA USD 298961.89000000 0.009952070964 Long ABS-MBS CORP US N 3 2035-07-25 Floating 3.12324800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396XXQ2 413437.56000000 PA USD 78651.95000000 0.002618225981 Long ABS-MBS USGSE US N 2 2037-10-25 Floating 4.82325100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31404ADZ4 327269.30000000 PA USD 348397.04000000 0.011597705868 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 4.00000000 N N N N N N PRPM LLC N/A 69359MAA1 9007365.33000000 PA USD 9054256.77000000 0.301404991478 Long ABS-O CORP US Y 3 2024-07-25 Variable 3.35099900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128MBT64 1743.96000000 PA USD 1752.28000000 0.000058331230 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397BF22 115496.96000000 PA USD 24515.64000000 0.000816095285 Long ABS-MBS USGSE US N 2 2036-04-15 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617KGQ60 1285610.00000000 PA USD 1377215.97000000 0.045845813548 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 3.75000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GAV0 7054.71000000 PA USD 7226.78000000 0.000240570553 Long ABS-MBS CORP US N 2 2033-09-25 Fixed 7.00000000 N N N N N N Mid-State Capital Trust 549300CMSF2YH7CURY06 59560WAA5 421539.89000000 PA USD 432339.32000000 0.014392040381 Long ABS-O CORP US Y 2 2045-12-15 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31351BWQ4 207828.00000000 PA USD 198073.42000000 0.006593618778 Long ABS-MBS USGSE US N 2 2028-04-01 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LKPX2 7643351.00000000 PA USD 8291150.22000000 0.276002119763 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LF6G8 10000000.00000000 PA USD 10793338.50000000 0.359296867899 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 2.71000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395N5A1 229112.68000000 PA USD 229102.07000000 0.007626524099 Long ABS-MBS USGSE US N 2 2046-02-25 Floating 1.84675000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410D5T3 49439.44000000 PA USD 52503.39000000 0.001747772812 Long ABS-MBS USGSE US N 2 2036-08-01 Variable 4.11000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396LD23 202760.20000000 PA USD 34800.20000000 0.001158455547 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.02324900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617J22R3 1186849.26000000 PA USD 1289594.63000000 0.042929007685 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N Washington Mutual Mortgage Pass-Through Certificates WMALT Trust N/A 9393363L5 3098945.70000000 PA USD 412638.57000000 0.013736226819 Long ABS-MBS CORP US N 3 2035-04-25 Floating 3.42325100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36291BJ65 9541.09000000 PA USD 9598.08000000 0.000319508193 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418AS33 1247587.10000000 PA USD 1328152.64000000 0.044212556072 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128MBLE5 6558.74000000 PA USD 6599.09000000 0.000219675531 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374XAF2 260138.72000000 PA USD 63778.78000000 0.002123116577 Long ABS-MBS USGA US N 2 2039-03-20 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K37E3 1807451.19000000 PA USD 2028788.32000000 0.067535849913 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 929227H82 232380.29000000 PA USD 238459.57000000 0.007938023682 Long ABS-MBS CORP US N 2 2033-04-25 Fixed 5.50000000 N N N N N N Lehman Mortgage Trust N/A 52520MGG2 250724.93000000 PA USD 222552.52000000 0.007408497693 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.83191000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31393RY20 24701.26000000 PA USD 32077.34000000 0.001067814911 Long ABS-MBS USGSE US N 2 2033-06-15 Floating 11.80941800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36179ACN4 1134135.83000000 PA USD 1150039.48000000 0.038283389622 Long ABS-MBS USGA US N 2 2063-05-20 Variable 4.34499800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397YVF5 101236.20000000 PA USD 19485.77000000 0.000648657144 Long ABS-MBS USGSE US N 2 2039-02-15 Floating 4.34149900 N N N N N N Progress Residential Trust N/A 74331AAJ1 1325000.00000000 PA USD 1351557.11000000 0.044991661885 Long ABS-O CORP US Y 3 2036-10-17 Fixed 3.43500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L0UK5 1732539.04000000 PA USD 1783550.15000000 0.059372175035 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 2.38000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TPGX1 12931.45000000 PA USD 15179.65000000 0.000505311743 Long ABS-MBS USGSE US N 2 2030-08-15 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31409TVS4 125026.80000000 PA USD 148746.85000000 0.004951598369 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.50000000 N N N N N N Progress Residential Trust N/A 74332NAG8 2093000.00000000 PA USD 2096649.15000000 0.069794852878 Long ABS-O CORP US Y 3 2032-11-12 Fixed 4.67300000 N N N N N N Seasoned Credit Risk Transfer Trust N/A 35563PJK6 5560443.31000000 PA USD 6019541.87000000 0.200383091856 Long ABS-MBS CORP US N 2 2058-07-25 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393UWF6 14020.10000000 PA USD 15925.05000000 0.000530125186 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 9.02868100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K1XU2 11714343.70000000 PA USD 12706645.14000000 0.422988475744 Long ABS-MBS USGA US N 2 2049-07-15 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828X96 12000000.00000000 PA USD 12000937.44000000 0.399496340640 Long DBT UST US N 2 2020-05-15 Fixed 1.50000000 N N N N N N B2R Mortgage Trust 549300JNS8TBD8XLZ117 05605GAA0 802501.75000000 PA USD 805046.88000000 0.026799013344 Long ABS-O CORP US Y 2 2048-11-15 Fixed 3.33600000 N N N N N N vMobo, Inc. N/A 91834VAA0 10000000.00000000 PA USD 10000000.00000000 0.332887612020 Long ABS-MBS CORP US N 2 2024-05-31 Fixed 7.50000000 N Y N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922FAS7 169423.09000000 PA USD 172970.42000000 0.005757971006 Long ABS-MBS CORP US N 2 2033-08-25 Variable 4.41466200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312912XT0 13188.30000000 PA USD 13782.15000000 0.000458790700 Long ABS-MBS USGSE US N 2 2022-10-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38373RTZ2 52341.34000000 PA USD 172.19000000 0.000005731991 Long ABS-MBS USGA US N 2 2031-08-16 Floating 6.59149900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381RXH7 6222282.42000000 PA USD 6407202.43000000 0.213287831665 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396Y5B4 53206.52000000 PA USD 6110.64000000 0.000203415635 Long ABS-MBS USGSE US N 2 2038-04-25 Floating 5.22325100 N N N N N N FREMF Mortgage Trust N/A 30293XAJ9 1000000.00000000 PA USD 1082248.40000000 0.036026708548 Long ABS-MBS USGSE US Y 2 2048-10-25 Variable 3.95355600 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922FQK7 924423.57000000 PA USD 948753.01000000 0.031582812389 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137ALQK8 809084.25000000 PA USD 810468.27000000 0.026979484701 Long ABS-MBS USGSE US N 2 2036-05-15 Floating 2.10849800 N N N N N N Vendee Mortgage Trust N/A 911760HH2 99198.07000000 PA USD 111427.98000000 0.003709299417 Long ABS-MBS USGSE US N 2 2026-06-15 Fixed 6.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36213GR29 17409.77000000 PA USD 17669.97000000 0.000588211411 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374UF97 224433.05000000 PA USD 29772.53000000 0.000991090641 Long ABS-MBS USGA US N 2 2039-06-20 Floating 4.30300100 N N N N N N MASTR Adjustable Rate Mortgages Trust N/A 576433UM6 383863.27000000 PA USD 394329.95000000 0.013126755540 Long ABS-MBS CORP US N 2 2034-11-21 Variable 4.69189800 N N N N N N MASTR Alternative Loan Trust N/A 576434RS5 36594.73000000 PA USD 5965.37000000 0.000198579777 Long ABS-MBS CORP US N 3 2034-06-25 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M52J8 175157.10000000 PA USD 207114.42000000 0.006894582468 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396VAD0 226211.00000000 PA USD 224967.09000000 0.007488875737 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 1.98087800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132WEAY8 1227778.40000000 PA USD 1296964.01000000 0.043174325216 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381RSB1 2132511.54000000 PA USD 2181984.93000000 0.072635575281 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 3.86000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669FJ38 262638.18000000 PA USD 273047.61000000 0.009089416686 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HSTG6 5170911.76000000 PA USD 5873914.59000000 0.195535340107 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.56000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397LMA4 16823.06000000 PA USD 14886.38000000 0.000495549148 Long ABS-MBS USGSE US N 2 2038-05-25 None 0.00000000 N N N N N N Csma Consulting Ltd. 213800ORKYBFKN7JZO69 N/A 5560557.24000000 PA USD 5560557.24000000 0.185104062112 Long ABS-MBS CORP GB N 3 2023-07-31 None 0.00000000 N N N N N N FHLMC Pool N/A 3133A0UF9 1077088.37000000 PA USD 1162633.98000000 0.038702644925 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4.00000000 N N N N N N MASTR Adjustable Rate Mortgages Trust N/A 576433LY0 18598.61000000 PA USD 18254.01000000 0.000607653379 Long ABS-MBS CORP US N 2 2034-05-25 Variable 4.35835800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31404RW29 390926.87000000 PA USD 413492.03000000 0.013764637445 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 4.00000000 N N N N N N American Homes 4 Rent Trust N/A 02665XAC3 1570000.00000000 PA USD 1708511.05000000 0.056874216354 Long ABS-O CORP US Y 2 2036-12-17 Fixed 4.59600000 N N N N N N Residential Asset Securitization Trust N/A 45660NXN0 115.27000000 PA USD 81.26000000 0.000002705044 Long ABS-MBS CORP US N 2 2019-02-25 Fixed 4.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BXB3 49340.20000000 PA USD 49241.61000000 0.001639192196 Long ABS-MBS USGA US N 2 2060-04-20 Floating 2.16438100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398N2W3 103471.13000000 PA USD 103107.48000000 0.003432320279 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 2.05674800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396PC33 496995.60000000 PA USD 90631.42000000 0.003017007697 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 4.81325000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392F6E2 35092.61000000 PA USD 45049.20000000 0.001499632061 Long ABS-MBS USGSE US N 2 2032-12-25 Floating 11.50095600 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31406QGB7 24613.92000000 PA USD 25495.69000000 0.000848719936 Long ABS-MBS USGSE US N 2 2035-02-01 Variable 3.42100100 N N N N N N FORT CRE LLC N/A 34719RAE1 900000.00000000 PA USD 905108.40000000 0.030129937389 Long ABS-CBDO CORP US Y 3 2035-11-16 Floating 4.45675000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59020ULR4 233267.58000000 PA USD 241160.38000000 0.008027930301 Long ABS-MBS CORP US N 2 2034-08-25 Variable 4.32967000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AVYL7 1890029.00000000 PA USD 2011746.49000000 0.066968548504 Long ABS-MBS USGSE US N 2 2026-12-25 Variable 2.48299900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T0J70 22293.36000000 PA USD 23754.47000000 0.000790756879 Long ABS-MBS USGSE US N 2 2023-09-15 Fixed 6.90000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398LSE9 208485.37000000 PA USD 194214.80000000 0.006465170099 Long ABS-MBS USGSE US N 2 2034-07-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381RQ23 2597023.20000000 PA USD 3023565.04000000 0.100650734595 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 4.76200000 N N N N N N Citigroup Global Markets Mortgage Securities VII, Inc. 549300VB2N1G56GWKB41 79549AXS3 527.07000000 PA USD 488.72000000 0.000016268883 Long ABS-MBS CORP US N 3 2033-06-25 None 0.00000000 N N N N N N VOLT LXXXVIII LLC N/A 91835LAA1 6930000.00000000 PA USD 6974944.52000000 0.232187262523 Long ABS-O CORP US Y 2 2050-03-25 Variable 2.98109900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359S6X3 354587.00000000 PA USD 420791.76000000 0.014007636414 Long ABS-MBS USGSE US N 2 2041-02-25 Fixed 7.50000000 N N N N N N Seasoned Credit Risk Transfer Trust N/A 35563PCM9 4411409.85000000 PA USD 4782791.45000000 0.159213202458 Long ABS-MBS CORP US N 3 2057-06-25 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TGCG2 106893.95000000 PA USD 121144.38000000 0.004032746336 Long ABS-MBS USGSE US N 2 2028-08-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371NT54 34573.00000000 PA USD 39006.86000000 0.001298490047 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374LM73 1063465.46000000 PA USD 195515.36000000 0.006508464130 Long ABS-MBS USGA US N 2 2035-08-20 Floating 5.50000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AGZH8 1999858.51000000 PA USD 1819239.49000000 0.060560228951 Long ABS-MBS USGSE US N 2 2043-10-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31292J5V8 103330.57000000 PA USD 120020.05000000 0.003995318783 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36179ACQ7 1382039.10000000 PA USD 1400897.99000000 0.046634158657 Long ABS-MBS USGA US N 2 2063-04-20 Variable 4.38099800 N N N N N N Wells Fargo Mortgage-Backed Securities Trust N/A 94985JAG5 221311.02000000 PA USD 222424.04000000 0.007404220753 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.00000000 N N N N N N Banc of America Funding Trust N/A 05946XP23 138902.14340000 PA USD 136341.23000000 0.004538630647 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 5.50000000 N N N N N N First Horizon Alternative Mortgage Securities Trust N/A 32051GAA3 254893.07000000 PA USD 256539.27000000 0.008539874497 Long ABS-MBS CORP US N 2 2034-10-25 Variable 3.91133200 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922FJF6 474943.79000000 PA USD 486139.88000000 0.016182994376 Long ABS-MBS CORP US N 2 2033-10-25 Variable 4.11027800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RUR7 4354958.80000000 PA USD 4744957.95000000 0.157953772111 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398GKH1 289582.80000000 PA USD 62797.56000000 0.002090452978 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 4.62325000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BM82 3067933.96000000 PA USD 3067077.09000000 0.102099196837 Long ABS-MBS USGA US N 2 2063-02-20 Floating 2.18437900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381UC62 2143796.53000000 PA USD 2392754.44000000 0.079651831168 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.46000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JVEJ7 1485555.00000000 PA USD 1594060.43000000 0.053064296995 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137A4ML8 1655481.00000000 PA USD 2043408.21000000 0.068022527940 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MBDJ5 1699542.06000000 PA USD 1851449.34000000 0.061632454956 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36194GQD9 2687120.09000000 PA USD 2888504.72000000 0.096154743855 Long ABS-MBS USGA US N 2 2046-08-15 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31393RGG9 1001223.60000000 PA USD 1151912.26000000 0.038345732148 Long ABS-MBS USGSE US N 2 2043-05-25 Fixed 5.23100000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398TY62 769540.38000000 PA USD 66648.20000000 0.002218636014 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 4.47324800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T3KK3 61704.98000000 PA USD 65804.70000000 0.002190556944 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FANE8 874019.58000000 PA USD 924279.70000000 0.030768126217 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T4J72 4107.01000000 PA USD 4082.13000000 0.000135889050 Long ABS-MBS USGSE US N 2 2024-03-15 Floating 2.27625100 N N N N N N Chase Funding Trust N/A 161546HC3 316101.88000000 PA USD 332933.33000000 0.011082938118 Long ABS-O CORP US N 3 2034-11-25 Variable 5.01685200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L8DU5 2000000.00000000 PA USD 2030000.44000000 0.067576199887 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 2.63000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359D4W0 1078.09000000 PA USD 1172.05000000 0.000039016092 Long ABS-MBS USGSE US N 2 2023-09-25 Floating 12.65820100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394CVA7 120628.38000000 PA USD 119322.12000000 0.003972085558 Long ABS-MBS USGSE US N 2 2035-03-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MBSL4 1450332.41000000 PA USD 1579955.00000000 0.052594744704 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N Washington Mutual Mortgage Pass-Through Certificates WMALT Trust N/A 93934FHY1 4755529.53000000 PA USD 641526.64000000 0.021355627123 Long ABS-MBS CORP US N 3 2036-01-25 Floating 3.32325000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFUM1 2617562.75000000 PA USD 2868579.30000000 0.095491451306 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FUH50 3022521.44000000 PA USD 3216886.04000000 0.107086151199 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JXZA9 4466278.15000000 PA USD 4919877.16000000 0.163776615922 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L96Z0 914930.83000000 PA USD 985659.54000000 0.032811385053 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 2.79000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 313399PS0 298.90000000 PA USD 298.61000000 0.000009940356 Long ABS-MBS USGSE US N 2 2020-03-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LXF5 32644169.75020000 PA USD 1942331.36000000 0.064657804818 Long ABS-MBS USGA US N 2 2069-07-20 Variable 1.98387000 N N N N N N Structured Asset Mortgage Investments II Trust N/A 86359LDX4 553880.02000000 PA USD 559321.89000000 0.018619132831 Long ABS-MBS CORP US N 2 2034-10-19 Floating 2.30675000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L9KW1 6000000.00000000 PA USD 6701406.12000000 0.223081508046 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.13000000 N N N N N N Seasoned Credit Risk Transfer Trust N/A 35563PLQ0 4724405.75000000 PA USD 5132795.67000000 0.170864409357 Long ABS-MBS CORP US N 2 2058-10-25 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375PR78 53116.97000000 PA USD 52310.58000000 0.001741354405 Long ABS-MBS USGA US N 2 2037-09-20 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394PXG3 32608.54000000 PA USD 34077.34000000 0.001134392433 Long ABS-MBS USGSE US N 2 2024-02-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392A7G7 158993.82000000 PA USD 6016.44000000 0.000200279834 Long ABS-MBS USGSE US N 2 2032-03-25 Floating 1.59999800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MHJW7 1257549.39000000 PA USD 1369924.75000000 0.045603097867 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396L4T4 115571.37000000 PA USD 114429.59000000 0.003809219295 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 1.72087900 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59020UNN1 201991.59000000 PA USD 204980.90000000 0.006823560231 Long ABS-MBS CORP US N 2 2034-12-25 Variable 3.65357500 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374JBT2 26816.68000000 PA USD 29113.96000000 0.000969167662 Long ABS-MBS USGA US N 2 2034-09-20 Floating 6.99999800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LMSM9 5966396.07000000 PA USD 6514043.87000000 0.216844450848 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396RJA6 58983.23000000 PA USD 52475.54000000 0.001746845720 Long ABS-MBS USGSE US N 2 2036-05-15 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LY6W5 3840274.38000000 PA USD 4210575.76000000 0.140164850997 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAWA6 1529447.19000000 PA USD 1710465.25000000 0.056939269251 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410XC46 61798.91000000 PA USD 65820.26000000 0.002191074917 Long ABS-MBS USGSE US N 2 2036-10-01 Variable 4.32500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HR4D2 5075000.00000000 PA USD 5900834.40000000 0.196431467234 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.95000000 N N N N N N VOLT LXXXIII LLC N/A 92870EAB9 6360000.00000000 PA USD 6436087.86000000 0.214249391846 Long ABS-O CORP US Y 3 2049-11-26 Variable 4.09000000 N N N N N N NACC Reperforming Loan REMIC Trust N/A 62951MAM2 285317.88000000 PA USD 288752.88000000 0.009612225668 Long ABS-MBS CORP US Y 2 2034-10-25 Variable 6.50000200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410KUN2 24275.12000000 PA USD 27084.65000000 0.000901614446 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394V6A3 206380.86000000 PA USD 236722.17000000 0.007880187788 Long ABS-MBS USGSE US N 2 2036-03-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JMSB9 4448951.17000000 PA USD 4983489.41000000 0.165894188922 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JSRA6 7337308.17000000 PA USD 8255876.86000000 0.274827913306 Long ABS-MBS USGA US N 2 2049-07-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396WFQ4 151288.70000000 PA USD 150959.13000000 0.005025242429 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 2.02675000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31405N7J8 68484.54000000 PA USD 70529.01000000 0.002347823371 Long ABS-MBS USGSE US N 2 2034-10-01 Variable 3.47199800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358MQ49 1036.42000000 PA USD 1063.89000000 0.000035415580 Long ABS-MBS USGSE US N 2 2022-07-25 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128QS6G6 68981.90000000 PA USD 72515.60000000 0.002413954491 Long ABS-MBS USGSE US N 2 2036-11-01 Variable 3.65000000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418BXX9 321022.74000000 PA USD 339481.56000000 0.011300920583 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140E6S94 4645832.13000000 PA USD 5007469.00000000 0.166692439767 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3620AQ2H5 217651.27000000 PA USD 241021.71000000 0.008023314148 Long ABS-MBS USGA US N 2 2033-10-20 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396UFA3 94555.90000000 PA USD 88042.97000000 0.002930841403 Long ABS-MBS USGSE US N 2 2036-07-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381RTG9 636806.79000000 PA USD 652270.13000000 0.021713264596 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 3.99000000 N N N N N N Citigroup Global Markets Mortgage Securities VII, Inc. 549300VB2N1G56GWKB41 79549AYG8 108916.69000000 PA USD 111943.01000000 0.003726444128 Long ABS-MBS CORP US N 2 2033-09-25 Variable 4.24000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393UQ89 35755.49000000 PA USD 39489.31000000 0.001314550210 Long ABS-MBS USGSE US N 2 2033-06-25 Floating 10.94649800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410LQN5 1706861.99000000 PA USD 1995805.43000000 0.066437890365 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31282YWS4 976.90000000 PA USD 4.04000000 0.000000134486 Long ABS-MBS USGSE US N 2 2020-11-15 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TDSX5 16593.95000000 PA USD 18810.63000000 0.000626182570 Long ABS-MBS USGSE US N 2 2028-05-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374XC29 11702.22000000 PA USD 78.84000000 0.000002624485 Long ABS-MBS USGA US N 2 2039-03-20 Floating 4.65300000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31406VQ74 86535.85000000 PA USD 88550.44000000 0.002947734451 Long ABS-MBS USGSE US N 2 2035-05-01 Variable 4.13500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617GSF87 2722052.79000000 PA USD 2973924.93000000 0.098998276827 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381REJ9 3000000.00000000 PA USD 3067155.39000000 0.102101803347 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 4.02000000 N N N N N N Dominion Financial Services 2 LLC N/A 25736DAA7 7300000.00000000 PA USD 7300000.00000000 0.243007956774 Long ABS-O CORP US Y 3 2022-09-15 Variable 5.35000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132WFJZ3 1895301.54000000 PA USD 1999183.76000000 0.066550350785 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358EKM3 11.65000000 PA USD 11.61000000 0.000000386482 Long ABS-MBS USGSE US N 2 2020-06-25 Fixed 5.50000000 N N N N N N RALI Trust N/A 76110HDT3 21.17000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 3 2018-06-25 Floating 5.97325000 N N N N N N MASTR Alternative Loan Trust N/A 576434RP1 138948.78000000 PA USD 120082.37000000 0.003997393339 Long ABS-MBS CORP US N 3 2034-06-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378C2Z9 3118888.16000000 PA USD 3649534.54000000 0.121488483800 Long ABS-MBS USGA US N 2 2041-07-20 Variable 5.56107100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HSSZ5 8000000.00000000 PA USD 9100327.28000000 0.302938621684 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.53000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381U6K8 1907118.73000000 PA USD 1962104.55000000 0.065316029818 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 2.79000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JSE69 7652814.09000000 PA USD 8614372.43000000 0.286761786727 Long ABS-MBS USGA US N 2 2049-05-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31384LXN9 7572.01000000 PA USD 8288.28000000 0.000275906573 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31364HVC8 51047.26000000 PA USD 4462.26000000 0.000148543107 Long ABS-MBS USGSE US N 2 2023-03-25 Fixed 8.00000000 N N N N N N VOLT LXXXV LLC N/A 91834TAB3 7500000.00000000 PA USD 7572437.25000000 0.252077055332 Long ABS-O CORP US Y 3 2050-01-25 Variable 3.72100000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392JAA7 211195.38000000 PA USD 247324.17000000 0.008233115234 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36200MFH1 36908.80000000 PA USD 40961.86000000 0.001363569575 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3129413U9 1585544.16000000 PA USD 1783554.49000000 0.059372319508 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397BP96 155168.72000000 PA USD 23145.37000000 0.000770480694 Long ABS-MBS USGSE US N 2 2036-10-15 Floating 5.04150100 N N N N N N GSMPS Mortgage Loan Trust N/A 36298XAD4 1477063.48000000 PA USD 256112.47000000 0.008525666854 Long ABS-MBS CORP US Y 3 2036-04-25 Variable 4.42082200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFT27 1193544.36000000 PA USD 1347897.35000000 0.044869833009 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31406UL48 65146.26000000 PA USD 74099.99000000 0.002466696872 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397QS90 1674114.00000000 PA USD 2022393.33000000 0.067322968618 Long ABS-MBS USGSE US N 2 2041-03-25 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31297CGV6 54582.39000000 PA USD 60927.57000000 0.002028203328 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358SU66 5316.12000000 PA USD 1118.42000000 0.000037230816 Long ABS-MBS USGSE US N 2 2031-01-25 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359GP34 14225.49000000 PA USD 15208.48000000 0.000506271458 Long ABS-MBS USGSE US N 2 2024-03-25 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339NJ23 39750.92000000 PA USD 60923.12000000 0.002028055193 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 15.18790000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416JAY7 289354.75000000 PA USD 337384.87000000 0.011231124370 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396LW89 35065.55000000 PA USD 34700.92000000 0.001155150639 Long ABS-MBS USGSE US N 2 2036-07-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416CJ72 643.34000000 PA USD 645.93000000 0.000021502209 Long ABS-MBS USGSE US N 2 2021-04-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FM6J6 5769637.23000000 PA USD 6583931.52000000 0.219170924139 Long ABS-MBS USGSE US N 2 2048-12-15 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395NVG9 19135.35000000 PA USD 19005.34000000 0.000632664224 Long ABS-MBS USGSE US N 2 2035-04-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378AS36 1489953.06000000 PA USD 1739198.52000000 0.057895764215 Long ABS-MBS USGA US N 2 2038-12-20 Variable 5.86594100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128K7XQ6 574365.21000000 PA USD 646827.64000000 0.021532090846 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N KGS-Alpha SBA COOF Trust N/A 48250BAA9 984186.83000000 PA USD 110059.64000000 0.003663749073 Long ABS-MBS CORP US Y 3 2041-07-25 Variable 4.15819400 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BH62 18590.43000000 PA USD 18517.94000000 0.000616439282 Long ABS-MBS USGA US N 2 2062-11-20 Floating 2.03438200 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 5899292M9 731184.90000000 PA USD 735609.08000000 0.024487515002 Long ABS-MBS CORP US N 2 2028-10-25 Floating 2.26675100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375PCK5 45652.82000000 PA USD 42210.76000000 0.001405143909 Long ABS-MBS USGA US N 2 2038-01-20 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375LUK4 284742.02000000 PA USD 269227.48000000 0.008962249290 Long ABS-MBS USGA US N 2 2037-03-20 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LN7A3 11000000.00000000 PA USD 12944554.26000000 0.430908175628 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.85000000 N N N N N N CoreVest American Finance Trust N/A 21872NAE0 27000000.00000000 PA USD 2808534.60000000 0.093492637627 Long ABS-O CORP US Y 2 2052-10-15 Variable 1.39194400 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T7DV8 41853.98000000 PA USD 44806.82000000 0.001491563531 Long ABS-MBS USGSE US N 2 2026-07-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L7YW0 1000000.00000000 PA USD 1067769.78000000 0.035544733225 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 2.90000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L74C7 1808142.86000000 PA USD 1975813.48000000 0.065772383115 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3.14000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381PEB0 3330764.54000000 PA USD 3340628.10000000 0.111205371085 Long ABS-MBS USGSE US N 2 2020-11-01 Fixed 3.37000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617G9JQ5 3618017.57000000 PA USD 4028458.73000000 0.134102400675 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 5.00000000 N N N N N N GSR Mortgage Loan Trust N/A 36242D7M9 50672.31000000 PA USD 48021.04000000 0.001598560933 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.12675000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFS93 1706874.91000000 PA USD 1917437.88000000 0.063829131707 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX6B8 3790402.39000000 PA USD 4178558.89000000 0.139099049057 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N E3 N/A 269330AB2 2805512.38000000 PA USD 2896381.80000000 0.096416962090 Long ABS-O CORP KY Y 3 2055-09-20 Fixed 4.15000000 N Y N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FHVJ9 2005217.55000000 PA USD 2034692.84000000 0.067732404070 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417WCT6 174215.77000000 PA USD 210511.88000000 0.007007679703 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3622A2MQ2 1985683.83000000 PA USD 2119571.18000000 0.070557898861 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 4.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375XML5 58879.54000000 PA USD 7696.32000000 0.000256200958 Long ABS-MBS USGA US N 2 2038-08-20 Floating 4.35300100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138WGW83 4038102.93000000 PA USD 4270468.42000000 0.142158603454 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396YTG7 163100.96000000 PA USD 18659.26000000 0.000621143650 Long ABS-MBS USGSE US N 2 2038-03-25 Floating 4.57324900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31405JWZ3 28430.80000000 PA USD 29791.38000000 0.000991718134 Long ABS-MBS USGSE US N 2 2034-09-01 Variable 3.84300000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312926KB3 629820.48000000 PA USD 709592.09000000 0.023621441634 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.00000000 N N N N N N Fn jan50 N/A N/A 10000000.00000000 PA USD 10328125.00000000 0.343810486789 Long ABS-MBS CORP US N 2 2050-01-01 Fixed 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392GVX0 201956.68000000 PA USD 226262.53000000 0.007531999330 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 5.26590000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TGE96 17419.86000000 PA USD 19495.09000000 0.000648967395 Long ABS-MBS USGSE US N 2 2028-09-15 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31404EVB9 43220.65000000 PA USD 45367.74000000 0.001510235863 Long ABS-MBS USGSE US N 2 2034-01-01 Variable 3.71099900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M8RN6 2108241.30000000 PA USD 2324265.60000000 0.077371922528 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T0YD0 85084.29000000 PA USD 102341.46000000 0.003406820423 Long ABS-MBS USGSE US N 2 2023-08-15 Floating 18.19998400 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MBC31 1479135.01000000 PA USD 1618801.92000000 0.053887910548 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JNMV6 1970564.32000000 PA USD 2132140.62000000 0.070976319948 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.00000000 N N N N N N VSE VOI Mortgage LLC 549300E4XED7XGXU7L27 918286AA3 942234.62000000 PA USD 989368.78000000 0.032934861058 Long ABS-O CORP US Y 2 2036-02-20 Fixed 3.56000000 N N N N N N Westgate Resorts LLC 549300K8T4A858DBUE44 96033CAB8 1704072.77000000 PA USD 1715307.21000000 0.057100452101 Long ABS-O CORP US Y 2 2028-12-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31386L4V1 32616.25000000 PA USD 34056.16000000 0.001133687377 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31407KGJ2 61034.02000000 PA USD 64249.68000000 0.002138792254 Long ABS-MBS USGSE US N 2 2035-09-01 Variable 3.73399900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396NG75 239642.45000000 PA USD 278107.94000000 0.009257868803 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AJLC8 1929524.00000000 PA USD 2071945.06000000 0.068972484326 Long ABS-MBS USGSE US N 2 2024-01-25 Variable 3.47800000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31288LUU3 461489.42000000 PA USD 533941.68000000 0.017774257081 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6.50000000 N N N N N N Banc of America Funding Trust N/A 05946XV83 20633.44370000 PA USD 18242.80000000 0.000607280212 Long ABS-MBS CORP US N 3 2035-11-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFTX9 2508494.33000000 PA USD 2746240.67000000 0.091418949866 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394EKR8 115394.41000000 PA USD 166155.87000000 0.005531123078 Long ABS-MBS USGSE US N 2 2035-07-25 Floating 13.30812400 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T1WB4 45525.24000000 PA USD 48352.22000000 0.001609585505 Long ABS-MBS USGSE US N 2 2023-10-15 Fixed 6.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396XUU6 162785.82000000 PA USD 34654.14000000 0.001153593391 Long ABS-MBS USGSE US N 2 2037-09-25 Floating 4.91325100 N N N N N N Progress Residential Trust N/A 74332NAJ2 4350000.00000000 PA USD 4351988.82000000 0.144872316582 Long ABS-O CORP US Y 2 2032-11-12 Fixed 5.66000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922FNH7 40612.27000000 PA USD 41491.47000000 0.001381199636 Long ABS-MBS CORP US N 2 2034-06-25 Variable 4.46571700 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376CXX2 213846.22000000 PA USD 200530.76000000 0.006675420583 Long ABS-MBS USGA US N 2 2037-11-16 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312908LC8 6.18000000 PA USD 14.61000000 0.000000486348 Long ABS-MBS USGSE US N 2 2022-01-15 Floating 1104.54287900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3837H1U90 79202.29000000 PA USD 79194.80000000 0.002636296785 Long ABS-MBS USGA US N 2 2029-02-20 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392FDC8 136163.13000000 PA USD 163932.57000000 0.005457112175 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392A5M6 233832.12000000 PA USD 279039.91000000 0.009288892929 Long ABS-MBS USGSE US N 2 2041-08-25 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393DXG1 231427.90000000 PA USD 43049.57000000 0.001433066855 Long ABS-MBS USGSE US N 2 2033-08-25 Fixed 5.50000000 N N N N N N Residential Asset Securitization Trust N/A 45660NPZ2 130794.11000000 PA USD 135362.00000000 0.004506033293 Long ABS-MBS CORP US N 2 2033-06-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394ULM2 276660.56000000 PA USD 348658.15000000 0.011606397896 Long ABS-MBS USGSE US N 2 2035-07-25 Floating 8.22035200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T6MS7 12008.44000000 PA USD 12469.07000000 0.000415079893 Long ABS-MBS USGSE US N 2 2023-05-15 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BL75 83818.93000000 PA USD 83654.01000000 0.002784738362 Long ABS-MBS USGA US N 2 2062-02-20 Floating 2.13437900 N N N N N N MASTR Alternative Loan Trust N/A 576434JZ8 689.23000000 PA USD 703.48000000 0.000023417977 Long ABS-MBS CORP US N 2 2018-11-25 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31400RV24 13356.28000000 PA USD 14789.77000000 0.000492333121 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 8.00000000 N N N N N N Progress Residential Trust N/A 74332WAJ2 7300000.00000000 PA USD 7424027.73000000 0.247136686261 Long ABS-O CORP US Y 3 2036-09-17 Fixed 3.36900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396XYW8 549959.16000000 PA USD 110107.43000000 0.003665339943 Long ABS-MBS USGSE US N 2 2037-10-25 Floating 4.83324800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418B5U6 5808792.36000000 PA USD 6143075.93000000 0.204495387679 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339MWA2 165579.88000000 PA USD 193516.43000000 0.006441922226 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374GDC3 82885.79000000 PA USD 123437.68000000 0.004109087452 Long ABS-MBS USGA US N 2 2034-04-16 Floating 15.10160000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L7CT1 5000000.00000000 PA USD 5496938.35000000 0.182986268075 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 3.29000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L4QU0 3000000.00000000 PA USD 3222556.38000000 0.107274909793 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 3.59000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31406H3D7 597260.50000000 PA USD 618771.91000000 0.020598150350 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 3.49200000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395NE29 74060.10000000 PA USD 67780.09000000 0.002256315230 Long ABS-MBS USGSE US N 2 2036-07-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EPS54 1981419.39000000 PA USD 2218629.41000000 0.073855424625 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358QW27 15117.48000000 PA USD 15810.02000000 0.000526295980 Long ABS-MBS USGSE US N 2 2022-10-25 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374L3B5 657911.54000000 PA USD 147731.27000000 0.004917790969 Long ABS-MBS USGA US N 2 2035-09-20 Floating 4.65300000 N N N N N N Long Beach Mortgage Loan Trust N/A 542514EU4 599503.20000000 PA USD 593882.02000000 0.019769596745 Long ABS-O CORP US N 3 2034-02-25 Floating 2.37674900 N N N N N N B2R Mortgage Trust N/A 05605LAJ0 2000000.00000000 PA USD 2016414.20000000 0.067123930788 Long ABS-O CORP US Y 3 2049-06-15 Fixed 3.87010000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359X6B0 64055.26000000 PA USD 61976.55000000 0.002063122573 Long ABS-MBS USGSE US N 2 2023-10-25 None 0.00000000 N N N N N N Credit Suisse First Boston Mortgage Securities Corp. N/A 22541Q6Z0 297912.37000000 PA USD 313006.52000000 0.010419599298 Long ABS-MBS CORP US N 2 2034-03-25 Variable 3.87470900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LK85 38783114.81000000 PA USD 2966908.28000000 0.098764701241 Long ABS-MBS USGA US N 2 2069-10-20 Variable 1.12146800 N N N N N N MASTR Asset Securitization Trust N/A 55265K3Z0 48541.77000000 PA USD 49724.29000000 0.001655260015 Long ABS-MBS CORP US N 2 2033-12-25 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128P7JZ7 108662.73000000 PA USD 118211.41000000 0.003935111398 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 5.50000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 93363EAM7 43105.95000000 PA USD 36206.60000000 0.001205272861 Long ABS-MBS CORP US N 3 2036-09-25 Variable 3.82690800 N N N N N N MASTR Asset Securitization Trust N/A 57643MEH3 1296.88000000 PA USD 904.89000000 0.000030122667 Long ABS-MBS CORP US N 3 2019-08-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AMST7 3000000.00000000 PA USD 3162254.10000000 0.105267521595 Long ABS-MBS USGSE US N 2 2024-10-25 Fixed 2.72296000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393YFC4 390456.15000000 PA USD 389919.98000000 0.012979953102 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 2.02675000 N N N N N N MASTR Alternative Loan Trust N/A 576434NV2 170329.04000000 PA USD 175955.03000000 0.005857324975 Long ABS-MBS CORP US N 2 2034-04-25 Fixed 6.25000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392KPH3 46085.24000000 PA USD 55222.60000000 0.001838291944 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396PAS0 306256.23000000 PA USD 54928.59000000 0.001828504715 Long ABS-MBS USGSE US N 2 2032-07-25 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359HG81 89919.82000000 PA USD 96984.77000000 0.003228502848 Long ABS-MBS USGSE US N 2 2024-05-17 Fixed 7.50000000 N N N N N N Pretium Mortgage Credit Partners I LLC N/A 74137YAA4 3061305.97000000 PA USD 3071618.90000000 0.102250388065 Long ABS-O CORP US Y 3 2060-07-25 Variable 4.21319900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TLFS2 8036.64000000 PA USD 882.55000000 0.000029378996 Long ABS-MBS USGSE US N 2 2029-06-15 Fixed 7.50000000 N N N N N N MASTR Alternative Loan Trust N/A 576434TQ7 35458.95000000 PA USD 30928.50000000 0.001029571450 Long ABS-MBS CORP US N 3 2034-08-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359RLD2 4053.76000000 PA USD 389.86000000 0.000012977956 Long ABS-MBS USGSE US N 2 2027-12-18 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3139216U7 65640.55000000 PA USD 70118.57000000 0.002334160332 Long ABS-O CORP US N 2 2032-01-25 Variable 5.60999900 N N N N N N Welk Resorts LLC N/A 94946DAC5 3945517.75000000 PA USD 4054038.03000000 0.134953903884 Long ABS-O CORP US Y 3 2038-06-15 Fixed 3.34000000 N N N N N N Sequoia Mortgage Trust N/A 81744FDJ3 501316.75000000 PA USD 498907.12000000 0.016607999979 Long ABS-MBS CORP US N 2 2034-09-20 Floating 2.34699800 N N N N N N Lehman Mortgage Trust N/A 52521NAH3 117176.12000000 PA USD 110489.15000000 0.003678046929 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31376J5Y1 382671.20000000 PA USD 433309.38000000 0.014424332477 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137A5MR2 685257.85000000 PA USD 57844.60000000 0.001925575076 Long ABS-MBS USGSE US N 2 2039-10-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138NJAD0 453521.60000000 PA USD 464608.53000000 0.015466242407 Long ABS-MBS USGSE US N 2 2021-01-01 Variable 4.30700000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K4AG2 2615404.88000000 PA USD 2863057.54000000 0.095307638756 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397TXJ6 113020.60000000 PA USD 130654.32000000 0.004349320458 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31356FP70 1397.76000000 PA USD 1560.25000000 0.000051938789 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31393GQV9 17322.59000000 PA USD 17832.76000000 0.000593630489 Long ABS-MBS USGSE US N 2 2022-12-15 Fixed 5.50000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669FQA4 154015.67000000 PA USD 159784.31000000 0.005319021739 Long ABS-MBS CORP US N 2 2034-04-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JUYT5 3668121.05000000 PA USD 4101464.84000000 0.136532683637 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31405MB71 50359.95000000 PA USD 52987.83000000 0.001763899219 Long ABS-MBS USGSE US N 2 2034-08-01 Variable 4.13600000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31393LAX1 13815.12000000 PA USD 18822.47000000 0.000626576709 Long ABS-MBS USGSE US N 2 2023-09-15 Floating 27.34772000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36225BYK8 47535.93000000 PA USD 57693.95000000 0.001920560124 Long ABS-MBS USGA US N 2 2033-06-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396LH60 362118.84000000 PA USD 74809.62000000 0.002490319575 Long ABS-MBS USGSE US N 2 2036-12-25 Fixed 6.50000000 N N N N N N HERO Funding Trust N/A 40417QAA3 3255776.22000000 PA USD 3431329.63000000 0.114224712658 Long ABS-O CORP US Y 2 2047-09-20 Fixed 3.57000000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394E7B8 297504.19000000 PA USD 336306.14000000 0.011195214785 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296RS82 79435.39000000 PA USD 90202.91000000 0.003002743130 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617L9GD1 3181074.67000000 PA USD 3485896.89000000 0.116041189146 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UK66 5686882.85000000 PA USD 5676216.53000000 0.188954216598 Long ABS-MBS USGA US N 2 2067-09-20 Floating 2.38587800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RUM8 3806367.74000000 PA USD 4145189.62000000 0.137988227397 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 4.25000000 N N N N N N ABFC Trust N/A 04542BMS8 258192.06000000 PA USD 262751.09000000 0.008746658290 Long ABS-O CORP US N 3 2034-01-25 Variable 4.68824000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396WZ90 335376.96000000 PA USD 388240.75000000 0.012924053615 Long ABS-MBS USGSE US N 2 2037-08-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413HJP4 62858.45000000 PA USD 71913.56000000 0.002393913326 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.50000000 N N N N N N Structured Asset Securities Corp. Pass-Through Certificates N/A 86358RXY8 130916.42000000 PA USD 126970.89000000 0.004226703636 Long ABS-O CORP US N 3 2032-02-25 Fixed 3.45000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LV75 40908104.97000000 PA USD 2597640.12000000 0.086472221643 Long ABS-MBS USGA US N 2 2069-12-20 Variable 2.06353100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417KPB7 321373.22000000 PA USD 348688.75000000 0.011607416532 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377MBJ4 523848.95000000 PA USD 596937.30000000 0.019871303232 Long ABS-MBS USGA US N 2 2037-04-20 Variable 5.97285000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396UD64 54134.00000000 PA USD 11685.12000000 0.000388983169 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 5.44150100 N N N N N N CSAIL Commercial Mortgage Trust N/A 12652DAG2 2900000.00000000 PA USD 2989363.21000000 0.099512198043 Long ABS-MBS CORP US Y 3 2032-10-15 Variable 4.23659900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L9RR5 4000000.00000000 PA USD 4323261.80000000 0.143916029674 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 2.83000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128S4X28 60356.31000000 PA USD 62653.77000000 0.002085666387 Long ABS-MBS USGSE US N 2 2037-05-01 Variable 3.67200000 N Y N N N N Sequoia Mortgage Trust N/A 81744FDK0 409909.62000000 PA USD 410687.67000000 0.013671283775 Long ABS-MBS CORP US N 2 2034-09-20 Floating 2.45488000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JKQS5 7687256.76000000 PA USD 8421262.86000000 0.280333408366 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 5.50000000 N N N N N N Commercial Mortgage Trust 549300C72XVZH4MIKU63 12625UAA1 140329304.73000000 PA USD 1032528.99000000 0.034371610982 Long ABS-MBS CORP US Y 3 2045-07-10 Variable 0.21614000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128QPK35 2899.47000000 PA USD 2962.15000000 0.000098606303 Long ABS-MBS USGSE US N 2 2036-10-01 Variable 3.93999800 N Y N N N N GSR Mortgage Loan Trust N/A 36228FJ72 23454.06000000 PA USD 27898.49000000 0.000928706171 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 13.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312915A35 860.24000000 PA USD 1017.20000000 0.000033861327 Long ABS-MBS USGSE US N 2 2023-05-15 Floating 16.85541200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378GPE2 4715125.82000000 PA USD 5430203.88000000 0.180764760239 Long ABS-MBS USGA US N 2 2041-11-16 Variable 4.52823800 N N N N N N American Homes 4 Rent N/A 02666AAE8 3975000.00000000 PA USD 4391074.78000000 0.146173439771 Long ABS-O CORP US Y 3 2052-04-17 Fixed 5.63900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L0N80 1300000.00000000 PA USD 1412788.68000000 0.047029984997 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.87000000 N N N N N N Golden Bear LLC N/A 380797AA8 1064146.41000000 PA USD 1068902.08000000 0.035582426089 Long ABS-O CORP US Y 3 2047-09-20 Fixed 5.65000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358ED82 19.72000000 PA USD 19.74000000 0.000000657120 Long ABS-MBS USGSE US N 2 2020-08-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TSTE3 154536.97000000 PA USD 180007.63000000 0.005992231009 Long ABS-MBS USGSE US N 2 2029-04-15 Fixed 8.50000000 N N N N N N GSR Mortgage Loan Trust N/A 3623418L6 131896.81000000 PA USD 113995.56000000 0.003794770974 Long ABS-MBS CORP US N 3 2036-02-25 None 0.00000000 N N N N N N Alternative Loan Trust N/A 12668BFL2 300876.69000000 PA USD 266499.81000000 0.008871448535 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TGKG3 8169.49000000 PA USD 847.46000000 0.000028210893 Long ABS-MBS USGSE US N 2 2028-10-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374H2D1 1091295.35000000 PA USD 199309.05000000 0.006634751370 Long ABS-MBS USGA US N 2 2034-09-16 Floating 4.89150000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31391REW8 21206.21000000 PA USD 23878.75000000 0.000794894006 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403K4Q3 59679.51000000 PA USD 62775.07000000 0.002089704314 Long ABS-MBS USGSE US N 2 2034-05-01 Variable 4.70999900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132G7JJ5 2232542.80000000 PA USD 2365789.28000000 0.078754194396 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358GTS6 763.50000000 PA USD 779.41000000 0.000025945593 Long ABS-MBS USGSE US N 2 2021-05-25 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418MEF5 66050.96000000 PA USD 69857.34000000 0.002325464309 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137B16U1 1000000.00000000 PA USD 1043669.30000000 0.034742458101 Long ABS-MBS USGSE US N 2 2043-03-15 Fixed 2.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397PGA2 166497.48000000 PA USD 160401.29000000 0.005339560239 Long ABS-MBS USGSE US N 2 2032-09-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402ESB5 13862.03000000 PA USD 15478.60000000 0.000515263419 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128NHQ97 48332.02000000 PA USD 52303.00000000 0.001741102077 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 4.77299900 N Y N N N N Nomura Asset Acceptance Corp. Alternative Loan Trust N/A 65535VAT5 21599.51000000 PA USD 22511.21000000 0.000749370294 Long ABS-MBS CORP US N 2 2033-05-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140J7L29 4785837.30000000 PA USD 5192176.76000000 0.172841132282 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132H4CL3 4055992.90000000 PA USD 4372924.90000000 0.145569252750 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LMN82 2000000.00000000 PA USD 2255857.38000000 0.075094697628 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.27000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312912CU0 5592.60000000 PA USD 5828.00000000 0.000194006900 Long ABS-MBS USGSE US N 2 2022-10-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394B5T7 541778.33000000 PA USD 505318.92000000 0.016821440858 Long ABS-MBS USGSE US N 2 2035-02-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403MJ75 39586.50000000 PA USD 44346.03000000 0.001476224402 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L74G8 2276293.58000000 PA USD 2627069.99000000 0.087451905558 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 3.61000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TD3W4 47989.21000000 PA USD 55674.62000000 0.001853339130 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 7.50000000 N N N N N N GMACM Mortgage Loan Trust N/A 36185N7E4 491060.39000000 PA USD 494581.19000000 0.016463995128 Long ABS-MBS CORP US N 2 2035-06-19 Variable 3.88318300 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393UAK9 3401081.77000000 PA USD 3804183.76000000 0.126636564755 Long ABS-MBS USGSE US N 2 2033-08-25 Fixed 5.75000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128QSPN0 40430.02000000 PA USD 42753.25000000 0.001423202729 Long ABS-MBS USGSE US N 2 2037-09-01 Variable 4.21700000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398P5R6 440864.82000000 PA USD 556594.48000000 0.018528340731 Long ABS-MBS USGSE US N 2 2040-03-25 Floating 9.40650100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375PY88 176517.00000000 PA USD 16152.75000000 0.000537705037 Long ABS-MBS USGA US N 2 2038-12-20 Floating 4.35300100 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GXU7 383150.80000000 PA USD 311127.45000000 0.010357047386 Long ABS-MBS CORP US N 2 2035-08-25 Variable 3.96524200 N N N N N N CoreVest American Finance Trust N/A 21870DAV6 2200000.00000000 PA USD 2428519.50000000 0.080842405710 Long ABS-O CORP US Y 3 2027-12-25 Fixed 5.62190000 N N N N N N GSR Mortgage Loan Trust N/A 36228F2K1 323947.80000000 PA USD 337644.05000000 0.011239752151 Long ABS-MBS CORP US N 2 2034-05-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFUA7 2242201.02000000 PA USD 2457219.80000000 0.081797803143 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36230LXZ7 174558.24000000 PA USD 206497.34000000 0.006874040640 Long ABS-MBS USGA US N 2 2039-01-20 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AGGA4 1959414.38000000 PA USD 1754873.66000000 0.058417570207 Long ABS-MBS USGSE US N 2 2043-09-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JSVK9 5750546.62000000 PA USD 6139852.59000000 0.204388086684 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31297GXZ9 103109.32000000 PA USD 120803.54000000 0.004021400195 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 6.50000000 N N N N N N FHLMC Pool N/A 3133KGYN2 6902259.71000000 PA USD 7208255.52000000 0.239953896688 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374UVQ1 433435.20000000 PA USD 52805.41000000 0.001757826683 Long ABS-MBS USGA US N 2 2039-06-20 Floating 4.43300000 N N N N N N GSR Mortgage Loan Trust N/A 36228FTW6 193796.28300000 PA USD 198132.09000000 0.006595571830 Long ABS-MBS CORP US N 2 2033-06-25 Fixed 5.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L7R65 1991618.27000000 PA USD 2184166.65000000 0.072708202037 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.23500000 N N N N N N Structured Asset Mortgage Investments II Trust N/A 86359LPF0 923137.40000000 PA USD 902622.15000000 0.030047173207 Long ABS-MBS CORP US N 2 2035-07-19 Floating 1.89675000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396PXT3 17707.54000000 PA USD 17430.72000000 0.000580247075 Long ABS-MBS USGSE US N 2 2022-03-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140K8HE4 1517207.29000000 PA USD 1624699.04000000 0.054084218367 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4.00000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GCU0 1286.25000000 PA USD 1286.20000000 0.000042816004 Long ABS-O CORP US N 2 2033-12-25 Floating 2.38675000 N N N N N N FREMF Mortgage Trust N/A 30293HAE5 5545000.00000000 PA USD 5906857.83000000 0.196631979757 Long ABS-MBS USGSE US Y 2 2048-08-25 Variable 3.63789000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359N4H1 5944.56000000 PA USD 135.12000000 0.000004497977 Long ABS-MBS USGSE US N 2 2027-03-25 Floating 1.84000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396YTV4 298801.80000000 PA USD 62887.71000000 0.002093453960 Long ABS-MBS USGSE US N 2 2038-03-25 Floating 5.36325100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132G7CD5 772795.97000000 PA USD 817073.91000000 0.027199378274 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RUV6 5661977.93000000 PA USD 5667821.09000000 0.188674742800 Long ABS-MBS USGA US N 2 2066-05-20 Floating 1.98000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX5B9 1810820.69000000 PA USD 2029986.69000000 0.067575742166 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31401YSJ5 21787.34000000 PA USD 22142.63000000 0.000737100722 Long ABS-MBS USGSE US N 2 2033-07-01 Variable 3.28799900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392B6V3 330297.53000000 PA USD 391987.66000000 0.013048783607 Long ABS-MBS USGSE US N 2 2041-12-25 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398F7A3 1028063.59000000 PA USD 1207277.28000000 0.040188765078 Long ABS-MBS USGSE US N 2 2049-12-25 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JSLW4 5793465.77000000 PA USD 6519527.58000000 0.217026996760 Long ABS-MBS USGA US N 2 2049-07-15 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T2W48 65898.21000000 PA USD 70643.16000000 0.002351623283 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 6.50000000 N N N N N N FREMF Mortgage Trust N/A 30293HAG0 5000000.00000000 PA USD 5222304.00000000 0.173844030780 Long ABS-MBS USGSE US Y 2 2048-08-25 Variable 3.63789000 N N N N N N Prime Mortgage Trust N/A 74160MKY7 95427.23370000 PA USD 55837.98000000 0.001858777182 Long ABS-MBS CORP US N 3 2035-10-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374MHB8 270951.68000000 PA USD 40568.67000000 0.001350480767 Long ABS-MBS USGA US N 2 2035-11-16 Fixed 5.50000000 N N N N N N Antler Mortgage Trust N/A 03719KAA9 3621000.00000000 PA USD 3638444.17000000 0.121119299122 Long ABS-MBS CORP US Y 2 2022-07-25 Fixed 4.33500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T4SX5 30533.56000000 PA USD 32767.33000000 0.001090783823 Long ABS-MBS USGSE US N 2 2024-03-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617BFSV5 2543212.02000000 PA USD 2720733.46000000 0.090569846444 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 5.00000000 N N N N N N MASTR Adjustable Rate Mortgages Trust N/A 576433KX3 37548.54000000 PA USD 35712.54000000 0.001188826215 Long ABS-MBS CORP US N 2 2034-04-25 Variable 3.72338600 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K1YK3 4352910.22000000 PA USD 4736688.64000000 0.157678497025 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LCDD4 7066741.18000000 PA USD 8007759.18000000 0.266568383106 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 3.28000000 N N N N N N Headlands Residential LLC N/A 42210CAA9 3570000.00000000 PA USD 3619933.59000000 0.120503104844 Long ABS-MBS CORP US Y 2 2023-06-25 Variable 4.25000200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HXV61 1975648.54000000 PA USD 2184719.97000000 0.072726621374 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31388R7M3 26540.24000000 PA USD 27127.07000000 0.000903026555 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36208F4X5 5295.90000000 PA USD 5312.47000000 0.000176845545 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396WSA5 365590.35000000 PA USD 95891.46000000 0.003192107913 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.52325000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393CW82 145734.09000000 PA USD 173169.63000000 0.005764602460 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TEFM1 3104897.52000000 PA USD 38861.83000000 0.001293662178 Long ABS-MBS USGSE US N 2 2027-08-17 Fixed 0.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QCAW6 7236035.03000000 PA USD 8063979.63000000 0.268439892241 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36241LZH2 196653.52000000 PA USD 220699.84000000 0.007346824271 Long ABS-MBS USGA US N 2 2039-09-20 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617BFTF9 4405496.72000000 PA USD 4748411.29000000 0.158068729521 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376JFB5 646151.68000000 PA USD 88069.05000000 0.002931709574 Long ABS-MBS USGA US N 2 2039-11-16 Floating 4.74149900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JMQN5 1876622.63000000 PA USD 2040774.49000000 0.067934854664 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 5.00000000 N N N N N N HERO Funding II N/A 42770YAA3 2179754.43000000 PA USD 2219623.45000000 0.073888514985 Long ABS-O CORP KY Y 3 2042-09-20 Fixed 5.24000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393Y4T9 21718.31000000 PA USD 27173.60000000 0.000904575481 Long ABS-MBS USGSE US N 2 2034-07-25 Floating 10.98650200 N N N N N N RALI Trust N/A 76110GW49 134.56000000 PA USD 121.11000000 0.000004031601 Long ABS-MBS CORP US N 2 2017-10-25 Floating 13.22134100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137GARQ2 657770.48000000 PA USD 112506.77000000 0.003745211000 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 4.34149900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JYNR3 4047050.32000000 PA USD 4283259.85000000 0.142584414312 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.00000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922FEV6 505328.25000000 PA USD 516268.96000000 0.017185954125 Long ABS-MBS CORP US N 2 2033-10-25 Fixed 5.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAXW7 2116752.50000000 PA USD 2310814.61000000 0.076924155734 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N BXG Receivables Note Trust N/A 05606UAA8 204479.84000000 PA USD 204491.47000000 0.006807267712 Long ABS-O CORP US Y 2 2027-12-02 Fixed 2.66000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31335PGR0 103.39000000 PA USD 104.08000000 0.000003464694 Long ABS-MBS USGSE US N 2 2021-07-20 Fixed 10.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410N6D5 73906.77000000 PA USD 78046.65000000 0.002598076294 Long ABS-MBS USGSE US N 2 2036-07-01 Variable 4.39499900 N N N N N N Credit Suisse First Boston Mortgage Securities Corp. N/A 22541QCV2 227517.93000000 PA USD 230604.14000000 0.007676526148 Long ABS-MBS CORP US N 2 2033-06-25 Variable 4.15514500 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312904DW2 0.03000000 PA USD 0.04000000 0.000000001331 Long ABS-MBS USGSE US N 2 2021-08-15 Fixed 1009.50000000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LD2R3 5268000.00000000 PA USD 5903683.77000000 0.196526319231 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 3.03000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140GTFF2 4939953.68000000 PA USD 5344499.38000000 0.177911763605 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N FHLMC Pool N/A 3133KHGR1 7948889.68000000 PA USD 8565237.13000000 0.285126133459 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396K4D1 30311.11000000 PA USD 43636.21000000 0.001452595374 Long ABS-MBS USGSE US N 2 2026-10-25 Floating 25.11625000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392KMK9 41978.26000000 PA USD 7879.44000000 0.000262296796 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 6.34150100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402ER91 7853.34000000 PA USD 8268.51000000 0.000275248454 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392ET34 1748210.29000000 PA USD 37630.58000000 0.001252675391 Long ABS-MBS USGSE US N 2 2042-08-25 Variable 0.91156000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381TPH7 3905185.00000000 PA USD 4002171.60000000 0.133227334682 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 3.03000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375CE71 3295416.48000000 PA USD 3857692.30000000 0.128417797765 Long ABS-MBS USGA US N 2 2038-04-20 Variable 6.17315000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 929227T30 76772.05000000 PA USD 78795.78000000 0.002623013904 Long ABS-MBS CORP US N 2 2033-06-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393X5V5 168872.20000000 PA USD 251919.51000000 0.008386088410 Long ABS-MBS USGSE US N 2 2034-05-25 Floating 15.05143800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JNMX2 1250369.47000000 PA USD 1362036.00000000 0.045340491152 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JWX39 4264747.21000000 PA USD 4804314.92000000 0.159929692111 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397KUV1 144701.96000000 PA USD 131905.94000000 0.004390985337 Long ABS-MBS USGSE US N 2 2037-04-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381TJK7 6436065.32000000 PA USD 6601289.29000000 0.219748742800 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 3.09000000 N N N N N N Alternative Loan Trust N/A 12667GYN7 80066.98000000 PA USD 56544.12000000 0.001882283708 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T0PQ1 2325.99000000 PA USD 2369.55000000 0.000078879384 Long ABS-MBS USGSE US N 2 2023-08-15 Floating 2.53599800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396TUG6 109279.74000000 PA USD 101908.00000000 0.003392391076 Long ABS-MBS USGSE US N 2 2036-06-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136ASVZ6 4500000.00000000 PA USD 4712559.30000000 0.156875261188 Long ABS-MBS USGSE US N 2 2026-05-25 Fixed 2.48800000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402CPA4 354796.89000000 PA USD 407322.32000000 0.013559255442 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398E3W2 50112.97000000 PA USD 51541.45000000 0.001715751021 Long ABS-MBS USGSE US N 2 2039-02-15 Variable 3.92234000 N Y N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397HKD9 20319.31000000 PA USD 18895.07000000 0.000628993473 Long ABS-MBS USGSE US N 2 2037-05-15 None 0.00000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 589929G36 95292.98000000 PA USD 94303.03000000 0.003139231046 Long ABS-MBS CORP US N 2 2028-03-25 Floating 2.49475000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HNW73 5981785.42000000 PA USD 6252873.36000000 0.208150408107 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N UBS-Barclays Commercial Mortgage Trust 549300G1IXWLFE766Q13 90349GBF1 857000.00000000 PA USD 896816.82000000 0.029853920962 Long ABS-MBS CORP US N 2 2046-04-10 Fixed 3.24430000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137BDCC8 5347970.75000000 PA USD 5663205.28000000 0.188521088204 Long ABS-MBS USGSE US N 2 2044-08-15 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K4UY1 5944142.20000000 PA USD 6596390.78000000 0.219585677470 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31411GP30 36384.84000000 PA USD 41058.81000000 0.001366796921 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394FSB2 436522.55000000 PA USD 434876.99000000 0.014476516272 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 1.84675000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381REQ3 2189660.74000000 PA USD 2237164.95000000 0.074472449790 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 3.97000000 N N N N N N Commercial Mortgage Trust N/A 12625EAC3 1247000.00000000 PA USD 1295266.01000000 0.043117800900 Long ABS-MBS CORP US Y 2 2035-04-12 Variable 2.98680100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418MZT2 345592.16000000 PA USD 422184.55000000 0.014054000668 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 7.00000000 N N N N N N Banc of America Mortgage Trust N/A 0605067V8 76000.44000000 PA USD 78374.11000000 0.002608977032 Long ABS-MBS CORP US N 2 2033-04-25 Variable 5.12153300 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202C5F6 3895.50000000 PA USD 4407.03000000 0.000146704569 Long ABS-MBS USGA US N 2 2028-09-20 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393AP68 26216.93000000 PA USD 29891.39000000 0.000995047343 Long ABS-MBS USGSE US N 2 2042-10-25 Variable 5.78065000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359AH69 2493.36000000 PA USD 2467.84000000 0.000082151336 Long ABS-MBS USGSE US N 2 2023-05-25 Floating 2.87674900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381TNT3 1692932.48000000 PA USD 1737885.44000000 0.057852053408 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 3.13000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358EV58 518.92000000 PA USD 522.41000000 0.000017390381 Long ABS-MBS USGSE US N 2 2020-08-25 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396LJ35 160734.15000000 PA USD 159295.13000000 0.005302737543 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 1.87674800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371KDF5 2658.29000000 PA USD 2673.85000000 0.000089009154 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381UNQ6 2739552.90000000 PA USD 2826246.57000000 0.094082247166 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L9US9 3000000.00000000 PA USD 3355869.78000000 0.111712747731 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.03000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31349SF40 64677.62000000 PA USD 68418.01000000 0.002277550796 Long ABS-MBS USGSE US N 2 2033-12-01 Variable 3.98000200 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396LVP2 101982.82000000 PA USD 94076.15000000 0.003131678492 Long ABS-MBS USGSE US N 2 2036-11-25 None 0.00000000 N N N N N N Prime Mortgage Trust N/A 74160MDK5 250775.29000000 PA USD 268868.73000000 0.008950306947 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 6.00000000 N N N N N N Progress Residential Trust N/A 74332NAA1 5803233.64000000 PA USD 5807138.06000000 0.193312432146 Long ABS-O CORP US Y 3 2032-11-12 Fixed 3.06700000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374UJV4 186569.28000000 PA USD 40491.80000000 0.001347921860 Long ABS-MBS USGA US N 2 2039-05-20 Fixed 6.00000000 N N N N N N Rice Park Financing Trust N/A 76282RAA7 2191158.95420000 PA USD 2191158.95000000 0.072940967042 Long ABS-O CORP US Y 3 2041-10-31 Fixed 4.62500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393UQ97 142992.92000000 PA USD 7308.70000000 0.000243297568 Long ABS-MBS USGSE US N 2 2033-06-25 Floating 5.47324900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392KUY0 37038.52000000 PA USD 7179.94000000 0.000239011308 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 6.29150000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TSK69 17606.26000000 PA USD 2495.14000000 0.000083060119 Long ABS-MBS USGSE US N 2 2024-05-15 Floating 8.84999900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358R6V0 11380.37000000 PA USD 12108.01000000 0.000403060653 Long ABS-MBS USGSE US N 2 2023-01-25 Fixed 7.90000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31292KZ75 154058.66000000 PA USD 176751.36000000 0.005883833815 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136195D6 3545.03000000 PA USD 3571.95000000 0.000118905790 Long ABS-MBS USGSE US N 2 2027-09-01 Variable 2.72400100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31400AXF0 249934.78000000 PA USD 283552.79000000 0.009439121114 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339GNQ0 6407.10000000 PA USD 8596.53000000 0.000286167834 Long ABS-MBS USGSE US N 2 2031-10-15 Floating 16.61789900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617KFSJ2 1976632.67000000 PA USD 2077004.42000000 0.069140904152 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36241KHH4 144579.01000000 PA USD 170153.69000000 0.005664205554 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31287UNA6 19986.32000000 PA USD 22574.08000000 0.000751463158 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381S6J6 6938186.10000000 PA USD 7093062.79000000 0.236119273407 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 3.03000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LUSA7 5000160.14000000 PA USD 5258549.07000000 0.175050584260 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396YCX8 309376.50000000 PA USD 55947.21000000 0.001862413313 Long ABS-MBS USGSE US N 2 2038-02-25 Floating 4.28325100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416BZV3 75954.56000000 PA USD 79808.16000000 0.002656714780 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394B7F5 104602.55000000 PA USD 104382.02000000 0.003474748137 Long ABS-MBS USGSE US N 2 2035-03-25 Floating 2.02675000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617J22S1 3967804.01000000 PA USD 4341186.11000000 0.144512707749 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L92X9 3000000.00000000 PA USD 3312169.29000000 0.110258012555 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.92000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFTA9 1942781.08000000 PA USD 2179077.83000000 0.072538801523 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38373AGM2 593797.31000000 PA USD 119502.48000000 0.003978089519 Long ABS-MBS USGA US N 2 2039-08-16 Floating 4.59150100 N N N N N N Antler Mortgage Trust N/A 03720BAA6 5400000.00000000 PA USD 5463846.36000000 0.181884676722 Long ABS-MBS CORP US Y 2 2022-06-27 Fixed 4.45800000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381VBC8 2282036.70000000 PA USD 2348842.18000000 0.078190046431 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 2.79000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398CVT2 319302.20000000 PA USD 25186.65000000 0.000838432377 Long ABS-MBS USGSE US N 2 2039-05-15 Floating 4.64150200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396J5T8 19377.10000000 PA USD 18268.38000000 0.000608131739 Long ABS-MBS USGSE US N 2 2036-03-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396LUS7 1010182.78000000 PA USD 1168956.95000000 0.038913128764 Long ABS-MBS USGSE US N 2 2036-11-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418ATV0 2024800.88000000 PA USD 2155571.92000000 0.071756318898 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359GQN9 156123.71000000 PA USD 151018.14000000 0.005027206799 Long ABS-MBS USGSE US N 2 2024-01-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359TL71 21368.06000000 PA USD 4720.86000000 0.000157151581 Long ABS-MBS USGSE US N 2 2023-04-25 Floating 18.42666800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339M7J1 20529.84000000 PA USD 24003.55000000 0.000799048443 Long ABS-MBS USGSE US N 2 2031-06-15 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JXF60 5085950.47000000 PA USD 5412078.04000000 0.180161373480 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394PPU1 81542.62000000 PA USD 67912.22000000 0.002260713674 Long ABS-MBS USGSE US N 2 2043-10-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392B3F1 79156.25000000 PA USD 79721.32000000 0.002653823984 Long ABS-MBS USGSE US N 2 2029-04-25 Floating 2.32674800 N N N N N N JP Morgan Mortgage Trust N/A 466247K93 400891.57000000 PA USD 416525.78000000 0.013865627224 Long ABS-MBS CORP US N 2 2033-11-25 Variable 4.11070000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394MYB0 114288.58000000 PA USD 119908.40000000 0.003991602093 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FRQY4 5019869.76000000 PA USD 5337522.00000000 0.177679495268 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N RCO Trust N/A 74937VAB0 2483084.77000000 PA USD 2532820.96000000 0.084314472104 Long ABS-MBS CORP US Y 3 2052-11-25 Variable 3.90300100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RU55 5283215.79000000 PA USD 5756653.84000000 0.191631875002 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.25000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137B1U75 1925601.24000000 PA USD 1969966.51000000 0.065577744727 Long ABS-MBS USGSE US N 2 2023-01-25 Fixed 2.52200000 N N N N N N GSR Mortgage Loan Trust N/A 36229RJU4 11169.01000000 PA USD 11147.31000000 0.000371080140 Long ABS-MBS CORP US N 2 2032-09-25 Floating 2.02675000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L7YK6 1423222.21000000 PA USD 1611035.12000000 0.053629363397 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 3.39000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358TRG6 10119.63000000 PA USD 10992.49000000 0.000365926374 Long ABS-MBS USGSE US N 2 2023-02-25 Floating 7.31091600 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T1D82 10093.48000000 PA USD 12113.58000000 0.000403246071 Long ABS-MBS USGSE US N 2 2023-10-15 Floating 17.30218700 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JY2V7 3521340.34000000 PA USD 3749012.00000000 0.124799965211 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398SES8 1185225.34000000 PA USD 134259.48000000 0.004469331768 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 2.81324900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381STH5 2237358.68000000 PA USD 2297635.81000000 0.076485449808 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 3.43000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HSSU6 3000000.00000000 PA USD 3476845.47000000 0.115739878587 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.85000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410GKU6 138680.82000000 PA USD 168807.64000000 0.005619397217 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 7.50000000 N N N N N N GSMPS Mortgage Loan Trust N/A 362341LM9 744736.29000000 PA USD 101396.89000000 0.003375376857 Long ABS-MBS CORP US Y 3 2035-09-25 Variable 2.68141300 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398GJB6 733425.32000000 PA USD 768484.08000000 0.025581883026 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 4.36406000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397FV66 29854.85000000 PA USD 29153.11000000 0.000970470917 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 0.90000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394VQB9 1014481.34000000 PA USD 1077322.47000000 0.035862730441 Long ABS-MBS USGSE US N 2 2045-06-25 Variable 4.27254100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394FVB8 129402.53000000 PA USD 126029.04000000 0.004195350617 Long ABS-MBS USGSE US N 2 2035-09-25 None 0.00000000 N N N N N N Banc of America Funding Trust N/A 05946XLS0 136392.60000000 PA USD 139682.02000000 0.004649841407 Long ABS-MBS CORP US N 2 2034-12-20 Variable 4.38362600 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B1K86 4377000.00000000 PA USD 4838340.61000000 0.161062365180 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 3.05200100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HNPT0 6213082.63000000 PA USD 6881986.83000000 0.229092816179 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312905WH1 73.23000000 PA USD 74.29000000 0.000002473022 Long ABS-MBS USGSE US N 2 2021-05-15 Floating 28.36109900 N N N N N N LV Tower 52 Issuer N/A 50244VAC6 2388470.00000000 PA USD 2397020.72000000 0.079793850344 Long ABS-O CORP US Y 3 2019-07-15 Fixed 5.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397SMD3 610634.70000000 PA USD 36579.77000000 0.001217695228 Long ABS-MBS USGSE US N 2 2041-04-25 Variable 2.16599400 N N N N N N Impac Secured Assets Trust N/A 45256VAQ0 157573.51000000 PA USD 157515.60000000 0.005243499193 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.97674900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3622AAHY3 7450229.55000000 PA USD 8165433.04000000 0.271817150579 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31404J2J3 51041.03000000 PA USD 52884.29000000 0.001760452501 Long ABS-MBS USGSE US N 2 2034-04-01 Variable 4.37600200 N N N N N N FREMF Mortgage Trust N/A 30295RAS0 1902000.00000000 PA USD 2019757.38000000 0.067235221108 Long ABS-MBS USGSE US Y 2 2049-11-25 Variable 3.57585800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377LK72 457130.68000000 PA USD 548976.37000000 0.018274743286 Long ABS-MBS USGA US N 2 2040-10-16 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394AJV9 1735168.76000000 PA USD 1966898.99000000 0.065475630786 Long ABS-MBS USGSE US N 2 2034-07-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375DYP7 618198.10000000 PA USD 133462.42000000 0.004442798628 Long ABS-MBS USGA US N 2 2038-12-20 Floating 5.65300100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX5Z6 1149710.98000000 PA USD 1267869.80000000 0.042205815007 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359KAJ6 34728.90000000 PA USD 4040.80000000 0.000134513226 Long ABS-MBS USGSE US N 2 2023-08-25 Floating 9.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410GPT4 8653.04000000 PA USD 8784.04000000 0.000292409809 Long ABS-MBS USGSE US N 2 2022-04-01 Fixed 6.50000000 N N N N N N Structured Asset Securities Corp. Mortgage Pass-Through Certificates N/A 86359A5B5 155092.86000000 PA USD 157990.93000000 0.005259322340 Long ABS-MBS CORP US N 2 2033-11-25 Variable 3.91245100 N N N N N N American Homes 4 Rent Trust N/A 02665UAD7 4085000.00000000 PA USD 4448578.48000000 0.148087666709 Long ABS-O CORP US Y 3 2036-10-17 Fixed 5.14900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LLZM0 2000000.00000000 PA USD 2232005.48000000 0.074300697425 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.16000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GCN6 6147.26000000 PA USD 5938.71000000 0.000197692299 Long ABS-MBS CORP US N 3 2031-06-25 None 0.00000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17323MAD7 658432.37000000 PA USD 701838.27000000 0.023363326572 Long ABS-MBS CORP US Y 2 2058-06-25 Variable 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398GWG0 148631.93000000 PA USD 149923.78000000 0.004990776910 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 2.17675100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375KW24 133558.95000000 PA USD 17484.46000000 0.000582036013 Long ABS-MBS USGA US N 2 2037-07-20 Floating 4.99299800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371HKW7 93154.27000000 PA USD 105410.58000000 0.003508987625 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 6.50000000 N N N N N N CSMC OA LLC 549300818AKCJ4Q9TD76 12649AAN9 1700000.00000000 PA USD 1739194.52000000 0.057895631060 Long ABS-MBS CORP US Y 3 2037-09-15 Fixed 4.37330000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398F4W8 491592.69000000 PA USD 563372.84000000 0.018753983938 Long ABS-MBS USGSE US N 2 2039-12-25 Variable 6.29852400 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K37B9 730720.89000000 PA USD 819596.73000000 0.027283359826 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394FN50 173859.64000000 PA USD 196724.01000000 0.006548698591 Long ABS-MBS USGSE US N 2 2035-10-25 Fixed 5.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397MRT6 22358.22000000 PA USD 25727.86000000 0.000856448587 Long ABS-MBS USGSE US N 2 2038-09-25 Fixed 6.25000000 N N N N N N Alternative Loan Trust N/A 12667GGP2 1980621.99000000 PA USD 310259.88000000 0.010328167055 Long ABS-MBS CORP US N 3 2035-06-25 Floating 3.44324900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397PAT7 78899.10000000 PA USD 9565.62000000 0.000318427639 Long ABS-MBS USGSE US N 2 2037-11-15 Floating 4.34149900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374D2P3 514.43000000 PA USD 514.46000000 0.000017125736 Long ABS-MBS USGA US N 2 2023-04-16 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617H0PS2 5596253.49000000 PA USD 6197321.78000000 0.206301164826 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31364HR74 149784.82000000 PA USD 145746.26000000 0.004851712445 Long ABS-MBS USGSE US N 2 2024-12-25 None 0.00000000 N N N N N N VOLT LXXX LLC N/A 91834YAA4 3140936.22000000 PA USD 3150561.93000000 0.104878303740 Long ABS-O CORP US Y 3 2049-10-25 Variable 3.22819900 N N N N N N FREMF Mortgage Trust 549300XDUXW4MOV3QH87 30292GAQ1 3099000.00000000 PA USD 3325861.99000000 0.110713825576 Long ABS-MBS USGSE US Y 2 2047-08-25 Variable 4.15504100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398VVS2 5900000.00000000 PA USD 6117894.67000000 0.203657134728 Long ABS-MBS USGSE US N 2 2034-09-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412FKQ5 5918.96000000 PA USD 6237.15000000 0.000207626996 Long ABS-MBS USGSE US N 2 2022-04-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137ABAC5 137495.90000000 PA USD 149870.89000000 0.004989016268 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 5.50000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JUYS7 2966375.76000000 PA USD 3315209.54000000 0.110359218711 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358G3S4 3.48000000 PA USD 17.35000000 0.000000577560 Long ABS-MBS USGSE US N 2 2021-06-25 Fixed 1009.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392BJG2 12822.42000000 PA USD 17543.47000000 0.000584000383 Long ABS-MBS USGSE US N 2 2031-12-25 Floating 13.67743000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31288ENG8 124851.90000000 PA USD 140949.51000000 0.004692034579 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.50000000 N N N N N N Credit Suisse First Boston Mortgage Securities Corp. N/A 22541SZK7 31836.55000000 PA USD 29268.92000000 0.000974326088 Long ABS-MBS CORP US N 2 2019-08-25 Fixed 5.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374NQ34 100400.44000000 PA USD 19071.97000000 0.000634882254 Long ABS-MBS USGA US N 2 2036-10-20 Floating 5.05300000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396KU42 141534.75000000 PA USD 132520.60000000 0.004411446607 Long ABS-MBS USGSE US N 2 2036-09-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JWX47 5081722.31000000 PA USD 5720423.51000000 0.190425812198 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36200QW59 217502.65000000 PA USD 252041.24000000 0.008390140651 Long ABS-MBS USGA US N 2 2032-01-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375PX30 38215.24000000 PA USD 37280.50000000 0.001241021661 Long ABS-MBS USGA US N 2 2033-02-17 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402RLV9 75295.97000000 PA USD 78296.62000000 0.002606397486 Long ABS-MBS USGSE US N 2 2034-10-01 Variable 4.36399900 N N N N N N Acre N/A N/A 3315000.00000000 PA USD 3315000.00000000 0.110352243384 Long ABS-MBS USGA US N 2 2020-12-15 Fixed 6.71199800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36225AWN6 350083.06000000 PA USD 391448.91000000 0.013030849287 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 6.50000000 N N N N N N Progress Residential Trust N/A 74333KAE8 2320000.00000000 PA USD 2343064.98000000 0.077997730600 Long ABS-O CORP US Y 3 2034-12-17 Fixed 3.39500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AB4N0 554074.38000000 PA USD 572380.89000000 0.019053850763 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31364HJ81 1874.19000000 PA USD 2070.34000000 0.000068919053 Long ABS-MBS USGSE US N 2 2024-03-25 Fixed 9.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381USA6 2139618.76000000 PA USD 2209772.77000000 0.073560598051 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 3.08000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392RJ36 9560.47000000 PA USD 10180.99000000 0.000338912544 Long ABS-MBS USGSE US N 2 2027-01-15 Floating 9.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398PKD0 224954.86000000 PA USD 32923.38000000 0.001095978534 Long ABS-MBS USGSE US N 2 2040-04-25 Floating 4.79324900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31364HVN4 67230.37000000 PA USD 6083.00000000 0.000202495534 Long ABS-MBS USGSE US N 2 2023-04-25 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138M34Y7 8127062.47000000 PA USD 8764194.34000000 0.291749172512 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358PKY2 840.03000000 PA USD 873.16000000 0.000029066414 Long ABS-MBS USGSE US N 2 2022-07-25 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397ELL7 108605.31000000 PA USD 20007.55000000 0.000666026554 Long ABS-MBS USGSE US N 2 2037-01-15 Floating 4.48150000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59020UQE8 33604.57000000 PA USD 35269.22000000 0.001174068642 Long ABS-MBS CORP US N 2 2034-12-25 Variable 4.10438500 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128QJRF5 26815.31000000 PA USD 28302.95000000 0.000942170143 Long ABS-MBS USGSE US N 2 2036-12-01 Variable 3.93099800 N Y N N N N Home Partners of America Trust N/A 43731QAJ7 4287795.64000000 PA USD 4419761.13000000 0.147128372826 Long ABS-O CORP US Y 2 2039-09-17 Fixed 3.60400000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFTW1 1428727.35000000 PA USD 1566078.73000000 0.052132820866 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4.50000000 N N N N N N Toorak Mortgage Corp. Ltd. N/A 89052LAA1 3440000.00000000 PA USD 3463858.12000000 0.115307545794 Long ABS-MBS CORP US N 2 2022-09-25 Variable 3.72100000 N N N N N N MASTR Asset Securitization Trust N/A 55265K2Y4 1.37000000 PA USD 1.37000000 0.000000045605 Long ABS-MBS CORP US N 3 2018-12-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UNP1 839863.54000000 PA USD 840854.33000000 0.027990998997 Long ABS-MBS USGA US N 2 2064-07-20 Floating 2.23438000 N N N N N N Conix Mortgage Asset Trust N/A N/A 1617778.27000000 PA USD 25560.90000000 0.000850890696 Long ABS-MBS CORP US N 3 2047-12-25 Variable 0.00000000 Y N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396ANL4 939456.55000000 PA USD 1074935.86000000 0.035783283151 Long ABS-MBS USGSE US N 2 2035-09-15 Fixed 5.85000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669FYY3 300156.11000000 PA USD 305228.48000000 0.010160677982 Long ABS-MBS CORP US N 2 2034-06-20 Variable 3.85267000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398FHB0 114314.85000000 PA USD 14559.37000000 0.000484663391 Long ABS-MBS USGSE US N 2 2039-10-25 Floating 4.27325000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FAXS4 146752.40000000 PA USD 30509.92000000 0.001015637441 Long ABS-MBS USGSE US N 2 2032-11-25 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374G5Z1 111489.75000000 PA USD 104089.17000000 0.003464999523 Long ABS-MBS USGA US N 2 2034-06-20 None 0.00000000 N N N N N N E3 N/A 269330AC0 1713447.28000000 PA USD 1696877.90000000 0.056486963202 Long ABS-O CORP KY Y 3 2055-09-20 Fixed 5.00000000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381Q6B7 1347379.08000000 PA USD 1390697.80000000 0.046294606968 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 4.29500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375J2G9 66886.20000000 PA USD 66787.50000000 0.002223273138 Long ABS-MBS USGA US N 2 2037-05-16 Floating 1.95850100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396L7E4 185998.07000000 PA USD 209665.95000000 0.006979519741 Long ABS-MBS USGSE US N 2 2046-09-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410GKK8 172070.98000000 PA USD 201533.87000000 0.006708812872 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397NUK9 961524.32000000 PA USD 221879.14000000 0.007386081707 Long ABS-MBS USGSE US N 2 2036-10-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381QCP9 1782865.60000000 PA USD 1807956.19000000 0.060184621872 Long ABS-MBS USGSE US N 2 2021-02-01 Fixed 4.35000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922FBV9 684339.23000000 PA USD 700935.41000000 0.023333271481 Long ABS-MBS CORP US N 2 2033-09-25 Variable 4.33091500 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31352DCR9 1.59000000 PA USD 0.01000000 0.000000000332 Long ABS-MBS USGSE US N 2 2020-06-01 Fixed 10.00000000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403C6S5 50586.69000000 PA USD 59067.84000000 0.001966295220 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617KJTN4 1190587.15000000 PA USD 1333993.82000000 0.044407001718 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LGTL0 6060000.00000000 PA USD 6754352.01000000 0.224844011135 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.17000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393X3L9 820705.63000000 PA USD 947802.89000000 0.031551184071 Long ABS-MBS USGSE US N 2 2034-06-25 Fixed 5.50000000 N N N N N N PRPM LLC N/A 69359GAA4 5850000.00000000 PA USD 5884873.61000000 0.195900152307 Long ABS-O CORP US Y 2 2025-02-25 Variable 2.98100200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LNF82 4987058.50000000 PA USD 5309535.17000000 0.176747848368 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396KHT2 98297.04000000 PA USD 89231.47000000 0.002970405096 Long ABS-MBS USGSE US N 2 2036-08-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140K8HB0 1117862.46000000 PA USD 1202841.60000000 0.040041106786 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LNX55 5350000.00000000 PA USD 6065031.35000000 0.201897380293 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3.53000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202CFP3 2065.03000000 PA USD 2122.59000000 0.000070658391 Long ABS-MBS USGA US N 2 2025-03-20 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140E07B5 2155948.42000000 PA USD 2326565.87000000 0.077448495667 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.00000000 N N N N N N Bancorp Commercial Mortgage Trust N/A 05972MAJ3 2000000.00000000 PA USD 2000002.40000000 0.066577602297 Long ABS-MBS CORP US Y 3 2036-03-15 Floating 4.00825100 N N N N N N Citigroup Mortgage Loan Trust N/A 17316AAA8 265101.27000000 PA USD 271831.40000000 0.009048930561 Long ABS-MBS CORP US Y 2 2033-09-25 Variable 4.33091500 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374JXC5 351349.73000000 PA USD 48109.44000000 0.001601503659 Long ABS-MBS USGA US N 2 2034-10-20 Floating 4.45299800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 313921M70 127113.59000000 PA USD 151569.27000000 0.005045553234 Long ABS-MBS USGSE US N 2 2031-11-25 Fixed 7.00000000 N N N N N N American Homes 4 Rent Trust N/A 02666BAE6 3600000.00000000 PA USD 4056179.76000000 0.135025199423 Long ABS-O CORP US Y 3 2052-10-17 Fixed 6.07000000 N N N N N N CSFB Mortgage-Backed Pass-Through Certificates N/A 22541SU55 246719.07000000 PA USD 257606.76000000 0.008575409917 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FCPX8 201111.00000000 PA USD 29894.78000000 0.000995160192 Long ABS-MBS USGSE US N 2 2035-01-25 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T0BX1 9738.94000000 PA USD 9615.10000000 0.000320074767 Long ABS-MBS USGSE US N 2 2023-07-15 Floating 1.18000100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M7C38 24868.39000000 PA USD 29291.46000000 0.000975076417 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 7.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFUB5 1483565.11000000 PA USD 1666135.42000000 0.055463584126 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132QUUJ0 1920560.67000000 PA USD 2031113.44000000 0.067613250278 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N Sierra Timeshare Receivables Funding LLC N/A 82653GAC6 569371.02000000 PA USD 595339.12000000 0.019818101799 Long ABS-O CORP US Y 3 2035-09-20 Fixed 4.17000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36179ACJ3 708515.40000000 PA USD 716266.28000000 0.023843617151 Long ABS-MBS USGA US N 2 2063-05-20 Variable 4.35800200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31395FEZ3 51083.45000000 PA USD 47293.79000000 0.001574351681 Long ABS-MBS USGSE US N 2 2032-12-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398FTC5 227063.87000000 PA USD 40708.56000000 0.001355137532 Long ABS-MBS USGSE US N 2 2039-10-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LVU4 34870387.56560000 PA USD 2023374.81000000 0.067355640872 Long ABS-MBS USGA US N 2 2069-05-20 Variable 2.06080900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LHCH5 1751538.10000000 PA USD 1910320.97000000 0.063592218589 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3.07000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379XR69 5710243.36000000 PA USD 647983.00000000 0.021570551349 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31408EQC9 64084.16000000 PA USD 66532.56000000 0.002214786502 Long ABS-MBS USGSE US N 2 2036-01-01 Variable 4.03099900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410KUG7 119937.74000000 PA USD 136361.74000000 0.004539313399 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LNF74 7977058.38000000 PA USD 8552136.32000000 0.284690023723 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.00000000 N N N N N N VOLT LXXXVII LLC N/A 92870GAA6 9357688.01000000 PA USD 9398343.42000000 0.312859209803 Long ABS-O CORP US Y 2 2050-02-25 Variable 2.98140100 N N N N N N TVC Mortgage Trust N/A 90114YAA7 6660000.00000000 PA USD 6663010.99000000 0.221803381732 Long ABS-MBS CORP US Y 2 2024-09-25 Fixed 3.47400000 N N N N N N Bear Stearns ARM Trust N/A 07384MYS5 69798.99000000 PA USD 71530.19000000 0.002381151413 Long ABS-MBS CORP US N 2 2033-10-25 Variable 4.31448500 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397PTW0 309702.80000000 PA USD 63935.82000000 0.002128344244 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 4.34149900 N N N N N N JP Morgan Mortgage Trust N/A 466247ER0 7818.59000000 PA USD 7849.73000000 0.000261307787 Long ABS-MBS CORP US N 2 2034-09-25 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JSR24 5336823.35000000 PA USD 5961594.27000000 0.198454088037 Long ABS-MBS USGA US N 2 2049-08-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396YND0 674474.16000000 PA USD 622625.24000000 0.020726422932 Long ABS-MBS USGSE US N 2 2038-03-25 None 0.00000000 N N N N N N Impac Secured Assets CMN Owner Trust N/A 45254TJZ8 393903.52000000 PA USD 407368.91000000 0.013560806366 Long ABS-MBS CORP US N 2 2032-01-25 Fixed 6.44000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TPS67 54524.78000000 PA USD 65025.10000000 0.002164605026 Long ABS-MBS USGSE US N 2 2030-09-15 Fixed 7.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377XBW1 2000000.00000000 PA USD 2202424.40000000 0.073315979917 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 4.00000000 N N N N N N Chase Mortgage Finance Trust N/A 161630AU2 97370.33000000 PA USD 100289.77000000 0.003338522204 Long ABS-MBS CORP US N 2 2037-02-25 Variable 4.49465800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375KKQ4 455799.87000000 PA USD 68760.01000000 0.002288935553 Long ABS-MBS USGA US N 2 2037-06-20 Floating 4.82299900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31335ABG2 6909174.12000000 PA USD 7256307.54000000 0.241553488907 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 383742YT4 220907.61000000 PA USD 17268.99000000 0.000574863284 Long ABS-MBS USGA US N 2 2037-10-16 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394JY76 79955.23000000 PA USD 68574.83000000 0.002282771140 Long ABS-MBS USGSE US N 2 2043-09-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128K7DW5 259552.31000000 PA USD 315997.79000000 0.010519174971 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418UCP7 196706.26000000 PA USD 226477.60000000 0.007539158744 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.50000000 N N N N N N Securitized Asset-Backed Receivables LLC Trust N/A 81375WHH2 74399.31000000 PA USD 69008.83000000 0.002297218462 Long ABS-O CORP US N 3 2036-01-25 Variable 3.27980200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B1LF9 1255000.00000000 PA USD 1406166.13000000 0.046809528511 Long ABS-MBS USGSE US N 2 2030-02-25 Variable 3.08999900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36290TED7 133587.79000000 PA USD 142692.79000000 0.004750066211 Long ABS-MBS USGA US N 2 2034-09-20 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31385XNG8 33104.87000000 PA USD 36936.34000000 0.001229565001 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339WBV7 45239.90000000 PA USD 53503.99000000 0.001781081546 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 7.00000000 N N N N N N LV Tower 52 Issuer N/A 50244VAD4 964495.40000000 PA USD 967948.29000000 0.032221799481 Long ABS-O CORP US Y 3 2019-07-15 Fixed 7.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381NC43 6993747.52000000 PA USD 7011398.34000000 0.233400765032 Long ABS-MBS USGSE US N 2 2020-07-01 Fixed 4.06600000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36291HDL5 16634.15000000 PA USD 17604.05000000 0.000586017016 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31282YCD9 505842.00000000 PA USD 90759.29000000 0.003021264331 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 8.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617B0XY6 6829264.57000000 PA USD 7381545.90000000 0.245722518767 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 4.00000000 N N N N N N MASTR Asset Securitization Trust N/A 55265K6X2 9396.13000000 PA USD 8121.04000000 0.000270339361 Long ABS-MBS CORP US N 3 2034-02-25 None 0.00000000 N N N N N N FNMA/FHLMC N/A 01F030645 20000000.00000000 PA USD 20565196.00000000 0.684589898717 Long ABS-MBS USGSE US N 2 2049-04-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HSSP7 2936971.71000000 PA USD 3500038.62000000 0.116511949819 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 4.06000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K37D5 1603052.50000000 PA USD 1800678.70000000 0.059942363245 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EGBP8 260632.84000000 PA USD 301688.34000000 0.010042831107 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137B6QJ3 1701255.58000000 PA USD 1543345.38000000 0.051376055807 Long ABS-MBS USGSE US N 2 2043-12-15 None 0.00000000 N N N N N N American Homes 4 Rent Trust N/A 02666BAD8 3100000.00000000 PA USD 3414695.88000000 0.113670995726 Long ABS-O CORP US Y 3 2052-10-17 Fixed 5.03600000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378GPF9 3946747.02000000 PA USD 4398426.96000000 0.146418184736 Long ABS-MBS USGA US N 2 2042-09-16 Variable 3.97064900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398TGV7 1017849.92000000 PA USD 139857.57000000 0.004655685250 Long ABS-MBS USGSE US N 2 2040-07-25 Floating 3.37325000 N N N N N N Chase Mortgage Finance Trust N/A 161630AC2 950487.54000000 PA USD 972803.28000000 0.032383416084 Long ABS-MBS CORP US N 2 2037-02-25 Variable 4.40804900 N N N N N N BAMLL Re-REMIC Trust N/A 05523HAA7 1985000.00000000 PA USD 1953678.49000000 0.065035536719 Long ABS-MBS CORP US Y 2 2021-05-27 Variable 0.92711200 N N N N N N GSR Mortgage Loan Trust N/A 3623417C7 1981212.44000000 PA USD 1609418.11000000 0.053575535138 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6.00000000 N N N N N N Sierra Timeshare Receivables Funding LLC N/A 82653EAC1 2395272.16000000 PA USD 2441011.56000000 0.081258250912 Long ABS-O CORP US Y 3 2036-01-20 Fixed 3.77000000 N N N N N N Angel Oak Mortgage Trust LLC N/A 034620AC8 122453.97000000 PA USD 122608.87000000 0.004081497394 Long ABS-MBS CORP US Y 2 2047-01-25 Variable 3.64399900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFUG4 1764833.55000000 PA USD 1908863.93000000 0.063543715532 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133THLK1 70769.11000000 PA USD 79767.68000000 0.002655367251 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HSPZ8 6110000.00000000 PA USD 7011377.99000000 0.233400087606 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.66000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358UYY6 45893.90000000 PA USD 48168.24000000 0.001603461038 Long ABS-MBS USGSE US N 2 2023-04-25 Fixed 7.00000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922FNJ3 275229.18000000 PA USD 280478.27000000 0.009336774152 Long ABS-MBS CORP US N 2 2034-06-25 Variable 4.46571700 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TLUH9 16605.58000000 PA USD 19238.06000000 0.000640411185 Long ABS-MBS USGSE US N 2 2029-08-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFT76 1509291.17000000 PA USD 1634388.87000000 0.054406780804 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.00000000 N N N N N N CSFB Mortgage-Backed Pass-Through Certificates N/A 22541QP71 302474.92000000 PA USD 311496.02000000 0.010369316625 Long ABS-MBS CORP US N 2 2033-11-25 Fixed 5.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LXQK8 2254945.00000000 PA USD 2431455.19000000 0.080940131193 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392W7D6 51791.46000000 PA USD 68493.20000000 0.002280053778 Long ABS-MBS USGSE US N 2 2042-08-25 Variable 7.49999900 N N N N N N JPMCC Re-REMIC Trust N/A 46642KAC6 3500000.00000000 PA USD 3477488.70000000 0.115761290917 Long ABS-MBS CORP US Y 3 2049-11-27 Variable 2.44171800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128S4ZA8 75032.07000000 PA USD 78374.19000000 0.002608979695 Long ABS-MBS USGSE US N 2 2036-11-01 Variable 4.05200200 N Y N N N N Thornburg Mortgage Securities Trust N/A 885220EW9 35538.64000000 PA USD 35782.22000000 0.001191145776 Long ABS-MBS CORP US N 3 2044-03-25 Variable 3.08430700 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JJA74 3955602.88000000 PA USD 4274387.96000000 0.142289080085 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202SBN7 19498.22000000 PA USD 21865.48000000 0.000727874742 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L95U2 3000000.00000000 PA USD 3341525.13000000 0.111235232103 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.97000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36291USW6 163104.90000000 PA USD 177247.31000000 0.005900343376 Long ABS-MBS USGA US N 2 2037-03-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138W5J66 1631240.40000000 PA USD 1727255.59000000 0.057498198870 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137BGRJ0 7677657.25500000 PA USD 1412043.24000000 0.047005170223 Long ABS-MBS USGSE US N 2 2045-03-15 Floating 4.49150000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX4E4 5758667.69000000 PA USD 6348664.62000000 0.211339180487 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 4.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LHQ56 2065000.00000000 PA USD 2305641.43000000 0.076751946980 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.21000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31411DUN7 22869.35000000 PA USD 24092.57000000 0.000802011809 Long ABS-MBS USGSE US N 2 2036-12-01 Variable 3.94400200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K37A1 2076439.82000000 PA USD 2274711.13000000 0.075722315610 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38373QQA2 276441.47000000 PA USD 41366.67000000 0.001377045199 Long ABS-MBS USGA US N 2 2033-05-20 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TQC54 62527.64000000 PA USD 73586.05000000 0.002449588446 Long ABS-MBS USGSE US N 2 2030-10-15 Fixed 7.00000000 N N N N N N WFRBS Commercial Mortgage Trust N/A 92936QAG3 1187415.22000000 PA USD 1217019.38000000 0.040513067519 Long ABS-MBS CORP US N 2 2045-04-15 Fixed 3.44000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397UEP0 512178.62000000 PA USD 588095.78000000 0.019576979984 Long ABS-MBS USGSE US N 2 2038-07-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LRZV0 1064106.00000000 PA USD 1194870.97000000 0.039775774387 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 5.00000000 N N N N N N ASG Resecuritization Trust N/A 00190VDB4 177074.93000000 PA USD 176071.00000000 0.005861185473 Long ABS-MBS CORP US Y 2 2036-09-28 Fixed 6.00000000 N N N N N N Chase Funding Trust N/A 161546FV3 456715.33000000 PA USD 476025.71000000 0.015846306186 Long ABS-O CORP US N 3 2033-05-25 Variable 5.12468300 N N N N N N Welk Resorts LLC N/A 94946DAA9 3989348.27000000 PA USD 4099806.54000000 0.136477480884 Long ABS-O CORP US Y 2 2038-06-15 Fixed 2.80000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138WHHA3 1915543.07000000 PA USD 2025790.14000000 0.067436044215 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N MASTR Adjustable Rate Mortgages Trust N/A 576433UE4 77222.84000000 PA USD 79151.38000000 0.002634851387 Long ABS-MBS CORP US N 2 2034-04-21 Variable 4.57548500 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412X5F7 27454.65000000 PA USD 29131.21000000 0.000969741893 Long ABS-MBS USGSE US N 2 2037-07-01 Variable 4.34000200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38373APX8 57795.08000000 PA USD 3754.81000000 0.000124992973 Long ABS-MBS USGA US N 2 2038-12-20 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TNK45 16721.81000000 PA USD 20093.65000000 0.000668892716 Long ABS-MBS USGSE US N 2 2030-03-15 Fixed 8.00000000 N N N N N N HERO Funding Trust N/A 42771LAB8 2254618.92000000 PA USD 2341018.17000000 0.077929594830 Long ABS-O CORP KY Y 2 2048-09-20 Fixed 3.28000000 N N N N N N New Century Home Equity Loan Trust N/A 64352VED9 269569.86000000 PA USD 279131.50000000 0.009291941847 Long ABS-O CORP US N 3 2033-11-25 Variable 5.05669000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376LK65 1557603.41000000 PA USD 1821091.96000000 0.060621895383 Long ABS-MBS USGA US N 2 2038-11-20 Variable 6.12056900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX4C8 5784103.20000000 PA USD 6375909.45000000 0.212246127126 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 4.75000000 N N N N N N RBSSP Resecuritization Trust N/A 74928DAA3 260913.74000000 PA USD 270133.91000000 0.008992423222 Long ABS-MBS CORP US Y 2 2036-02-26 Variable 6.50000200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403KWA7 19682.51000000 PA USD 21774.24000000 0.000724837475 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617J76Z0 5829500.12000000 PA USD 6274140.75000000 0.208858373174 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T54P5 13165.63000000 PA USD 14478.98000000 0.000481987307 Long ABS-MBS USGSE US N 2 2024-08-15 Fixed 7.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RU89 2536445.62000000 PA USD 2763695.52000000 0.092000000200 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.25000000 N N N N N N American General Mortgage Loan Trust N/A 02639MAL0 12951.29000000 PA USD 13507.67000000 0.000449653601 Long ABS-MBS CORP US Y 2 2035-12-25 Variable 5.74999900 N N N N N N Prime Mortgage Trust N/A 74160MFA5 9831.26000000 PA USD 10123.11000000 0.000336985791 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 5.25000000 N N N N N N Madison Avenue Manufactured Housing Contract Trust N/A 55660AAC6 62424223.76700000 PA USD 414303.33000000 0.013791644617 Long ABS-O CORP US N 3 2032-03-25 Fixed 0.30000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381QZH2 2000000.00000000 PA USD 2038075.18000000 0.067844997978 Long ABS-MBS USGSE US N 2 2021-04-01 Fixed 4.25000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128QJWQ5 29909.92000000 PA USD 31999.64000000 0.001065228374 Long ABS-MBS USGSE US N 2 2037-02-01 Variable 4.58399900 N Y N N N N Nomura Asset Acceptance Corp. Alternative Loan Trust N/A 65535VAX6 23232.74000000 PA USD 24397.48000000 0.000812161885 Long ABS-MBS CORP US N 2 2033-04-25 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K37H6 1740816.16000000 PA USD 1879571.65000000 0.062568611818 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31282YDY2 358997.10000000 PA USD 69356.92000000 0.002308805947 Long ABS-MBS USGSE US N 2 2035-09-15 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137BRQA6 3570322.53000000 PA USD 3659895.50000000 0.121833387323 Long ABS-MBS USGSE US N 2 2022-12-25 Fixed 2.31200000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36241LXS0 1020349.99000000 PA USD 1157109.92000000 0.038518755811 Long ABS-MBS USGA US N 2 2039-08-20 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417HBN3 3925354.46000000 PA USD 4159604.93000000 0.138468095209 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375PNB3 625521.29000000 PA USD 96396.65000000 0.003208925062 Long ABS-MBS USGA US N 2 2038-02-16 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375QKS7 1235949.06000000 PA USD 212508.22000000 0.007074135389 Long ABS-MBS USGA US N 2 2038-05-16 Floating 4.74149900 N N N N N N BB-UBS Trust N/A 05490AAA1 966000.00000000 PA USD 966739.38000000 0.032181556365 Long ABS-MBS CORP US Y 2 2030-06-05 Fixed 2.89220000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381YLH5 15478820.74000000 PA USD 2523665.39000000 0.084009694521 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128NHP98 114494.40000000 PA USD 121975.71000000 0.004060420282 Long ABS-MBS USGSE US N 2 2036-10-01 Variable 4.21200000 N Y N N N N GNMA 549300M8ZYFG0OCMTT87 38375BL26 2325430.44000000 PA USD 2321495.11000000 0.077279696348 Long ABS-MBS USGA US N 2 2063-02-20 Floating 2.15438000 N N N N N N KGS-Alpha SBA COOF Trust N/A 48248FAA5 535555.64000000 PA USD 7231.61000000 0.000240731338 Long ABS-O CORP US Y 3 2026-09-25 Variable 1.53678600 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137AJWR1 834056.08000000 PA USD 834866.53000000 0.027791672552 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 2.15849900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38377EAA2 1006447.50000000 PA USD 1158412.12000000 0.038562104436 Long ABS-MBS USGA US N 2 2033-10-20 Variable 5.82400100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BN99 1458641.14000000 PA USD 1455182.99000000 0.048441239059 Long ABS-MBS USGA US N 2 2063-03-20 Floating 2.13437900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAXV9 2817148.38000000 PA USD 3081051.80000000 0.102564397621 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381RTW4 3037287.66000000 PA USD 3110633.42000000 0.103549133105 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 3.97000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397KYA3 2162442.37000000 PA USD 2393979.62000000 0.079692615892 Long ABS-MBS USGSE US N 2 2037-10-25 Variable 2.26811200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128S4AG2 51499.00000000 PA USD 54301.53000000 0.001807630665 Long ABS-MBS USGSE US N 2 2035-12-01 Variable 4.11700000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31414HWF0 16896.22000000 PA USD 17462.33000000 0.000581299333 Long ABS-MBS USGSE US N 2 2038-01-01 Variable 3.78500000 N N N N N N FHLMC Pool N/A 3133A2EY2 8705595.00000000 PA USD 9065088.72000000 0.301765573675 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N LHOME Mortgage Trust N/A 501878AA0 5500000.00000000 PA USD 5526945.05000000 0.183985153946 Long ABS-MBS CORP US Y 2 2024-07-25 Fixed 3.86800000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132H3M34 5692564.03000000 PA USD 6133985.26000000 0.204192770537 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 4.00000000 N N N N N N Nomura Asset Acceptance Corp. Alternative Loan Trust N/A 65535VAU2 34447.65000000 PA USD 35930.47000000 0.001196080835 Long ABS-MBS CORP US N 2 2033-05-25 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38373AQT6 306173.20000000 PA USD 43247.00000000 0.001439639055 Long ABS-MBS USGA US N 2 2039-08-16 Floating 4.39150000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394YRX4 247137.76000000 PA USD 306872.91000000 0.010215419020 Long ABS-MBS USGSE US N 2 2034-05-15 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359NSL6 23175.97370000 PA USD 27030.93000000 0.000899826173 Long ABS-MBS USGSE US N 2 2027-02-17 Fixed 8.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202CPT4 1632.78000000 PA USD 1807.41000000 0.000060166439 Long ABS-MBS USGA US N 2 2026-06-20 Fixed 8.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403NKH9 26526.69000000 PA USD 27918.78000000 0.000929381600 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.00000000 N N N N N N Diamond Resorts Owner Trust N/A 252722AB9 4658650.51000000 PA USD 4766720.95000000 0.158678235421 Long ABS-O CORP US Y 3 2032-02-20 Fixed 3.53000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140EVL70 772824.23000000 PA USD 815985.95000000 0.027163161433 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398MRP3 875475.30000000 PA USD 1022795.29000000 0.034047588167 Long ABS-MBS USGSE US N 2 2040-03-25 Variable 6.43785500 N N N N N N MASTR Alternative Loan Trust N/A 576434VU5 6503.64000000 PA USD 6544.59000000 0.000217861293 Long ABS-MBS CORP US N 2 2019-09-25 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398RPZ2 328160.92000000 PA USD 378837.56000000 0.012611033069 Long ABS-MBS USGSE US N 2 2040-06-25 Variable 5.99834500 N N N N N N PRPM LLC N/A 69359NAA9 6652617.14000000 PA USD 6700812.02000000 0.223061731193 Long ABS-O CORP US Y 3 2024-11-25 Variable 3.35099900 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A 61690GAD3 422775.46000000 PA USD 427655.81000000 0.014236132135 Long ABS-MBS CORP US N 2 2047-02-15 Fixed 3.66900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AMMF3 2141092.04000000 PA USD 2289568.64000000 0.076216903712 Long ABS-MBS USGSE US N 2 2024-12-25 Variable 3.04499900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312916FL8 4347.40000000 PA USD 4610.66000000 0.000153483159 Long ABS-MBS USGSE US N 2 2023-06-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398GL23 1036225.88000000 PA USD 1157691.55000000 0.038538117553 Long ABS-MBS USGSE US N 2 2040-02-25 Variable 6.21167800 N N N N N N HERO Funding Trust N/A 42770XAA5 1094834.29000000 PA USD 1130020.40000000 0.037616979249 Long ABS-O CORP US Y 2 2042-09-20 Fixed 3.08000000 N N N N N N MortgageIT Trust N/A 61915RAU0 72801.78000000 PA USD 72741.49000000 0.002421474090 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.14674800 N N N N N N MASTR Alternative Loan Trust N/A 576434SS4 56241.66000000 PA USD 8747.05000000 0.000291178458 Long ABS-MBS CORP US N 3 2034-07-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375JTD7 628062.84000000 PA USD 120752.12000000 0.004019688487 Long ABS-MBS USGA US N 2 2037-04-16 Floating 5.15149900 N N N N N N Chase Funding Trust N/A 161546CW4 875519.58000000 PA USD 881376.19000000 0.029339921518 Long ABS-O CORP US N 3 2032-06-25 Variable 5.90699900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381DZ40 8.24990000 PA USD 8.33000000 0.000000277295 Long ABS-MBS USGSE US N 2 2021-06-15 Fixed 9.15700000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TCWA2 48049.15000000 PA USD 50323.98000000 0.001675222952 Long ABS-MBS USGSE US N 2 2023-06-15 Fixed 5.60000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B3XY1 4615000.00000000 PA USD 5284186.08000000 0.175904008564 Long ABS-MBS USGSE US N 2 2028-09-25 Variable 3.55500000 N N N N N N RBS Commercial Funding, Inc. Trust N/A 74932BAA1 2123000.00000000 PA USD 2206117.36000000 0.073438913980 Long ABS-MBS CORP US Y 2 2031-03-11 Fixed 3.26000000 N N N N N N Credit Suisse First Boston Mortgage Securities Corp. N/A 2254W0GJ8 428314.47000000 PA USD 443663.20000000 0.014768998318 Long ABS-MBS CORP US N 2 2033-02-25 Variable 6.73310200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LKAU1 3000000.00000000 PA USD 3305345.55000000 0.110030858704 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.18000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359S6G0 31046.08000000 PA USD 5401.36000000 0.000179804583 Long ABS-MBS USGSE US N 2 2031-07-25 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398LZP6 209384.43000000 PA USD 193839.77000000 0.006452685814 Long ABS-MBS USGSE US N 2 2040-01-15 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LEUU6 3914149.26000000 PA USD 4122132.55000000 0.137220686100 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393T4W3 257110.46000000 PA USD 50914.20000000 0.001694870645 Long ABS-MBS USGSE US N 2 2033-11-25 Floating 5.97325000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394HVK4 38408.94000000 PA USD 52718.89000000 0.001754946540 Long ABS-MBS USGSE US N 2 2033-09-15 Floating 11.71775200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TCZY7 4199.94000000 PA USD 4723.66000000 0.000157244789 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394EF29 16875.65000000 PA USD 16924.61000000 0.000563399300 Long ABS-MBS USGSE US N 2 2035-01-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132FYA80 2234133.24000000 PA USD 2453911.14000000 0.081687661950 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4.50000000 N N N N N N MASTR Alternative Loan Trust N/A 576434LX0 54164.61670000 PA USD 49103.72000000 0.001634602009 Long ABS-MBS CORP US N 3 2034-02-25 None 0.00000000 N N N N N N BAMLL Commercial Mortgage Securities Trust N/A 05524UAA7 7578000.00000000 PA USD 7877308.27000000 0.262225833914 Long ABS-MBS CORP US Y 2 2030-12-10 Fixed 2.95900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LGSG2 8000000.00000000 PA USD 9131938.72000000 0.303990927361 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 3.23500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418AWN4 1105884.72000000 PA USD 1155587.89000000 0.038468089318 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138ETE69 4119046.02000000 PA USD 4372270.59000000 0.145547471581 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392B6U5 147008.36000000 PA USD 171640.30000000 0.005713692959 Long ABS-MBS USGSE US N 2 2041-12-25 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LHW6 5410342.82000000 PA USD 5344758.10000000 0.177920376073 Long ABS-MBS USGA US N 2 2068-07-20 Floating 2.22313000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376WBN4 21032.69000000 PA USD 20913.44000000 0.000696182510 Long ABS-MBS USGA US N 2 2032-12-20 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L9TY8 1882585.23000000 PA USD 2076547.35000000 0.069125688858 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.96000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312912MK1 1878.38000000 PA USD 1955.30000000 0.000065089514 Long ABS-MBS USGSE US N 2 2022-10-15 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379HTQ8 1595059.90000000 PA USD 1785811.52000000 0.059447453241 Long ABS-MBS USGA US N 2 2041-10-20 Variable 4.59866900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128P7JB0 236862.05000000 PA USD 264027.13000000 0.008789136081 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31384VRC8 19450.95000000 PA USD 21337.41000000 0.000710295946 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339NQ74 554514.71000000 PA USD 557452.20000000 0.018556893167 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 2.15849900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LGUM6 2000102.61000000 PA USD 2313295.38000000 0.077006737494 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3.49000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402TVS1 40552.36000000 PA USD 46081.76000000 0.001534004704 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 6.00000000 N N N N N N HERO Funding III N/A 42771BAA2 1377982.75000000 PA USD 1467634.31000000 0.048855728077 Long ABS-O CORP KY Y 2 2043-09-21 Fixed 3.50000000 N Y N N N N JP Morgan Mortgage Trust N/A 466247LS0 200578.66000000 PA USD 208357.36000000 0.006935958401 Long ABS-MBS CORP US N 2 2035-02-25 Variable 4.33220400 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136ACGA3 3255873.44000000 PA USD 3567172.06000000 0.118746738871 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381U3G0 4580826.37000000 PA USD 4698895.52000000 0.156420410878 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 2.60000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374UKD2 79980.53000000 PA USD 12189.71000000 0.000405780345 Long ABS-MBS USGA US N 2 2039-05-20 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LMBY8 6375000.00000000 PA USD 7134825.03000000 0.237509486642 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.16500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418AJX7 865283.10000000 PA USD 921110.49000000 0.030662627142 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381RA53 1143520.54000000 PA USD 1175095.14000000 0.039117461505 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 4.33000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JXYE2 1406730.39000000 PA USD 1522647.55000000 0.050687050686 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 5.00000000 N N N N N N P -stla7.25 N/A N/A 3200000.00000000 PA USD 3200000.00000000 0.106524035846 Long ABS-MBS CORP US N 3 2022-10-11 Fixed 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393BFR1 487540.20000000 PA USD 110879.95000000 0.003691056177 Long ABS-MBS USGSE US N 2 2033-05-25 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359T5E4 34584.33000000 PA USD 38656.53000000 0.001286827996 Long ABS-MBS USGSE US N 2 2028-07-18 Fixed 6.00000000 N N N N N N Commercial Mortgage Trust N/A 12593JBF2 1541667.00000000 PA USD 1698185.82000000 0.056530502238 Long ABS-MBS CORP US N 2 2048-08-10 Fixed 3.69600000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L8RC0 1667584.43000000 PA USD 1776243.98000000 0.059128961686 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 2.84000000 N N N N N N JP Morgan Mortgage Trust N/A 46630GAS4 128448.07000000 PA USD 129887.91000000 0.004323807619 Long ABS-MBS CORP US N 2 2035-07-25 Variable 3.98602100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396VSL3 40486.08000000 PA USD 40118.00000000 0.001335478521 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 1.87674800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FCZ82 93009.42000000 PA USD 17560.99000000 0.000584583602 Long ABS-MBS USGSE US N 2 2036-08-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312905C42 46.23000000 PA USD 46.32000000 0.000001541935 Long ABS-MBS USGSE US N 2 2021-05-15 Floating 2.60849900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HTE88 3299507.68000000 PA USD 3638382.13000000 0.121117233887 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.42000000 N N N N N N MASTR Alternative Loan Trust N/A 576434EK6 205165.10000000 PA USD 211845.32000000 0.007052068269 Long ABS-MBS CORP US N 2 2033-06-25 Fixed 6.25000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GRM2 302164.26000000 PA USD 310198.57000000 0.010326126121 Long ABS-MBS CORP US N 2 2035-05-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TRJM8 14588.50000000 PA USD 15563.85000000 0.000518101286 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JSML7 8924818.18000000 PA USD 9995902.39000000 0.332751207659 Long ABS-MBS USGA US N 2 2049-07-15 Fixed 5.00000000 N N N N N N Diamond Resorts Owner Trust N/A 252724AB5 2712318.09000000 PA USD 2818439.71000000 0.093822366468 Long ABS-O CORP US Y 3 2031-01-21 Fixed 4.19000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617KAZN6 6608887.50000000 PA USD 7242145.88000000 0.241082064789 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 4.50000000 N N N N N N CoreVest American Finance Trust N/A 21872NAA8 3059370.20000000 PA USD 3168831.71000000 0.105486482083 Long ABS-O CORP US Y 2 2052-10-15 Fixed 2.70500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31405VG76 261243.45000000 PA USD 266631.59000000 0.008875835328 Long ABS-MBS USGSE US N 2 2034-08-01 Variable 3.07000100 N N N N N N Legacy Mortgage Asset Trust N/A 52474PAA0 4980408.87000000 PA USD 5030786.70000000 0.167468657114 Long ABS-MBS CORP US Y 2 2059-10-25 Variable 2.88200200 N N N N N N Accelerated Assets LLC N/A 00436MAB1 2672221.16000000 PA USD 2784090.49000000 0.092678923486 Long ABS-O CORP US Y 3 2033-12-02 Fixed 4.51000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393E7F0 1381342.93000000 PA USD 1593875.94000000 0.053058155552 Long ABS-MBS USGSE US N 2 2033-10-25 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31293EAQ3 1132.50000000 PA USD 1253.96000000 0.000041742774 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 6.00000000 N N N N N N RALI Trust N/A 76110HDW6 9.28000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 3 2018-06-25 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398RSL0 8870853.94000000 PA USD 8781266.30000000 0.292317476912 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 1.86675100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398N3Q5 2721000.00000000 PA USD 3212678.99000000 0.106946103716 Long ABS-MBS USGSE US N 2 2040-11-25 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138AFXH8 402598.21000000 PA USD 437852.08000000 0.014575553332 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31390FGB9 16310.93000000 PA USD 16411.70000000 0.000546325162 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393UKW2 1473824.27000000 PA USD 1718164.29000000 0.057195560755 Long ABS-MBS USGSE US N 2 2033-12-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31411BE41 37735.43000000 PA USD 39705.56000000 0.001321748905 Long ABS-MBS USGSE US N 2 2036-12-01 Variable 3.85700000 N N N N N N Goodgreen Trust N/A 38217VAA8 450480.56000000 PA USD 478026.37000000 0.015912905679 Long ABS-O CORP US Y 2 2052-10-15 Fixed 3.74000000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394EKB3 336294.45000000 PA USD 37013.64000000 0.001232138223 Long ABS-MBS USGSE US N 2 2035-07-25 Floating 5.12325000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397FDQ2 36877.04000000 PA USD 36944.19000000 0.001229826318 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 2.09850100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396QWV7 28601.14000000 PA USD 32024.48000000 0.001066055267 Long ABS-MBS USGSE US N 2 2037-03-25 Fixed 5.00000000 N N N N N N Chase Mortgage Finance Trust N/A 161630AG3 70546.48000000 PA USD 73386.86000000 0.002442957657 Long ABS-MBS CORP US N 2 2037-02-25 Variable 4.68977800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358UWA0 8955.82000000 PA USD 9543.66000000 0.000317696618 Long ABS-MBS USGSE US N 2 2023-04-25 Floating 6.00000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394UN81 183731.56000000 PA USD 269292.19000000 0.008964403406 Long ABS-MBS USGSE US N 2 2035-11-25 Floating 18.60192000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397FR79 291754.47000000 PA USD 52970.33000000 0.001763316666 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 4.79149900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395NBC0 499864.78000000 PA USD 463424.99000000 0.015426843827 Long ABS-MBS USGSE US N 2 2033-12-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MHJX5 3016638.12000000 PA USD 3286205.69000000 0.109393716475 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N Colony American Finance Ltd. N/A 19625HAA5 1324786.60000000 PA USD 1332667.09000000 0.044362836520 Long ABS-O CORP KY Y 2 2048-11-15 Fixed 2.55400000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394AB39 433812.39000000 PA USD 521557.93000000 0.017362017384 Long ABS-MBS USGSE US N 2 2044-05-25 Fixed 6.00000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922FBX5 156820.62000000 PA USD 160733.42000000 0.005350616435 Long ABS-MBS CORP US N 2 2033-09-25 Variable 4.39966800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375Y2X9 240697.54000000 PA USD 29631.05000000 0.000986380947 Long ABS-MBS USGA US N 2 2038-12-20 Floating 4.05299900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378J4C3 615215.41000000 PA USD 700276.57000000 0.023311339514 Long ABS-MBS USGA US N 2 2040-06-20 Variable 5.14939000 N N N N N N Goodgreen N/A 38218EAA5 2992159.55000000 PA USD 3070212.72000000 0.102203578075 Long ABS-O CORP KY Y 2 2054-10-15 Fixed 2.76000000 N Y N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FAFF0 5529489.17000000 PA USD 5485318.50000000 0.182599457663 Long ABS-MBS USGSE US N 2 2047-08-15 Floating 1.95850100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358FRF8 10.92000000 PA USD 27.37000000 0.000000911113 Long ABS-MBS USGSE US N 2 2020-12-25 Fixed 652.14540000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140F8LZ8 916201.36000000 PA USD 967087.24000000 0.032193136193 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31282YDW6 262388.14000000 PA USD 51304.59000000 0.001707866245 Long ABS-MBS USGSE US N 2 2035-09-15 Fixed 5.00000000 N N N N N N Commercial Mortgage Trust 549300NMFC2YLCA2NF13 12625XAA5 1500000.00000000 PA USD 1620287.85000000 0.053937375317 Long ABS-MBS CORP US Y 2 2030-08-10 Fixed 4.35300000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418M2N1 661732.32000000 PA USD 865353.84000000 0.028806557335 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 7.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX5A1 2099826.07000000 PA USD 2314536.18000000 0.077048042189 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 4.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31390RK44 20073.00000000 PA USD 21263.95000000 0.000707850553 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376JFW9 876708.36000000 PA USD 130842.76000000 0.004355593392 Long ABS-MBS USGA US N 2 2038-02-20 Floating 4.35300100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31406VJY3 15593.65000000 PA USD 16436.75000000 0.000547159045 Long ABS-MBS USGSE US N 2 2035-05-01 Variable 4.64199800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31339NHV1 31889.20000000 PA USD 7532.51000000 0.000250747926 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 6.99149900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418BZK5 596325.79000000 PA USD 630439.01000000 0.020986533656 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 3.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 94988LAA0 3000000.00000000 PA USD 2996917.20000000 0.099763661013 Long ABS-MBS CORP US Y 2 2028-03-18 Variable 2.70960100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31346SZF6 5389.38000000 PA USD 5607.26000000 0.000186658739 Long ABS-MBS USGSE US N 2 2030-01-01 Variable 4.38700000 N Y N N N N RALI Trust N/A 76110H6F1 663015.59000000 PA USD 496434.25000000 0.016525681200 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.27678600 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31409JS50 61785.55000000 PA USD 70500.81000000 0.002346884628 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFUF6 1620542.51000000 PA USD 1751815.48000000 0.058315767183 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396P5P2 401809.39000000 PA USD 445477.79000000 0.014829403772 Long ABS-MBS USGSE US N 2 2037-03-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396LSR2 56805.96000000 PA USD 52340.74000000 0.001742358394 Long ABS-MBS USGSE US N 2 2036-11-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31400JA25 28766.69000000 PA USD 32386.56000000 0.001078108461 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L8MV3 1510000.00000000 PA USD 1613280.15000000 0.053704097665 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 2.89000000 N N N N N N GSR Mortgage Loan Trust N/A 362341NB1 546307.54000000 PA USD 581404.30000000 0.019354228904 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398W2B9 303535.81000000 PA USD 279805.14000000 0.009314366488 Long ABS-MBS USGSE US N 2 2040-01-15 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374CUL3 21049.73000000 PA USD 20028.00000000 0.000666707309 Long ABS-MBS USGA US N 2 2033-10-20 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392B5S1 8337.60000000 PA USD 10404.67000000 0.000346358575 Long ABS-MBS USGSE US N 2 2032-03-25 Floating 10.00000100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128QGH21 18418.84000000 PA USD 19097.90000000 0.000635745432 Long ABS-MBS USGSE US N 2 2036-10-01 Variable 3.89900200 N Y N N N N CHL Mortgage Pass-Through Trust N/A 12669FQB2 14468.34000000 PA USD 13077.44000000 0.000435331777 Long ABS-MBS CORP US N 3 2034-04-25 None 0.00000000 N N N N N N Washington Mutual Mortgage Pass-Through Certificates WMALT Trust N/A 9393366B4 404244.87000000 PA USD 404272.84000000 0.013457742031 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QCFC5 3947960.00000000 PA USD 4230940.14000000 0.140842755980 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397AJ95 149098.99000000 PA USD 139037.60000000 0.004628389464 Long ABS-MBS USGSE US N 2 2036-08-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140F7KM0 835867.81000000 PA USD 890637.20000000 0.029648209068 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392BVQ6 7289.01000000 PA USD 10510.31000000 0.000349875199 Long ABS-MBS USGSE US N 2 2032-02-25 Floating 19.90056200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31397LYN3 56736.90000000 PA USD 1713.66000000 0.000057045618 Long ABS-MBS USGSE US N 2 2023-06-25 Floating 4.87325200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FCZN1 3124800.25000000 PA USD 3306049.29000000 0.110054285337 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136ANLF2 1211371.90000000 PA USD 1265933.30000000 0.042141351321 Long ABS-MBS USGSE US N 2 2024-12-25 Fixed 2.59000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381VBQ7 6915994.26000000 PA USD 7155649.44000000 0.238202705453 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 2.76000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LWS47 5201187.82000000 PA USD 5698373.00000000 0.189691778037 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UWR7 2079450.76000000 PA USD 2087476.82000000 0.069489517375 Long ABS-MBS USGA US N 2 2066-05-20 Floating 3.12999800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396KJD5 66304.37000000 PA USD 62469.90000000 0.002079545583 Long ABS-MBS USGSE US N 2 2026-08-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392MEN8 185222.33000000 PA USD 210279.76000000 0.006999952716 Long ABS-MBS USGSE US N 2 2032-07-25 Variable 5.38520800 N N N N N N American Homes 4 Rent N/A 02666AAA6 1823517.15000000 PA USD 1934968.69000000 0.064412710654 Long ABS-O CORP US Y 3 2052-04-17 Fixed 3.46700000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 383742AS2 369233.06000000 PA USD 50094.62000000 0.001667587842 Long ABS-MBS USGA US N 2 2037-12-20 Floating 4.90299800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376R2M7 6600726.11000000 PA USD 757764.02000000 0.025225025509 Long ABS-MBS USGA US N 2 2067-03-20 Variable 2.08626100 N N N N N N Colony American Finance Ltd. N/A 19625GAA7 273144.27000000 PA USD 273515.96000000 0.009105007477 Long ABS-O CORP KY Y 2 2048-06-15 Fixed 2.54400000 N N N N N N Diamond Resorts Owner Trust N/A 252722AC7 2916720.33000000 PA USD 2984988.50000000 0.099366569367 Long ABS-O CORP US Y 3 2032-02-20 Fixed 4.02000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398NXS8 1273346.62000000 PA USD 1502699.01000000 0.050022988502 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38373SQC4 236789.80000000 PA USD 3303.27000000 0.000109961766 Long ABS-MBS USGA US N 2 2033-02-16 Floating 6.04149800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LJUP3 3000000.00000000 PA USD 3342659.76000000 0.111273002530 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.21000000 N N N N N N Vericrest Opportunity Loan Trust N/A 92872NAB7 5800000.00000000 PA USD 5867502.72000000 0.195321896898 Long ABS-O CORP US Y 3 2049-08-25 Variable 4.15000100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAXX5 1955867.18000000 PA USD 2135163.34000000 0.071076942552 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312914LG7 879.95000000 PA USD 888.70000000 0.000029583722 Long ABS-MBS USGSE US N 2 2023-02-15 Floating 2.03600200 N N N N N N RCO Trust N/A 74937VAA2 2376323.28000000 PA USD 2385925.29000000 0.079424497224 Long ABS-MBS CORP US Y 2 2052-11-25 Variable 3.19700200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3139216F0 474688.53010000 PA USD 525884.45000000 0.017506041875 Long ABS-MBS USGSE US N 2 2041-09-25 Variable 6.99999800 N N N N N N CHL Mortgage Pass-Through Trust N/A 12544RCD8 1966467.84000000 PA USD 473774.80000000 0.015771376180 Long ABS-MBS CORP US N 3 2037-05-25 Floating 3.77325000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31393LFM0 541538.47000000 PA USD 664626.37000000 0.022124588519 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 7.00000000 N N N N N N CSFB Mortgage-Backed Pass-Through Certificates N/A 22541Q4B5 166369.47000000 PA USD 172444.57000000 0.005740466111 Long ABS-MBS CORP US N 2 2033-12-25 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31409XPM5 23816.34000000 PA USD 25184.83000000 0.000838371791 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T0QB3 5812.30000000 PA USD 6849.67000000 0.000228017028 Long ABS-MBS USGSE US N 2 2023-08-15 Floating 22.76161900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QBZ50 7520693.10000000 PA USD 7988610.69000000 0.265930953595 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398MZR0 246708.85000000 PA USD 43236.27000000 0.001439281867 Long ABS-MBS USGSE US N 2 2040-02-25 Floating 5.47324900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MBSK6 1058623.28000000 PA USD 1158695.67000000 0.038571543464 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381VEL5 5069599.44000000 PA USD 5213997.25000000 0.173567509363 Long ABS-MBS USGSE US N 2 2022-07-01 Fixed 2.67000000 N N N N N N Washington Mutual Mortgage Pass-Through Certificates WMALT Trust N/A 9393367E7 35649.54000000 PA USD 23292.36000000 0.000775373809 Long ABS-MBS CORP US N 3 2020-06-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359NR78 4711.95000000 PA USD 5434.23000000 0.000180898784 Long ABS-MBS USGSE US N 2 2027-04-18 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132H7EG5 2720871.52000000 PA USD 2941764.52000000 0.097927696618 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393XGQ4 204239.82000000 PA USD 238373.42000000 0.007935155855 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 7.00000000 N N N N N N Chase Mortgage Finance Trust N/A 161630AY4 171464.14000000 PA USD 173846.62000000 0.005787138618 Long ABS-MBS CORP US N 2 2037-02-25 Variable 4.32198400 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128QSZW9 135343.06000000 PA USD 143344.54000000 0.004771762161 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 4.87500100 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138M66U6 1829785.85000000 PA USD 1931824.26000000 0.064308036475 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TDA22 5138.03000000 PA USD 806.43000000 0.000026845055 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36210APW1 4272.51000000 PA USD 4661.75000000 0.000155183882 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359PBK1 5495.17000000 PA USD 6301.59000000 0.000209772124 Long ABS-MBS USGSE US N 2 2027-04-18 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397F6H0 36290.30000000 PA USD 34302.03000000 0.001141872085 Long ABS-MBS USGSE US N 2 2037-02-15 None 0.00000000 N N N N N N MASTR Reperforming Loan Trust N/A 57643QAE5 1503066.27000000 PA USD 1034329.04000000 0.034431532416 Long ABS-MBS CORP US Y 2 2035-05-25 Floating 1.97674900 N N N N N N MASTR Alternative Loan Trust N/A 576434P24 1089873.94000000 PA USD 194602.88000000 0.006478088801 Long ABS-MBS CORP US N 3 2035-04-25 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375LGF1 42402.32000000 PA USD 56259.34000000 0.001872803734 Long ABS-MBS USGA US N 2 2037-09-20 Floating 15.26400000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31404UKV1 41716.78000000 PA USD 43297.94000000 0.001441334785 Long ABS-MBS USGSE US N 2 2034-06-01 Variable 4.30099900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381TWF3 2041100.01000000 PA USD 2094046.57000000 0.069708216214 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 2.99000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396W5X0 97528.51000000 PA USD 113712.26000000 0.003785340268 Long ABS-MBS USGSE US N 2 2037-08-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381UL88 4332340.00000000 PA USD 4470147.62000000 0.148805676660 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 3.02000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392MRN4 34154.76000000 PA USD 35271.87000000 0.001174156857 Long ABS-MBS USGSE US N 2 2022-06-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396YKW1 158388.48000000 PA USD 29328.78000000 0.000976318753 Long ABS-MBS USGSE US N 2 2038-03-25 Floating 4.60325200 N N N N N N Vericrest Opportunity Loan Trust N/A 91833HAB0 5980000.00000000 PA USD 6046938.92000000 0.201295105711 Long ABS-O CORP US Y 3 2049-11-25 Variable 4.09000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378MRL1 2205299.20000000 PA USD 2501387.96000000 0.083268106474 Long ABS-MBS USGA US N 2 2042-11-20 Variable 4.78581800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LE4E1 3060158.00000000 PA USD 3260696.34000000 0.108544541814 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 313920QJ2 84409.20000000 PA USD 84761.52000000 0.002821605998 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 2.12675000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31395XHN8 33260.18000000 PA USD 40064.22000000 0.001333688252 Long ABS-MBS USGSE US N 2 2025-08-15 Floating 12.72875000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381RTY0 4000000.00000000 PA USD 4115695.96000000 0.137006419992 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 3.94000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140K8HJ3 1879185.23000000 PA USD 2047202.58000000 0.068148837817 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4.00000000 N N N N N N Vericrest Opportunity Loan Trust N/A 92870NAB9 3745000.00000000 PA USD 3757336.03000000 0.125077061858 Long ABS-O CORP US Y 2 2050-03-25 Variable 3.47479900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RVA3 2001725.80000000 PA USD 2180501.47000000 0.072586192735 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RU61 1719333.60000000 PA USD 1730745.68000000 0.057614379642 Long ABS-MBS USGA US N 2 2067-02-20 Floating 2.48438200 N N N N N N RBSSP Resecuritization Trust N/A 74928UAA5 136319.23000000 PA USD 136996.31000000 0.004560437449 Long ABS-MBS CORP US Y 2 2033-11-25 Variable 5.44893100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LAXT4 1189185.59000000 PA USD 1300536.58000000 0.043293251646 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137BPNP0 1700188.06000000 PA USD 1971736.49000000 0.065636665168 Long ABS-MBS USGSE US N 2 2039-08-15 Variable 6.94237700 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31419ABT3 101616.30000000 PA USD 112598.44000000 0.003748262580 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132QWN62 1524203.72000000 PA USD 1612347.05000000 0.053673035922 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RN28 1602996.47000000 PA USD 1629230.31000000 0.054235058732 Long ABS-MBS USGA US N 2 2066-12-20 Floating 2.73438000 N N N N N N Alternative Loan Trust N/A 12667F2M6 429787.39000000 PA USD 66163.71000000 0.002202507942 Long ABS-MBS CORP US N 3 2035-03-25 Floating 5.47324900 N N N N N N Wachovia Bank Commercial Mortgage Trust N/A 92976BGA4 491081.46000000 PA USD 4.91000000 0.000000163447 Long ABS-MBS CORP US Y 3 2045-03-15 Variable 0.00001100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AQ5E6 3141377.71000000 PA USD 3196117.16000000 0.106394780913 Long ABS-MBS USGSE US N 2 2023-01-25 Fixed 2.15200000 N N N N N N FREMF Mortgage Trust N/A 357081AE8 6000000.00000000 PA USD 6195312.00000000 0.206234261740 Long ABS-MBS USGSE US Y 2 2022-07-25 Variable 3.39224800 N N N N N N Commercial Mortgage Trust N/A 20173MAG5 108088.18000000 PA USD 108690.32000000 0.003618166107 Long ABS-MBS CORP US N 2 2038-07-10 Variable 5.72499400 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HXV20 2320377.26000000 PA USD 2583980.75000000 0.086017518137 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LHPB4 4100000.00000000 PA USD 4501619.76000000 0.149853345213 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 3.13000000 N N N N N N RFMSI Trust N/A 76111XYC1 138408.15000000 PA USD 128306.39000000 0.004271160777 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.01602000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BF31 3484313.09000000 PA USD 3473736.81000000 0.115636395146 Long ABS-MBS USGA US N 2 2063-01-20 Floating 2.05438000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359ED65 2133.68000000 PA USD 2077.35000000 0.000069152408 Long ABS-MBS USGSE US N 2 2023-09-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AQUD0 2529223.67000000 PA USD 3123837.07000000 0.103988666257 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 7.49999900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374XSE6 152599.39000000 PA USD 22274.25000000 0.000741482189 Long ABS-MBS USGA US N 2 2038-09-20 Floating 5.95300000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L7KQ8 600000.00000000 PA USD 607409.22000000 0.020219900476 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 2.63000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403VVR7 83506.14000000 PA USD 95853.15000000 0.003190832620 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312911GX2 2280.21000000 PA USD 2406.43000000 0.000080107073 Long ABS-MBS USGSE US N 2 2022-08-15 Fixed 7.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378ERH8 645260.07000000 PA USD 756853.99000000 0.025194731737 Long ABS-MBS USGA US N 2 2038-08-20 Variable 5.56390100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202CZN6 1415.39000000 PA USD 1583.10000000 0.000052699437 Long ABS-MBS USGA US N 2 2028-02-20 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359FE38 2047.58000000 PA USD 2035.72000000 0.000067766596 Long ABS-MBS USGSE US N 2 2023-12-25 Floating 2.26087900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36180BAT8 1280866.63000000 PA USD 1329999.91000000 0.044274049402 Long ABS-MBS USGA US N 2 2032-12-20 Fixed 3.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36223NYF5 68.15000000 PA USD 68.32000000 0.000002274288 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 7.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RUS3 3028180.88000000 PA USD 3033250.05000000 0.100973136580 Long ABS-MBS USGA US N 2 2066-05-20 Floating 2.31437900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359LMW2 5602.92000000 PA USD 6256.18000000 0.000208260482 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 8.50000000 N N N N N N Alternative Loan Trust N/A 12668APD1 458407.86000000 PA USD 437715.60000000 0.014571010082 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX5Q6 4558859.35000000 PA USD 5106266.44000000 0.169981284155 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31404R3K1 14295.97000000 PA USD 15244.70000000 0.000507477177 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393U4Q3 251990.91000000 PA USD 296026.62000000 0.009854359462 Long ABS-MBS USGSE US N 2 2033-12-25 Fixed 7.00000000 N N N N N N Washington Mutual MSC Mortgage Pass-Through Certificates Trust N/A 939336R54 218051.55000000 PA USD 235609.50000000 0.007843148382 Long ABS-MBS CORP US N 2 2033-07-25 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393CVP5 639846.60000000 PA USD 152831.33000000 0.005087565648 Long ABS-MBS USGSE US N 2 2033-06-25 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31393ANT0 417736.14000000 PA USD 459626.47000000 0.015300395801 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140F2XL9 3533013.41000000 PA USD 3799744.76000000 0.126488795944 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202CGP2 2989.36000000 PA USD 3250.45000000 0.000108203453 Long ABS-MBS USGA US N 2 2025-05-20 Fixed 8.50000000 N N N N N N BAMLL Re-REMIC Trust N/A 05525HAG2 4500000.00000000 PA USD 4000716.45000000 0.133178894541 Long ABS-MBS CORP US Y 2 2045-06-27 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137BJQ71 321000.00000000 PA USD 341518.71000000 0.011368734783 Long ABS-MBS USGSE US N 2 2025-05-25 Fixed 2.77000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128NUEF7 16387.31000000 PA USD 17275.40000000 0.000575076665 Long ABS-MBS USGSE US N 2 2037-10-01 Variable 4.48999900 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 31391SQG8 26389.03000000 PA USD 29863.80000000 0.000994128906 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31401A3J4 237741.46000000 PA USD 276534.37000000 0.009205486607 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381P3D8 3071871.22000000 PA USD 3642314.08000000 0.121248123631 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 4.97000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410PMR1 70110.29000000 PA USD 78224.66000000 0.002604002026 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397Y4R9 426987.65000000 PA USD 79110.86000000 0.002633502527 Long ABS-MBS USGSE US N 2 2038-08-15 Floating 4.19150200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381TYT1 772971.41000000 PA USD 795043.65000000 0.026466018210 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 2.75000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137BKF96 7546108.25000000 PA USD 1540266.34000000 0.051273558379 Long ABS-MBS USGSE US N 2 2045-06-15 Floating 4.52149900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UD56 4430544.45000000 PA USD 4385918.68000000 0.146001799590 Long ABS-MBS USGA US N 2 2067-08-20 Floating 2.25312800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397HMC9 795894.03000000 PA USD 929857.80000000 0.030953814256 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 6.99999800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31359BM38 6058.23000000 PA USD 6132.50000000 0.000204143328 Long ABS-MBS USGSE US N 2 2023-08-25 Floating 2.57675000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394FDH5 229113.29000000 PA USD 293326.83000000 0.009764486798 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 15.65644000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T36V5 6016.15000000 PA USD 6941.97000000 0.000231089581 Long ABS-MBS USGSE US N 2 2024-02-15 Floating 10.00000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403R2E7 106184.65000000 PA USD 123422.12000000 0.004108569479 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 8.00000000 N N N N N N American Homes 4 Rent Trust N/A 02665UAA3 3125044.13000000 PA USD 3357785.54000000 0.111776521008 Long ABS-O CORP US Y 3 2036-10-17 Fixed 3.78600000 N N N N N N RALI Trust N/A 76110HFL8 2633.12470000 PA USD 2620.29000000 0.000087226208 Long ABS-MBS CORP US N 2 2018-07-25 Fixed 5.00000000 N N N N N N Antler Mortgage Trust N/A 03720BAC2 4008000.00000000 PA USD 4142464.39000000 0.137897507866 Long ABS-MBS CORP US Y 2 2022-08-25 Variable 4.94799800 N N N N N N REPO FUNDS N/A N/A 5499000.00000000 PA USD 5499000.00000000 0.183054897850 Long ABS-MBS CORP US N 3 2020-05-01 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L8M27 1994918.94000000 PA USD 2141318.74000000 0.071281848193 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 3.04000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BQS4 2989917.28000000 PA USD 2996851.50000000 0.099761473941 Long ABS-MBS USGA US N 2 2062-04-20 Floating 2.30438200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418WQA1 172708.39000000 PA USD 184799.00000000 0.006151729781 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371NQG3 98874.10000000 PA USD 110777.83000000 0.003687656729 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397CDK2 189835.08000000 PA USD 170455.99000000 0.005674268746 Long ABS-MBS USGSE US N 2 2036-11-15 None 0.00000000 N N N N N N MASTR Resecuritization Trust N/A 576435BB6 100909.00000000 PA USD 85689.30000000 0.002852490645 Long ABS-MBS CORP US Y 3 2035-05-28 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36179CKF8 1874675.96000000 PA USD 2035748.85000000 0.067767557334 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 4.50000000 N N N N N N BAMLL Re-REMIC Trust N/A 05525HAN7 3000000.00000000 PA USD 2938029.00000000 0.097803345785 Long ABS-MBS CORP US Y 2 2047-01-27 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396Y4G4 88543.68000000 PA USD 16546.08000000 0.000550798505 Long ABS-MBS USGSE US N 2 2038-04-25 Floating 5.27325100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T3BU1 28021.84000000 PA USD 29728.45000000 0.000989623272 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 6.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374DPT0 208007.22000000 PA USD 40074.46000000 0.001334029129 Long ABS-MBS USGA US N 2 2038-01-16 Floating 5.50149800 N N N N N N BAMLL Re-REMIC Trust N/A 05491HAA5 6365000.00000000 PA USD 6083460.14000000 0.202510851882 Long ABS-MBS CORP US Y 2 2045-08-27 Variable 1.60674500 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398S6Q1 88791.08000000 PA USD 89849.36000000 0.002990973889 Long ABS-MBS USGSE US N 2 2039-02-25 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31395V4J5 48969.89000000 PA USD 61686.96000000 0.002053482480 Long ABS-MBS USGSE US N 2 2034-06-15 Floating 18.41216800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617JNMB0 3634464.06000000 PA USD 3933118.73000000 0.130928650182 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31292H4U5 77314.43000000 PA USD 81778.94000000 0.002722319605 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LRZP3 1129492.84000000 PA USD 1266054.12000000 0.042145373269 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 5.00000000 N N N N N N Ocwen Master Advance Receivables Trust 549300THGK42AVJMPW70 67575NBU6 5000000.00000000 PA USD 5063272.50000000 0.168550069153 Long ABS-O CORP US Y 3 2051-08-15 Fixed 3.04160000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FCCH7 71769.30000000 PA USD 10901.56000000 0.000362899427 Long ABS-MBS USGSE US N 2 2033-12-25 Variable 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128NHWC3 11704.36000000 PA USD 12385.51000000 0.000412298284 Long ABS-MBS USGSE US N 2 2037-02-01 Variable 5.48100000 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L1AE9 4759461.60000000 PA USD 4912232.94000000 0.163522149308 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 2.53000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BF64 11010.54000000 PA USD 10970.37000000 0.000365190027 Long ABS-MBS USGA US N 2 2060-08-20 Floating 2.03438200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381TQB9 4491583.24000000 PA USD 4617905.43000000 0.153724351112 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 3.24000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202EXN4 49248.25000000 PA USD 55071.50000000 0.001833262012 Long ABS-MBS USGA US N 2 2038-11-20 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132H7BV5 1027440.41000000 PA USD 1094411.13000000 0.036431590763 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617L9E27 4294951.72000000 PA USD 4733319.79000000 0.157566352182 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LFUC3 1200842.09000000 PA USD 1355761.06000000 0.045131606173 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312906R93 429.78000000 PA USD 442.52000000 0.000014730942 Long ABS-MBS USGSE US N 2 2021-09-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403KRB1 64802.26000000 PA USD 74376.89000000 0.002475914530 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397PFM7 215511.25000000 PA USD 40340.82000000 0.001342895923 Long ABS-MBS USGSE US N 2 2037-11-15 Floating 4.76150000 N N N N N N BB-UBS Trust N/A 05538UAJ2 3575000.00000000 PA USD 3670216.91000000 0.122176974276 Long ABS-MBS CORP US Y 2 2036-11-05 Variable 4.02599900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398MRV0 1732616.33000000 PA USD 2031825.66000000 0.067636959199 Long ABS-MBS USGSE US N 2 2040-03-25 Variable 6.20331800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TAA28 21195.86000000 PA USD 24326.02000000 0.000809783070 Long ABS-MBS USGSE US N 2 2027-01-15 Fixed 7.50000000 N N N N N N FREMF Mortgage Trust N/A 30292PAE8 5075000.00000000 PA USD 5390433.07000000 0.179440839242 Long ABS-MBS USGSE US Y 2 2048-04-25 Variable 3.58992700 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617GSGE3 1701040.37000000 PA USD 1807583.59000000 0.060172218480 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX5G8 4125126.92000000 PA USD 4625073.41000000 0.153962964287 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358EL59 2.94000000 PA USD 7.13000000 0.000000237348 Long ABS-MBS USGSE US N 2 2020-08-25 Fixed 1118.04000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136A12K0 998251.85000000 PA USD 1218791.64000000 0.040572063859 Long ABS-MBS USGSE US N 2 2041-11-25 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RVB1 1274106.27000000 PA USD 1393176.65000000 0.046377124814 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 313921XJ2 231386.26000000 PA USD 231670.77000000 0.007712032940 Long ABS-MBS USGSE US N 2 2031-10-25 Floating 1.97674900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31395V4V8 2236.21000000 PA USD 2956.98000000 0.000098434201 Long ABS-MBS USGSE US N 2 2035-06-15 Floating 12.70327700 N N N N N N Vericrest Opportunity Loan Trust N/A 91834UAB0 2810000.00000000 PA USD 2848475.36000000 0.094822216048 Long ABS-O CORP US Y 3 2050-02-25 Variable 3.67179800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412CBL3 918715.87000000 PA USD 985143.35000000 0.032794201727 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 4.49399900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31393MWB3 137890.97000000 PA USD 27637.75000000 0.000920026459 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36201SAV1 19214.77000000 PA USD 19461.92000000 0.000647863207 Long ABS-MBS USGA US N 2 2033-01-15 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398LYU6 286598.90000000 PA USD 257389.66000000 0.008568182927 Long ABS-MBS USGSE US N 2 2040-01-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31364JLN1 3959.56000000 PA USD 3818.22000000 0.000127103813 Long ABS-MBS USGSE US N 2 2027-02-25 None 0.00000000 N N N N N N Thornburg Mortgage Securities Trust N/A 885220DW0 37925.35000000 PA USD 38570.73000000 0.001283971820 Long ABS-MBS CORP US N 2 2043-09-25 Floating 2.26675100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LALA5 1005000.00000000 PA USD 1146159.08000000 0.038154215913 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.30000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398FRT0 562723.82000000 PA USD 537766.79000000 0.017901590254 Long ABS-MBS USGSE US N 2 2037-10-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398F4S7 85314.42000000 PA USD 11227.48000000 0.000373748900 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 4.55325100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396HVU0 135823.22000000 PA USD 125283.96000000 0.004170547826 Long ABS-MBS USGSE US N 2 2036-02-15 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374MM63 113222.12000000 PA USD 106040.67000000 0.003529962541 Long ABS-MBS USGA US N 2 2036-03-20 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397RCW4 807694.46000000 PA USD 6608.07000000 0.000219974464 Long ABS-MBS USGSE US N 2 2038-01-15 Variable 0.24999800 N Y N N N N GNMA 549300M8ZYFG0OCMTT87 38374L4C2 98200.42000000 PA USD 123658.55000000 0.004116439941 Long ABS-MBS USGA US N 2 2035-06-17 Floating 12.43734800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394D6N5 342659.30000000 PA USD 79287.97000000 0.002639398299 Long ABS-MBS USGSE US N 2 2035-07-25 Floating 5.08325000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K37C7 1290940.29000000 PA USD 1450189.79000000 0.048275021616 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394EC48 85385.35000000 PA USD 113585.09000000 0.003781106937 Long ABS-MBS USGSE US N 2 2035-08-25 Floating 12.63312400 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418AXL7 268249.35000000 PA USD 285573.83000000 0.009506399032 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128S42W6 25731.92000000 PA USD 27578.00000000 0.000918037456 Long ABS-MBS USGSE US N 2 2038-05-01 Variable 4.66999900 N Y N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137ABB59 261945.71000000 PA USD 293470.95000000 0.009769284374 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 5.50000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371HHK7 98693.90000000 PA USD 111178.47000000 0.003700993538 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128S4ZC4 131637.20000000 PA USD 138317.16000000 0.004604406909 Long ABS-MBS USGSE US N 2 2037-03-01 Variable 3.89300000 N Y N N N N GNMA 549300M8ZYFG0OCMTT87 36202WH69 10712.95000000 PA USD 10970.47000000 0.000365193356 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HXWA1 3280593.74000000 PA USD 3653520.74000000 0.121621179460 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N Lehman Mortgage Trust N/A 52522UAF0 442973.80000000 PA USD 286473.77000000 0.009536356920 Long ABS-MBS CORP US N 2 2038-03-25 Fixed 6.00000000 N N N N N N FREMF Mortgage Trust 549300R3J0I74BM2LZ86 30293WAE2 2100000.00000000 PA USD 2256204.72000000 0.075106260147 Long ABS-MBS USGSE US Y 2 2048-10-25 Variable 3.77905300 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395DTS8 169620.32000000 PA USD 162261.31000000 0.005401478000 Long ABS-MBS USGSE US N 2 2036-06-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379PU62 1261906.76000000 PA USD 1451335.50000000 0.048313160883 Long ABS-MBS USGA US N 2 2040-05-20 Variable 5.24849000 N N N N N N Bear Stearns ARM Trust N/A 07387AGZ2 413821.10000000 PA USD 425246.37000000 0.014155924862 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.84000100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137A3ML0 1986410.54000000 PA USD 1835004.94000000 0.061085041252 Long ABS-MBS USGSE US N 2 2040-11-15 None 0.00000000 N N N N N N KGS-Alpha SBA COOF Trust N/A 48247NAA9 6309888.03000000 PA USD 97020.84000000 0.003229703574 Long ABS-MBS CORP US Y 3 2039-05-25 Variable 0.63030200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AW7J0 2860000.00000000 PA USD 3129463.19000000 0.104175952822 Long ABS-MBS USGSE US N 2 2027-05-25 Variable 3.06100100 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669FNP4 51990.44000000 PA USD 53186.65000000 0.001770517690 Long ABS-MBS CORP US N 2 2034-05-20 Variable 3.58799400 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128HXKY0 15096284.17000000 PA USD 16411772.71000000 0.546327582645 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.50000000 N N N N N N GSMPS Mortgage Loan Trust N/A 36228FEC6 267718.73000000 PA USD 269048.68000000 0.008956297260 Long ABS-MBS CORP US Y 2 2032-06-19 Variable 7.49999900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L74J2 3989480.08000000 PA USD 4294988.52000000 0.142974847207 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 3.11000000 N N N N N N FREMF Mortgage Trust N/A 30295AAN8 5250000.00000000 PA USD 5496155.18000000 0.182960197316 Long ABS-MBS USGSE US Y 2 2049-07-25 Variable 3.84322300 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TSJA2 7044.88000000 PA USD 6888.55000000 0.000229311295 Long ABS-MBS USGSE US N 2 2024-05-15 None 0.00000000 N N N N N N BCAP LLC Trust N/A 05531UAQ3 86619.52000000 PA USD 87611.21000000 0.002916468648 Long ABS-MBS CORP US Y 2 2034-11-26 Variable 5.50000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JWX54 1450451.29000000 PA USD 1633889.86000000 0.054390169379 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36202CSM6 1439.04000000 PA USD 1644.14000000 0.000054731383 Long ABS-MBS USGA US N 2 2026-11-20 Fixed 8.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RVD7 6263428.38000000 PA USD 6902829.09000000 0.229786629195 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669FVR1 411266.28000000 PA USD 426203.84000000 0.014187797853 Long ABS-MBS CORP US N 2 2034-06-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31408CDM5 76496.37000000 PA USD 85966.75000000 0.002861726612 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394MWC0 103837.33000000 PA USD 111758.26000000 0.003720294029 Long ABS-MBS USGSE US N 2 2033-11-15 Floating 6.59250000 N N N N N N VOLT LXXXV LLC N/A 91834TAA5 10027998.83000000 PA USD 10072097.96000000 0.335287663794 Long ABS-O CORP US Y 3 2050-01-25 Variable 3.22819900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L1AD1 3779137.23000000 PA USD 3900441.68000000 0.129840871668 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 2.53000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31394AVD5 74262.21000000 PA USD 68913.44000000 0.002294043047 Long ABS-MBS USGSE US N 2 2032-12-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31364HT56 76596.68000000 PA USD 74241.70000000 0.002471414222 Long ABS-MBS USGSE US N 2 2024-09-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L2BD8 2000000.00000000 PA USD 2069405.84000000 0.068887956837 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 2.53000000 N N N N N N BB-UBS Trust N/A 05538UAA1 4100000.00000000 PA USD 4406316.74000000 0.146680825738 Long ABS-MBS CORP US Y 2 2036-11-05 Fixed 3.43020000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617MHJU1 1208245.98000000 PA USD 1322462.83000000 0.044023149346 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HXVX2 1596703.52000000 PA USD 1771182.04000000 0.058960455974 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418AQ35 4047757.36000000 PA USD 4309194.80000000 0.143447756670 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N WFRBS Commercial Mortgage Trust N/A 92935VAG3 1209884.06000000 PA USD 1234137.03000000 0.041082892882 Long ABS-MBS CORP US Y 2 2044-03-15 Fixed 4.37500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396NU46 210886.51000000 PA USD 194703.99000000 0.006481454628 Long ABS-MBS USGSE US N 2 2036-05-15 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296Q5N6 29444.57000000 PA USD 32660.06000000 0.001087212938 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3139204E7 23797.80000000 PA USD 28089.11000000 0.000935051675 Long ABS-MBS USGSE US N 2 2031-09-25 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392UZT4 438544.77000000 PA USD 66691.17000000 0.002220066432 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 5.34150000 N N N N N N HERO Residual Funding N/A 42771RAA7 793472.79000000 PA USD 789505.43000000 0.026281657726 Long ABS-O CORP KY Y 2 2042-09-21 Fixed 4.50000000 N N N N N N Alternative Loan Trust N/A 12668ANU5 2734063.40000000 PA USD 409857.98000000 0.013643664422 Long ABS-MBS CORP US N 3 2035-11-25 Floating 3.22324900 N N N N N N Vendee Mortgage Trust N/A 911760DS2 854491.22000000 PA USD 923226.07000000 0.030733052179 Long ABS-MBS USGSE US N 2 2024-02-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375QFE4 137748.67000000 PA USD 24691.92000000 0.000821963428 Long ABS-MBS USGA US N 2 2038-04-16 Floating 6.04149800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394WGG7 2154316.94000000 PA USD 2531931.65000000 0.084284868076 Long ABS-MBS USGSE US N 2 2034-04-15 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396XF25 72370.48000000 PA USD 82315.65000000 0.002740186016 Long ABS-MBS USGSE US N 2 2037-10-25 Variable 6.18484000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395NXK8 773357.10000000 PA USD 827978.54000000 0.027562379898 Long ABS-MBS USGSE US N 2 2036-07-25 Floating 2.37674900 N N N N N N Alternative Loan Trust N/A 12667FAQ8 741372.76000000 PA USD 763941.70000000 0.025430672823 Long ABS-MBS CORP US N 2 2034-03-25 Fixed 5.75000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T0L85 2525.21000000 PA USD 227.31000000 0.000007566868 Long ABS-MBS USGSE US N 2 2023-09-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JWXZ8 3724241.22000000 PA USD 4216677.23000000 0.140367961375 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375LZR4 810153.82000000 PA USD 129425.88000000 0.004308427212 Long ABS-MBS USGA US N 2 2037-11-16 Floating 4.88149900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397F6N7 67102.03000000 PA USD 62139.41000000 0.002068543980 Long ABS-MBS USGSE US N 2 2037-02-15 None 0.00000000 N N N N N N JPMCC Re-REMIC Trust N/A 46644KAA8 3500000.00000000 PA USD 3410088.50000000 0.113517621754 Long ABS-MBS CORP US Y 2 2046-12-27 Variable 2.20167700 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128MBR90 60.29000000 PA USD 60.59000000 0.000002016966 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396WVR4 208952.32000000 PA USD 209274.88000000 0.006966501505 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 1.99675100 N N N N N N Commercial Mortgage Trust N/A 12624KAE6 4704177.39000000 PA USD 154832.35000000 0.005154177125 Long ABS-MBS CORP US N 3 2045-08-15 Variable 1.63319400 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31395ND20 200721.93000000 PA USD 185800.96000000 0.006185083788 Long ABS-MBS USGSE US N 2 2036-07-25 None 0.00000000 N N N N N N First Horizon Alternative Mortgage Securities Trust N/A 32052WAB5 3590175.27000000 PA USD 926543.82000000 0.030843495967 Long ABS-MBS CORP US N 3 2037-08-25 Floating 4.02324800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36196RUU0 3563483.65000000 PA USD 3881040.18000000 0.129195019767 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 4.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396KDK5 180930.02000000 PA USD 210177.90000000 0.006996561923 Long ABS-MBS USGSE US N 2 2036-08-25 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LHGF5 5000000.00000000 PA USD 5582720.10000000 0.185841836266 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.22000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LJYV6 800000.00000000 PA USD 891600.53000000 0.029680277130 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 3.06000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376WBS3 808721.55000000 PA USD 747275.61000000 0.024875879333 Long ABS-MBS USGA US N 2 2035-08-20 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36179CKG6 5094303.98000000 PA USD 5624957.55000000 0.187247868653 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31419AEJ2 345283.84000000 PA USD 345599.49000000 0.011504578894 Long ABS-MBS USGSE US N 2 2020-04-01 Variable 4.30300100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398QUH8 1500000.00000000 PA USD 1773074.70000000 0.059023460281 Long ABS-MBS USGSE US N 2 2040-10-15 Fixed 4.00000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 9292276K7 201077.70000000 PA USD 203898.84000000 0.006787539794 Long ABS-MBS CORP US N 2 2033-08-25 Variable 4.43629800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137A0YK5 682312.52000000 PA USD 841533.15000000 0.028013596073 Long ABS-MBS USGSE US N 2 2036-12-15 Fixed 7.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38374L7K1 711570.08000000 PA USD 790411.62000000 0.026311823669 Long ABS-MBS USGA US N 2 2035-09-20 Fixed 5.50000000 N N N N N N JPMorgan Prime Money Market Fund 549300YD7H8SEEU7VG41 4812A2603 196881024.53000000 NS USD 196979465.04000000 6.557202373423 Long STIV RF US N 1 N N N FHLMC Pool N/A 31346YUV3 6482535.93000000 PA USD 6902345.28000000 0.229770523760 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T6TS0 386295.22000000 PA USD 25654.33000000 0.000854000865 Long ABS-MBS USGSE US N 2 2023-11-15 Floating 4.25000200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31407LE60 18397.78000000 PA USD 20745.22000000 0.000690582674 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402RDS5 18875.62000000 PA USD 19414.54000000 0.000646285985 Long ABS-MBS USGSE US N 2 2035-02-01 Variable 3.46000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31409JVS6 170599.80000000 PA USD 180590.71000000 0.006011641020 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 4.61099900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416B3M8 43556.29000000 PA USD 54256.13000000 0.001806119355 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371JJU9 1402.61000000 PA USD 1425.87000000 0.000047465445 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140J7ZV0 3833522.70000000 PA USD 4196860.68000000 0.139708292974 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402BEZ3 69338.20000000 PA USD 77733.13000000 0.002587639602 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396QKF5 360348.01000000 PA USD 61700.80000000 0.002053943197 Long ABS-MBS USGSE US N 2 2039-07-25 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138LD2J1 3850000.00000000 PA USD 4295525.50000000 0.142992722606 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 2.99000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31415P6U7 94923.47000000 PA USD 112589.89000000 0.003747977961 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133T86T9 19756.00000000 PA USD 22810.79000000 0.000759342941 Long ABS-MBS USGSE US N 2 2026-09-15 Fixed 8.00000000 N N N N N N Vendee Mortgage Trust N/A 911760LH7 159767.31000000 PA USD 183716.64000000 0.006115699357 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358FKA6 58.77000000 PA USD 60.49000000 0.000002013637 Long ABS-MBS USGSE US N 2 2020-11-25 Floating 19.15987700 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394NG93 1025868.34000000 PA USD 1024725.42000000 0.034111839804 Long ABS-MBS USGSE US N 2 2033-12-15 Floating 2.25850000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397GU57 71628.70000000 PA USD 76733.25000000 0.002554354835 Long ABS-MBS USGSE US N 2 2034-07-15 Floating 4.13849900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398FPB1 32269.25000000 PA USD 37029.53000000 0.001232667181 Long ABS-MBS USGSE US N 2 2038-03-25 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L9PP1 1000000.00000000 PA USD 1091411.94000000 0.036331751443 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.03000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397HCY2 1128584.09000000 PA USD 1260990.25000000 0.041976803310 Long ABS-MBS USGSE US N 2 2034-05-15 Floating 6.99999800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L35Z4 866500.36000000 PA USD 899918.85000000 0.029957183698 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 2.51000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418BV45 1361505.27000000 PA USD 1439818.64000000 0.047929778881 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375KA93 323359.95000000 PA USD 55601.19000000 0.001850894736 Long ABS-MBS USGA US N 2 2037-07-20 Floating 5.10300000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418AS82 3173488.22000000 PA USD 3421948.32000000 0.113912420470 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31398WRF3 868825.48000000 PA USD 1209834.88000000 0.040273904414 Long ABS-MBS USGSE US N 2 2040-02-15 Floating 11.97166700 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358LVM5 374.78000000 PA USD 383.19000000 0.000012755920 Long ABS-MBS USGSE US N 2 2022-02-25 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31392X2G2 109234.55000000 PA USD 120043.33000000 0.003996093746 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31392BWF9 15267.99000000 PA USD 19354.66000000 0.000644292654 Long ABS-MBS USGSE US N 2 2023-12-25 Floating 18.80637500 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31395HHV5 995451.40000000 PA USD 996907.65000000 0.033185820701 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 3.25307500 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36290SCX7 19325.51000000 PA USD 20193.49000000 0.000672216266 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617HX4J3 1470553.66000000 PA USD 1620355.62000000 0.053939631296 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 313399C70 17891.91000000 PA USD 19898.33000000 0.000662390755 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 6.50000000 N N N N N N Alternative Loan Trust N/A 12668BXT5 9755821.71000000 PA USD 2351127.67000000 0.078266127562 Long ABS-MBS CORP US N 3 2036-05-25 Floating 3.67324900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398TX63 1060776.34000000 PA USD 1154611.13000000 0.038435574187 Long ABS-MBS USGSE US N 2 2040-09-25 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L73V6 2274880.21000000 PA USD 2608146.91000000 0.086821979666 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 3.57000000 N N N N N N GSMPS Mortgage Loan Trust N/A 36242DT52 258346.10000000 PA USD 240173.36000000 0.007995073628 Long ABS-MBS CORP US Y 2 2035-03-25 Floating 1.97674900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3133TVR99 85903.17000000 PA USD 98504.54000000 0.003279094109 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410GAS2 105221.90000000 PA USD 119430.89000000 0.003975706377 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B3J50 5625000.00000000 PA USD 6475273.88000000 0.215553845909 Long ABS-MBS USGSE US N 2 2028-11-25 Variable 3.63100000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LRZT5 2729714.00000000 PA USD 2968770.37000000 0.098826687910 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416BYZ5 29190.47000000 PA USD 29659.63000000 0.000987332340 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31358TWE5 22631.81000000 PA USD 24035.91000000 0.000800125668 Long ABS-MBS USGSE US N 2 2023-03-25 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412QDW6 316029.19000000 PA USD 364591.81000000 0.012136809699 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138L1YR4 4185813.74000000 PA USD 4303066.67000000 0.143243758814 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 2.34000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617J77A4 4849862.13000000 PA USD 5256226.06000000 0.174973254135 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137ACX95 293561.25000000 PA USD 325282.13000000 0.010828239148 Long ABS-MBS USGSE US N 2 2038-10-15 Variable 5.70021500 N N N N N N Vendee Mortgage Trust N/A 92260MAH6 182857.21000000 PA USD 206255.40000000 0.006865986757 Long ABS-MBS USGSE US N 2 2026-02-15 Fixed 6.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31396WVA1 18889.90000000 PA USD 34636.83000000 0.001153017162 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 29.21472000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31396N2Q8 744263.20000000 PA USD 878694.33000000 0.029250645720 Long ABS-MBS USGSE US N 2 2036-04-15 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31381RAB0 9000000.00000000 PA USD 9225934.47000000 0.307119929437 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 4.34000000 N N N N N N Sequoia Mortgage Trust N/A 81744FET0 405815.20000000 PA USD 398058.25000000 0.013250866028 Long ABS-MBS CORP US N 2 2034-11-20 Floating 2.26699900 N N N N N N 2020-03-30 JPMorgan Trust II Timothy J. Clemens Timothy J. Clemens Treasurer and Principal Financial Officer