U.S. Treasury Notes

NPORT-P false 0000763852 XXXXXXXX S000003485 C000070640 C000009633 C000171356 C000009631 C000009632 C000009635 C000171357 JPMorgan Trust II 811-04236 0000763852 549300IMXLYKELY96B40 277 Park Avenue New York 10172 800-480-4111 JPMorgan Government Bond Fund S000003485 549300SMSIKAH2NAKR95 2021-02-28 2020-05-31 N 3622859398.81 377376277.18 3245483121.63 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 20116769.19999999 0.00000000 0.00000000 1695992.64000000 USD N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZN3 35000000.00000000 PA USD 35017773.35000000 1.078969510475 Long DBT UST US N 2 2027-04-30 Fixed 0.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, STRIPS, Series 264, Class 30 3128HXMV4 9010083.00000000 PA USD 9735334.49000000 0.299965648415 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4186, Class JE 3137B0S70 11126962.56000000 PA USD 11673594.62000000 0.359687423490 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2011-145, Class PB 3136A3BT7 11500000.00000000 PA USD 12943033.80000000 0.398801451584 Long ABS-MBS USGSE US N 2 2032-01-25 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2003-128, Class DY 31393UXJ7 679219.80000000 PA USD 707051.99000000 0.021785723835 Long ABS-MBS USGSE US N 2 2024-01-25 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2010-155, Class B 31397Q5Q7 4274130.00000000 PA USD 4477336.67000000 0.137955937597 Long ABS-MBS USGSE US N 2 2026-01-25 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36204HLT5 622.17000000 PA USD 683.69000000 0.000021065892 Long ABS-MBS USGA US N 2 2024-02-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36291FPX0 357144.50000000 PA USD 401980.41000000 0.012385841951 Long ABS-MBS USGA US N 2 2045-04-15 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138LKRW9 3450000.00000000 PA USD 3836349.42000000 0.118205804073 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.97000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138EQ4Q2 4220237.53000000 PA USD 4750128.44000000 0.146361212244 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138LKSP3 4000000.00000000 PA USD 4421095.76000000 0.136223039661 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 2.80000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2019-38, Class PC 3136B5FZ3 13111202.91000000 PA USD 13753124.78000000 0.423762018306 Long ABS-MBS USGSE US N 2 2048-02-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2006-110 31396LVP2 423349.80000000 PA USD 398425.88000000 0.012276319582 Long ABS-MBS USGSE US N 2 2036-11-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4314, Class DY 3137B9EY7 1450329.00000000 PA USD 1625462.32000000 0.050083832177 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3140JAA32 5000000.00000000 PA USD 5759257.75000000 0.177454558663 Long ABS-MBS USGSE US N 2 2030-03-01 Variable 3.15900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A2 31393XFT9 260796.93000000 PA USD 307593.05000000 0.009477573552 Long ABS-MBS USGSE US N 2 2044-01-25 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series Q007, Class APT2 3137FHQC0 8293086.99000000 PA USD 8938463.31000000 0.275412410880 Long ABS-MBS USGSE US N 2 2047-10-25 Variable 3.32632800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2019-81, Class JA 3136B8FR5 14768084.40000000 PA USD 15472994.60000000 0.476754739437 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31410FX67 157340.15000000 PA USD 183762.05000000 0.005662086139 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 1367, Class K 312912AN8 46394.10000000 PA USD 48211.72000000 0.001485502102 Long ABS-MBS USGSE US N 2 2022-09-15 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2015-59, Class EB 3136APVQ2 5879000.00000000 PA USD 6536885.38000000 0.201414862903 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2019-M25, Class A2 3136B7FC0 14000000.00000000 PA USD 15048010.60000000 0.463660109637 Long ABS-MBS USGSE US N 2 2029-11-25 Variable 2.32999900 N N N N N N FHLMC Pool N/A FHLMC UMBS, 30 Year 3133KH6L5 19686135.00000000 PA USD 20091004.58000000 0.619045110606 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203ECJ5 2932.01000000 PA USD 2970.40000000 0.000091524124 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36207HKK2 13107.04000000 PA USD 13165.50000000 0.000405656092 Long ABS-MBS USGA US N 2 2027-03-15 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2019-M2, Class A2 3136B3J50 13500000.00000000 PA USD 15525922.05000000 0.478385542864 Long ABS-MBS USGSE US N 2 2028-11-25 Variable 3.63100000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A 31393LFK4 1241468.07000000 PA USD 1517459.83000000 0.046756053663 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36224LYT8 2197.77000000 PA USD 2206.45000000 0.000067985255 Long ABS-MBS USGA US N 2 2023-01-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2020-12, Class JC 3136B8G60 39516504.00000000 PA USD 40921552.82000000 1.260877080126 Long ABS-MBS USGSE US N 2 2050-03-25 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2012-60, Class EP 3136A6MJ0 2689493.22000000 PA USD 2853171.21000000 0.087912064339 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A 31398F7A3 676514.93000000 PA USD 782120.60000000 0.024098741872 Long ABS-MBS USGSE US N 2 2049-12-25 Fixed 6.00000000 N N N N N N Seasoned Credit Risk Transfer Trust N/A Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D 35563PLQ0 2935545.04000000 PA USD 3192597.80000000 0.098370494633 Long ABS-MBS USGSE US N 3 2058-10-25 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4002, Class CY 3137ALZ93 4819000.00000000 PA USD 5548475.64000000 0.170959928986 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140JG3R4 3205740.77000000 PA USD 3382603.44000000 0.104224958603 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 1994-37, Class L 31359GP34 112587.34000000 PA USD 120647.27000000 0.003717390153 Long ABS-MBS USGSE US N 2 2024-03-25 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, STRIPS, Series 278, Class 3 31364JGK3 136293.91000000 PA USD 138039.54000000 0.004253281709 Long ABS-MBS USGSE US N 2 2023-11-25 Floating 2.58112800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2017-M7, Class A2 3136AV7G8 4394000.00000000 PA USD 4844527.81000000 0.149269850695 Long ABS-MBS USGSE US N 2 2027-02-25 Variable 2.96100000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140J5GT0 4452100.17000000 PA USD 5043972.87000000 0.155415162580 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138LHEH3 6832000.00000000 PA USD 7576391.22000000 0.233444172595 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 3.01000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140Q75X1 5132298.68000000 PA USD 5570467.29000000 0.171637536885 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 1993-205, Class H 31359EK34 3775.23000000 PA USD 3724.70000000 0.000114765656 Long ABS-MBS USGSE US N 2 2023-09-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class APO 31393RGJ3 681233.84000000 PA USD 657218.44000000 0.020250249820 Long ABS-MBS USGSE US N 2 2043-05-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA 31359MFP3 10000000.00000000 PA USD 8673820.40000000 0.267258219344 Long DBT USGA US N 2 2030-05-15 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203G6A6 7052.22000000 PA USD 7749.58000000 0.000238780474 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2480, Class EJ 31392TF85 249168.89000000 PA USD 271639.49000000 0.008369770533 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3181, Class OP 31396URH5 1041584.55000000 PA USD 973274.83000000 0.029988596259 Long ABS-MBS USGSE US N 2 2036-07-15 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4458, Class BW 3137BHE52 10000000.00000000 PA USD 11148395.00000000 0.343504944632 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810RZ3 35000000.00000000 PA USD 45700976.65000000 1.408140943498 Long DBT UST US N 2 2047-11-15 Fixed 2.75000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4336, Class YB 3137BAZY1 2624474.00000000 PA USD 2807651.52000000 0.086509509209 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2002-92, Class FB 31392HBQ5 296123.25000000 PA USD 297695.78000000 0.009172618338 Long ABS-MBS USGSE US N 2 2030-04-25 Floating 0.81825100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4365, Class HZ 3137BCP85 6571712.48000000 PA USD 7048135.35000000 0.217167524398 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2016-45, Class PC 3136ASZB5 9900142.40000000 PA USD 10560552.19000000 0.325392300444 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31292GZF6 96203.45000000 PA USD 109344.20000000 0.003369119354 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36205W3V6 6782.01000000 PA USD 6811.91000000 0.000209888936 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 8.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC Trust, Whole Loan, Series 2002-W7, Class A4 31392DD41 825697.63000000 PA USD 956383.93000000 0.029468152942 Long ABS-MBS USGSE US N 2 2029-06-25 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4606, Class KP 3137BR4Y8 20341866.30000000 PA USD 21521670.14000000 0.663126854567 Long ABS-MBS USGSE US N 2 2046-07-15 Fixed 2.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810SR0 10000000.00000000 PA USD 9896875.00000000 0.304943043272 Long DBT UST US N 2 2040-05-15 Fixed 1.12500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 1633, Class Z 3133T2T67 86578.22000000 PA USD 91956.40000000 0.002833365528 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2095, Class PE 3133TGWC9 142337.26000000 PA USD 160918.79000000 0.004958238387 Long ABS-MBS USGSE US N 2 2028-11-15 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4748, Class HE 3137FCZZ0 6567000.00000000 PA USD 7152465.12000000 0.220382138866 Long ABS-MBS USGSE US N 2 2048-01-15 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3737, Class DG 3137GAU39 1561608.60000000 PA USD 1670315.77000000 0.051465859084 Long ABS-MBS USGSE US N 2 2030-10-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A 31392GWB7 241233.03000000 PA USD 269746.94000000 0.008311457181 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 5.75988800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K069, Class A2 3137FBU79 3000000.00000000 PA USD 3395928.60000000 0.104635534147 Long ABS-MBS USGSE US N 2 2027-09-25 Variable 3.18700100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31371FJU7 13906.66000000 PA USD 15475.16000000 0.000476821459 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, 30 Year 36202CSM6 12089.98040000 PA USD 13890.40000000 0.000427991749 Long ABS-MBS USGA US N 2 2026-11-20 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3798, Class AY 3137A66S6 2545819.57000000 PA USD 2672937.18000000 0.082358683740 Long ABS-MBS USGSE US N 2 2026-01-15 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810EL8 3635000.00000000 PA USD 4049333.22000000 0.124768272341 Long DBT UST US N 2 2021-11-15 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K086, Class A1 3137FKSG2 2715538.00000000 PA USD 3026890.45000000 0.093264710878 Long ABS-MBS USGSE US N 2 2028-12-25 Fixed 3.67100000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3085, Class VS 31396FSL8 303023.05000000 PA USD 532011.48000000 0.016392366253 Long ABS-MBS USGSE US N 2 2035-12-15 Floating 27.98547800 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828K74 20000000.00000000 PA USD 21708593.80000000 0.668886356404 Long DBT UST US N 2 2025-08-15 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140J8ES8 13174957.45000000 PA USD 14929166.14000000 0.459998267761 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4974, Class PH 3137FTE29 4940457.70000000 PA USD 5016247.78000000 0.154560895620 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 1.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2018-M8, Class A2 3136B2GX4 9930000.00000000 PA USD 11267614.69000000 0.347178348114 Long ABS-MBS USGSE US N 2 2028-06-25 Variable 3.32500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140JVSR4 9258893.23000000 PA USD 9761183.93000000 0.300762122746 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N Resolution Funding Corp. N/A Resolution Funding Corp. STRIPS 76116FAB3 15700000.00000000 PA USD 13800158.39000000 0.425211220419 Long DBT USGA US N 2 2030-01-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140H6EN5 3846946.84000000 PA USD 4345826.98000000 0.133903853975 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2012-141, Class PB 3136AAAF2 1400000.00000000 PA USD 1480461.64000000 0.045616063449 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2008-40, Class SA 38375QKS7 2465643.76000000 PA USD 469728.31000000 0.014473293879 Long ABS-MBS USGA US N 2 2038-05-16 Floating 6.21787000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4091, Class PB 3137ATFQ0 3672531.00000000 PA USD 3784473.05000000 0.116607386579 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 15 Year 31417YSA6 785125.74000000 PA USD 831743.70000000 0.025627731491 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31295WDW5 6.61000000 PA USD 6.63000000 0.000000204283 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 9.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4925, Class PA 3137FPBV6 19937772.35000000 PA USD 21437966.11000000 0.660547761506 Long ABS-MBS USGSE US N 2 2049-10-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2001-33, Class ID 31359S6G0 191830.40000000 PA USD 33191.38000000 0.001022694580 Long ABS-MBS USGSE US N 2 2031-07-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2019-M5, Class A2 3136B4KB3 8720000.00000000 PA USD 9811953.28000000 0.302326430681 Long ABS-MBS USGSE US N 2 2029-01-25 Fixed 3.27300000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4188, Class JG 3137B1E65 7151830.40000000 PA USD 7407625.63000000 0.228244158184 Long ABS-MBS USGSE US N 2 2033-04-15 Fixed 2.00000000 N N N N N N JPMorgan U.S. Government Money Market Fund 549300NQ5E5B7ZV4T516 JPMorgan U.S. Government Money Market Fund, Class Institutional 4812C2684 395205225.27000000 NS USD 395205225.27000000 12.17708459600 Long STIV RF US N 1 N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138EHQF2 6604350.30000000 PA USD 6817145.90000000 0.210050265076 Long ABS-MBS USGSE US N 2 2022-01-01 Variable 3.25599800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2004-46, Class QD 31393YU37 385896.02000000 PA USD 527603.52000000 0.016256547953 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 23.32699900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2005-22, Class EH 31394DDD9 3145848.28000000 PA USD 3629187.73000000 0.111822726971 Long ABS-MBS USGSE US N 2 2035-04-25 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2016-28, Class DW 3136AR2V9 4491425.00000000 PA USD 5338164.61000000 0.164479814250 Long ABS-MBS USGSE US N 2 2036-05-25 Fixed 3.50000000 N N N N N N Tennessee Valley Authority 549300HE1ISW43LNKM54 Tennessee Valley Authority 880591EW8 7000000.00000000 PA USD 7072964.29000000 0.217932555028 Long DBT USGA US N 2 2025-05-15 Fixed 0.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3140HUHW9 1700000.00000000 PA USD 1914283.39000000 0.058983002476 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 3.19000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140FHCV7 3266052.25000000 PA USD 3575120.73000000 0.110156811667 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138LMMN0 6646819.21000000 PA USD 7713602.25000000 0.237671926210 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 3.33000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31384JEW5 13603.07000000 PA USD 14062.45000000 0.000433292963 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A 31392W7B0 1092407.60000000 PA USD 1359710.45000000 0.041895471307 Long ABS-MBS USGSE US N 2 2043-09-25 Variable 6.50000200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36204JA48 43.04000000 PA USD 47.30000000 0.000001457410 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 1993-146, Class E 31359DCQ4 19178.61200000 PA USD 18949.69000000 0.000583878864 Long ABS-MBS USGSE US N 2 2023-05-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36207MZJ8 281.98000000 PA USD 286.55000000 0.000008829193 Long ABS-MBS USGA US N 2 2026-08-15 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2915, Class MU 31395LE98 1840409.76000000 PA USD 2135833.25000000 0.065809408644 Long ABS-MBS USGSE US N 2 2035-01-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138WGBN3 3304139.15000000 PA USD 3587588.96000000 0.110540983439 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31403FSR6 850694.88000000 PA USD 976486.11000000 0.030087542390 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203D6H8 985.85000000 PA USD 997.39000000 0.000030731634 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2611, Class QZ 31393QYN6 3073435.26000000 PA USD 3409601.46000000 0.105056823043 Long ABS-MBS USGSE US N 2 2033-05-15 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 1343, Class LA 312911GW4 6771.26000000 PA USD 7169.28000000 0.000220900239 Long ABS-MBS USGSE US N 2 2022-08-15 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4937, Class MD 3137FQA37 48136251.50000000 PA USD 50401894.89000000 1.552985888421 Long ABS-MBS USGSE US N 2 2049-10-25 Fixed 2.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 3128F2U45 2130.35000000 PA USD 2201.29000000 0.000067826265 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K734, Class A2 3137FLN34 5060000.00000000 PA USD 5596860.43000000 0.172450763730 Long ABS-MBS USGSE US N 2 2026-02-25 Fixed 3.20800000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810RD2 45000000.00000000 PA USD 66851367.30000000 2.059827914508 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203XP26 22171.44000000 PA USD 24363.86000000 0.000750700560 Long ABS-MBS USGA US N 2 2024-02-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2003-67, Class SA 31393DNZ0 64218.46000000 PA USD 133790.23000000 0.004122351741 Long ABS-MBS USGSE US N 2 2031-10-25 Floating 44.40637400 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 3132WEJX1 19194790.16000000 PA USD 20988170.92000000 0.646688647989 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31417B6Q5 2312325.50000000 PA USD 2511779.65000000 0.077393089283 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36204TLH5 3257.21000000 PA USD 3269.78000000 0.000100748636 Long ABS-MBS USGA US N 2 2024-03-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA 31386G7J6 17674.99000000 PA USD 17483.94000000 0.000538716096 Long ABS-MBS USGSE US N 2 2040-11-01 Variable 2.13400100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 3132XXQC6 7949574.69000000 PA USD 8966214.71000000 0.276267488505 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 1994-51, Class PV 31359GU53 467970.99000000 PA USD 499065.56000000 0.015377234799 Long ABS-MBS USGSE US N 2 2024-03-25 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36204RME5 6688.98000000 PA USD 7363.97000000 0.000226899038 Long ABS-MBS USGA US N 2 2025-07-15 Fixed 8.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828Z94 25000000.00000000 PA USD 27023437.50000000 0.832647605525 Long DBT UST US N 2 2030-02-15 Fixed 1.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series G92-35, Class EB 31358PHV2 1329.28000000 PA USD 1381.15000000 0.000042556067 Long ABS-MBS USGSE US N 2 2022-07-25 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4206, Class DA 3137B2FD7 5283521.01000000 PA USD 5484487.13000000 0.168988311584 Long ABS-MBS USGSE US N 2 2033-05-15 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31401JEN4 325505.49000000 PA USD 374344.41000000 0.011534320037 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36208VZ32 20552.51000000 PA USD 20566.28000000 0.000633689322 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2004-54, Class FL 31394AGS9 712628.00000000 PA USD 714261.41000000 0.022007860870 Long ABS-MBS USGSE US N 2 2034-07-25 Floating 0.56824900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series W5FX, Class AFX 3137FG6Q3 3436000.00000000 PA USD 3871903.67000000 0.119301303531 Long ABS-MBS USGSE US N 2 2028-04-25 Variable 3.21398300 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31374JNR8 15276.00000000 PA USD 16456.33000000 0.000507053322 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31406JZU0 1439540.11000000 PA USD 1796184.03000000 0.055344118662 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2005-83, Class LA 31394FH65 534929.66000000 PA USD 604149.72000000 0.018615093573 Long ABS-MBS USGSE US N 2 2035-10-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31403NJF5 604016.80000000 PA USD 699561.26000000 0.021554919060 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810EP9 2500000.00000000 PA USD 2970507.80000000 0.091527445642 Long DBT UST US N 2 2023-02-15 Fixed 7.12500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140FHCL9 1804405.01000000 PA USD 1957973.59000000 0.060329187261 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ14, Class A2 3137BYMQ0 5145000.00000000 PA USD 5523591.74000000 0.170193204924 Long ABS-MBS USGSE US N 2 2024-09-25 Fixed 2.81100000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138ET5Z5 4287597.55000000 PA USD 4667937.72000000 0.143828747371 Long ABS-MBS USGSE US N 2 2026-05-01 Variable 2.96600000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138LEXX4 3947574.48000000 PA USD 4211537.22000000 0.129766110688 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 2.36000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K052, Class A2 3137BMTX4 6716000.00000000 PA USD 7460175.11000000 0.229863315580 Long ABS-MBS USGSE US N 2 2025-11-25 Fixed 3.15100000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31292G2S4 27736.40000000 PA USD 31189.91000000 0.000961025179 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36204CHR5 1156.61000000 PA USD 1270.98000000 0.000039161503 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2007-76, Class PE 31396WZ41 1195873.14000000 PA USD 1420309.35000000 0.043762647863 Long ABS-MBS USGSE US N 2 2037-08-25 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K-1511, Class A3 3137FLYK4 10000000.00000000 PA USD 11876866.00000000 0.365950632152 Long ABS-MBS USGSE US N 2 2034-03-25 Fixed 3.54200000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138ETTS5 6549011.43000000 PA USD 7430929.08000000 0.228962185336 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2020-M24, Class A3 3136B9J81 15000000.00000000 PA USD 15059805.00000000 0.464023519322 Long ABS-MBS USGSE US N 2 2037-01-25 Fixed 1.75000000 N N N N N N Resolution Funding Corp. N/A Resolution Funding Corp. STRIPS 76116FAG2 5000000.00000000 PA USD 4993546.60000000 0.153861425644 Long DBT USGA US N 2 2021-01-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140JXQM3 16854329.58000000 PA USD 17775971.85000000 0.547714197973 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3926, Class MW 3137AFC34 6351140.00000000 PA USD 6876472.64000000 0.211878243771 Long ABS-MBS USGSE US N 2 2026-09-15 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2010-4, Class SL 31398GU23 45947.03450000 PA USD 70927.38000000 0.002185418236 Long ABS-MBS USGSE US N 2 2040-02-25 Floating 11.20893800 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 9128284A5 25000000.00000000 PA USD 26671875.00000000 0.821815242921 Long DBT UST US N 2 2023-02-28 Fixed 2.62500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31293KWU6 129.55000000 PA USD 144.22000000 0.000004443714 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4039, Class SA 3137AQR26 6459174.88000000 PA USD 1206608.75000000 0.037178093515 Long ABS-MBS USGSE US N 2 2042-05-15 Floating 6.31636900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K078, Class A2 3137FGR31 5779000.00000000 PA USD 6829192.24000000 0.210421437550 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 3.85400000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828G38 35000000.00000000 PA USD 38051562.50000000 1.172446784467 Long DBT UST US N 2 2024-11-15 Fixed 2.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2012-50, Class HY 3136A52B1 5566000.00000000 PA USD 6640808.52000000 0.204616948267 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2006-81, Class FA 31396KM33 39510.14000000 PA USD 39545.26000000 0.001218470671 Long ABS-MBS USGSE US N 2 2036-09-25 Floating 0.83724800 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZQ6 35000000.00000000 PA USD 34901562.50000000 1.075388815532 Long DBT UST US N 2 2030-05-15 Fixed 0.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828P46 20000000.00000000 PA USD 21383593.80000000 0.658872438974 Long DBT UST US N 2 2026-02-15 Fixed 1.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZC7 25000000.00000000 PA USD 25993164.00000000 0.800902763190 Long DBT UST US N 2 2025-02-28 Fixed 1.12500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140J5EX3 16920855.99000000 PA USD 18575539.90000000 0.572350531611 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2019-42, Class KA 3136B5VN2 21992688.25000000 PA USD 23618376.77000000 0.727730691698 Long ABS-MBS USGSE US N 2 2049-07-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31382JNT4 159674.76000000 PA USD 180053.28000000 0.005547811319 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2013-130, Class GY 3136AHE55 3699000.00000000 PA USD 4373229.68000000 0.134748187437 Long ABS-MBS USGSE US N 2 2034-01-25 Fixed 3.50000000 N N N N N N FFCB N/A FFCB 31331RN68 12824000.00000000 PA USD 17662058.41000000 0.544204290950 Long DBT USGA US N 2 2028-12-07 Fixed 5.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140JVSG8 9039222.64000000 PA USD 9529591.79000000 0.293626293308 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3140HVY57 16000000.00000000 PA USD 17148035.68000000 0.528366195027 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 2.41000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4181, Class VA 3137B0MG6 2009259.60000000 PA USD 2080802.30000000 0.064113792061 Long ABS-MBS USGSE US N 2 2026-05-15 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138WWC64 2775097.61000000 PA USD 3055202.73000000 0.094137070368 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4867, Class WF 3137FL2H6 11084507.77000000 PA USD 11149233.54000000 0.343530781771 Long ABS-MBS USGSE US N 2 2037-04-15 Floating 1.38449900 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2003-21, Class PZ 31392JV63 1639883.70000000 PA USD 1795409.94000000 0.055320267359 Long ABS-MBS USGSE US N 2 2033-03-25 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31419BMJ1 675014.13000000 PA USD 733246.77000000 0.022592838801 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 1993-217, Class H 31359EC74 5116.18000000 PA USD 4977.89000000 0.000153379013 Long ABS-MBS USGSE US N 2 2023-08-25 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 1999, Class PU 3133TBT26 41043.12000000 PA USD 45745.95000000 0.001409526664 Long ABS-MBS USGSE US N 2 2027-10-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203NZB7 50.36000000 PA USD 50.55000000 0.000001557549 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810RM2 31000000.00000000 PA USD 41543632.89000000 1.280044644605 Long DBT UST US N 2 2045-05-15 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K049, Class A2 3137BLMZ8 3519000.00000000 PA USD 3874340.88000000 0.119376398976 Long ABS-MBS USGSE US N 2 2025-07-25 Fixed 3.01000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2015-M13, Class A2 3136AQHL7 4464000.00000000 PA USD 4807196.78000000 0.148119604996 Long ABS-MBS USGSE US N 2 2025-06-25 Variable 2.71000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3140HRTG8 2660000.00000000 PA USD 3109399.02000000 0.095806969362 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.77000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC 3128HDR92 3775.84000000 PA USD 3798.97000000 0.000117054067 Long ABS-MBS USGSE US N 2 2030-04-01 Variable 4.04799800 N Y N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZE3 30000000.00000000 PA USD 30273046.80000000 0.932774741555 Long DBT UST US N 2 2027-03-31 Fixed 0.62500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2882, Class QD 31395JJS6 321522.04000000 PA USD 338406.87000000 0.010427010627 Long ABS-MBS USGSE US N 2 2034-07-15 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4122, Class PY 3137AV2U0 3000000.00000000 PA USD 3345500.70000000 0.103081746988 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203CUQ3 2590.55000000 PA USD 2846.72000000 0.000087713289 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138LGKW5 8287304.90000000 PA USD 9364513.16000000 0.288539881707 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.12000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2019-M21, Class 2A2 3136B6WY5 17000000.00000000 PA USD 17681876.80000000 0.544814936246 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 2.35000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140X5V75 23100538.00000000 PA USD 24442126.69000000 0.753112118411 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K088, Class A2 3137FKZZ2 8700000.00000000 PA USD 10306884.78000000 0.317576286603 Long ABS-MBS USGSE US N 2 2029-01-25 Fixed 3.69000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3188, Class GE 31396UNR7 830473.74000000 PA USD 911612.60000000 0.028088656321 Long ABS-MBS USGSE US N 2 2026-07-15 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203TRW7 5673.43000000 PA USD 5755.64000000 0.000177343088 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC 31337NHS0 37286.55000000 PA USD 37547.02000000 0.001156900793 Long ABS-MBS USGSE US N 2 2027-01-01 Variable 3.77300200 N Y N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2010-117, Class DY 31398NQ72 5000000.00000000 PA USD 5472319.50000000 0.168613401916 Long ABS-MBS USGSE US N 2 2025-10-25 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4061, Class LB 3137ARCM6 3569638.00000000 PA USD 4183055.30000000 0.128888524242 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31292GN77 9142.50000000 PA USD 10036.32000000 0.000309239630 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2927, Class GA 31395MJ91 156386.64000000 PA USD 161315.63000000 0.004970465842 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3413, Class B 31397RCQ7 315414.40000000 PA USD 354935.07000000 0.010936278412 Long ABS-MBS USGSE US N 2 2037-04-15 Fixed 5.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828M80 100000000.00000000 PA USD 104527344.00000000 3.220702129164 Long DBT UST US N 2 2022-11-30 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2013-106, Class PY 3136AGG48 5300000.00000000 PA USD 5900676.56000000 0.181811962621 Long ABS-MBS USGSE US N 2 2033-10-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140QB4R6 16058347.20000000 PA USD 16929336.21000000 0.521627615228 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4156, Class SB 3137AXTU7 1678443.61000000 PA USD 1822453.57000000 0.056153537137 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 5.01584400 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138WFH25 2436834.74000000 PA USD 2645877.56000000 0.081524921278 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2013-50, Class YO 3136AD5U9 4520391.30000000 PA USD 4191484.01000000 0.129148230106 Long ABS-MBS USGSE US N 2 2033-01-25 None 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36223YE97 1814.99000000 PA USD 1822.70000000 0.000056161130 Long ABS-MBS USGA US N 2 2022-07-15 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3341, Class PE 31397JNJ9 1996514.46000000 PA USD 2329903.03000000 0.071789097113 Long ABS-MBS USGSE US N 2 2037-07-15 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203RG29 2399.49000000 PA USD 2636.76000000 0.000081243990 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2064, Class PD 3133TELJ1 170773.60000000 PA USD 197005.67000000 0.006070149269 Long ABS-MBS USGSE US N 2 2028-06-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3699, Class QH 3137A0AV7 2311162.40000000 PA USD 2557473.61000000 0.078801014029 Long ABS-MBS USGSE US N 2 2040-07-15 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31335BPT7 5180470.41000000 PA USD 5824850.53000000 0.179475606919 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2011-29, Class Z 38377QQD2 15865139.52000000 PA USD 18849476.97000000 0.580791095303 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36224SP22 4869.15000000 PA USD 4889.90000000 0.000150667861 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2031, Class PG 3133TCTN8 89928.30000000 PA USD 103994.80000000 0.003204293354 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 7.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZF0 50000000.00000000 PA USD 50474609.50000000 1.555226374884 Long DBT UST US N 2 2025-03-31 Fixed 0.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K048, Class A2 3137BLAC2 6500000.00000000 PA USD 7228087.10000000 0.222712207369 Long ABS-MBS USGSE US N 2 2025-06-25 Variable 3.28399900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140Q9XT5 6153833.90000000 PA USD 6645398.89000000 0.204758386993 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138LNRG8 12449000.00000000 PA USD 14483111.33000000 0.446254403034 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 3.57000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31418DGM8 9193096.55000000 PA USD 9691812.94000000 0.298624660082 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N Resolution Funding Corp. N/A Resolution Funding Corp. STRIPS 76116FAD9 57000000.00000000 PA USD 56981577.03000000 1.755719407389 Long DBT USGA US N 2 2020-07-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2005-58, Class EP 31394ECS5 361448.18000000 PA USD 406180.93000000 0.012515268598 Long ABS-MBS USGSE US N 2 2035-07-25 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138LCT54 6500000.00000000 PA USD 7162124.00000000 0.220679748795 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.10000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 1993-155, Class PJ 31359DH55 398828.55000000 PA USD 427325.69000000 0.013166782077 Long ABS-MBS USGSE US N 2 2023-09-25 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2019-M14, Class AL2 3136B5RA5 10000000.00000000 PA USD 10832821.00000000 0.333781461619 Long ABS-MBS USGSE US N 2 2048-04-25 Fixed 3.07300000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series G92-44, Class ZQ 31358PKY2 298.26000000 PA USD 309.31000000 0.000009530476 Long ABS-MBS USGSE US N 2 2022-07-25 Fixed 8.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31408AV31 343101.10000000 PA USD 391054.83000000 0.012049202394 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 3622A2U91 5183657.27000000 PA USD 5679281.57000000 0.174990328316 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2018-M4, Class A2 3136B1XJ8 15000000.00000000 PA USD 16867494.00000000 0.519722129737 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 3.04499900 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810EM6 3935000.00000000 PA USD 4549997.45000000 0.140194765447 Long DBT UST US N 2 2022-08-15 Fixed 7.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZB9 65000000.00000000 PA USD 67777734.70000000 2.088371196518 Long DBT UST US N 2 2027-02-28 Fixed 1.12500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, STRIPS 31364EAD6 9200000.00000000 PA USD 8748183.86000000 0.269549510262 Long DBT USGA US N 2 2026-05-29 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2010-47, Class MB 31398PNS4 3033046.68000000 PA USD 3496345.17000000 0.107729574888 Long ABS-MBS USGSE US N 2 2039-09-25 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140JG3M5 5074081.53000000 PA USD 5349308.64000000 0.164823184700 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3981, Class PA 3137AKV32 8145591.22000000 PA USD 8400439.07000000 0.258834779143 Long ABS-MBS USGSE US N 2 2031-04-15 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC 3128QS4L7 336032.96000000 PA USD 351393.96000000 0.010827169540 Long ABS-MBS USGSE US N 2 2037-03-01 Variable 3.56500100 N Y N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36206VDM6 13883.54000000 PA USD 13944.55000000 0.000429660222 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2152, Class BD 3133TKX96 60471.46000000 PA USD 67864.66000000 0.002091049543 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4062, Class GY 3137ARFY7 6109000.00000000 PA USD 7278394.55000000 0.224262283217 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2000-8, Class Z 31359XYK9 139464.46000000 PA USD 162026.84000000 0.004992379683 Long ABS-MBS USGSE US N 2 2030-02-20 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31292GMB9 9778.30000000 PA USD 10692.60000000 0.000329460964 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31403ASQ9 373522.49000000 PA USD 435609.67000000 0.013422028513 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZL7 40000000.00000000 PA USD 40135937.60000000 1.236670661834 Long DBT UST US N 2 2025-04-30 Fixed 0.37500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138LMNK5 4903405.50000000 PA USD 5539417.99000000 0.170680844188 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.30000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203N6S2 8152.09000000 PA USD 8446.23000000 0.000260245691 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 8.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140Q8DL6 9779708.03000000 PA USD 10941033.69000000 0.337115716827 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2010-11, Class CB 31398GA33 202969.15000000 PA USD 224753.04000000 0.006925102722 Long ABS-MBS USGSE US N 2 2040-02-25 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, STRIPS, Series 278, Class 1 31364HM95 494166.23000000 PA USD 503293.75000000 0.015507514016 Long ABS-MBS USGSE US N 2 2025-08-25 Floating 2.49500200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2015-51, Class LY 3136APJG8 4428973.00000000 PA USD 4873369.06000000 0.150158508837 Long ABS-MBS USGSE US N 2 2035-07-25 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4170, Class TS 3137AYZG9 3867600.00000000 PA USD 4346218.98000000 0.133915932300 Long ABS-MBS USGSE US N 2 2033-02-15 Floating 5.72455400 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31402JYG6 448946.19000000 PA USD 523710.66000000 0.016136600942 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC Trust, Whole Loan, Series 1999-W4, Class A9 31359VA94 72881.13000000 PA USD 81925.07000000 0.002524279650 Long ABS-MBS USGSE US N 2 2029-02-25 Fixed 6.25000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31283HCS2 14323.54000000 PA USD 16444.29000000 0.000506682345 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 8.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2012-63, Class VA 3136A6UP7 8761779.30000000 PA USD 8997725.25000000 0.277238392953 Long ABS-MBS USGSE US N 2 2023-08-25 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36206JLZ5 13656.11000000 PA USD 13922.09000000 0.000428968183 Long ABS-MBS USGA US N 2 2026-07-15 Fixed 8.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2009-42, Class TX 38374UC74 7867104.51000000 PA USD 8808104.61000000 0.271395791624 Long ABS-MBS USGA US N 2 2039-06-20 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 3622A2N32 501976.19000000 PA USD 549957.05000000 0.016945306118 Long ABS-MBS USGA US N 2 2045-03-15 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36225AA67 2304.49000000 PA USD 2314.91000000 0.000071327131 Long ABS-MBS USGA US N 2 2024-11-15 Fixed 9.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2012-100, Class AY 3136A8PH7 5750000.00000000 PA USD 6445906.98000000 0.198611631563 Long ABS-MBS USGSE US N 2 2032-09-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2015-28, Class GB 3136ANVA2 4000000.00000000 PA USD 4685962.00000000 0.144384112453 Long ABS-MBS USGSE US N 2 2035-05-25 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 31378QDZ1 13779.84000000 PA USD 15312.46000000 0.000471808338 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4594, Class GN 3137BQK22 3346251.35000000 PA USD 3497097.68000000 0.107752761266 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2019-77, Class ZL 3136B7L66 25314066.50000000 PA USD 26748601.99000000 0.824179359052 Long ABS-MBS USGSE US N 2 2050-01-25 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, 30 Year 36202CYH0 46173.89000000 PA USD 52184.46000000 0.001607910380 Long ABS-MBS USGA US N 2 2027-11-20 Fixed 8.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36204GY30 1206.45000000 PA USD 1325.75000000 0.000040849080 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138L77M2 3000000.00000000 PA USD 3383447.16000000 0.104250955349 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 3.30000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3809, Class BC 3137A6EZ1 2065367.05000000 PA USD 2170091.49000000 0.066864975372 Long ABS-MBS USGSE US N 2 2026-02-15 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138L9T85 6500000.00000000 PA USD 7017184.98000000 0.216213879937 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 2.81000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203BU69 2785.15000000 PA USD 3060.56000000 0.000094302138 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2010-68, Class EP 31398TGH8 1480155.38000000 PA USD 1582397.26000000 0.048756909239 Long ABS-MBS USGSE US N 2 2039-12-25 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2012-115, Class ME 3136A9CG1 4562708.85000000 PA USD 4632151.45000000 0.142726098901 Long ABS-MBS USGSE US N 2 2042-03-25 Fixed 1.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31409CVM4 402552.90000000 PA USD 469562.42000000 0.014468182467 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31292HNH3 35830.76000000 PA USD 41184.09000000 0.001268966389 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 3132XXNU9 10083679.61000000 PA USD 10763588.35000000 0.331648261495 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203HRH6 489.83000000 PA USD 538.27000000 0.000016585204 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 6.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 9128282R0 30000000.00000000 PA USD 33714843.60000000 1.038823569141 Long DBT UST US N 2 2027-08-15 Fixed 2.25000000 N N N N N N FNMA/FHLMC N/A FNMA/FHLMC UMBS, Single Family, 30 Year, Series - 01F020679 75000000.00000000 PA USD 76311941.25000000 2.351327626429 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31283GHE0 4827.84000000 PA USD 4881.64000000 0.000150413353 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 8.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36209JCQ2 598.84000000 PA USD 666.05000000 0.000020522368 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138LXN47 3966040.02000000 PA USD 4498276.32000000 0.138601131215 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K046, Class A2 3137BJP64 6026000.00000000 PA USD 6664621.62000000 0.205350678781 Long ABS-MBS USGSE US N 2 2025-03-25 Fixed 3.20500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2688, Class DG 31394K3M4 154540.98000000 PA USD 160093.90000000 0.004932821832 Long ABS-MBS USGSE US N 2 2023-10-15 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31414LYD4 150154.23000000 PA USD 165301.01000000 0.005093263585 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203CT85 10049.91000000 PA USD 11043.69000000 0.000340278768 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 1993-110, Class H 31359BHL4 25024.85000000 PA USD 26511.95000000 0.000816887625 Long ABS-MBS USGSE US N 2 2023-05-25 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140JQG23 2860442.30000000 PA USD 3103699.26000000 0.095631348051 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31296QZU7 57292.32000000 PA USD 63024.58000000 0.001941916738 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.50000000 N N N N N N Resolution Funding Corp. N/A Resolution Funding Corp. STRIPS 76116FAC1 5000000.00000000 PA USD 4378187.90000000 0.134900960378 Long DBT USGA US N 2 2030-04-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2012-47, Class QE 3136A6EU4 1435509.25000000 PA USD 1445371.34000000 0.044534859243 Long ABS-MBS USGSE US N 2 2038-05-25 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36205VMH8 872.07000000 PA USD 887.08000000 0.000027332756 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC 31346VJA8 70.46000000 PA USD 70.46000000 0.000002171017 Long ABS-MBS USGSE US N 2 2030-07-01 Variable 2.27900200 N Y N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4050, Class VE 3137AQM54 5000000.00000000 PA USD 5365175.50000000 0.165312075242 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138WF3S3 1705997.76000000 PA USD 1852287.89000000 0.057072793805 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K158, Class A1 3137FJY52 9224268.83000000 PA USD 10656675.10000000 0.328354044702 Long ABS-MBS USGSE US N 2 2030-07-25 Fixed 3.90000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 1694, Class PK 3133T4NE2 51335.73000000 PA USD 54988.29000000 0.001694302140 Long ABS-MBS USGSE US N 2 2024-03-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2017-M3, Class A2 3136AVYL7 6000000.00000000 PA USD 6482092.20000000 0.199726572503 Long ABS-MBS USGSE US N 2 2026-12-25 Variable 2.48299900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2009-69, Class WM 38373AN69 2072257.13000000 PA USD 2402220.56000000 0.074017348726 Long ABS-MBS USGA US N 2 2039-08-20 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 20 Year 31404ADB7 111023.68000000 PA USD 121070.88000000 0.003730442447 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31292K7A9 666580.73000000 PA USD 741809.98000000 0.022856688887 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36224VT21 104.34000000 PA USD 104.75000000 0.000003227562 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3325, Class JL 31397JE75 2852827.88000000 PA USD 3287871.29000000 0.101306066517 Long ABS-MBS USGSE US N 2 2037-06-15 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140FHCP0 1338346.40000000 PA USD 1452253.84000000 0.044746923202 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC Trust, Whole Loan, Series 2005-W1, Class 1A2 31394CB43 1478010.16000000 PA USD 1776642.70000000 0.054742010154 Long ABS-MBS USGSE US N 2 2044-10-25 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31335GC45 18942.38000000 PA USD 21086.99000000 0.000649733466 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 6.50000000 N N N N N N FFCB N/A FFCB 31331VYY6 10000000.00000000 PA USD 12913760.90000000 0.397899493420 Long DBT USGA US N 2 2026-05-11 Fixed 5.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2017-M4, Class A2 3136AVY52 6387000.00000000 PA USD 6936840.86000000 0.213738312603 Long ABS-MBS USGSE US N 2 2026-12-25 Variable 2.58400100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203SM79 867.07000000 PA USD 876.61000000 0.000027010154 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.00000000 N N N N N N FNMA, Grantor Trust N/A FNMA, Grantor Trust, Series 2017-T1, Class A 3136AV6R5 28959072.65000000 PA USD 31223263.81000000 0.962052879027 Long ABS-O USGSE US N 2 2027-06-25 Fixed 2.89800000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138Y7D25 1138777.10000000 PA USD 1220284.62000000 0.037599475155 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140X5GY3 14690302.93000000 PA USD 15632367.23000000 0.481665337459 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138Y7EU2 1673857.79000000 PA USD 1793673.50000000 0.055266764077 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Indexed Bonds 912810RF7 27500000.00000000 PA USD 40854545.58000000 1.258812449453 Long DBT UST US N 2 2044-02-15 Fixed 1.37500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2016-38, Class NA 3136ASMM5 11485196.20000000 PA USD 11794942.75000000 0.363426408579 Long ABS-MBS USGSE US N 2 2046-01-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31418DJS2 8966966.46000000 PA USD 9453336.69000000 0.291276717077 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140J72K0 7864316.17000000 PA USD 8715009.32000000 0.268527334556 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, 30 Year 36202CS95 18899.15000000 PA USD 21254.41000000 0.000654892020 Long ABS-MBS USGA US N 2 2026-12-20 Fixed 8.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31292GCP9 78.51000000 PA USD 81.25000000 0.000002503479 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 9.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2019-M31, Class A2 3136B7S77 5500000.00000000 PA USD 6032907.65000000 0.185886274058 Long ABS-MBS USGSE US N 2 2034-04-25 Fixed 2.85000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 3622A2P22 3645583.41000000 PA USD 3993832.98000000 0.123058195970 Long ABS-MBS USGA US N 2 2045-08-15 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Class BQ 3137ATCU4 5000000.00000000 PA USD 5135992.00000000 0.158250460948 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2016-M1, Class A2 3136AQV80 19357000.00000000 PA USD 20747750.12000000 0.639280789406 Long ABS-MBS USGSE US N 2 2026-01-25 Variable 2.93900000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828XB1 35000000.00000000 PA USD 38103515.80000000 1.174047572333 Long DBT UST US N 2 2025-05-15 Fixed 2.12500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2020-M8, Class A2 3136B8M97 9700000.00000000 PA USD 10110905.58000000 0.311537764982 Long ABS-MBS USGSE US N 2 2030-02-25 Fixed 1.82100000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA 31363HKT4 7784.76000000 PA USD 7748.98000000 0.000238761987 Long ABS-MBS USGSE US N 2 2029-06-01 Variable 2.31400100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2014-2, Class QB 3136AJBQ8 2745397.00000000 PA USD 3075129.61000000 0.094751058463 Long ABS-MBS USGSE US N 2 2034-02-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140FHCQ8 2811858.70000000 PA USD 3077951.38000000 0.094838002992 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA 31389AZ22 19611.21000000 PA USD 19450.25000000 0.000599302146 Long ABS-MBS USGSE US N 2 2027-11-01 Variable 2.13400100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36223E6S8 17493.52000000 PA USD 18019.36000000 0.000555213486 Long ABS-MBS USGA US N 2 2021-08-15 Fixed 9.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4066, Class VB 3137ARFL5 4651000.00000000 PA USD 4933831.50000000 0.152021480781 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, STRIPS, Series 267, Class 30 3128HXRT4 5255475.38000000 PA USD 5616554.34000000 0.173057573541 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138WDQ38 2323062.47000000 PA USD 2545865.16000000 0.078443333845 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2162, Class TH 3133TLBV9 316079.73000000 PA USD 356824.97000000 0.010994510112 Long ABS-MBS USGSE US N 2 2029-06-15 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4933, Class PA 3137FQJK0 14380093.20000000 PA USD 14920205.19000000 0.459722162489 Long ABS-MBS USGSE US N 2 2049-10-25 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2012-126, Class BE 38378H3C8 4000000.00000000 PA USD 4017566.80000000 0.123789483705 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 2.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multi-Family Structured Pass-Through Certificates, Series K081, Class A2 3137FJEH8 9055000.00000000 PA USD 10804920.40000000 0.332921786836 Long ABS-MBS USGSE US N 2 2028-08-25 Variable 3.89999900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2019-M4, Class A2 3136B35Z9 7500000.00000000 PA USD 8768474.25000000 0.270174698847 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 3.61000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810FF0 20000000.00000000 PA USD 27755468.80000000 0.855202993200 Long DBT UST US N 2 2028-11-15 Fixed 5.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA 31359MEU3 10000000.00000000 PA USD 14505845.10000000 0.446954877174 Long DBT USGA US N 2 2029-05-15 Fixed 6.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2019-M1, Class A2 3136B3XY1 10615000.00000000 PA USD 12270597.14000000 0.378082297153 Long ABS-MBS USGSE US N 2 2028-09-25 Variable 3.55500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2005-116, Class PC 31394VBX7 2557527.10000000 PA USD 2892029.65000000 0.089109372676 Long ABS-MBS USGSE US N 2 2036-01-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31401ALQ8 837831.60000000 PA USD 974207.80000000 0.030017342980 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140Q7N52 9097830.97000000 PA USD 10318983.06000000 0.317949059455 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140Q8QP3 3768114.65000000 PA USD 4088783.77000000 0.125983824804 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Seasoned Credit Risk Transfer Trust N/A Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G 35563PPE3 22961235.51000000 PA USD 24074012.75000000 0.741769771950 Long ABS-MBS USGSE US N 2 2059-08-25 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K067, Class A2 3137FAWS3 6558000.00000000 PA USD 7414783.03000000 0.228464692377 Long ABS-MBS USGSE US N 2 2027-07-25 Fixed 3.19400000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36204HKA7 524.40000000 PA USD 576.26000000 0.000017755754 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4394, Class PL 3137BEUR3 5000000.00000000 PA USD 5787197.00000000 0.178315424333 Long ABS-MBS USGSE US N 2 2044-10-15 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36204TAA2 12358.64000000 PA USD 12520.56000000 0.000385784166 Long ABS-MBS USGA US N 2 2024-04-15 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 3132Y3YZ1 12171851.85000000 PA USD 13405547.91000000 0.413052461146 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138WAGW1 5715883.84000000 PA USD 6292823.03000000 0.193894800686 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138LMK28 4598924.99000000 PA USD 5315003.04000000 0.163766158713 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 3.38500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31298GDX5 302646.63000000 PA USD 346972.10000000 0.010690922953 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203PBQ5 66693.01000000 PA USD 73287.94000000 0.002258151937 Long ABS-MBS USGA US N 2 2024-02-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K-1511, Class A1 3137FLYH1 9791122.40000000 PA USD 11120352.45000000 0.342640896077 Long ABS-MBS USGSE US N 2 2030-10-25 Fixed 3.27900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31419BK61 1160987.56000000 PA USD 1261136.39000000 0.038858202083 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Whole Loan, Series 2009-89, Class A1 31398FW98 236101.03000000 PA USD 249583.44000000 0.007690178338 Long ABS-MBS USGSE US N 2 2035-05-25 Fixed 5.41000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138L5FA3 4238856.46000000 PA USD 4772340.58000000 0.147045613893 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.76500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203V2W9 1308.44000000 PA USD 1313.64000000 0.000040475946 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31385JEL8 156315.40000000 PA USD 184671.57000000 0.005690110318 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2006-3, Class SB 31395BGL1 1610909.72000000 PA USD 183139.98000000 0.005642918885 Long ABS-MBS USGSE US N 2 2035-07-25 Floating 6.53175000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31407HVA1 686536.25000000 PA USD 794465.87000000 0.024479124993 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4002, Class MV 3137AM2Z9 10772640.18000000 PA USD 11318158.06000000 0.348735693141 Long ABS-MBS USGSE US N 2 2030-01-15 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4429, Class HB 3137BG6W4 6292600.00000000 PA USD 7126849.63000000 0.219592873014 Long ABS-MBS USGSE US N 2 2035-01-15 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2015-48, Class DE 3136APKU5 11896734.00000000 PA USD 13000266.72000000 0.400564915385 Long ABS-MBS USGSE US N 2 2044-10-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2019-65, Class PA 3136B7AE1 14466475.65000000 PA USD 14993255.00000000 0.461972977153 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 2.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 1785, Class A 3133T6GV7 512149.29000000 PA USD 542375.37000000 0.016711698988 Long ABS-MBS USGSE US N 2 2023-10-15 Fixed 6.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810SL3 43000000.00000000 PA USD 49156054.58000000 1.514598989974 Long DBT UST US N 2 2050-02-15 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31403RN87 640152.60000000 PA USD 747066.23000000 0.023018644744 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36205H5M7 34241.48000000 PA USD 34817.45000000 0.001072797136 Long ABS-MBS USGA US N 2 2024-03-15 Fixed 7.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 20 Year 31335H4P5 66204.45000000 PA USD 71414.81000000 0.002200436955 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828U57 65000000.00000000 PA USD 69321484.70000000 2.135937304310 Long DBT UST US N 2 2023-11-30 Fixed 2.12500000 N N N N N N Resolution Funding Corp. N/A Resolution Funding Corp. STRIPS 76116FAE7 18300000.00000000 PA USD 18284262.18000000 0.563375666881 Long DBT USGA US N 2 2020-10-15 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3927, Class PC 3137AFE73 3970000.00000000 PA USD 4741442.06000000 0.146093567037 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138Y7EV0 2486069.50000000 PA USD 2699445.74000000 0.083175466913 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 1591, Class E 3133T1VF6 9425.04000000 PA USD 9780.81000000 0.000301366842 Long ABS-MBS USGSE US N 2 2023-10-15 Fixed 10.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31403DRX9 717684.80000000 PA USD 843429.84000000 0.025987805463 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K087, Class A1 3137FKUN4 5340314.84000000 PA USD 5960197.76000000 0.183645933028 Long ABS-MBS USGSE US N 2 2027-10-25 Fixed 3.59100000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 3772, Class PE 3137A4J99 4297000.00000000 PA USD 4909976.93000000 0.151286472490 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3140HUUN4 12000000.00000000 PA USD 13033894.32000000 0.401601050799 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 2.52000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2367, Class ME 31339GK42 225545.00000000 PA USD 253426.69000000 0.007808596763 Long ABS-MBS USGSE US N 2 2031-10-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3138W2WH4 2458879.79000000 PA USD 2635711.61000000 0.081211687481 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2015-41, Class AY 3136ANYY7 4653181.00000000 PA USD 5318753.86000000 0.163881729180 Long ABS-MBS USGSE US N 2 2035-06-25 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, STRIPS, Series 155 31282YA66 9426.97000000 PA USD 838.63000000 0.000025839912 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203ELZ9 662.55000000 PA USD 728.07000000 0.000022433331 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2004-27, Class PD 38374GFZ0 2719057.24000000 PA USD 3034578.27000000 0.093501588400 Long ABS-MBS USGA US N 2 2034-04-20 Fixed 5.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2035, Class PC 3133TDBK1 278778.78000000 PA USD 316670.17000000 0.009757258261 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 6.95000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1 31392GVX0 451920.00000000 PA USD 498183.10000000 0.015350044394 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 5.25200000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2006-51, Class FP 31395DS34 3072668.00000000 PA USD 3066853.28000000 0.094496047739 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 0.51824900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3140HTEY1 12718000.00000000 PA USD 14309645.87000000 0.440909575977 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.47000000 N N N N N N FHLMC Pool N/A FHLMC UMBS, 30 Year 3132ADXW3 5129049.23000000 PA USD 5409568.22000000 0.166679906111 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 2647, Class A 31394GBQ5 102116.00000000 PA USD 109027.81000000 0.003359370728 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 3.25000000 N N N N N N Resolution Funding Corp. N/A Resolution Funding Corp. STRIPS 76116EHK9 15000000.00000000 PA USD 13702149.75000000 0.422191372947 Long DBT USGA US N 2 2028-04-15 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140H2Z84 9045194.06000000 PA USD 10226504.54000000 0.315099606337 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2008-15, Class NB 383742RV7 410366.42000000 PA USD 457587.78000000 0.014099219217 Long ABS-MBS USGA US N 2 2038-02-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 1998-58, Class PC 31359UZG3 348748.82000000 PA USD 397412.71000000 0.012245101733 Long ABS-MBS USGSE US N 2 2028-10-25 Fixed 6.50000000 N N N N N N FFCB N/A FFCB 3133EHHE6 15000000.00000000 PA USD 18454180.05000000 0.568611185404 Long DBT USGA US N 2 2037-04-28 Fixed 3.33000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K-1512, Class A3 3137FMTT9 10000000.00000000 PA USD 11533102.00000000 0.355358557348 Long ABS-MBS USGSE US N 2 2034-04-25 Fixed 3.05900000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, Multifamily Structured Pass-Through Certificates, Series K086, Class A2 3137FKSH0 7320000.00000000 PA USD 8754160.75000000 0.269733670517 Long ABS-MBS USGSE US N 2 2028-11-25 Variable 3.85899800 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 3617N65U9 25896753.41000000 PA USD 27585074.90000000 0.849952807215 Long ABS-MBS USGA US N 2 2050-04-15 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36223Y3H1 7134.74000000 PA USD 7840.26000000 0.000241574511 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 3140JAFA1 13301005.60000000 PA USD 15076759.54000000 0.464545923518 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, STRIPS 31364EAV6 8000000.00000000 PA USD 7371937.68000000 0.227144539155 Long DBT USGA US N 2 2027-10-08 None 0.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4448, Class DY 3137BGYD5 5541618.00000000 PA USD 6215708.17000000 0.191518733484 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 3.00000000 N N N N N N FNMA/FHLMC N/A FNMA/FHLMC UMBS, Single Family, 30 Year 01F022675 75000000.00000000 PA USD 77624441.25000000 2.391768446819 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2015-11, Class AQ 3136AMXV6 6000000.00000000 PA USD 6657726.00000000 0.205138210568 Long ABS-MBS USGSE US N 2 2035-03-25 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31292GMZ6 8085.40000000 PA USD 8777.65000000 0.000270457422 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 8.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138NJBJ6 4543273.20000000 PA USD 5072772.02000000 0.156302523534 Long ABS-MBS USGSE US N 2 2027-06-01 Variable 3.00100000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138EHTV4 2160466.96000000 PA USD 2229123.83000000 0.068683882998 Long ABS-MBS USGSE US N 2 2022-01-01 Variable 3.26000200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Other 3138ER2B5 6670932.73000000 PA USD 7206221.78000000 0.222038491957 Long ABS-MBS USGSE US N 2 2026-12-01 Variable 2.63499800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC, REMIC, Series 4047, Class PB 3137AQSD1 12000000.00000000 PA USD 12890821.20000000 0.397192674153 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 3.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 FHLMC Gold Pools, 30 Year 31292GPB6 1779.99000000 PA USD 1803.40000000 0.000055566457 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36203UND0 6641.07000000 PA USD 6669.65000000 0.000205505613 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 7.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 9128284W7 10000000.00000000 PA USD 10307812.50000000 0.317604871561 Long DBT UST US N 2 2021-08-15 Fixed 2.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2019-71, Class CA 3136B6ZZ9 20038172.70000000 PA USD 20782638.91000000 0.640355784674 Long ABS-MBS USGSE US N 2 2046-07-25 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA I, 30 Year 36225AJ50 1198.36000000 PA USD 1203.54000000 0.000037083539 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 9.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA ACES, Series 2017-M8, Class A2 3136AW7J0 12000000.00000000 PA USD 13207952.40000000 0.406964137695 Long ABS-MBS USGSE US N 2 2027-05-25 Variable 3.06100100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 1993-228, Class G 31359ED65 4540.77000000 PA USD 4475.51000000 0.000137899654 Long ABS-MBS USGSE US N 2 2023-09-25 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA UMBS, 30 Year 31368HJA2 12082.05000000 PA USD 13098.73000000 0.000403598771 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, REMIC, Series 2012-139, Class JA 3136AALT0 5338892.88000000 PA USD 5863006.66000000 0.180651275642 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 3.50000000 N N N N N N 2020-06-30 JPMorgan Trust II Timothy J. Clemens Timothy J. Clemens Treasurer and Principal Financial Officer XXXX