NPORT-P false 0000810893 XXXXXXXX S000038441 C000118566 C000118562 C000200465 C000118565 C000118561 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Mortgage Opportunities and Bond Fund S000038441 549300PFV1F66T7RF111 2021-03-31 2020-09-30 N 28701947281.150002 22870707205.880001 5831240075.270000 0.000000 0.000000 2931379095.140000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 3442490.440000 USD CAD GBP EUR N N/A N/A 000000000 1.000000 NC USD -832.600000 -0.0000143 N/A DIR US N 2 Signature Bank VLP5AP0XK2GM6GKD1007 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2039-01-12 0.000000 USD 0.000000 USD 344080.280000 USD -832.600000 N N N N/A N/A 000000000 1.000000 NC USD -1626.820000 -0.0000279 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2039-01-12 0.000000 USD 0.000000 USD 735350.770000 USD -1626.820000 N N N N/A N/A 000000000 1.000000 NC USD -2287.260000 -0.0000392 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2039-01-12 0.000000 USD 0.000000 USD 1033960.060000 USD -2287.260000 N N N N/A N/A 000000000 1.000000 NC USD -15828.100000 -0.0002714 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 USD-LIBOR-BBA-Bloomberg 1M N/A N/A Y 2038-01-12 0.000000 USD 0.000000 USD 6016641.440000 USD -15828.100000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 18369314.550000 PA USD 16211428.920000 0.2780100 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.29813 N N N N N N ARGENT SECURITIES INC 2006-W1 N/A 040104RF0 3367293.150000 PA USD 3106060.230000 0.0532659 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.33813 N N N N N N ARGENT SECURITIES INC ASSET BACK PASS THR CERTS SER 2003-W4 2003-W4 N/A 040104CL3 90050.410000 PA USD 97684.200000 0.0016752 Long ABS-MBS CORP US N 2 2033-10-25 Floating 2.93813 N N N N N N N/A N/A 000000000 1.000000 NC -82868.290000 -0.0014211 N/A DFE GB N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2880345.400000 USD 2168000.000000 GBP 2020-10-02 -82868.290000 N N N N/A N/A 000000000 -38000000.000000 NC USD -3.800000 -0.0000001 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 0.58000 10/09/20-5Y CME N/A N/A 2025-10-09 0.000000 USD 0.000000 USD N/A USD N/A 0.580000 USD 2020-10-07 XXXX 32296.200000 N N N N/A N/A 000000000 -38000000.000000 NC USD -3.800000 -0.0000001 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 0.08000 10/09/20-5Y CME N/A N/A 2025-10-09 0.000000 USD 0.000000 USD N/A USD N/A 0.080000 USD 2020-10-07 XXXX 32296.200000 N N N N/A N/A 000000000 61000000.000000 NC USD 290988.300000 0.0049902 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 0.58500 08/10/21-5Y CME N/A N/A 2026-08-10 0.000000 USD 0.000000 USD N/A USD N/A 0.590000 USD 2021-08-06 XXXX 31738.300000 N N N N/A N/A 000000000 61000000.000000 NC USD 320231.700000 0.0054917 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Purchased BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.06750 02/10/21-10Y CME N/A N/A 2031-02-10 0.000000 USD 0.000000 USD N/A USD N/A 1.070000 USD 2021-02-08 XXXX 104291.700000 N N N N/A N/A 000000000 115500000.000000 NC USD 222118.050000 0.0038091 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.38100 02/12/21-10Y CME N/A N/A 2031-02-12 0.000000 USD 0.000000 USD N/A USD N/A 1.380000 USD 2021-02-10 XXXX 30099.300000 N N N N/A N/A 000000000 11800000.000000 NC USD 7911.900000 0.0001357 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Call Purchased Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 0.50000 11/09/20-10Y CME N/A N/A 2030-11-09 0.000000 USD 0.000000 USD N/A USD N/A 0.500000 USD 2020-11-05 XXXX -50793.100000 N N N N/A N/A 000000000 14700000.000000 NC USD 13531.350000 0.0002320 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Call Purchased FIRST UNION NATIONAL BANK CHARLOTTE N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 0.53000 11/09/20-10Y CME N/A N/A 2030-11-09 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2020-11-05 XXXX -69523.650000 N N N N/A N/A 000000000 100800000.000000 NC USD 39856.320000 0.0006835 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.41300 08/24/21-5Y CME N/A N/A 2026-08-24 0.000000 USD 0.000000 USD N/A USD N/A 1.410000 USD 2021-08-20 XXXX -15583.680000 N N N N/A N/A 000000000 501000000.000000 NC USD 196792.800000 0.0033748 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.42000 08/25/21-5Y CME N/A N/A 2026-08-25 0.000000 USD 0.000000 USD N/A USD N/A 1.420000 USD 2021-08-23 XXXX -153907.200000 N N N N/A N/A 000000000 236100000.000000 NC USD 203140.440000 0.0034837 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 3.40000 05/21/27-1Y (GLD) CME N/A N/A 2028-05-21 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2027-05-19 XXXX -1130824.560000 N N N N/A N/A 000000000 501100000.000000 NC USD 198185.050000 0.0033987 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.44600 09/02/21-5Y CME N/A N/A 2026-09-02 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-08-31 XXXX -152584.950000 N N N N/A N/A 000000000 469800000.000000 NC USD 178477.020000 0.0030607 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.46100 09/02/21-5Y CME N/A N/A 2026-09-02 0.000000 USD 0.000000 USD N/A USD N/A 1.460000 USD 2021-08-31 XXXX -144510.480000 N N N N/A N/A 000000000 9100000.000000 NC USD 17022.460000 0.0002919 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 0.89500 11/09/20-10Y CME N/A N/A 2030-11-09 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2020-11-05 XXXX -21197.540000 N N N N/A N/A 000000000 18100000.000000 NC USD 66714.790000 0.0011441 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 0.56050 12/09/20-10Y CME N/A N/A 2030-12-09 0.000000 USD 0.000000 USD N/A USD N/A 0.560000 USD 2020-12-07 XXXX -40980.210000 N N N N/A N/A 000000000 169350000.000000 NC USD 268453.620000 0.0046037 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.50000 03/02/21-10Y CME N/A N/A 2031-03-02 0.000000 USD 0.000000 USD N/A USD N/A 1.500000 USD 2021-02-26 XXXX -832321.380000 N N N N/A N/A 000000000 815950000.000000 NC USD 1293443.940000 0.0221813 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.50000 03/02/21-10Y CME N/A N/A 2031-03-02 0.000000 USD 0.000000 USD N/A USD N/A 1.500000 USD 2021-02-26 XXXX -3753391.060000 N N N N/A N/A 000000000 420700000.000000 NC USD 666893.640000 0.0114366 N/A DIR US N 2 BNP Paribas S.A. N/A Put Purchased BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.50000 03/02/21-10Y CME N/A N/A 2031-03-02 0.000000 USD 0.000000 USD N/A USD N/A 1.500000 USD 2021-02-26 XXXX -2656636.360000 N N N N/A N/A 000000000 110700000.000000 NC USD 240263.280000 0.0041203 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.25800 01/21/21-10Y CME N/A N/A 2031-01-21 0.000000 USD 0.000000 USD N/A USD N/A 1.260000 USD 2021-01-19 XXXX -767106.720000 N N N N/A N/A 000000000 1.000000 NC USD -199270.600000 -0.0034173 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Mtge Current Cpns Fnma 30 Year N/A N/A Y 2020-12-04 0.000000 USD 0.000000 USD 145000000.000000 USD -199270.600000 N N N N/A N/A 000000000 1.000000 NC USD -1023545.600000 -0.0175528 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Mtge Current Cpns Fnma 30 Year N/A N/A Y 2020-12-16 0.000000 USD 0.000000 USD 620000000.000000 USD -1023545.600000 N N N N/A N/A 000000000 1.000000 NC USD -1765231.000000 -0.0302720 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Mtge Current Cpns Fnma 30 Year N/A N/A Y 2020-11-18 0.000000 USD 0.000000 USD 1300000000.000000 USD -1765231.000000 N N N N/A N/A 000000000 1.000000 NC USD -1318920.000000 -0.0226182 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Mtge Current Cpns Fnma 30 Year N/A N/A Y 2020-12-18 0.000000 USD 0.000000 USD 750000000.000000 USD -1318920.000000 N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAG1 8335000.000000 PA USD 7810710.160000 0.1339460 Long ABS-MBS CORP US N 2 2035-04-15 Floating 1.40238 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAL0 8500000.000000 PA USD 7792482.950000 0.1336334 Long ABS-MBS CORP US N 2 2035-04-15 Floating 2.25238 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAG4 2200000.000000 PA USD 2052108.300000 0.0351916 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.60238 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAJ8 1600000.000000 PA USD 1453795.520000 0.0249312 Long ABS-MBS CORP US N 2 2035-06-15 Floating 2.00238 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAL3 2300000.000000 PA USD 1920439.970000 0.0329336 Long ABS-MBS CORP US N 2 2035-06-15 Floating 2.90238 N N N N N N ASSET BACKED FUNDING CERT 2004-OPT4 N/A 04542BHB1 205146.640000 PA USD 205608.750000 0.0035260 Long ABS-MBS CORP US N 2 2034-04-25 Floating 0.76813 N N N N N N N/A N/A 000000000 1.000000 NC -56684.570000 -0.0009721 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2030-03-18 89675.840000 EUR 0.000000 EUR 4900000.000000 EUR -146360.410000 N N N N/A N/A 000000000 1.000000 NC -194554.710000 -0.0033364 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2050-03-18 111070.270000 EUR 0.000000 EUR 2000000.000000 EUR -305624.980000 N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BKB7 1368994.710000 PA USD 1352907.930000 0.0232010 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.39813 N N N N N N ASSET BACKED SEC CORP HM EQ 2003-HE6 N/A 04541GGM8 2666459.020000 PA USD 2483915.900000 0.0425967 Long ABS-MBS CORP US N 2 2033-11-25 Floating 1.10813 N N N N N N ASSET BACKED SEC CORP HM EQ 2005-HE5 N/A 04541GSK9 104625.460000 PA USD 107672.590000 0.0018465 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.86813 N N N N N N ASSET BACKED SEC HOME EQTY LN 2007-HE2 N/A 04544TAB7 406239.720000 PA USD 334219.510000 0.0057315 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.22813 N N N N N N ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2 N/A 04541GWC2 1546207.780000 PA USD 1345642.520000 0.0230764 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.39813 N N N N N N N/A N/A 000000000 1.000000 NC USD 44273.860000 0.0007593 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 0.000000 USD 0.000000 USD 8300000.000000 USD 44273.860000 N N N N/A N/A 000000000 1.000000 NC USD 32261.080000 0.0005532 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 0.000000 USD 0.000000 USD 6200000.000000 USD 32261.080000 N N N N/A N/A 000000000 1.000000 NC USD -288093.150000 -0.0049405 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-17 151393.150000 USD 0.000000 USD 17850000.000000 USD -439486.300000 N N N N/A N/A 000000000 1.000000 NC USD -3845875.070000 -0.0659530 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-06-19 0.000000 USD -3507739.100000 USD 163500000.000000 USD -338135.970000 N N N N/A N/A 000000000 1.000000 NC USD -12740664.560000 -0.2184898 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 0.000000 USD -18024707.780000 USD 517400000.000000 USD 5284043.220000 N N N N/A N/A 000000000 1.000000 NC USD -9875343.360000 -0.1693524 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-16 0.000000 USD -10382603.800000 USD 307880000.000000 USD 507260.440000 N N N N/A N/A 000000000 1.000000 NC USD -31753270.290000 -0.5445372 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 0.000000 USD -24760958.320000 USD 573200000.000000 USD -6992311.970000 N N N N/A N/A 000000000 1.000000 NC USD -196630.680000 -0.0033720 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 70518.610000 USD 0.000000 USD 4230000.000000 USD -267149.290000 N N N N/A N/A 000000000 1.000000 NC USD -2736821.950000 -0.0469338 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-17 0.000000 USD -2447869.920000 USD 50500000.000000 USD -288952.030000 N N N N/A N/A 000000000 1.000000 NC USD -2745497.620000 -0.0470826 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-04-29 0.000000 USD -237000.000000 USD 39500000.000000 USD -2508497.620000 N N N N/A N/A 000000000 1.000000 NC USD -1666694.180000 -0.0285822 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-21 2107740.890000 USD 0.000000 USD 23300000.000000 USD -3774435.070000 N N N N/A N/A 000000000 1.000000 NC USD -3046694.150000 -0.0522478 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-12-20 277965.940000 USD 0.000000 USD 153200000.000000 USD -3324660.090000 N N N N/A N/A 000000000 1.000000 NC USD -1697775.050000 -0.0291152 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 61108.240000 USD 0.000000 USD 31100000.000000 USD -1758883.290000 N N N N/A N/A 000000000 1.000000 NC USD -2268166.330000 -0.0388968 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-07 0.000000 USD -75156.740000 USD 25300000.000000 USD -2193009.590000 N N N N/A N/A 000000000 1.000000 NC USD -1436751.000000 -0.0246389 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-02-12 0.000000 USD -232359.360000 USD 11600000.000000 USD -1204391.640000 N N N N/A N/A 000000000 1.000000 NC USD -1144469.390000 -0.0196265 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-03-11 0.000000 USD -8819.120000 USD 9300000.000000 USD -1135650.270000 N N N N/A N/A 000000000 1.000000 NC USD -1752593.840000 -0.0300553 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-06-20 799558.690000 USD 0.000000 USD 32800000.000000 USD -2552152.530000 N N N N/A N/A 000000000 1.000000 NC USD -161152.980000 -0.0027636 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-09-07 75292.300000 USD 0.000000 USD 1500000.000000 USD -236445.280000 N N N N/A N/A 000000000 1.000000 NC USD -6066227.730000 -0.1040298 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-12-20 0.000000 USD -2728933.140000 USD 173500000.000000 USD -3337294.590000 N N N N/A N/A 000000000 1.000000 NC USD -4828482.920000 -0.0828037 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 0.000000 USD -1727293.820000 USD 48500000.000000 USD -3101189.100000 N N N N/A N/A 000000000 1.000000 NC USD 1096176.350000 0.0187983 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 40398.590000 USD 0.000000 USD 7400000.000000 USD 1055777.760000 N N N N/A N/A 000000000 1.000000 NC USD -1525758.970000 -0.0261653 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 167359.530000 USD 0.000000 USD 10300000.000000 USD -1693118.500000 N N N N/A N/A 000000000 1.000000 NC USD -8103997.430000 -0.1389755 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-18 0.000000 USD -3095116.700000 USD 54000000.000000 USD -5008880.730000 N N N N/A N/A 000000000 1.000000 NC USD -1241781.900000 -0.0212953 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-12-21 0.000000 USD -148367.880000 USD 92700000.000000 USD -1093414.020000 N N N N/A N/A 000000000 1.000000 NC USD -10433515.210000 -0.1789245 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-19 0.000000 USD -900086.570000 USD 118400000.000000 USD -9533428.640000 N N N N/A N/A 000000000 1.000000 NC USD -4599912.750000 -0.0788840 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-06-21 0.000000 USD -1582189.140000 USD 161200000.000000 USD -3017723.610000 N N N N/A N/A 000000000 1.000000 NC USD -15168823.020000 -0.2601303 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-06-19 0.000000 USD -5638872.910000 USD 138250000.000000 USD -9529950.110000 N N N N/A N/A 000000000 1.000000 NC USD -62348099.380000 -1.0692082 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-19 0.000000 USD -16069023.160000 USD 399700000.000000 USD -46279076.220000 N N N N/A N/A 000000000 -28000000.000000 NC USD -16002.000000 -0.0002744 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 103.280000 USD 2020-10-07 XXXX 148060.500000 N N N N/A N/A 000000000 220000000.000000 NC USD 2.200000 0.0000000 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% OCT 30YR N/A 75.500000 USD 2020-10-07 XXXX -8591.550000 N N N N/A N/A 000000000 -14000000.000000 NC USD -497.000000 -0.0000085 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 105.320000 USD 2020-10-07 XXXX 19190.500000 N N N N/A N/A 000000000 -26500000.000000 NC USD -24478.050000 -0.0004198 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.950000 USD 2020-11-05 XXXX 82143.040000 N N N N/A N/A 000000000 -13000000.000000 NC USD -15554.500000 -0.0002667 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 102.380000 USD 2020-11-05 XXXX 41320.500000 N N N N/A N/A 000000000 114000000.000000 NC USD 1.140000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 57.500000 USD 2020-10-07 XXXX -4451.980000 N N N N/A N/A 000000000 -29100000.000000 NC USD -1373.520000 -0.0000236 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.980000 USD 2020-10-07 XXXX 94110.860000 N N N N/A N/A 000000000 -20500000.000000 NC USD -20161.750000 -0.0003458 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 102.060000 USD 2020-11-05 XXXX 95150.750000 N N N N/A N/A 000000000 767000000.000000 NC USD 7.670000 0.0000001 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 57.500000 USD 2020-11-05 XXXX -29953.270000 N N N N/A N/A 000000000 -18000000.000000 NC USD -637.200000 -0.0000109 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 103.600000 USD 2020-10-07 XXXX 41550.300000 N N N N/A N/A 000000000 -18000000.000000 NC USD -399.600000 -0.0000069 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.600000 USD 2020-10-07 XXXX 64287.900000 N N N N/A N/A 000000000 -22000000.000000 NC USD -1533.400000 -0.0000263 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.190000 USD 2020-10-07 XXXX 68935.350000 N N N N/A N/A 000000000 -40000000.000000 NC USD -161532.000000 -0.0027701 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 103.030000 USD 2020-11-05 XXXX 19718.000000 N N N N/A N/A 000000000 -9500000.000000 NC USD -44552.150000 -0.0007640 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 1.5% NOV 30YR N/A 99.940000 USD 2020-11-05 XXXX 20760.350000 N N N N/A N/A 000000000 443250000.000000 NC USD 4.430000 0.0000001 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% NOV 30YR N/A 60.000000 USD 2020-11-05 XXXX -17310.020000 N N N N/A N/A 000000000 597500000.000000 NC USD 5.980000 0.0000001 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 72.000000 USD 2020-10-07 XXXX -23333.860000 N N N N/A N/A 000000000 -12500000.000000 NC USD -11277.500000 -0.0001934 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 103.920000 USD 2020-11-05 XXXX 14113.130000 N N N N/A N/A 000000000 23000000.000000 NC USD 0.230000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 57.500000 USD 2020-11-05 XXXX -898.210000 N N N N/A N/A 000000000 -5000000.000000 NC USD -8678.000000 -0.0001488 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 104.090000 USD 2020-12-07 XXXX 697.000000 N N N N/A N/A 000000000 -29000000.000000 NC USD -171732.200000 -0.0029450 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Call Written UMBS PASS THRU POOLS FNMA TBA 1.5% DEC 30YR N/A 101.170000 USD 2020-12-07 XXXX 55963.110000 N N N N/A N/A 000000000 -10000000.000000 NC USD -202.000000 -0.0000035 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.550000 USD 2020-10-07 XXXX 45110.500000 N N N N/A N/A 000000000 -28000000.000000 NC USD -58161.600000 -0.0009974 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 103.280000 USD 2020-10-07 XXXX 81838.400000 N N N N/A N/A 000000000 190000000.000000 NC USD 1.900000 0.0000000 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.5% NOV 30YR N/A 75.500000 USD 2020-11-05 XXXX -7419.980000 N N N N/A N/A 000000000 52000000.000000 NC USD 0.520000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 4.5% NOV 30YR N/A 68.000000 USD 2020-11-05 XXXX -2030.730000 N N N N/A N/A 000000000 120000000.000000 NC USD 1.200000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 57.500000 USD 2020-10-07 XXXX -4686.300000 N N N N/A N/A 000000000 -12500000.000000 NC USD -113510.000000 -0.0019466 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 102.440000 USD 2020-11-05 XXXX -21713.120000 N N N N/A N/A 000000000 -21100000.000000 NC USD -1346.180000 -0.0000231 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.140000 USD 2020-10-07 XXXX 64591.320000 N N N N/A N/A 000000000 -12250000.000000 NC USD -45130.230000 -0.0007739 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 103.100000 USD 2020-10-07 XXXX -12112.650000 N N N N/A N/A 000000000 -5500000.000000 NC USD -22309.100000 -0.0003826 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 1.5% NOV 30YR N/A 99.480000 USD 2020-11-05 XXXX 18081.530000 N N N N/A N/A 000000000 -20500000.000000 NC USD -78180.850000 -0.0013407 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 103.060000 USD 2020-11-05 XXXX 17912.900000 N N N N/A N/A 000000000 -12500000.000000 NC USD -51085.000000 -0.0008761 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 101.940000 USD 2020-12-07 XXXX -4210.000000 N N N N/A N/A 000000000 -23800000.000000 NC USD -378.420000 -0.0000065 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.440000 USD 2020-10-07 XXXX 100027.830000 N N N N/A N/A 000000000 -13000000.000000 NC USD -26889.200000 -0.0004611 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 103.380000 USD 2020-11-05 XXXX 9673.300000 N N N N/A N/A 000000000 -5000000.000000 NC USD -21532.000000 -0.0003693 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 102.090000 USD 2020-12-07 XXXX -2782.000000 N N N N/A N/A 000000000 50000000.000000 NC USD 0.500000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 57.500000 USD 2020-10-07 XXXX -1952.630000 N N N N/A N/A 000000000 30000000.000000 NC USD 0.300000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 60.000000 USD 2020-10-07 XXXX -1171.580000 N N N N/A N/A 000000000 280000000.000000 NC USD 2.800000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 77.000000 USD 2020-11-05 XXXX -10934.700000 N N N N/A N/A 000000000 -16900000.000000 NC USD -750.360000 -0.0000129 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.950000 USD 2020-10-07 XXXX 54702.770000 N N N N/A N/A 000000000 -21900000.000000 NC USD -1239.540000 -0.0000213 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.080000 USD 2020-10-07 XXXX 70619.840000 N N N N/A N/A 000000000 -22800000.000000 NC USD -1940.280000 -0.0000333 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.290000 USD 2020-10-07 XXXX 69309.720000 N N N N/A N/A 000000000 -23000000.000000 NC USD -54544.500000 -0.0009354 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Call Written UMBS PASS THRU POOLS FNMA TBA 1.5% NOV 30YR N/A 102.220000 USD 2020-11-05 XXXX 96393.000000 N N N N/A N/A 000000000 -14600000.000000 NC USD -0.150000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 103.970000 USD 2020-10-07 XXXX 28515.480000 N N N N/A N/A 000000000 -3400000.000000 NC USD -383.520000 -0.0000066 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 104.480000 USD 2020-10-07 XXXX 5858.670000 N N N N/A N/A 000000000 -12500000.000000 NC USD -26028.750000 -0.0004464 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 103.940000 USD 2020-12-07 XXXX -638.120000 N N N N/A N/A 000000000 110000000.000000 NC USD 1.100000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 57.500000 USD 2020-10-07 XXXX -4295.780000 N N N N/A N/A 000000000 -12500000.000000 NC USD -11345.000000 -0.0001946 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.920000 USD 2020-11-05 XXXX 25764.380000 N N N N/A N/A 000000000 -26500000.000000 NC USD -23844.700000 -0.0004089 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.910000 USD 2020-11-05 XXXX 82776.390000 N N N N/A N/A 000000000 907000000.000000 NC USD 9.070000 0.0000002 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 15YR N/A 65.000000 USD 2020-10-13 XXXX -35420.620000 N N N N/A N/A 000000000 242000000.000000 NC USD 2.420000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 71.000000 USD 2020-11-05 XXXX -9450.710000 N N N N/A N/A 000000000 200000000.000000 NC USD 2.000000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 72.000000 USD 2020-10-07 XXXX -7810.500000 N N N N/A N/A 000000000 -12500000.000000 NC USD -15612.500000 -0.0002677 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 102.440000 USD 2020-11-05 XXXX 76184.380000 N N N N/A N/A 000000000 -8900000.000000 NC USD -314.170000 -0.0000054 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.840000 USD 2020-10-07 XXXX 29236.610000 N N N N/A N/A 000000000 -24000000.000000 NC USD -58408.800000 -0.0010017 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Call Written UMBS PASS THRU POOLS FNMA TBA 1.5% NOV 30YR N/A 102.140000 USD 2020-11-05 XXXX 125341.200000 N N N N/A N/A 000000000 -3400000.000000 NC USD -408.340000 -0.0000070 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 104.500000 USD 2020-10-07 XXXX 5966.660000 N N N N/A N/A 000000000 -28800000.000000 NC USD -206317.440000 -0.0035381 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 1.5% DEC 30YR N/A 99.220000 USD 2020-12-07 XXXX 5182.560000 N N N N/A N/A 000000000 -3000000.000000 NC USD -3260.400000 -0.0000559 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% NOV 30YR N/A 103.970000 USD 2020-11-05 XXXX 7052.100000 N N N N/A N/A 000000000 20000000.000000 NC USD 0.200000 0.0000000 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 65.000000 USD 2020-10-07 XXXX -781.050000 N N N N/A N/A 000000000 907900000.000000 NC USD 9.080000 0.0000002 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 65.000000 USD 2020-10-07 XXXX -35455.760000 N N N N/A N/A 000000000 282700000.000000 NC USD 2.830000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% OCT 30YR N/A 73.000000 USD 2020-10-07 XXXX -11040.140000 N N N N/A N/A 000000000 -4051.000000 NC USD -1003684.500000 -0.0172122 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-12-21 -565241093.750000 USD -1003684.500000 N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RJFJ5 17700000.000000 PA 22649615.990000 0.3884185 Long ABS-MBS CORP GB N 2 2048-09-20 Floating 1.559 N N N N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RJGQ8 17700000.000000 PA 22583382.370000 0.3872827 Long ABS-MBS CORP GB N 2 2048-09-20 Floating 2.059 N N N N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RMTJ3 13100000.000000 PA 16717635.460000 0.2866909 Long ABS-MBS CORP GB N 2 2048-09-20 Floating 2.559 N N N N N N AYRESOME CDO I LTD N/A 05473WAA4 696463.910000 PA USD 692354.770000 0.0118732 Long ABS-CBDO CORP KY N 2 2045-12-08 Floating 0.518 N N N N N N AYRESOME CDO I LTD N/A 05473WAE6 2923004.670000 PA USD 2762239.410000 0.0473697 Long ABS-CBDO CORP KY N 2 2045-12-08 Floating 0.578 N N N N N N B&M CLO LTD 2014-1A N/A 05509RAJ4 421863.500000 PA USD 422214.770000 0.0072406 Long ABS-CBDO CORP KY N 2 2026-04-16 Floating 1.00088 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2006-5 N/A 05950BBB9 2454824.590000 PA USD 2148761.720000 0.0368491 Long ABS-MBS CORP US N 2 2046-06-25 Fixed 6 Y N N N N N BANC OF AMERICA ALT LOAN TRUST 2007-2 N/A 059475AQ6 507033.500000 PA USD 120182.560000 0.0020610 Long ABS-O CORP US N 2 2037-06-25 Floating 6.49187 Y N N N N N BANC OF AMERICA ALT LOAN TRUST 2007-2 N/A 059475AS2 471564.690000 PA USD 331420.710000 0.0056835 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.50813 Y N N N N N BANC OF AMERICA COMM MRTG INC 2007-4 N/A 059513AW1 3019122.910000 PA USD 2943150.300000 0.0504721 Long ABS-MBS CORP US N 2 2051-02-10 Variable 6.06125 N N N N N N BANC OF AMERICA COMM MRTG INC 2007-5 N/A 05952CAH3 3411186.800000 PA USD 3617560.870000 0.0620376 Long ABS-MBS CORP US N 2 2051-02-10 Variable 6.01588 Y N N N N N BANC OF AMERICA FUND CORP 2006-5 N/A 05950NBC1 22853.000000 PA USD 24485.440000 0.0004199 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AG9 1150957.190000 PA USD 1090606.060000 0.0187028 Long ABS-MBS CORP US N 2 2036-02-20 Floating 3.46571 Y N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 279467.960000 PA USD 272219.710000 0.0046683 Long ABS-MBS CORP US N 2 2047-01-20 Floating 4.19876 Y N N N N N BANC OF AMERICA FUNDING TRUST 2014-R2 N/A 05968KAG9 35956287.410000 PA USD 31502651.760000 0.5402393 Long ABS-MBS CORP US N 2 2037-05-26 Floating 0.35475 N N N N N N BANC OF AMERICA FUNDING TRUST 2015-R4 N/A 05990RCF6 3846553.620000 PA USD 3741513.090000 0.0641632 Long ABS-MBS CORP US N 2 2035-01-27 Floating 0.341551 N N N N N N BANC OF AMERICA FUNDING TRUST 2015-R4 N/A 05990RCG4 3846553.620000 PA USD 3643333.270000 0.0624796 Long ABS-MBS CORP US N 2 2035-01-27 Floating 0.341551 N N N N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1FC9D3 2400000.000000 PA 2832718.380000 0.0485783 Long DBT CORP IT N 2 2022-05-25 Floating 1.013 N N N N N N BANCO LA HIPOTECARIA SA N/A 059605AB1 15000000.000000 PA USD 15390000.000000 0.2639233 Long DBT CORP PA N 2 2022-11-15 Fixed 4.75 N N N N N N BANCO LA HIPOTECARIA SA 2016-1A N/A 50346VAA7 6923848.880000 PA USD 7577465.060000 0.1299460 Long ABS-MBS CORP PA N 3 2046-01-15 Fixed 3.3575 N N N N N N BANK OF AMERICA MTGE SECS-2006-B N/A 05950TAC9 127746.210000 PA USD 122591.550000 0.0021023 Long ABS-MBS CORP US N 2 2046-11-20 Floating 3.64535 Y N N N N N BANK OF AMERICA MTGE SECURITIES 2004-4 N/A 05949ADG2 40343.590000 PA USD 40036.530000 0.0006866 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.7935 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AHG8 74235.840000 PA USD 76852.850000 0.0013180 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.82723 N N N N N N BANK OF AMERICA MTGE SECURITIES 2005-C N/A 05949AY79 4128972.950000 PA USD 4069661.910000 0.0697907 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.95147 Y N N N N N BARINGS BDC STATIC CLO LTD 2019-1A N/A 06761QAA6 9316004.950000 PA USD 9312591.850000 0.1597017 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.295 N N N N N N BAYVIEW FINANCIAL ASSET TR 2007-SR1A N/A 07325QAA3 5566207.280000 PA USD 5126352.780000 0.0879119 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.927 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-SBR1 N/A 07333YAA6 1574179.560000 PA USD 1579403.950000 0.0270852 Long ABS-MBS CORP US N 2 2034-06-28 Fixed 3.4748 N N N N N N BBCMS TRUST 2018-CBM N/A 05549RAG2 10600000.000000 PA USD 9330292.780000 0.1600053 Long ABS-MBS CORP US N 2 2037-07-15 Floating 2.54348 N N N N N N BCAP LLC TRUST 2011-R11 N/A 05533FLT6 6036546.820000 PA USD 5724090.330000 0.0981625 Long ABS-MBS CORP US N 2 2036-02-26 Variable 3.46571 N N N N N N BCAP LLC TRUST 2012-RR11 N/A 05542AAB7 3749936.100000 PA USD 3319662.810000 0.0569289 Long ABS-MBS CORP US N 2 2037-01-26 Floating 0.34513 N N N N N N BEAR STEARNS COMM MTGE SEC 2006-T24 N/A 07388NAH9 3598316.820000 PA USD 3684316.590000 0.0631824 Long ABS-MBS CORP US N 2 2041-10-12 Variable 5.657 Y N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 2918447.530000 PA USD 2424197.060000 0.0415726 Long ABS-MBS CORP US N 2 2036-01-26 Floating 3.07203 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-4 N/A 073882AC6 347409.350000 PA USD 330574.070000 0.0056690 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.28072 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-2 N/A 07401EAC3 655428.090000 PA USD 569521.260000 0.0097667 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.91825 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-2 N/A 07401EAE9 2834341.310000 PA USD 2576025.110000 0.0441763 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.94325 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-4 N/A 07401CAD5 4365824.960000 PA USD 4184527.090000 0.0717605 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.07837 N N N N N N BEAR STEARNS ALT-A TR 2005-3 N/A 07386HRX1 80395.300000 PA USD 72504.900000 0.0012434 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.82647 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 1183016.600000 PA USD 1350460.530000 0.0231591 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.64813 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 637247.990000 PA USD 503228.560000 0.0086299 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.25119 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 1026494.310000 PA USD 930228.030000 0.0159525 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.59386 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AA3 7005409.700000 PA USD 6233476.600000 0.1068980 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.46813 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 38507.550000 PA USD 36052.790000 0.0006183 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.46813 N N N N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 7347349.730000 PA USD 6173086.740000 0.1058623 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.42548 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC2 N/A 07387UGS4 7629157.790000 PA USD 5928586.480000 0.1016694 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC4 N/A 07384YKJ4 177603.870000 PA USD 106627.820000 0.0018286 Long ABS-MBS CORP US N 2 2033-09-25 Floating 2.44813 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE5 N/A 073879CC0 5236820.470000 PA USD 5112381.570000 0.0876723 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.00313 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12 N/A 0738795R5 60036.800000 PA USD 59469.350000 0.0010198 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.64813 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12 N/A 0738795T1 5089904.020000 PA USD 3767879.330000 0.0646154 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.86813 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10 N/A 07389RAB2 3272431.990000 PA USD 3272959.510000 0.0561280 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.34813 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE6 N/A 07388UAC4 10308000.000000 PA USD 9962327.400000 0.1708441 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.38813 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAB3 2876751.530000 PA USD 2720386.560000 0.0466519 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.29813 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAF9 17285493.500000 PA USD 7755034.670000 0.1329912 Long ABS-MBS CORP US N 2 2046-09-25 Fixed 6.5 N N N N N N BEAR STEARNS COMM MTGE SEC 2005-PWR8 N/A 07383F6U7 110562.380000 PA USD 112291.280000 0.0019257 Long ABS-MBS CORP US N 2 2041-06-11 Variable 5.312 N N N N N N BEAR STEARNS MORTGAGE FUNDING TRUST2006-AR2 N/A 07401AAX5 120340.930000 PA USD 116688.330000 0.0020011 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.37813 Y N N N N N BENEFIT STREET PARTNERS CLO IV LTD 2014-IVA N/A 08180FAW1 8000000.000000 PA USD 7962405.920000 0.1365474 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.52175 N N N N N N BENEFIT STREET PARTNERS CLO LTD 2015-VIIA N/A 08180RAN5 819817.720000 PA USD 816901.210000 0.0140090 Long ABS-CBDO CORP KY N 2 2027-07-18 Floating 1.05175 N N N N N N BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A N/A ACI0ZL547 244413.680000 PA 286502.620000 0.0049132 Long ABS-CBDO CORP IE N 2 2029-10-03 Floating 0.65 N N N N N N BNC MORTGAGE LOAN TRUST 2007-1 N/A 05569GAE6 29581000.000000 PA USD 23993314.750000 0.4114616 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.36813 N N N N N N BNC MORTGAGE LOAN TRUST 2007-2 N/A 05569QAD6 10000000.000000 PA USD 7796227.000000 0.1336976 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.43813 N N N N N N BNPP AM EURO CLO 2017 BV 17-1A N/A ACI1G3M70 250000.000000 PA 291361.270000 0.0049966 Long ABS-CBDO CORP NL N 2 2031-10-15 Floating 0.65 N N N N N N BUSINESS LOAN EXPRESS BUSINESS LOAN TRUST 2005-AA N/A 12328MAN1 2954939.160000 PA USD 2451745.230000 0.0420450 Long ABS-O CORP US N 2 2038-09-25 Floating 0.43813 N N N N N N BX TRUST 2018-IND N/A 056059AA6 23153998.590000 PA USD 23196106.450000 0.3977903 Long ABS-MBS CORP US N 2 2035-11-15 Floating 0.90238 N N N N N N BXP TRUST 2017-GM N/A 056083AA6 10300000.000000 PA USD 11505107.210000 0.1973012 Long ABS-MBS CORP US N 2 2039-06-13 Fixed 3.379 N N N N N N C-BASS CBO XV LTD 15A N/A 124670AA8 248639703.310000 PA USD 10776790.660000 0.1848113 Long ABS-CBDO CORP KY N 2 2041-02-16 Floating 0.65563 Y N N N N N C-BASS LTD 12A N/A 12498CAA5 18599421.890000 PA USD 3686405.420000 0.0632182 Long ABS-CBDO CORP KY N 2 2034-12-15 Floating 0.59038 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2016-2 DAC 16-2A N/A ACI1C3JN3 3800000.000000 PA 4460227.540000 0.0764885 Long ABS-CBDO CORP IE N 2 2030-01-18 Floating 0.87 N N N N N N CARRINGTON MTGE LOAN TRUST 2007-RFC1 N/A 144526AD2 11809000.000000 PA USD 9272368.940000 0.1590120 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.36813 N N N N N N CASTLE PARK CLO DAC CASPK-1A N/A ACI0SRCZ5 310737.580000 PA 363166.240000 0.0062279 Long ABS-CBDO CORP IE N 2 2028-01-15 Floating 0.565 N N N N N N CATAMARAN CLO LTD 2013-1A N/A 14889EAL0 6050441.600000 PA USD 5991526.150000 0.1027487 Long ABS-CBDO CORP KY N 2 2028-01-27 Floating 1.0945 N N N N N N CBAM LTD 2017-2A N/A 12481KAA6 14100000.000000 PA USD 14078317.020000 0.2414292 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 1.51288 N N N N N N CD 2017-CD5 MORTGAGE TRUST N/A 12515HAZ8 4600000.000000 PA USD 5202682.800000 0.0892209 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 3.431 N N N N N N CENT CLO 2018-27A N/A 19736RAC5 4420000.000000 PA USD 4403032.020000 0.0755076 Long ABS-CBDO CORP KY N 2 2028-10-25 Floating 1.3945 N N N N N N CENT CLO LP 2013-19A N/A 12518XAA5 724494.580000 PA USD 724664.830000 0.0124273 Long ABS-CBDO CORP KY N 2 2025-10-29 Floating 1.59963 N N N N N N CENT CLO LTD 2015-24A N/A 15137KAE9 4254765.000000 PA USD 4240003.480000 0.0727119 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 1.345 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AU2 71263.110000 PA USD 70845.070000 0.0012149 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.36199 N N N N N N CHASEFLEX TRUST 2007-1 N/A 16165VAD0 5437283.740000 PA USD 1558892.080000 0.0267335 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.49813 N N N N N N CHASEFLEX TRUST 2007-2 N/A 16165WAB2 2040368.050000 PA USD 1912119.900000 0.0327910 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.48813 N N N N N N CHASEFLEX TRUST 2007-2 N/A 16165WAC0 8700000.000000 PA USD 7443904.440000 0.1276556 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.54813 N N N N N N CHASEFLEX TRUST 2007-M1 N/A 16165YAA0 3789140.840000 PA USD 3276207.500000 0.0561837 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.29813 Y N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 4200000.000000 PA USD 4197732.420000 0.0719870 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.64813 N N N N N N CITICORP RESIDENTIAL MORTGAGE SEC 2007-2 N/A 17312HAH2 9000000.000000 PA USD 7197543.000000 0.1234307 Long ABS-MBS CORP US N 2 2037-06-25 Variable 6.44 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC33 N/A 29425AAD5 13800000.000000 PA USD 15485516.820000 0.2655613 Long ABS-MBS CORP US N 2 2058-09-10 Fixed 3.778 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-WSS N/A 17328TAA3 26662198.760000 PA USD 26481186.430000 0.4541262 Long ABS-MBS CORP US N 2 2039-02-15 Floating 2.10238 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2009-6 2009-6 N/A 17315JCF7 2376833.810000 PA USD 1617718.010000 0.0277423 Long ABS-MBS CORP US N 2 2037-08-25 Variable 6 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2014-8 N/A 17323AAF8 7027997.000000 PA USD 6610990.800000 0.1133720 Long ABS-MBS CORP US N 2 2037-06-27 Variable 3.26439 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2015-9 N/A 17324MAB0 4911875.810000 PA USD 4613528.470000 0.0791175 Long ABS-MBS CORP US N 2 2036-02-20 Variable 3.48745 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-B N/A 17327VAA9 4069245.070000 PA USD 4122190.020000 0.0706915 Long ABS-MBS CORP US N 2 2066-04-25 Fixed 3.258 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-C N/A 17328GAA1 4811982.000000 PA USD 4860306.810000 0.0833495 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.228 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 37086.910000 PA USD 36429.810000 0.0006247 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.14 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-FX1 N/A 17309YAC1 8025938.000000 PA USD 5619907.060000 0.0963758 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.44813 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC1 N/A 172983AA6 9048826.420000 PA USD 8950952.500000 0.1535000 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.27813 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 517695.640000 PA USD 451020.740000 0.0077346 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.30813 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL1 N/A 17311VAE9 258749.400000 PA USD 256527.830000 0.0043992 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.28813 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAC5 7468828.410000 PA USD 6444982.740000 0.1105251 Long ABS-MBS CORP US N 2 2045-07-25 Floating 0.40813 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 3647769.120000 PA USD 1916901.940000 0.0328730 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.29813 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 3371759.950000 PA USD 2828900.530000 0.0485128 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.32813 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 9593.670000 PA USD 9574.940000 0.0001642 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.57 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-5 N/A 17307GXW3 929416.000000 PA USD 912005.990000 0.0156400 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.54297 Y N N N N N CMLTI 2005-HE4 N/A 17307GP69 377006.370000 PA USD 387115.650000 0.0066387 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.55813 N N N N N N CMLTI 2005-HE4 N/A 17307GP77 4228750.000000 PA USD 4193374.810000 0.0719122 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.59813 Y N N N N N COLLEGE AVE STUDENT LOANS LLC 2017-A N/A 194204AA1 5471907.830000 PA USD 5495259.200000 0.0942383 Long ABS-O CORP US N 2 2046-11-26 Floating 1.79813 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAA8 2431909.530000 PA USD 2331718.510000 0.0399867 Long ABS-O CORP US N 2 2047-12-26 Floating 1.34813 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAB6 3339338.450000 PA USD 3528425.480000 0.0605090 Long ABS-O CORP US N 2 2047-12-26 Fixed 4.13 N N N N N N COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2012-CR5 N/A 12623SAF7 5395851.110000 PA USD 149737.570000 0.0025679 Long ABS-MBS CORP US N 2 2045-12-10 Variable 1.66085 N N N N N N COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2013-WWP N/A 12625CAC7 10000000.000000 PA USD 10573520.000000 0.1813254 Long ABS-MBS CORP US N 2 2031-03-10 Fixed 3.4244 N N N N N N COMMONBOND STUDENT LOAN TRUST 2020-AGS N/A 20267WAA3 15981591.510000 PA USD 16341428.230000 0.2802393 Long ABS-O CORP US N 2 2050-08-25 Fixed 1.98 N N N N N N COMMRCL MRTG LEASE-BACKED CRT 2001-CMLB N/A 201736AL9 9526000.000000 PA USD 10116935.880000 0.1734954 Long ABS-MBS CORP US N 2 2031-06-20 Variable 8.19912 N N N N N N CONSECO FINANCE SECURITIZATION 2000-4 N/A 20846QDV7 19650449.930000 PA USD 7153736.470000 0.1226795 Long ABS-O CORP US N 2 2032-05-01 Fixed 8.31 N N N N N N CONSECO FINANCIAL CORP 1998-8 N/A 393505N99 5792564.500000 PA USD 6130178.330000 0.1051265 Long ABS-O CORP US N 2 2030-09-01 Fixed 6.28 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAD0 10639645.020000 PA USD 7296632.380000 0.1251300 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-38 N/A 12667GY98 511249.560000 PA USD 481368.910000 0.0082550 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.51929 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 352065.530000 PA USD 320673.610000 0.0054992 Long ABS-MBS CORP US N 2 2035-11-20 Floating 0.79575 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB N/A 021468AB9 1890699.560000 PA USD 812675.040000 0.0139366 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.54813 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB N/A 021468AC7 1870901.660000 PA USD 412653.550000 0.0070766 Long ABS-O CORP US N 2 2036-06-25 Floating 5.45187 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB N/A 02147MAJ0 21702235.510000 PA USD 14934577.840000 0.2561132 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-22R N/A 02147LAH6 51231.860000 PA USD 41877.520000 0.0007182 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB N/A 12668BXS7 223042.350000 PA USD 95009.860000 0.0016293 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.84813 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10 N/A 23245FAC7 4231900.010000 PA USD 4293453.000000 0.0736285 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.32813 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-24 N/A 02151GAC1 7110348.280000 PA USD 2311040.240000 0.0396321 Long ABS-O CORP US N 2 2037-10-25 Floating 6.80187 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1 N/A 02149VAG4 969111.980000 PA USD 639382.000000 0.0109648 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150EAN3 2327728.770000 PA USD 1868601.030000 0.0320447 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150ECA9 5033193.350000 PA USD 3409259.690000 0.0584654 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3 N/A 02148DAA8 127224.400000 PA USD 117952.510000 0.0020228 Long ABS-MBS CORP US N 2 2047-03-25 Floating 2.14525 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6 N/A 02151JAD3 4462490.980000 PA USD 4065139.630000 0.0697131 Long ABS-MBS CORP US N 2 2047-08-25 Floating 0.42813 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3 N/A 02150TAA8 433267.830000 PA USD 391293.710000 0.0067103 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.28813 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 5285811.420000 PA USD 5064339.620000 0.0868484 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.41929 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10 N/A 12668BUH4 2968801.030000 PA USD 2720530.000000 0.0466544 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.57264 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11 N/A 021466AA5 3091772.120000 PA USD 2947379.560000 0.0505446 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.26813 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 3239895.280000 PA USD 3034169.060000 0.0520330 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.33813 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB N/A 02147RAK6 1902389.680000 PA USD 1929743.000000 0.0330932 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB N/A 02147RAG5 2357499.190000 PA USD 2444025.070000 0.0419126 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTS2 7839358.490000 PA USD 7542884.930000 0.1293530 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45 N/A 12667G6K4 1503160.790000 PA USD 1171671.600000 0.0200930 Long ABS-MBS CORP US N 2 2035-10-20 Floating 3.06929 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 2128073.830000 PA USD 1972307.980000 0.0338231 Long ABS-MBS CORP US N 2 2035-12-20 Floating 0.47625 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-14T2 N/A 02150BAA7 15304787.750000 PA USD 11136107.920000 0.1909732 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAD4 1740433.320000 PA USD 1731993.090000 0.0297020 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.29813 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-25 N/A 12667TAA3 2783619.890000 PA USD 2535794.210000 0.0434864 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.28813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BC5 506000.930000 PA USD 478926.240000 0.0082131 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.04813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-AB2 N/A 126673QH8 2070000.000000 PA USD 2026411.800000 0.0347510 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.04813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-SD1 N/A 1266712J4 4792421.630000 PA USD 4763749.050000 0.0816936 Long ABS-MBS CORP US N 2 2032-10-25 Floating 1.16813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-11 N/A 12666TAK2 3100000.000000 PA USD 2841436.440000 0.0487278 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.40813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAA4 1232389.160000 PA USD 1156826.330000 0.0198384 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.27813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAL3 16600000.000000 PA USD 13948309.360000 0.2391997 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.43813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAC2 441944.630000 PA USD 439223.090000 0.0075322 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.30813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAD0 21060000.000000 PA USD 19534531.540000 0.3349979 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.38813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-26 N/A 12668HAA8 7897645.610000 PA USD 7292618.830000 0.1250612 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.28813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-4 N/A 126670WW4 14424999.990000 PA USD 11838881.660000 0.2030251 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.51813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-9 N/A 12666RAV2 8467758.500000 PA USD 8121650.730000 0.1392783 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.38813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-IM1 N/A 126670SP4 289481.380000 PA USD 256455.000000 0.0043979 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.38813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD1 N/A 126670VP0 5228348.120000 PA USD 5213574.900000 0.0894077 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.77813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAD2 2151138.430000 PA USD 2026336.910000 0.0347497 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.28813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 1905992.300000 PA USD 1858684.430000 0.0318746 Long ABS-MBS CORP US N 2 2047-08-25 Floating 0.88813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AE1 173584.880000 PA USD 171565.650000 0.0029422 Long ABS-MBS CORP US N 2 2047-08-25 Floating 0.94813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAA1 1024253.430000 PA USD 882183.030000 0.0151286 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.34813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAD5 2422405.280000 PA USD 2167476.190000 0.0371701 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.36813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 675323.270000 PA USD 619281.500000 0.0106201 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.36813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAD2 64594.640000 PA USD 64256.420000 0.0011019 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.32813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAE0 1570000.000000 PA USD 1456736.280000 0.0249816 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.39813 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7 N/A 232422AE5 3857376.190000 PA USD 3718774.880000 0.0637733 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.39813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5 N/A 126670NH7 14300000.000000 PA USD 14167178.740000 0.2429531 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.86813 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-1 N/A 126670TV0 102449.960000 PA USD 101688.150000 0.0017439 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.44813 N N N N N N COUNTRYWIDE HOME EQUITY LOAN TR 2006-B N/A 126685CX2 5710076.940000 PA USD 5563476.420000 0.0954081 Long ABS-MBS CORP US N 2 2036-05-15 Floating 0.33238 N N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9 N/A 12669GFK2 294972.310000 PA USD 305287.730000 0.0052354 Long ABS-MBS CORP US N 2 2035-01-25 Fixed 5.5 N N N N N N COUNTRYWIDE HOME LOANS 2003-R4 N/A 12669FFS7 3981091.830000 PA USD 4025871.150000 0.0690397 Long ABS-MBS CORP US N 2 2034-01-25 Variable 4.92533 Y N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN58 167.990000 PA USD 164.220000 0.0000028 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.02045 Y N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 524345.980000 PA USD 508691.680000 0.0087236 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.80813 N N N N N N COUNTRYWIDE HOME LOANS 2004-J4 N/A 12669FUM3 229806.870000 PA USD 232506.600000 0.0039873 Long ABS-MBS CORP US N 2 2034-05-01 Fixed 4.5 N N N N N N COUNTRYWIDE HOME LOANS 2005-31 N/A 126694UN6 61463.180000 PA USD 55271.330000 0.0009478 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.31269 Y N N N N N COUNTRYWIDE HOME LOANS 2005-31 N/A 126694US5 2617095.910000 PA USD 2462073.800000 0.0422221 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.46528 Y N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GP21 646004.540000 PA USD 692041.410000 0.0118678 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 7.5 Y N N N N N COUNTRYWIDE HOME LOANS 2007-15 N/A 17025TAR2 91074.810000 PA USD 78243.280000 0.0013418 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.25 Y N N N N N COUNTRYWIDE HOME LOANS 2007-17 N/A 12544KAF0 12106944.130000 PA USD 7240594.260000 0.1241690 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 6.5 Y N N N N N COUNTRYWIDE HOME LOANS 2007-18 N/A 12544JAE6 4946560.890000 PA USD 3024173.490000 0.0518616 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6.5 Y N N N N N COUNTRYWIDE HOME LOANS 2007-4 N/A 12544RAB4 30399.540000 PA USD 21508.280000 0.0003688 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 5.75 Y N N N N N COUNTRYWIDE HOME LOANS 2007-8 N/A 12545AAR5 352302.970000 PA USD 260189.100000 0.0044620 Long ABS-MBS CORP US N 2 2038-01-25 Fixed 6 Y N N N N N COUNTRYWIDE HOME LOANS 2007-9 N/A 12544XAX3 2148603.560000 PA USD 1670521.000000 0.0286478 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY7 N/A 12544HAY6 1736857.530000 PA USD 1673134.490000 0.0286926 Long ABS-MBS CORP US N 2 2037-11-25 Variable 3.54188 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 618244.010000 PA USD 564587.050000 0.0096821 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.33876 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 748770.310000 PA USD 685778.590000 0.0117604 Long ABS-MBS CORP US N 2 2047-02-25 Floating 3.35946 Y N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 2483154.480000 PA USD 1511378.180000 0.0259186 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.20813 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-MH1 N/A 1248P8AJ8 583788.070000 PA USD 597491.090000 0.0102464 Long ABS-O CORP US N 2 2036-10-25 Variable 6.25 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 141090.490000 PA USD 110880.820000 0.0019015 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.26813 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-4R N/A 12639QAA4 987205.200000 PA USD 965262.590000 0.0165533 Long ABS-MBS CORP US N 2 2036-10-26 Fixed 6.062 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-C2 N/A 22545YAQ4 2500000.000000 PA USD 3525367.500000 0.0604566 Long ABS-MBS CORP US N 2 2049-01-15 Variable 5.5299 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2009-16R N/A 12642YBP8 3796614.200000 PA USD 2535080.930000 0.0434741 Long ABS-MBS CORP US N 2 2047-01-26 Floating 3.74878 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-6R N/A 12643PAW2 6912043.920000 PA USD 5260820.910000 0.0902179 Long ABS-MBS CORP US N 2 2048-05-26 Fixed 6.25 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10 N/A 12597FAC4 2628990.210000 PA USD 2652610.640000 0.0454896 Long ABS-MBS CORP US N 2 2059-12-26 Fixed 3.12001 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL4 N/A 22946AAC2 4957064.250000 PA USD 4998339.740000 0.0857166 Long ABS-MBS CORP US N 2 2058-08-26 Fixed 3.50677 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL8 N/A 12596YAC4 4446064.160000 PA USD 4488417.810000 0.0769719 Long ABS-MBS CORP US N 2 2058-10-25 Fixed 3.322 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL9 N/A 12654WAC7 12336076.460000 PA USD 12424733.370000 0.2130719 Long ABS-MBS CORP US N 2 2059-10-27 Fixed 3.319 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL3 N/A 12656PAC0 12200000.000000 PA USD 12198441.570000 0.2091912 Long ABS-MBS CORP US N 3 2060-03-25 Variable 2.691 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2013-MH1 N/A 12647RAA2 2286947.130000 PA USD 2613176.140000 0.0448134 Long ABS-MBS CORP US N 2 2053-05-27 Variable 4.78812 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2014-11R N/A 12649FEE4 3509882.220000 PA USD 3604852.610000 0.0618197 Long ABS-MBS CORP US N 2 2047-09-27 Floating 3.22816 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4 N/A 12498QAC0 3489862.190000 PA USD 2848865.590000 0.0488552 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.29813 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4 N/A 12498QAD8 5592937.360000 PA USD 4628793.820000 0.0793792 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.38813 N N N N N N CROWN POINT CLO LTD 2018-5A N/A 22845LAA4 15793433.560000 PA USD 15633357.320000 0.2680966 Long ABS-CBDO CORP KY N 2 2028-07-17 Floating 1.21288 N N N N N N CROWN POINT CLO LTD 2018-6A N/A 22847DAL6 1964706.790000 PA USD 1947070.050000 0.0333903 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.44175 N N N N N N CROWN POINT CLO LTD 2018-6A N/A 22847DAA0 8500000.000000 PA USD 8420161.200000 0.1443974 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.72175 N N N N N N CSAB MORTGAGE BACKED TR 2006-3 N/A 12628KAA0 66830.490000 PA USD 19706.730000 0.0003380 Long ABS-MBS CORP US N 2 2036-11-25 Variable 6.5 Y N N N N N CSAIL COMMERCIAL MORTGAGE TRUST 2019-C18 N/A 12597DAD7 3100000.000000 PA USD 3440604.440000 0.0590030 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 2.968 N N N N N N CSMCM TRUST 2018-SP2 N/A 12638SAA1 5865431.690000 PA USD 5972144.420000 0.1024164 Long ABS-MBS CORP US N 2 2050-07-25 Fixed 3.59363 N N N N N N CVC CORDATUS LOAN FUND V LTD 5A N/A ACI1G4C04 700000.000000 PA 815332.420000 0.0139821 Long ABS-CBDO CORP IE N 2 2030-07-21 Floating 0.65 N N N N N N CWCAPITAL COBALT 2007-C3 N/A 19075DAK7 10812609.670000 PA USD 10823815.860000 0.1856177 Long ABS-MBS CORP US N 2 2046-05-15 Variable 5.80767 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR1 N/A 25151RAG9 1887036.900000 PA USD 1592139.080000 0.0273036 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.38813 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR2 N/A 25151UAA5 1516295.440000 PA USD 1452424.070000 0.0249076 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.29813 Y N N N N N DEUTSCHE ALT-A SECURITIES INC MORTGAGE LOAN TRUST 2007-2 N/A 25152BAE8 23986888.840000 PA USD 20878799.710000 0.3580508 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.44813 Y N N N N N DRYDEN EURO CLO 16-46A N/A ACI1C3DT6 3700000.000000 PA 4336696.600000 0.0743701 Long ABS-CBDO CORP NL N 2 2030-01-15 Floating 0.88 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 7403512.510000 PA USD 7338550.390000 0.1258489 Long ABS-O CORP US N 2 2069-07-25 Floating 1.14813 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-1 N/A 288542AA1 6335264.270000 PA USD 6294036.900000 0.1079365 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.24813 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AA0 3109512.290000 PA USD 3096960.430000 0.0531098 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.19813 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AE2 6450000.000000 PA USD 6349058.790000 0.1088801 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.64813 N N N N N N ELM PARK CLO DAC 1A N/A ACI120P60 21128521.340000 PA 24734236.660000 0.4241677 Long ABS-CBDO CORP IE N 2 2029-04-16 Floating 0.62 N N N N N N EMCM MORTGAGE LOAN TRUST 2003-A N/A 268668BS8 865350.040000 PA USD 853524.860000 0.0146371 Long ABS-MBS CORP US N 2 2040-08-25 Floating 1.24813 N N N N N N ENCORE CREDIT RECEIVABLES TRUST 2005-3 N/A 29256PAK0 3552105.530000 PA USD 3207618.070000 0.0550075 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.18313 N N N N N N EQUIFIRST LOAN SECURITIZATION TRUST 2007-1 N/A 29445UAB1 13825019.340000 PA USD 13107799.460000 0.2247858 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.33813 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1F5K45 500000.000000 PA 583440.320000 0.0100054 Long ABS-CBDO CORP NL N 2 2031-01-17 Floating 0.75 N N N N N N EUROSAIL PLC 2007-5X N/A B29H4QII9 1319970.660000 PA 1623597.430000 0.0278431 Long ABS-MBS CORP GB N 2 2045-09-13 Floating 0.82963 N N N N N N FAIRSTONE FINANCIAL ISSUANCE TRUST I 2019-1A N/A 30575PAE6 3500000.000000 PA 2632826.410000 0.0451504 Long ABS-O CORP CA N 2 2033-03-21 Fixed 3.948 N N N N N N FANNIE MAE 1993-165 N/A 31359D5R0 1717.320000 PA USD 2063.000000 0.0000354 Long ABS-MBS USGSE US N 2 2023-09-25 Floating 19.3808 N N N N N N FANNIE MAE 1994-84 N/A 31359HZ23 3019.140000 PA USD 3023.740000 0.0000519 Long ABS-MBS USGSE US N 2 2024-02-25 Floating 0.74813 N N N N N N FANNIE MAE 2003-35 N/A 31393BL86 13634.060000 PA USD 14508.830000 0.0002488 Long ABS-MBS USGSE US N 2 2033-05-25 Fixed 3.75 N N N N N N FANNIE MAE 2003-71 N/A 31393EKS7 671309.320000 PA USD 796491.390000 0.0136590 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 7.25983 N N N N N N FANNIE MAE 2004-10 N/A 31393XCU9 145974.970000 PA USD 170399.900000 0.0029222 Long ABS-MBS USGSE US N 2 2034-02-25 Fixed 6 N N N N N N FANNIE MAE 2004-88 N/A 31394BPY4 1441121.880000 PA USD 262683.660000 0.0045048 Long ABS-MBS USGSE US N 2 2034-10-25 Floating 6.95187 N N N N N N FANNIE MAE 2004-89 N/A 31394BMK7 7734.170000 PA USD 9253.200000 0.0001587 Long ABS-MBS USGSE US N 2 2024-09-25 Floating 17.4676 N N N N N N FANNIE MAE 2005-35 N/A 31394CV90 86117.090000 PA USD 98336.990000 0.0016864 Long ABS-MBS USGSE US N 2 2035-04-25 Fixed 5 N N N N N N FANNIE MAE 2005-69 N/A 31394EP77 324143.590000 PA USD 302588.370000 0.0051891 Long ABS-MBS USGSE US N 2 2035-08-25 None 0 N N N N N N FANNIE MAE 2005-70 N/A 31394E2B3 2767751.370000 PA USD 3146500.980000 0.0539594 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.5 N N N N N N FANNIE MAE 2005-70 N/A 31394EW38 97349.700000 PA USD 109069.610000 0.0018704 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.5 N N N N N N FANNIE MAE 2006-119 N/A 31396LM72 85906.810000 PA USD 134554.790000 0.0023075 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 24.9275 N N N N N N FANNIE MAE 2006-30 N/A 31395B6Q1 1243466.040000 PA USD 335120.810000 0.0057470 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 6.50187 N N N N N N FANNIE MAE 2006-46 N/A 31395D5N5 165000.000000 PA USD 204995.600000 0.0035155 Long ABS-MBS USGSE US N 2 2036-06-25 Fixed 5.5 N N N N N N FANNIE MAE 2007-14 N/A 31396PE72 5154.630000 PA USD 4962.850000 0.0000851 Long ABS-MBS USGSE US N 2 2037-03-25 None 0 N N N N N N FANNIE MAE 2007-30 N/A 31396VJP4 669641.790000 PA USD 589647.720000 0.0101119 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 0 N N N N N N FANNIE MAE 2008-29 N/A 31396YF98 728854.200000 PA USD 163435.060000 0.0028027 Long ABS-MBS USGSE US N 2 2038-04-25 Floating 6.75187 N N N N N N FANNIE MAE 2008-41 N/A 31397LLL1 1603901.320000 PA USD 377382.420000 0.0064717 Long ABS-MBS USGSE US N 2 2036-11-25 Floating 6.65187 N N N N N N FANNIE MAE 2008-53 N/A 31397LC31 715565.720000 PA USD 731369.060000 0.0125423 Long ABS-MBS USGSE US N 2 2038-07-25 Floating 0.99813 N N N N N N FANNIE MAE 2009-11 N/A 31397NNF8 6290.710000 PA USD 7712.720000 0.0001323 Long ABS-MBS USGSE US N 2 2049-03-25 Fixed 7 N N N N N N FANNIE MAE 2009-68 N/A 31396QD71 117631.300000 PA USD 22320.450000 0.0003828 Long ABS-MBS USGSE US N 2 2039-09-25 Floating 6.60187 N N N N N N FANNIE MAE 2009-86 N/A 31398FRR4 6571.460000 PA USD 6274.610000 0.0001076 Long ABS-MBS USGSE US N 2 2037-03-25 None 0 N N N N N N FANNIE MAE 2010-141 N/A 31398SXH1 98711.250000 PA USD 106597.450000 0.0018280 Long ABS-MBS USGSE US N 2 2040-12-25 Fixed 4 N N N N N N FANNIE MAE 2010-95 N/A 31398NEY6 2233938.240000 PA USD 373468.900000 0.0064046 Long ABS-MBS USGSE US N 2 2040-09-25 Floating 6.45187 N N N N N N FANNIE MAE 2011-98 N/A 3136A1GP4 2650156.910000 PA USD 289964.800000 0.0049726 Long ABS-MBS USGSE US N 2 2026-10-25 Floating 6.55187 N N N N N N FANNIE MAE 2020-1 N/A 3136B8PS2 10767029.650000 PA USD 357918.680000 0.0061380 Long ABS-MBS USGSE US N 2 2044-11-25 Fixed 3 N N N N N N FANNIE MAE 2020-37 N/A 3136B9T56 5610261.690000 PA USD 716865.770000 0.0122935 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4 N N N N N N FANNIE MAE 2020-37 N/A 3136B9W45 33431234.880000 PA USD 4834922.140000 0.0829141 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4 N N N N N N FANNIE MAE INTEREST STRIP 22 N/A 31397VQG5 299821.720000 PA USD 39963.430000 0.0006853 Long ABS-MBS USGSE US N 2 2045-11-25 Fixed 3.5 N N N N N N FANNIE MAE INTEREST STRIP 22 N/A 31397VSM0 22850662.280000 PA USD 3038642.220000 0.0521097 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3.5 N N N N N N FANNIE MAE INTEREST STRIP 323 N/A 3136FAMT4 201303.390000 PA USD 32297.020000 0.0005539 Long ABS-MBS USGSE US N 2 2032-01-25 Variable 5.5 N N N N N N FANNIE MAE INTEREST STRIP 329 N/A 3136FAWE6 961.420000 PA USD 910.960000 0.0000156 Long ABS-MBS USGSE US N 2 2033-01-25 None 0 N N N N N N FANNIE MAE INTEREST STRIP 331 N/A 3136FAXY1 178718.680000 PA USD 31469.030000 0.0005397 Long ABS-MBS USGSE US N 2 2033-02-25 Fixed 6 N N N N N N FANNIE MAE INTEREST STRIP 376 N/A 3136FC2Y1 11846.700000 PA USD 1438.430000 0.0000247 Long ABS-MBS USGSE US N 2 2029-02-25 Fixed 5.5 N N N N N N FANNIE MAE INTEREST STRIP 377 N/A 3136FC5M4 47888.960000 PA USD 45199.890000 0.0007751 Long ABS-MBS USGSE US N 2 2036-10-25 None 0 N N N N N N FANNIE MAE INTEREST STRIP 386 N/A 3136FFSR1 353370.660000 PA USD 80591.780000 0.0013821 Long ABS-MBS USGSE US N 2 2038-04-25 Fixed 6.5 N N N N N N FANNIE MAE INTEREST STRIP 417 N/A 31395QF96 5880367.690000 PA USD 394866.340000 0.0067716 Long ABS-MBS USGSE US N 2 2028-02-25 Fixed 3 N N N N N N FANNIE MAE INTEREST STRIP 418 N/A 31395Q2T6 6046122.630000 PA USD 766531.840000 0.0131453 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3.5 N N N N N N FANNIE MAE INTEREST STRIP 423 N/A 31397VXA0 6123830.240000 PA USD 459512.870000 0.0078802 Long ABS-MBS USGSE US N 2 2047-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2004-61 N/A 31394ATH9 802720.480000 PA USD 168931.880000 0.0028970 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 7.55187 N N N N N N FANNIE MAE REMICS 2004-91 N/A 31394BYB4 68487.780000 PA USD 79508.050000 0.0013635 Long ABS-MBS USGSE US N 2 2034-12-25 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2006-113 N/A 31396LZ37 572749.470000 PA USD 115065.250000 0.0019733 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.81187 N N N N N N FANNIE MAE REMICS 2006-72 N/A 31396KJK9 18948.930000 PA USD 18473.410000 0.0003168 Long ABS-MBS USGSE US N 2 2036-08-25 None 0 N N N N N N FANNIE MAE REMICS 2007-50 N/A 31396V6E3 483664.760000 PA USD 92782.620000 0.0015911 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 5.95187 N N N N N N FANNIE MAE REMICS 2010-103 N/A 31398TW56 479205.750000 PA USD 58130.960000 0.0009969 Long ABS-MBS USGSE US N 2 2040-08-25 Floating 6.55187 N N N N N N FANNIE MAE REMICS 2010-133 N/A 31398N6F6 100000.000000 PA USD 118698.630000 0.0020356 Long ABS-MBS USGSE US N 2 2040-11-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2010-49 N/A 31398P5R6 199064.150000 PA USD 272402.610000 0.0046714 Long ABS-MBS USGSE US N 2 2040-03-25 Floating 12.3637 N N N N N N FANNIE MAE REMICS 2010-53 N/A 31398R3N3 78381.090000 PA USD 103663.870000 0.0017777 Long ABS-MBS USGSE US N 2 2040-07-25 Fixed 5 N N N N N N FANNIE MAE REMICS 2010-62 N/A 31398RWN1 85416.100000 PA USD 91921.510000 0.0015764 Long ABS-MBS USGSE US N 2 2040-03-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2010-62 N/A 31398RVD4 66000.000000 PA USD 84438.130000 0.0014480 Long ABS-MBS USGSE US N 2 2039-11-25 Fixed 7 N N N N N N FANNIE MAE REMICS 2011-104 N/A 3136A1CW3 438323.340000 PA USD 4982.250000 0.0000854 Long ABS-MBS USGSE US N 2 2021-10-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2011-104 N/A 3136A1DT9 368426.670000 PA USD 2057.180000 0.0000353 Long ABS-MBS USGSE US N 2 2021-10-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2011-117 N/A 3136A14J1 3273766.330000 PA USD 4485404.270000 0.0769202 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 9.48974 N N N N N N FANNIE MAE REMICS 2011-125 N/A 3136A2RG0 739603.700000 PA USD 11200.260000 0.0001921 Long ABS-MBS USGSE US N 2 2021-12-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2011-99 N/A 3136A1LQ6 666950.300000 PA USD 822982.060000 0.0141133 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 9.38974 N N N N N N FANNIE MAE REMICS 2012-108 N/A 3136A8Q78 88210.930000 PA USD 98474.890000 0.0016887 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-110 N/A 3136A9JG4 135834.390000 PA USD 150451.840000 0.0025801 Long ABS-MBS USGSE US N 2 2042-10-25 Floating 5.09384 N N N N N N FANNIE MAE REMICS 2012-111 N/A 3136A9GA0 1765534.040000 PA USD 132241.320000 0.0022678 Long ABS-MBS USGSE US N 2 2027-10-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-111 N/A 3136A9EX2 6136743.290000 PA USD 993595.200000 0.0170392 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 6.00187 N N N N N N FANNIE MAE REMICS 2012-111 N/A 3136A9DU9 8497973.540000 PA USD 1982541.540000 0.0339986 Long ABS-MBS USGSE US N 2 2042-10-25 Floating 5.90187 N N N N N N FANNIE MAE REMICS 2012-115 N/A 3136A9CF3 9830437.880000 PA USD 1946659.680000 0.0333833 Long ABS-MBS USGSE US N 2 2042-10-25 Floating 5.95187 N N N N N N FANNIE MAE REMICS 2012-118 N/A 3136A93T3 6755904.340000 PA USD 430799.700000 0.0073878 Long ABS-MBS USGSE US N 2 2027-11-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-123 N/A 3136A9YV4 5879196.320000 PA USD 7288004.030000 0.1249821 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 8.97136 N N N N N N FANNIE MAE REMICS 2012-124 N/A 3136A9X86 102908.090000 PA USD 133421.190000 0.0022880 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 8.98769 N N N N N N FANNIE MAE REMICS 2012-128 N/A 3136A9PC6 2713381.610000 PA USD 2993519.270000 0.0513359 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 5.7778 N N N N N N FANNIE MAE REMICS 2012-129 N/A 3136AADC6 2629.810000 PA USD 2925.890000 0.0000502 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-129 N/A 3136AADH5 2629.810000 PA USD 3101.220000 0.0000532 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-132 N/A 3136AANN1 1696560.140000 PA USD 1767368.450000 0.0303086 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-134 N/A 3136AASF3 14637904.250000 PA USD 3516580.840000 0.0603059 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 6.00187 N N N N N N FANNIE MAE REMICS 2012-136 N/A 3136A97E2 2338712.230000 PA USD 2829890.210000 0.0485298 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 7.60352 N N N N N N FANNIE MAE REMICS 2012-137 N/A 3136AAK53 2064810.530000 PA USD 423550.870000 0.0072635 Long ABS-MBS USGSE US N 2 2032-12-25 Floating 6.65187 N N N N N N FANNIE MAE REMICS 2012-137 N/A 3136AAH40 85370.070000 PA USD 80838.360000 0.0013863 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 2 N N N N N N FANNIE MAE REMICS 2012-138 N/A 3136AAEZ4 5035014.200000 PA USD 272680.260000 0.0046762 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2012-138 N/A 3136AAFB6 10046002.610000 PA USD 630305.290000 0.0108091 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-142 N/A 3136A96P8 6519746.610000 PA USD 693242.700000 0.0118884 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-143 N/A 3136AAS48 5067103.640000 PA USD 599403.900000 0.0102792 Long ABS-MBS USGSE US N 2 2033-01-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-145 N/A 3136AAZ65 2225730.350000 PA USD 147557.020000 0.0025305 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-145 N/A 3136AAX67 2622.170000 PA USD 2698.430000 0.0000463 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-145 N/A 3136AAZ32 2522.770000 PA USD 2663.240000 0.0000457 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-146 N/A 3136ABFJ7 8491959.860000 PA USD 813477.950000 0.0139503 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-146 N/A 3136ABGH0 6648797.570000 PA USD 558009.640000 0.0095693 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-149 N/A 3136AA2Y0 5491359.260000 PA USD 339694.930000 0.0058254 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-149 N/A 3136AA4K8 2279135.420000 PA USD 203411.240000 0.0034883 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-150 N/A 3136ABBB8 2530189.260000 PA USD 2733809.020000 0.0468821 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 5.7778 N N N N N N FANNIE MAE REMICS 2012-16 N/A 3136A4QV4 32348.660000 PA USD 34948.600000 0.0005993 Long ABS-MBS USGSE US N 2 2041-10-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-20 N/A 3136A4FS3 2413307.630000 PA USD 481519.790000 0.0082576 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 6.28187 N N N N N N FANNIE MAE REMICS 2012-42 N/A 3136A5GV2 21062.290000 PA USD 26707.260000 0.0004580 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-46 N/A 3136A5J64 4984956.900000 PA USD 7093376.320000 0.1216444 Long ABS-MBS USGSE US N 2 2041-01-25 Floating 12.0417 N N N N N N FANNIE MAE REMICS 2012-54 N/A 3136A5B47 842878.940000 PA USD 865554.910000 0.0148434 Long ABS-MBS USGSE US N 2 2041-01-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-55 N/A 3136A52M7 341610.000000 PA USD 409528.760000 0.0070230 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-59 N/A 3136A6SK1 1231.350000 PA USD 1234.770000 0.0000212 Long ABS-MBS USGSE US N 2 2022-06-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2012-60 N/A 3136A6MK7 1121025.000000 PA USD 1400344.520000 0.0240145 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-63 N/A 3136A6TM6 796.670000 PA USD 999.150000 0.0000171 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-67 N/A 3136A7JB9 1231390.130000 PA USD 1288513.090000 0.0220967 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2012-77 N/A 3136A6H98 1703939.480000 PA USD 84774.740000 0.0014538 Long ABS-MBS USGSE US N 2 2052-07-25 Floating 2.66589 N N N N N N FANNIE MAE REMICS 2012-8 N/A 3136A34E8 996842.090000 PA USD 12493.720000 0.0002143 Long ABS-MBS USGSE US N 2 2021-12-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-80 N/A 3136A7VH2 8806868.760000 PA USD 711593.230000 0.0122031 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-90 N/A 3136A7RD6 2423213.150000 PA USD 2357078.570000 0.0404216 Long ABS-MBS USGSE US N 2 2042-03-25 Fixed 1.5 N N N N N N FANNIE MAE REMICS 2012-94 N/A 3136A8XM7 1274.040000 PA USD 1308.790000 0.0000224 Long ABS-MBS USGSE US N 2 2022-09-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-94 N/A 3136A8XP0 1274.040000 PA USD 1314.170000 0.0000225 Long ABS-MBS USGSE US N 2 2022-09-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-97 N/A 3136A73E0 1268000.000000 PA USD 1305031.430000 0.0223800 Long ABS-MBS USGSE US N 2 2041-10-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2013-1 N/A 3136ABYR8 2201569.100000 PA USD 120649.730000 0.0020690 Long ABS-MBS USGSE US N 2 2028-02-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2013-1 N/A 3136ABA60 3614360.860000 PA USD 270273.950000 0.0046349 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-10 N/A 3136ACBR1 1627973.290000 PA USD 154383.150000 0.0026475 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-10 N/A 3136ACCD1 814318.220000 PA USD 102335.290000 0.0017549 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-100 N/A 3136AGTH5 2247550.030000 PA USD 2520543.300000 0.0432248 Long ABS-MBS USGSE US N 2 2043-10-25 Floating 7.60352 N N N N N N FANNIE MAE REMICS 2013-101 N/A 3136AGYM8 24707858.190000 PA USD 5730454.020000 0.0982716 Long ABS-MBS USGSE US N 2 2043-10-25 Floating 5.80187 N N N N N N FANNIE MAE REMICS 2013-127 N/A 3136AHAV2 2833768.160000 PA USD 132791.230000 0.0022772 Long ABS-MBS USGSE US N 2 2039-09-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-130 N/A 3136AHJ35 4240887.270000 PA USD 32250.250000 0.0005531 Long ABS-MBS USGSE US N 2 2044-01-25 Variable 0.264274 N N N N N N FANNIE MAE REMICS 2013-16 N/A 3136ACSM4 11008877.800000 PA USD 12434285.280000 0.2132357 Long ABS-MBS USGSE US N 2 2033-03-25 Floating 5.52224 N N N N N N FANNIE MAE REMICS 2013-17 N/A 3136ACGZ8 3315514.070000 PA USD 667041.640000 0.0114391 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 5.95187 N N N N N N FANNIE MAE REMICS 2013-17 N/A 3136ACHY0 2359505.760000 PA USD 242988.510000 0.0041670 Long ABS-MBS USGSE US N 2 2042-08-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-18 N/A 3136ACXB2 28921238.380000 PA USD 30033887.590000 0.5150515 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 5.22224 N N N N N N FANNIE MAE REMICS 2013-19 N/A 3136ACNE7 2227497.090000 PA USD 436078.000000 0.0074783 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 6.00187 N N N N N N FANNIE MAE REMICS 2013-20 N/A 3136ACVE8 4016305.230000 PA USD 597514.560000 0.0102468 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2013-21 N/A 3136ACQU8 1671330.830000 PA USD 35152.270000 0.0006028 Long ABS-MBS USGSE US N 2 2023-03-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-23 N/A 3136ADBP3 511522.610000 PA USD 523878.590000 0.0089840 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 5.9173 N N N N N N FANNIE MAE REMICS 2013-23 N/A 3136ADCC1 5574673.270000 PA USD 5692917.110000 0.0976279 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-24 N/A 3136AB2Y8 8788556.850000 PA USD 856378.950000 0.0146861 Long ABS-MBS USGSE US N 2 2033-03-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-28 N/A 3136AC5D9 1900501.870000 PA USD 1921100.840000 0.0329450 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-30 N/A 3136ADNA3 865432.060000 PA USD 91122.730000 0.0015627 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-31 N/A 3136ADGC7 3362499.110000 PA USD 146214.910000 0.0025074 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-34 N/A 3136ADPF0 802216.790000 PA USD 809618.040000 0.0138841 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-34 N/A 3136ADQR3 1329231.950000 PA USD 215675.990000 0.0036986 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 6.00187 N N N N N N FANNIE MAE REMICS 2013-41 N/A 3136ADP29 1707531.670000 PA USD 83356.570000 0.0014295 Long ABS-MBS USGSE US N 2 2040-06-25 Floating 6.05187 N N N N N N FANNIE MAE REMICS 2013-43 N/A 3136ADZ69 11880991.180000 PA USD 1736852.400000 0.0297853 Long ABS-MBS USGSE US N 2 2041-08-25 Floating 6.10187 N N N N N N FANNIE MAE REMICS 2013-44 N/A 3136ADB40 723611.700000 PA USD 764293.510000 0.0131069 Long ABS-MBS USGSE US N 2 2042-03-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-45 N/A 3136AD3D9 539713.830000 PA USD 46576.330000 0.0007987 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-46 N/A 3136AEAR8 369825.370000 PA USD 462637.820000 0.0079338 Long ABS-MBS USGSE US N 2 2043-05-25 Floating 8.98769 N N N N N N FANNIE MAE REMICS 2013-46 N/A 3136AEAH0 545291.690000 PA USD 703437.080000 0.0120633 Long ABS-MBS USGSE US N 2 2043-05-25 Floating 15.4075 N N N N N N FANNIE MAE REMICS 2013-50 N/A 3136AD5T2 3524777.210000 PA USD 3671993.410000 0.0629711 Long ABS-MBS USGSE US N 2 2033-01-25 Floating 3.85187 N N N N N N FANNIE MAE REMICS 2013-54 N/A 3136AEUG0 1029397.170000 PA USD 1060436.170000 0.0181854 Long ABS-MBS USGSE US N 2 2043-06-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-54 N/A 3136AEVQ7 2398670.350000 PA USD 250605.880000 0.0042976 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-54 N/A 3136AEUQ8 351793.200000 PA USD 365792.530000 0.0062730 Long ABS-MBS USGSE US N 2 2033-06-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-6 N/A 3136ABL84 3968412.660000 PA USD 4245091.180000 0.0727991 Long ABS-MBS USGSE US N 2 2033-02-25 Floating 4.00187 N N N N N N FANNIE MAE REMICS 2013-66 N/A 3136AFWB6 175857.500000 PA USD 19299.820000 0.0003310 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-72 N/A 3136AFCZ5 584659.450000 PA USD 611335.180000 0.0104838 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-75 N/A 3136AFQG2 19500324.740000 PA USD 3695524.090000 0.0633746 Long ABS-MBS USGSE US N 2 2043-02-25 Floating 6.10187 N N N N N N FANNIE MAE REMICS 2013-8 N/A 3136AB6C2 4262005.500000 PA USD 361177.690000 0.0061938 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-82 N/A 3136AFXA7 641883.980000 PA USD 834735.330000 0.0143149 Long ABS-MBS USGSE US N 2 2043-08-25 Floating 11.3196 N N N N N N FANNIE MAE REMICS 2013-83 N/A 3136AFU77 1045944.000000 PA USD 916359.700000 0.0157147 Long ABS-MBS USGSE US N 2 2043-07-25 None 0 N N N N N N FANNIE MAE REMICS 2013-84 N/A 3136AF5D2 3719709.470000 PA USD 510482.880000 0.0087543 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 6.00187 N N N N N N FANNIE MAE REMICS 2013-84 N/A 3136AF5K6 5540256.330000 PA USD 7344948.290000 0.1259586 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 9.80374 N N N N N N FANNIE MAE REMICS 2013-86 N/A 3136AF2R4 1151594.910000 PA USD 92242.410000 0.0015819 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-9 N/A 3136ABSD6 3394511.410000 PA USD 492796.840000 0.0084510 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2014-136 N/A 3136AHWB2 988294.290000 PA USD 28187.930000 0.0004834 Long ABS-MBS USGSE US N 2 2042-03-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2014-17 N/A 3136AJYB6 4821571.530000 PA USD 300278.310000 0.0051495 Long ABS-MBS USGSE US N 2 2028-07-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2014-29 N/A 3136AJT97 70370.410000 PA USD 77378.560000 0.0013270 Long ABS-MBS USGSE US N 2 2044-01-25 Fixed 3.75 N N N N N N FANNIE MAE REMICS 2014-38 N/A 3136AKPN7 1713101.880000 PA USD 171059.730000 0.0029335 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2014-4 N/A 3136AH3X6 4588188.830000 PA USD 4967676.090000 0.0851907 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2014-4 N/A 3136AH4J6 257020.840000 PA USD 28767.260000 0.0004933 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2014-42 N/A 3136AKPR8 1932071.720000 PA USD 105665.970000 0.0018121 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 2.68181 N N N N N N FANNIE MAE REMICS 2014-43 N/A 3136AKKU6 2334265.340000 PA USD 123712.090000 0.0021215 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 2.72108 N N N N N N FANNIE MAE REMICS 2014-45 N/A 3136AKUC5 1484555.700000 PA USD 85611.060000 0.0014681 Long ABS-MBS USGSE US N 2 2044-08-25 Floating 3.0355 N N N N N N FANNIE MAE REMICS 2014-47 N/A 3136AKTL7 1152534.650000 PA USD 77671.730000 0.0013320 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 2.7399 N N N N N N FANNIE MAE REMICS 2014-68 N/A 3136ALSC6 342693.220000 PA USD 47778.730000 0.0008194 Long ABS-MBS USGSE US N 2 2044-11-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2014-73 N/A 3136ALMS7 23922812.950000 PA USD 4942546.450000 0.0847598 Long ABS-MBS USGSE US N 2 2044-11-25 Floating 5.90187 N N N N N N FANNIE MAE REMICS 2014-73 N/A 3136ALMD0 5952793.910000 PA USD 1105380.850000 0.0189562 Long ABS-MBS USGSE US N 2 2044-11-25 Floating 6.05187 N N N N N N FANNIE MAE REMICS 2014-79 N/A 3136ALF48 8773986.250000 PA USD 1227336.780000 0.0210476 Long ABS-MBS USGSE US N 2 2044-06-25 Floating 5.45187 N N N N N N FANNIE MAE REMICS 2014-84 N/A 3136AL2X8 6632780.120000 PA USD 52885.810000 0.0009069 Long ABS-MBS USGSE US N 2 2043-02-25 Floating 0.2 N N N N N N FANNIE MAE REMICS 2014-92 N/A 3136AMEA3 363268.160000 PA USD 7768.740000 0.0001332 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2014-92 N/A 3136AMDY2 1165862.040000 PA USD 74115.250000 0.0012710 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2014-92 N/A 3136AMEE5 1685325.420000 PA USD 82489.600000 0.0014146 Long ABS-MBS USGSE US N 2 2045-01-25 Floating 2.75517 N N N N N N FANNIE MAE REMICS 2015-1 N/A 3136AMLG2 7778865.880000 PA USD 751835.940000 0.0128932 Long ABS-MBS USGSE US N 2 2045-02-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2015-10 N/A 3136AMZT9 1508032.520000 PA USD 77757.470000 0.0013335 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 2.81833 N N N N N N FANNIE MAE REMICS 2015-19 N/A 3136ANJM0 2786101.810000 PA USD 157472.700000 0.0027005 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 2.77961 N N N N N N FANNIE MAE REMICS 2015-19 N/A 3136ANJE8 25787435.730000 PA USD 2718787.400000 0.0466245 Long ABS-MBS USGSE US N 2 2045-04-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2015-26 N/A 3136ANQZ3 7461519.000000 PA USD 1524859.900000 0.0261498 Long ABS-MBS USGSE US N 2 2045-05-25 Floating 5.95187 N N N N N N FANNIE MAE REMICS 2015-40 N/A 3136AN5R4 3695367.440000 PA USD 3850004.890000 0.0660238 Long ABS-MBS USGSE US N 2 2037-05-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2015-47 N/A 3136APDE9 635801.800000 PA USD 48295.760000 0.0008282 Long ABS-MBS USGSE US N 2 2044-06-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2015-50 N/A 3136APNG3 7307717.980000 PA USD 554622.180000 0.0095112 Long ABS-MBS USGSE US N 2 2045-07-25 Floating 2.72448 N N N N N N FANNIE MAE REMICS 2015-58 N/A 3136APU75 1700796.050000 PA USD 101332.920000 0.0017378 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 2.76032 N N N N N N FANNIE MAE REMICS 2015-6 N/A 3136AMVR7 812718.510000 PA USD 77256.620000 0.0013249 Long ABS-MBS USGSE US N 2 2034-08-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2015-6 N/A 3136AMXJ3 9928802.000000 PA USD 423708.650000 0.0072662 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 1 N N N N N N FANNIE MAE REMICS 2015-64 N/A 3136AP3C4 1885643.390000 PA USD 136406.310000 0.0023392 Long ABS-MBS USGSE US N 2 2045-09-25 Floating 3.00987 N N N N N N FANNIE MAE REMICS 2015-64 N/A 3136AP5U2 767211.210000 PA USD 64964.150000 0.0011141 Long ABS-MBS USGSE US N 2 2045-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2015-73 N/A 3136AP7M8 1613162.790000 PA USD 1931570.640000 0.0331245 Long ABS-MBS USGSE US N 2 2045-10-25 Floating 8.97136 N N N N N N FANNIE MAE REMICS 2015-8 N/A 3136AMUT4 31585054.800000 PA USD 7047184.780000 0.1208522 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 5.95187 N N N N N N FANNIE MAE REMICS 2015-8 N/A 3136AMUP2 11923483.780000 PA USD 2227864.790000 0.0382057 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 6.00187 N N N N N N FANNIE MAE REMICS 2015-83 N/A 3136AQKF6 21154187.480000 PA USD 2439689.170000 0.0418383 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2015-84 N/A 3136AQRG7 1784354.360000 PA USD 183931.960000 0.0031543 Long ABS-MBS USGSE US N 2 2045-11-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2015-87 N/A 3136AQWT3 1094635.620000 PA USD 104310.780000 0.0017888 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2015-87 N/A 3136AQWR7 679734.090000 PA USD 62067.880000 0.0010644 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-1 N/A 3136AQG46 5714996.100000 PA USD 1108077.160000 0.0190024 Long ABS-MBS USGSE US N 2 2046-02-25 Floating 6.00187 N N N N N N FANNIE MAE REMICS 2016-11 N/A 3136ARPK8 6055166.750000 PA USD 564237.390000 0.0096761 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-14 N/A 3136ARNQ7 1205562.240000 PA USD 102217.450000 0.0017529 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-16 N/A 3136ARTM0 3237116.580000 PA USD 461583.040000 0.0079157 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-17 N/A 3136ARWA2 2059070.920000 PA USD 103964.960000 0.0017829 Long ABS-MBS USGSE US N 2 2046-04-25 Floating 2.51026 N N N N N N FANNIE MAE REMICS 2016-20 N/A 3136ARXE3 476546.670000 PA USD 39301.760000 0.0006740 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASTU0 2169060.620000 PA USD 2367360.050000 0.0405979 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 5.68974 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASTX4 1801145.370000 PA USD 1915125.090000 0.0328425 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 4.26731 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASUL8 9058949.210000 PA USD 1317260.900000 0.0225897 Long ABS-MBS USGSE US N 2 2046-06-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASVX1 3856454.120000 PA USD 330245.520000 0.0056634 Long ABS-MBS USGSE US N 2 2045-10-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-42 N/A 3136AS2P0 3013608.750000 PA USD 475435.960000 0.0081533 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2016-45 N/A 3136ASXT8 7888299.690000 PA USD 1682315.590000 0.0288500 Long ABS-MBS USGSE US N 2 2046-07-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2016-48 N/A 3136ATLT9 5605945.240000 PA USD 551692.840000 0.0094610 Long ABS-MBS USGSE US N 2 2046-08-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-48 N/A 3136ATLJ1 14095312.690000 PA USD 3143130.690000 0.0539016 Long ABS-MBS USGSE US N 2 2046-08-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2016-50 N/A 3136ATDT8 6539998.970000 PA USD 756732.820000 0.0129772 Long ABS-MBS USGSE US N 2 2046-08-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-52 N/A 3136AS6K7 8574596.340000 PA USD 1289938.260000 0.0221212 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2016-52 N/A 3136AS6D3 8009795.450000 PA USD 452941.920000 0.0077675 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-55 N/A 3136ATHV9 32285294.000000 PA USD 4196526.460000 0.0719663 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-59 N/A 3136ATPP3 1571428.000000 PA USD 486994.490000 0.0083515 Long ABS-MBS USGSE US N 2 2046-09-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-62 N/A 3136ATWH3 6285293.300000 PA USD 1636224.640000 0.0280596 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2016-63 N/A 3136ATXF6 444181.580000 PA USD 96912.740000 0.0016620 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2016-63 N/A 3136ATXU3 3672178.240000 PA USD 163320.860000 0.0028008 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-64 N/A 3136ATUB8 8837730.140000 PA USD 971990.350000 0.0166687 Long ABS-MBS USGSE US N 2 2046-05-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-76 N/A 3136ATY81 571806.160000 PA USD 28990.860000 0.0004972 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 2.44488 N N N N N N FANNIE MAE REMICS 2016-83 N/A 3136AUDP3 2061708.600000 PA USD 230830.340000 0.0039585 Long ABS-MBS USGSE US N 2 2045-07-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-85 N/A 3136AUBW0 9017018.360000 PA USD 2067341.720000 0.0354529 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2016-88 N/A 3136AUTM3 7018994.100000 PA USD 999352.450000 0.0171379 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2016-89 N/A 3136AUNR8 28754670.910000 PA USD 2562944.070000 0.0439520 Long ABS-MBS USGSE US N 2 2046-12-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-91 N/A 3136AURC7 5038903.310000 PA USD 1062468.890000 0.0182203 Long ABS-MBS USGSE US N 2 2046-12-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2017-13 N/A 3136AVFR5 28269537.400000 PA USD 6251483.100000 0.1072068 Long ABS-MBS USGSE US N 2 2047-02-25 Floating 5.90187 N N N N N N FANNIE MAE REMICS 2017-16 N/A 3136AVZF9 255756.030000 PA USD 280809.530000 0.0048156 Long ABS-MBS USGSE US N 2 2047-03-25 Floating 4.84487 N N N N N N FANNIE MAE REMICS 2017-25 N/A 3136AWAJ6 3099971.810000 PA USD 207103.230000 0.0035516 Long ABS-MBS USGSE US N 2 2046-01-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2017-32 N/A 3136AWLJ4 1562101.090000 PA USD 1631384.650000 0.0279766 Long ABS-MBS USGSE US N 2 2047-05-25 Floating 5.35179 N N N N N N FANNIE MAE REMICS 2017-37 N/A 3136AWGD3 3057956.600000 PA USD 463435.770000 0.0079475 Long ABS-MBS USGSE US N 2 2046-09-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2017-42 N/A 3136AWY50 3610538.000000 PA USD 4793519.220000 0.0822041 Long ABS-MBS USGSE US N 2 2043-05-25 Floating 9.90904 N N N N N N FANNIE MAE REMICS 2017-53 N/A 3136AW4E4 2395167.490000 PA USD 167790.340000 0.0028774 Long ABS-MBS USGSE US N 2 2047-07-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2017-60 N/A 3136AXQW8 59105461.670000 PA USD 4727993.640000 0.0810804 Long ABS-MBS USGSE US N 2 2047-08-25 Floating 2.75 N N N N N N FANNIE MAE REMICS 2017-66 N/A 3136AYDK6 28813019.950000 PA USD 4881663.190000 0.0837157 Long ABS-MBS USGSE US N 2 2047-09-25 Floating 6.00187 N N N N N N FANNIE MAE REMICS 2017-87 N/A 3136AYT86 5251135.500000 PA USD 462796.220000 0.0079365 Long ABS-MBS USGSE US N 2 2047-11-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2017-87 N/A 3136AYV34 7570337.680000 PA USD 1598536.610000 0.0274133 Long ABS-MBS USGSE US N 2 2047-11-25 Floating 6.05187 N N N N N N FANNIE MAE REMICS 2017-90 N/A 3136AYRB1 15315634.720000 PA USD 2003067.540000 0.0343506 Long ABS-MBS USGSE US N 2 2047-11-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2018-12 N/A 3136B03F1 27158344.670000 PA USD 3488454.070000 0.0598235 Long ABS-MBS USGSE US N 2 2048-03-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2018-24 N/A 3136B1LT9 5906035.280000 PA USD 888271.840000 0.0152330 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 6.05187 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1L77 6172813.980000 PA USD 5942072.960000 0.1019007 Long ABS-MBS USGSE US N 2 2048-05-25 None 0 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1L69 6923252.010000 PA USD 829069.810000 0.0142177 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 6.05187 N N N N N N FANNIE MAE REMICS 2018-28 N/A 3136B1P32 3617584.240000 PA USD 3806760.020000 0.0652822 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2018-31 N/A 3136B1XV1 8456420.780000 PA USD 1324506.350000 0.0227140 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 6.05187 N N N N N N FANNIE MAE REMICS 2018-32 N/A 3136B1C28 12571375.170000 PA USD 13834953.000000 0.2372558 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 6.05187 N N N N N N FANNIE MAE REMICS 2018-32 N/A 3136B1A38 9650884.860000 PA USD 1430660.680000 0.0245344 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 6.05187 N N N N N N FANNIE MAE REMICS 2018-35 N/A 3136B1C77 19276119.260000 PA USD 1243708.710000 0.0213284 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2018-35 N/A 3136B1D27 9517001.800000 PA USD 1782820.900000 0.0305736 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 6.05187 N N N N N N FANNIE MAE REMICS 2018-37 N/A 3136B17H1 3484177.080000 PA USD 219173.550000 0.0037586 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2018-45 N/A 3136B2ET5 12522052.030000 PA USD 2470788.700000 0.0423716 Long ABS-MBS USGSE US N 2 2048-06-25 Floating 6.05187 N N N N N N FANNIE MAE REMICS 2018-66 N/A 3136B25R9 3474214.720000 PA USD 356589.580000 0.0061152 Long ABS-MBS USGSE US N 2 2048-09-25 Floating 6.00187 N N N N N N FANNIE MAE REMICS 2018-85 N/A 3136B3QF0 16081109.050000 PA USD 1278793.910000 0.0219301 Long ABS-MBS USGSE US N 2 2048-12-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2018-94 N/A 3136B3XP0 1511869.110000 PA USD 1713615.490000 0.0293868 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 5 N N N N N N FANNIE MAE REMICS 2018-95 N/A 3136B3UE8 1979149.870000 PA USD 351200.940000 0.0060227 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 6.00187 N N N N N N FANNIE MAE REMICS 2019-1 N/A 3136B3A75 7142563.470000 PA USD 8626890.300000 0.1479426 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 7.60352 N N N N N N FANNIE MAE REMICS 2019-10 N/A 3136B3N30 18483444.210000 PA USD 2349062.770000 0.0402841 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 5.90187 N N N N N N FANNIE MAE REMICS 2019-15 N/A 3136B36U9 22807574.480000 PA USD 4585255.300000 0.0786326 Long ABS-MBS USGSE US N 2 2049-04-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2019-19 N/A 3136B4SV1 30996197.710000 PA USD 5609248.620000 0.0961931 Long ABS-MBS USGSE US N 2 2049-05-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2019-20 N/A 3136B4NL8 11699055.600000 PA USD 1139925.560000 0.0195486 Long ABS-MBS USGSE US N 2 2049-05-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2019-25 N/A 3136B4ZD3 10723986.040000 PA USD 2634555.220000 0.0451800 Long ABS-MBS USGSE US N 2 2049-06-25 Floating 5.90187 N N N N N N FANNIE MAE REMICS 2019-25 N/A 3136B4YU6 6698850.090000 PA USD 903406.920000 0.0154925 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 5.90187 N N N N N N FANNIE MAE REMICS 2019-29 N/A 3136B4UL0 5259231.520000 PA USD 6386009.250000 0.1095137 Long ABS-MBS USGSE US N 2 2048-06-25 Variable 6.98763 N N N N N N FANNIE MAE REMICS 2019-32 N/A 3136B4XA1 8088595.780000 PA USD 954869.250000 0.0163751 Long ABS-MBS USGSE US N 2 2049-06-25 Floating 5.90187 N N N N N N FANNIE MAE REMICS 2019-33 N/A 3136B44H8 13874384.170000 PA USD 2589868.860000 0.0444137 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2019-36 N/A 3136B4P28 13652796.790000 PA USD 1596395.590000 0.0273766 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 5.90187 N N N N N N FANNIE MAE REMICS 2019-49 N/A 3136B55K7 12760428.770000 PA USD 1691296.580000 0.0290041 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 5.87187 N N N N N N FANNIE MAE REMICS 2019-49 N/A 3136B55Q4 12405277.440000 PA USD 2069541.420000 0.0354906 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 5.87187 N N N N N N FANNIE MAE REMICS 2019-68 N/A 3136B6L84 14431617.590000 PA USD 2638521.100000 0.0452480 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2019-68 N/A 3136B6P49 14871117.240000 PA USD 1992848.680000 0.0341754 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2019-68 N/A 3136B6R21 23797640.480000 PA USD 4122605.670000 0.0706986 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 5.85187 N N N N N N FANNIE MAE REMICS 2019-80 N/A 3136B74R9 5148870.760000 PA USD 716981.280000 0.0122955 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 5.80187 N N N N N N FANNIE MAE REMICS 2020-2 N/A 3136B8JL4 33422776.570000 PA USD 6800752.940000 0.1166262 Long ABS-MBS USGSE US N 2 2059-07-25 Floating 5.90187 N N N N N N FANNIE MAE REMICS 2020-34 N/A 3136BAHR8 6972628.540000 PA USD 1022433.480000 0.0175337 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 5 N N N N N N FANNIE MAE REMICS 2020-40 N/A 3136B9P50 27132540.220000 PA USD 3734142.980000 0.0640369 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2020-41 N/A 3136B9Z42 11825958.370000 PA USD 1426730.920000 0.0244670 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-41 N/A 3136B9Z91 22845465.250000 PA USD 4007754.840000 0.0687290 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 5.95187 N N N N N N FANNIE MAE REMICS 2020-47 N/A 3136BAQ23 13155792.090000 PA USD 1420350.620000 0.0243576 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2020-47 N/A 3136BATP9 62078162.590000 PA USD 8091851.250000 0.1387672 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 5.95187 N N N N N N FANNIE MAE REMICS 2020-60 N/A 3136BBZX3 11692275.720000 PA USD 1727697.430000 0.0296283 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-62 N/A 3136BBWL2 32740015.990000 PA USD 5170931.930000 0.0886764 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-66 N/A 3136BBL42 49256170.410000 PA USD 6706912.260000 0.1150169 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS FNR-2016-26 N/A 3136AR4B1 11830889.000000 PA USD 4124336.640000 0.0707283 Long ABS-MBS USGSE US N 2 2045-05-25 Fixed 4 N N N N N N FANNIE MAE WHOLE LOAN 2007-W8 N/A 31396XVV3 3459786.640000 PA USD 677653.530000 0.0116211 Long ABS-MBS USGSE US N 2 2037-09-25 Floating 6.30187 N N N N N N FANNIE MAE-1993-250 N/A 31359FWN4 1050.120000 PA USD 1125.270000 0.0000193 Long ABS-MBS USGSE US N 2 2023-12-25 Fixed 7 N N N N N N FANNIE MAE-2006-65 N/A 31396KAA0 5231.510000 PA USD 4986.230000 0.0000855 Long ABS-MBS USGSE US N 2 2036-07-25 None 0 N N N N N N FANNIE MAE-2020-38 N/A 3136BACX0 14304254.610000 PA USD 2787837.720000 0.0478087 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 4.85187 N N N N N N FANNIE MAE-2020-38 N/A 3136BADX9 8105544.160000 PA USD 1200085.790000 0.0205803 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4 N N N N N N FANNIE MAE-ACES 2001-M2 N/A 313920HM5 43212.560000 PA USD 43428.560000 0.0007448 Long ABS-MBS USGSE US N 2 2031-06-25 Fixed 6.3 N N N N N N FANNIE MAE-ACES 2012-M16 N/A 3136A9MX3 42669857.120000 PA USD 303967.260000 0.0052127 Long ABS-MBS USGSE US N 2 2022-09-25 Variable 0.778406 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 10033000.000000 PA USD 1534630.120000 0.0263174 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.35816 N N N N N N FANNIEMAE 322 N/A 3136FALR9 159094.340000 PA USD 27280.010000 0.0004678 Long ABS-MBS USGSE US N 2 2032-04-25 Fixed 6 N N N N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YV77 34182.600000 PA USD 35676.800000 0.0006118 Long ABS-MBS USGSE US N 2 2043-08-25 Floating 3.90821 N N N N N N FANNIEMAE STRIP 419 N/A 31395Q5Q9 2442779.440000 PA USD 301285.380000 0.0051667 Long ABS-MBS USGSE US N 2 2043-11-25 Fixed 3 N N N N N N FANNIEMAE WHOLE LOAN 2004-W14 N/A 31394BT53 28468459.190000 PA USD 4532471.360000 0.0777274 Long ABS-MBS USGSE US N 2 2044-07-25 Variable 4.17011 N N N N N N FANNIEMAE WHOLE LOAN 2006-W3 N/A 31396L7D6 14067864.460000 PA USD 1968315.100000 0.0337547 Long ABS-MBS USGSE US N 2 2046-10-25 Variable 5.89275 N N N N N N FANNIEMAE WHOLE LOAN-2002-W4 N/A 31392DUC4 30433.600000 PA USD 32327.780000 0.0005544 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 4.01843 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K024 N/A 3137AXHQ9 41324407.680000 PA USD 561404.480000 0.0096275 Long ABS-MBS USGSE US N 2 2022-09-25 Variable 0.922474 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K720 N/A 3137BLUS5 101663939.300000 PA USD 638663.030000 0.0109524 Long ABS-MBS USGSE US N 2 2022-08-25 Variable 0.63613 N N N N N N FHLMC PASS THRU POOLS N/A 3128KKPG8 101304.450000 PA USD 112416.460000 0.0019278 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KMMC6 113313.870000 PA USD 125760.370000 0.0021567 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KTLY4 462038.580000 PA USD 526096.050000 0.0090220 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3129882X5 820172.000000 PA USD 901314.600000 0.0154567 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5NM8 3153.500000 PA USD 3665.120000 0.0000629 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M9JJ2 2597879.950000 PA USD 2926027.180000 0.0501785 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M9PU0 36117.180000 PA USD 42350.210000 0.0007263 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 7 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 8525969.440000 PA USD 9150184.220000 0.1569166 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31335BMB9 6995927.120000 PA USD 7481024.010000 0.1282922 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31335BMZ6 4192461.850000 PA USD 4789843.680000 0.0821411 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XCRZ0 3837717.670000 PA USD 4309219.970000 0.0738989 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XCSK2 51178246.760000 PA USD 57252151.200000 0.9818178 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3132LQQW0 1162364.160000 PA USD 1266157.970000 0.0217134 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132J92F4 41498.650000 PA USD 47496.680000 0.0008145 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132JASY2 25828.850000 PA USD 28603.750000 0.0004905 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132JAV69 32986.180000 PA USD 36278.040000 0.0006221 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132JBDR1 84138.610000 PA USD 96300.280000 0.0016515 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132JBDV2 114544.070000 PA USD 129771.220000 0.0022254 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132QWFX2 4094424.010000 PA USD 4485029.480000 0.0769138 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132WKVH8 7905203.270000 PA USD 8532534.750000 0.1463245 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132WLUW4 3908616.940000 PA USD 4262887.760000 0.0731043 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132WMPB4 2696815.160000 PA USD 2947359.100000 0.0505443 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XSH37 1559580.480000 PA USD 1670926.200000 0.0286547 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XTXJ2 2883875.650000 PA USD 3157613.070000 0.0541499 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XVSB0 8994088.450000 PA USD 9795470.640000 0.1679826 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 14823015.230000 PA USD 15866351.390000 0.2720922 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWJW2 4991291.140000 PA USD 5460407.520000 0.0936406 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWYA3 1851065.780000 PA USD 2076169.370000 0.0356043 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XW2K6 3023124.200000 PA USD 3320263.900000 0.0569392 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XW4M0 993252.940000 PA USD 1063525.610000 0.0182384 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XW5X5 9427959.720000 PA USD 10279021.170000 0.1762750 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXE47 684028.230000 PA USD 732312.740000 0.0125584 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXQF9 5423422.540000 PA USD 5912986.110000 0.1014019 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXXT1 1732944.450000 PA USD 1851679.890000 0.0317545 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y0FE5 4692350.860000 PA USD 5126452.250000 0.0879136 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y0T91 664261.980000 PA USD 738152.460000 0.0126586 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y0UU2 3950838.970000 PA USD 4364537.010000 0.0748475 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31334YHW0 855789.240000 PA USD 936457.740000 0.0160593 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31339SR56 812784.690000 PA USD 885944.810000 0.0151931 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMH32 790805.150000 PA USD 846515.400000 0.0145169 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMKB0 51745.260000 PA USD 55197.840000 0.0009466 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVKN4 2248901.920000 PA USD 2472084.140000 0.0423938 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVK79 60366614.110000 PA USD 64624390.330000 1.1082444 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132FPAH9 386308.120000 PA USD 425851.200000 0.0073029 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132H3K51 472835.440000 PA USD 519173.090000 0.0089033 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132HBXZ3 2073253.740000 PA USD 2278717.230000 0.0390777 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132H5EK0 136881.970000 PA USD 150440.680000 0.0025799 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132L92Z7 215539.430000 PA USD 233491.160000 0.0040041 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XGGJ9 16800000.000000 PA USD 17531687.380000 0.3006511 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 2.7 N N N N N N FHLMC PASS THRU POOLS N/A 3131XWLS0 680251.320000 PA USD 725077.160000 0.0124344 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131YBJH2 5047862.650000 PA USD 5388374.500000 0.0924053 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5GX7 2490951.260000 PA USD 2675577.730000 0.0458835 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132A5G33 2481431.970000 PA USD 2663950.350000 0.0456841 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FHR 3387 N/A 31397PFH8 15512.090000 PA USD 14608.420000 0.0002505 Long ABS-MBS USGSE US N 2 2037-11-15 None 0 N N N N N N FHR-2056 N/A 3133TDXZ4 26440.410000 PA USD 26386.280000 0.0004525 Long ABS-MBS USGSE US N 2 2023-06-15 None 0 N N N N N N FIRST FRANKIN MORTGAGE LOAN TRUST 2005-FFH2 N/A 32027NTV3 416574.440000 PA USD 417219.710000 0.0071549 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.95813 N N N N N N FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3 N/A 362334AW4 5500000.000000 PA USD 4668100.800000 0.0800533 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.52813 N N N N N N FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4 N/A 32027NXE6 6100000.000000 PA USD 5723779.450000 0.0981572 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.64813 N N N N N N FIRST FRANKLIN MTG LOAN 2004-FF11 N/A 32027NNB3 5671141.940000 PA USD 5188199.970000 0.0889725 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.79813 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 3418729.220000 PA USD 3315163.950000 0.0568518 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.30813 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAE5 4450704.740000 PA USD 4332846.070000 0.0743040 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.30813 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA4 N/A 32052NAE9 137555.960000 PA USD 121914.970000 0.0020907 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.23641 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 138331.080000 PA USD 117184.080000 0.0020096 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.0944 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR5 N/A 32051GXQ3 18427.960000 PA USD 16970.850000 0.0002910 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.3392 Y N N N N N FNMA PASS THRU POOLS N/A 31381VKE4 1894000.000000 PA USD 1962220.270000 0.0336501 Long ABS-MBS USGSE US N 2 2022-07-01 Fixed 3.33 N N N N N N FNMA PASS THRU POOLS N/A 31403TAD6 47178.410000 PA USD 48405.790000 0.0008301 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31406AUA8 188773.860000 PA USD 195995.070000 0.0033611 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.516 N N N N N N FNMA PASS THRU POOLS N/A 31406MAT3 459275.350000 PA USD 483907.290000 0.0082985 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 3.793 N N N N N N FNMA PASS THRU POOLS N/A 31410GD91 63131.400000 PA USD 63657.120000 0.0010917 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.739 N N N N N N FNMA PASS THRU POOLS N/A 31412EH82 81011.420000 PA USD 92826.990000 0.0015919 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414KGV6 3969.360000 PA USD 4163.650000 0.0000714 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416NEC2 180657.120000 PA USD 203005.160000 0.0034813 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417ACX5 511865.920000 PA USD 573467.070000 0.0098344 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417CES0 2629762.590000 PA USD 2973790.290000 0.0509976 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417EK75 2245078.030000 PA USD 2367130.220000 0.0405939 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31417EQ38 7719877.210000 PA USD 8141062.830000 0.1396112 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31417FUB2 773083.530000 PA USD 818206.720000 0.0140314 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417GUP9 1944523.580000 PA USD 2225011.620000 0.0381567 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417SQA1 1541428.260000 PA USD 1735561.550000 0.0297632 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MNF5 235391.750000 PA USD 246350.890000 0.0042247 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 3.431 N N N N N N FNMA PASS THRU POOLS N/A 31418NPP9 443435.770000 PA USD 494142.410000 0.0084741 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418UE83 264306.960000 PA USD 288392.260000 0.0049456 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418XDK1 334902.930000 PA USD 377122.090000 0.0064673 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418XYC6 189479.530000 PA USD 205152.530000 0.0035182 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AYM3 2792142.810000 PA USD 3151767.730000 0.0540497 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ADA62 474741.610000 PA USD 527518.910000 0.0090464 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E2GX7 378627.810000 PA USD 417973.780000 0.0071678 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E6VD5 228815.100000 PA USD 258477.570000 0.0044326 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EA7K7 99881.120000 PA USD 113932.770000 0.0019538 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EE3S6 6537.990000 PA USD 7067.920000 0.0001212 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EJAY4 861169.090000 PA USD 977599.990000 0.0167649 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EQ4S8 1886466.090000 PA USD 2058587.350000 0.0353027 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EQ7E6 2657584.600000 PA USD 3000137.080000 0.0514494 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ERM64 13452812.760000 PA USD 14561708.340000 0.2497189 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138L65H7 3934979.510000 PA USD 4435727.180000 0.0760683 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 3.49 N N N N N N FNMA PASS THRU POOLS N/A 3138LKL39 15400000.000000 PA USD 15898179.220000 0.2726380 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 2.6 N N N N N N FNMA PASS THRU POOLS N/A 3138LMPN7 1000000.000000 PA USD 1167537.200000 0.0200221 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 3.43 N N N N N N FNMA PASS THRU POOLS N/A 3138LN4U2 2191140.360000 PA USD 2520660.720000 0.0432268 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.75 N N N N N N FNMA PASS THRU POOLS N/A 3138LT4G0 274811.860000 PA USD 298898.670000 0.0051258 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138M7CT0 1565248.210000 PA USD 1758018.810000 0.0301483 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138NYX67 4209814.550000 PA USD 4505205.370000 0.0772598 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3138W9FH8 1099074.920000 PA USD 1187982.880000 0.0203727 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WB6F7 1704520.880000 PA USD 1799384.060000 0.0308577 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WDN31 2636459.620000 PA USD 2829003.830000 0.0485146 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WEB24 852711.500000 PA USD 915014.460000 0.0156916 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WEKJ7 4842096.050000 PA USD 5224463.790000 0.0895944 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WFCP9 3840277.620000 PA USD 4269618.320000 0.0732197 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WG7A6 1480939.440000 PA USD 1615530.030000 0.0277047 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WHNT5 100518.960000 PA USD 108947.940000 0.0018683 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WHNV0 410779.840000 PA USD 442750.470000 0.0075927 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WJBM9 143554.590000 PA USD 154855.640000 0.0026556 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WJBN7 118329.930000 PA USD 127462.490000 0.0021859 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WJN38 10326991.500000 PA USD 11248732.700000 0.1929046 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WJT81 939128.880000 PA USD 1033464.970000 0.0177229 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WJXQ6 98415.680000 PA USD 105794.260000 0.0018143 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WKKN4 2544507.690000 PA USD 2824938.420000 0.0484449 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WKNK7 4179724.770000 PA USD 4482188.840000 0.0768651 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WKWE1 2865914.660000 PA USD 3181772.880000 0.0545643 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WKW92 19198.750000 PA USD 20584.040000 0.0003530 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WK2J3 2984435.890000 PA USD 3313392.920000 0.0568214 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WTGX8 550999.990000 PA USD 581892.990000 0.0099789 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WTST4 195300.750000 PA USD 211824.050000 0.0036326 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WUHY2 49348.650000 PA USD 56466.580000 0.0009683 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WUH30 36725.910000 PA USD 41596.990000 0.0007133 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WVRU7 42435.690000 PA USD 47649.750000 0.0008171 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WX4Z7 45485.020000 PA USD 51518.130000 0.0008835 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138XE3L0 629108.450000 PA USD 692755.250000 0.0118801 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138XZFG1 264930.810000 PA USD 287359.510000 0.0049279 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138Y4DA4 111820.970000 PA USD 121405.320000 0.0020820 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140E0BY0 174510.380000 PA USD 189319.880000 0.0032466 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140E2YA3 100742.690000 PA USD 108281.460000 0.0018569 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140EBZR5 512752.940000 PA USD 555843.770000 0.0095322 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140EW6G5 131026.350000 PA USD 142584.000000 0.0024452 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140EYAF8 116238.680000 PA USD 126077.130000 0.0021621 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140F0CC6 619291.410000 PA USD 665328.850000 0.0114097 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140F1U26 143823.770000 PA USD 157302.740000 0.0026976 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140F2AR1 107163.970000 PA USD 115846.880000 0.0019867 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140F3VB1 29842.800000 PA USD 32276.750000 0.0005535 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140F9WB7 12395205.810000 PA USD 13787811.890000 0.2364473 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140F97D1 108936.380000 PA USD 117894.810000 0.0020218 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FE2P8 49907.030000 PA USD 53608.440000 0.0009193 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FM7B6 589971.980000 PA USD 634735.440000 0.0108851 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FPAV1 118004414.320000 PA USD 126581486.110000 2.1707473 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FPBW8 2710691.670000 PA USD 2837170.700000 0.0486547 Long ABS-MBS USGSE US N 2 2047-05-01 Floating 3.293 N N N N N N FNMA PASS THRU POOLS N/A 3140FPDG1 243229.390000 PA USD 261258.770000 0.0044803 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FPFW4 11216556.090000 PA USD 12498274.420000 0.2143330 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FRGG4 989595.240000 PA USD 1088485.230000 0.0186664 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FTFW6 116082.810000 PA USD 119366.860000 0.0020470 Long ABS-MBS USGSE US N 2 2047-01-01 Floating 2.1 N N N N N N FNMA PASS THRU POOLS N/A 3140FTN64 3655105.360000 PA USD 4020398.970000 0.0689459 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FTWA5 1762101.010000 PA USD 1911820.510000 0.0327858 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FT2T7 1163354.710000 PA USD 1251548.080000 0.0214628 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FT5R8 303990.210000 PA USD 327449.490000 0.0056154 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FUCC0 2009668.910000 PA USD 2210511.580000 0.0379081 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FUKX5 145669.140000 PA USD 159354.990000 0.0027328 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FU3G1 1208413.280000 PA USD 1329170.010000 0.0227940 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FVCM6 2615481.220000 PA USD 2876879.840000 0.0493356 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FVT89 1939243.640000 PA USD 2085376.310000 0.0357621 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FVYP5 1765552.250000 PA USD 1941981.660000 0.0333031 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FVYZ3 1391492.360000 PA USD 1544850.740000 0.0264927 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FXFH0 24444512.800000 PA USD 26083585.830000 0.4473077 Long ABS-MBS USGSE US N 2 2057-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140FXFU1 4777816.540000 PA USD 5118587.420000 0.0877787 Long ABS-MBS USGSE US N 2 2057-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140FXJG8 35220227.280000 PA USD 37570152.890000 0.6442910 Long ABS-MBS USGSE US N 2 2058-05-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140FXM90 12885244.760000 PA USD 14723985.420000 0.2525018 Long ABS-MBS USGSE US N 2 2059-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GNHP1 246691.180000 PA USD 271344.400000 0.0046533 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GNH22 2489534.100000 PA USD 2763932.810000 0.0473987 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GNKM4 2899827.300000 PA USD 3167068.080000 0.0543121 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GN6Z1 54271.610000 PA USD 58373.130000 0.0010010 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GN7E7 3361756.260000 PA USD 3697750.960000 0.0634128 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GQNB8 476185.300000 PA USD 520359.010000 0.0089236 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GRAU8 2860960.500000 PA USD 3103070.660000 0.0532146 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GS2M3 1891350.260000 PA USD 2048223.580000 0.0351250 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GVXX8 214939.830000 PA USD 221546.740000 0.0037993 Long ABS-MBS USGSE US N 2 2048-04-01 Floating 3.225 N N N N N N FNMA PASS THRU POOLS N/A 3140H2Z92 8105334.220000 PA USD 8860610.010000 0.1519507 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H23K2 3007487.890000 PA USD 3249366.430000 0.0557234 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H3MC7 155674.380000 PA USD 173084.560000 0.0029682 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H4UM4 1048814.710000 PA USD 1124511.490000 0.0192843 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H5JG7 13252659.250000 PA USD 13946149.310000 0.2391627 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140H6DW6 8064909.530000 PA USD 8948510.860000 0.1534581 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H6HW2 729756.900000 PA USD 779997.500000 0.0133762 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H6LZ0 1916572.670000 PA USD 2049061.600000 0.0351394 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H8ZE8 926917.770000 PA USD 1005172.530000 0.0172377 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140H96J7 536003.040000 PA USD 594246.590000 0.0101907 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HCAW6 1336622.890000 PA USD 1428683.670000 0.0245005 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HCAX4 2571007.170000 PA USD 2746324.820000 0.0470968 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HDSY1 18889823.840000 PA USD 19789968.710000 0.3393784 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140HEGA4 1604768.000000 PA USD 1851046.180000 0.0317436 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140HEM41 120073.040000 PA USD 120642.570000 0.0020689 Long ABS-MBS USGSE US N 2 2048-06-01 Floating 3.975 N N N N N N FNMA PASS THRU POOLS N/A 3140HFFC8 4152061.720000 PA USD 4482244.010000 0.0768661 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HGTY3 3098862.570000 PA USD 3309187.580000 0.0567493 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HLEQ5 1432977.140000 PA USD 1497783.800000 0.0256855 Long ABS-MBS USGSE US N 2 2048-06-01 Floating 3.511 N N N N N N FNMA PASS THRU POOLS N/A 3140HNV66 7641728.500000 PA USD 8364131.360000 0.1434366 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HRVK6 3720000.000000 PA USD 4415104.510000 0.0757147 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 4.05 N N N N N N FNMA PASS THRU POOLS N/A 3140HSG39 4000000.000000 PA USD 4797745.160000 0.0822766 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.85 N N N N N N FNMA PASS THRU POOLS N/A 3140HSNN7 12198000.000000 PA USD 13496369.880000 0.2314494 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 3.575 N N N N N N FNMA PASS THRU POOLS N/A 3140HSNR8 4383000.000000 PA USD 5257284.900000 0.0901572 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.85 N N N N N N FNMA PASS THRU POOLS N/A 3140HSTA9 4862346.420000 PA USD 5695375.670000 0.0976701 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.62 N N N N N N FNMA PASS THRU POOLS N/A 3140HSUB5 1289482.700000 PA USD 1553220.520000 0.0266362 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 3.93 N N N N N N FNMA PASS THRU POOLS N/A 3140HSV24 1089616.290000 PA USD 1314625.680000 0.0225445 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 3.95 N N N N N N FNMA PASS THRU POOLS N/A 3140HTGF0 8500000.000000 PA USD 9187904.070000 0.1575635 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 3.11 N N N N N N FNMA PASS THRU POOLS N/A 3140HUJ31 1207000.000000 PA USD 1373284.910000 0.0235505 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 2.93 N N N N N N FNMA PASS THRU POOLS N/A 3140HUMS2 1550000.000000 PA USD 1766589.610000 0.0302953 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 2.95 N N N N N N FNMA PASS THRU POOLS N/A 3140HUSR8 2145069.320000 PA USD 2453411.820000 0.0420736 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.03 N N N N N N FNMA PASS THRU POOLS N/A 3140HU2D7 2962330.010000 PA USD 3295325.170000 0.0565116 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 2.75 N N N N N N FNMA PASS THRU POOLS N/A 3140HU2E5 1279855.940000 PA USD 1403211.910000 0.0240637 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 2.65 N N N N N N FNMA PASS THRU POOLS N/A 3140HVB45 11398229.450000 PA USD 12351269.270000 0.2118121 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 2.54 N N N N N N FNMA PASS THRU POOLS N/A 3140HXHV5 7978528.570000 PA USD 8958693.280000 0.1536327 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 2.95 N N N N N N FNMA PASS THRU POOLS N/A 3140J0P20 3920342.900000 PA USD 4069076.550000 0.0697806 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 1.51 N N N N N N FNMA PASS THRU POOLS N/A 3140J5NV7 945123.550000 PA USD 1044357.250000 0.0179097 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J5UX5 5470658.730000 PA USD 6017383.450000 0.1031922 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J55F2 4183574.070000 PA USD 4316576.250000 0.0740250 Long ABS-MBS USGSE US N 2 2043-09-01 Floating 2.088 N N N N N N FNMA PASS THRU POOLS N/A 3140J6CP0 607622.490000 PA USD 650281.280000 0.0111517 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GL5 15417277.690000 PA USD 16552936.870000 0.2838665 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GM3 336474.590000 PA USD 361208.920000 0.0061944 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J7PH2 5865553.900000 PA USD 6511981.700000 0.1116740 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J8BG7 4372830.510000 PA USD 4979243.630000 0.0853891 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J8LH4 17109186.770000 PA USD 19245978.090000 0.3300495 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J8QK2 15562486.630000 PA USD 17603282.810000 0.3018789 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J8QX4 10298988.110000 PA USD 11215256.230000 0.1923306 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J8QY2 3918708.180000 PA USD 4293368.930000 0.0736270 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J83X9 6534236.960000 PA USD 7101490.280000 0.1217835 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J84U4 4909905.880000 PA USD 5502439.410000 0.0943614 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140J9AX9 5034906.520000 PA USD 5509271.550000 0.0944786 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JAZY7 6712192.800000 PA USD 6957841.940000 0.1193201 Long ABS-MBS USGSE US N 2 2048-12-01 Floating 3.591 N N N N N N FNMA PASS THRU POOLS N/A 3140JA2Y3 15840334.930000 PA USD 16509756.040000 0.2831260 Long ABS-MBS USGSE US N 2 2049-08-01 Floating 3.504 N N N N N N FNMA PASS THRU POOLS N/A 3140JLXR0 224597.000000 PA USD 246074.410000 0.0042199 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140JLYX6 5399476.050000 PA USD 5908243.080000 0.1013205 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JL2A1 9855613.930000 PA USD 10853764.000000 0.1861313 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140JL5J9 2024059.180000 PA USD 2220457.200000 0.0380786 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140JNNW6 1324323.710000 PA USD 1451865.340000 0.0248981 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140JNQR4 1407318.710000 PA USD 1543877.430000 0.0264760 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140JNRD4 1768096.630000 PA USD 1939667.580000 0.0332634 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140JNXG0 2114624.050000 PA USD 2254506.450000 0.0386626 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JN6D7 1439900.930000 PA USD 1550609.870000 0.0265914 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JR3L3 607284.670000 PA USD 655903.530000 0.0112481 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JVQC9 922261.810000 PA USD 1004519.230000 0.0172265 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140K1AP1 17355781.130000 PA USD 18602564.730000 0.3190156 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7MK0 2561440.080000 PA USD 2830205.150000 0.0485352 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q77E1 2469849.970000 PA USD 2742116.820000 0.0470246 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q77G6 208416.770000 PA USD 229247.560000 0.0039314 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8EK7 2862931.090000 PA USD 3178539.900000 0.0545088 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8EM3 1121361.220000 PA USD 1233449.150000 0.0211524 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8N84 4484351.020000 PA USD 4791202.780000 0.0821644 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9PU1 2488250.520000 PA USD 2677763.470000 0.0459210 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QAEK2 8044184.370000 PA USD 9006368.570000 0.1544503 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QBCD8 2929888.210000 PA USD 3209162.490000 0.0550340 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QB6D5 9307704.460000 PA USD 10211288.960000 0.1751135 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QB6E3 18218974.640000 PA USD 19841542.130000 0.3402628 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X4FJ0 14540677.660000 PA USD 15581162.460000 0.2672015 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X4F76 18100711.250000 PA USD 19489444.880000 0.3342247 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X4GR1 5562942.870000 PA USD 5951524.000000 0.1020628 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140X4VG8 14495051.080000 PA USD 15596037.180000 0.2674566 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X4Y59 17030954.350000 PA USD 18336137.210000 0.3144466 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X5H48 40120137.720000 PA USD 42020900.260000 0.7206169 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X5V26 13472524.650000 PA USD 14115232.110000 0.2420623 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S77 54208617.280000 PA USD 57132379.110000 0.9797638 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X63B5 17899338.440000 PA USD 19516380.250000 0.3346866 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YQ91 15381.730000 PA USD 16319.600000 0.0002799 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YYC5 64405.600000 PA USD 71048.540000 0.0012184 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417Y2J5 71036.230000 PA USD 78378.550000 0.0013441 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418ACE6 21174.210000 PA USD 23372.090000 0.0004008 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418BXN1 41803.390000 PA USD 45580.590000 0.0007817 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CGR9 44847.500000 PA USD 48267.180000 0.0008277 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CNE0 18964611.420000 PA USD 20286218.210000 0.3478886 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CU85 348968.940000 PA USD 373245.310000 0.0064008 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CV35 1188722.730000 PA USD 1269642.170000 0.0217731 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CV50 1421100.650000 PA USD 1495117.280000 0.0256398 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418CWV2 13672388.330000 PA USD 14382617.360000 0.2466477 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418CXT6 16209898.490000 PA USD 17398641.830000 0.2983695 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CYK4 12271605.250000 PA USD 13165071.620000 0.2257680 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CZ72 18378584.230000 PA USD 19699738.680000 0.3378310 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418C3A0 25542490.320000 PA USD 27388567.680000 0.4696868 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418DHN5 685714.630000 PA USD 730981.660000 0.0125356 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138MTEY9 14164.850000 PA USD 16103.240000 0.0002762 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4 N N N N N N FREDDIE MAC 1570 N/A 3133T0PW8 77800.560000 PA USD 77634.110000 0.0013313 Long ABS-MBS USGSE US N 2 2023-03-15 None 0 N N N N N N FREDDIE MAC 1570 N/A 3133T0PZ1 40694.340000 PA USD 39528.280000 0.0006779 Long ABS-MBS USGSE US N 2 2023-08-15 None 0 N N N N N N FREDDIE MAC 2030 N/A 3133TCXJ2 68605.980000 PA USD 65023.880000 0.0011151 Long ABS-MBS USGSE US N 2 2028-02-15 None 0 N N N N N N FREDDIE MAC 2189 N/A 3133TLXZ6 72994.970000 PA USD 68520.530000 0.0011751 Long ABS-MBS USGSE US N 2 2027-07-15 None 0 N N N N N N FREDDIE MAC 2259 N/A 3133TQAX5 19635.460000 PA USD 18985.480000 0.0003256 Long ABS-MBS USGSE US N 2 2030-10-15 None 0 N N N N N N FREDDIE MAC 2400 N/A 31339NBP0 27460.660000 PA USD 26734.790000 0.0004585 Long ABS-MBS USGSE US N 2 2032-01-15 None 0 N N N N N N FREDDIE MAC 2416 N/A 31339DRH3 10646.520000 PA USD 10286.220000 0.0001764 Long ABS-MBS USGSE US N 2 2032-02-15 None 0 N N N N N N FREDDIE MAC 2437 N/A 31339WW51 60405.190000 PA USD 60234.330000 0.0010330 Long ABS-MBS USGSE US N 2 2032-04-15 None 0 N N N N N N FREDDIE MAC 2454 N/A 31392KCZ7 173375.000000 PA USD 38144.440000 0.0006541 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 7.84762 N N N N N N FREDDIE MAC 2469 N/A 31392RDB4 40890.550000 PA USD 39820.900000 0.0006829 Long ABS-MBS USGSE US N 2 2032-07-15 None 0 N N N N N N FREDDIE MAC 2512 N/A 31392WA83 150671.750000 PA USD 150330.480000 0.0025780 Long ABS-MBS USGSE US N 2 2024-05-15 None 0 N N N N N N FREDDIE MAC 2611 N/A 31393QYH9 6127.880000 PA USD 8381.640000 0.0001437 Long ABS-MBS USGSE US N 2 2033-05-15 Floating 12.6952 N N N N N N FREDDIE MAC 2725 N/A 31394MWL0 500000.000000 PA USD 595122.600000 0.0102058 Long ABS-MBS USGSE US N 2 2033-12-15 Fixed 4.5 N N N N N N FREDDIE MAC 2774 N/A 31394XGU4 65809.270000 PA USD 62717.390000 0.0010755 Long ABS-MBS USGSE US N 2 2032-12-15 None 0 N N N N N N FREDDIE MAC 2882 N/A 31395JK96 125147.470000 PA USD 2372.030000 0.0000407 Long ABS-MBS USGSE US N 2 2034-10-15 Floating 6.54762 N N N N N N FREDDIE MAC 2885 N/A 31395J3Z7 9994.000000 PA USD 14227.790000 0.0002440 Long ABS-MBS USGSE US N 2 2034-11-15 Floating 16.1185 N N N N N N FREDDIE MAC 2990 N/A 31395V4K2 611038.350000 PA USD 73296.920000 0.0012570 Long ABS-MBS USGSE US N 2 2035-03-15 Floating 6.49762 N N N N N N FREDDIE MAC 3001 N/A 31395WBC0 495739.140000 PA USD 741446.100000 0.0127151 Long ABS-MBS USGSE US N 2 2035-07-15 Fixed 6 N N N N N N FREDDIE MAC 3016 N/A 31395WXJ1 856656.750000 PA USD 68888.990000 0.0011814 Long ABS-MBS USGSE US N 2 2025-08-15 Floating 5.99762 N N N N N N FREDDIE MAC 3117 N/A 31396HUN7 89248.870000 PA USD 84543.850000 0.0014498 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 0 N N N N N N FREDDIE MAC 3117 N/A 31396HVU0 78061.720000 PA USD 74272.060000 0.0012737 Long ABS-MBS USGSE US N 2 2036-02-15 None 0 N N N N N N FREDDIE MAC 3171 N/A 31396TUR2 1154327.180000 PA USD 995829.860000 0.0170775 Long ABS-MBS USGSE US N 2 2036-06-15 None 0 N N N N N N FREDDIE MAC 3200 N/A 31397AJ95 75428.270000 PA USD 72429.720000 0.0012421 Long ABS-MBS USGSE US N 2 2036-08-15 None 0 N N N N N N FREDDIE MAC 3266 N/A 31397EHY4 54111.570000 PA USD 49145.490000 0.0008428 Long ABS-MBS USGSE US N 2 2037-01-15 None 0 N N N N N N FREDDIE MAC 4520 N/A 3137BLUL0 5257677.430000 PA USD 7076023.610000 0.1213468 Long ABS-MBS USGSE US N 2 2045-08-15 Floating 8.97136 N N N N N N FREDDIE MAC 4615 N/A 3137BRYG4 5568033.680000 PA USD 5623748.540000 0.0964417 Long ABS-MBS USGSE US N 2 2038-10-15 Floating 0.50563 N N N N N N FREDDIE MAC 4615 N/A 3137BRYH2 7434258.680000 PA USD 510706.060000 0.0087581 Long ABS-MBS USGSE US N 2 2038-10-15 Floating 3.08231 N N N N N N FREDDIE MAC 4660 N/A 3137BVJ80 1275951.570000 PA USD 1633894.260000 0.0280197 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 7.68857 N N N N N N FREDDIE MAC 4660 N/A 3137BVKJ4 5259403.160000 PA USD 5697719.190000 0.0977102 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 4 N N N N N N FREDDIE MAC 4717 N/A 3137FB5X0 2102407.160000 PA USD 2161498.260000 0.0370676 Long ABS-MBS USGSE US N 2 2047-08-15 Floating 5.77143 N N N N N N FREDDIE MAC 4799 N/A 3137F5LB3 33052526.120000 PA USD 36800461.130000 0.6310915 Long ABS-MBS USGSE US N 2 2048-05-15 Fixed 4 N N N N N N FREDDIE MAC 4820 N/A 3137FHHV8 4983424.050000 PA USD 668336.970000 0.0114613 Long ABS-MBS USGSE US N 2 2048-03-15 Floating 6.04762 N N N N N N FREDDIE MAC 4820 N/A 3137FHJ95 9431567.440000 PA USD 778346.710000 0.0133479 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 5.99762 N N N N N N FREDDIE MAC 4836 N/A 3137FJB57 5482881.000000 PA USD 649017.940000 0.0111300 Long ABS-MBS USGSE US N 2 2048-10-15 Floating 5.99762 N N N N N N FREDDIE MAC 4839 N/A 3137FJJY6 2690138.930000 PA USD 2520068.350000 0.0432167 Long ABS-MBS USGSE US N 2 2056-08-15 None 0 N N N N N N FREDDIE MAC 4839 N/A 3137FJK81 66355872.430000 PA USD 57460170.990000 0.9853851 Long ABS-MBS USGSE US N 2 2056-08-15 None 0 N N N N N N FREDDIE MAC 4930 N/A 3137FPV69 30523511.640000 PA USD 6627646.390000 0.1136576 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 5.89762 N N N N N N FREDDIE MAC 4974 N/A 3137FTDK0 19594127.730000 PA USD 2733329.870000 0.0468739 Long ABS-MBS USGSE US N 2 2050-02-25 Fixed 3 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1512 N/A 3137FMTU6 134623568.320000 PA USD 12071049.180000 0.2070066 Long ABS-MBS USGSE US N 2 2034-04-25 Variable 1.05502 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K727 N/A 3137FARG5 136769504.540000 PA USD 2455819.550000 0.0421149 Long ABS-MBS USGSE US N 2 2024-07-25 Variable 0.732718 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q010 N/A 3137FMUK6 1117042.320000 PA USD 1172203.100000 0.0201021 Long ABS-MBS USGSE US N 2 2047-12-25 Variable 2.97908 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q010 N/A 3137FMUL4 3328232.270000 PA USD 3635277.670000 0.0623414 Long ABS-MBS USGSE US N 2 2046-10-25 Variable 3.02603 N N N N N N FREDDIE MAC REMICS 1545 N/A 312916QR3 15046.860000 PA USD 14668.030000 0.0002515 Long ABS-MBS USGSE US N 2 2023-06-15 None 0 N N N N N N FREDDIE MAC REMICS 1569 N/A 3133T0PH1 45517.430000 PA USD 44371.390000 0.0007609 Long ABS-MBS USGSE US N 2 2023-08-15 None 0 N N N N N N FREDDIE MAC REMICS 1597 N/A 3133T0Z64 8502.390000 PA USD 8258.750000 0.0001416 Long ABS-MBS USGSE US N 2 2023-07-15 None 0 N N N N N N FREDDIE MAC REMICS 1740 N/A 3133T5TD5 26789.120000 PA USD 26730.480000 0.0004584 Long ABS-MBS USGSE US N 2 2024-02-15 None 0 N N N N N N FREDDIE MAC REMICS 1770 N/A 3133T5Z71 5449.290000 PA USD 5434.850000 0.0000932 Long ABS-MBS USGSE US N 2 2025-02-15 None 0 N N N N N N FREDDIE MAC REMICS 2032 N/A 3133TCXF0 1446.560000 PA USD 1439.020000 0.0000247 Long ABS-MBS USGSE US N 2 2021-04-15 None 0 N N N N N N FREDDIE MAC REMICS 2064 N/A 3133TELD4 13009.760000 PA USD 12790.850000 0.0002194 Long ABS-MBS USGSE US N 2 2022-05-15 None 0 N N N N N N FREDDIE MAC REMICS 2245 N/A 3133TPKD0 24603.050000 PA USD 23739.140000 0.0004071 Long ABS-MBS USGSE US N 2 2022-09-15 None 0 N N N N N N FREDDIE MAC REMICS 2306 N/A 3133TSK69 143139.620000 PA USD 17761.490000 0.0003046 Long ABS-MBS USGSE US N 2 2024-05-15 Floating 9.93 N N N N N N FREDDIE MAC REMICS 2568 N/A 31393KJC0 6997.880000 PA USD 7774.180000 0.0001333 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 2978 N/A 31395UKP5 15565.800000 PA USD 17643.450000 0.0003026 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 3005 N/A 31395WJR9 284957.690000 PA USD 389847.770000 0.0066855 Long ABS-MBS USGSE US N 2 2033-10-15 Floating 15.5658 N N N N N N FREDDIE MAC REMICS 3032 N/A 31396AHT4 655688.560000 PA USD 132667.430000 0.0022751 Long ABS-MBS USGSE US N 2 2035-09-15 Floating 6.54762 N N N N N N FREDDIE MAC REMICS 3077 N/A 31396FZ71 51575.070000 PA USD 50396.960000 0.0008643 Long ABS-MBS USGSE US N 2 2035-04-15 None 0 N N N N N N FREDDIE MAC REMICS 3158 N/A 31396NX27 615726.670000 PA USD 723619.220000 0.0124094 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 3223 N/A 31397BZN4 2380163.000000 PA USD 402120.450000 0.0068960 Long ABS-MBS USGSE US N 2 2032-04-15 Floating 6.28812 N N N N N N FREDDIE MAC REMICS 3224 N/A 31397BY47 769113.600000 PA USD 146900.470000 0.0025192 Long ABS-MBS USGSE US N 2 2036-10-15 Floating 5.84762 N N N N N N FREDDIE MAC REMICS 3233 N/A 31397BYN5 7373.050000 PA USD 6956.800000 0.0001193 Long ABS-MBS USGSE US N 2 2036-05-15 None 0 N N N N N N FREDDIE MAC REMICS 3281 N/A 31397EWH4 739841.400000 PA USD 178989.310000 0.0030695 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 6.27762 N N N N N N FREDDIE MAC REMICS 3292 N/A 31397FRP9 795978.930000 PA USD 172687.310000 0.0029614 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 6.59762 N N N N N N FREDDIE MAC REMICS 3298 N/A 31397GG87 139834.430000 PA USD 132870.490000 0.0022786 Long ABS-MBS USGSE US N 2 2036-12-15 None 0 N N N N N N FREDDIE MAC REMICS 3316 N/A 31397HKD9 4826.790000 PA USD 4614.450000 0.0000791 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N FREDDIE MAC REMICS 3385 N/A 31397PAB6 29283.470000 PA USD 27016.020000 0.0004633 Long ABS-MBS USGSE US N 2 2037-11-15 None 0 N N N N N N FREDDIE MAC REMICS 3393 N/A 31397PGA2 15210.870000 PA USD 14351.710000 0.0002461 Long ABS-MBS USGSE US N 2 2032-09-15 None 0 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQK7 124707.830000 PA USD 115745.190000 0.0019849 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQM3 63217.280000 PA USD 60401.280000 0.0010358 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQS0 805732.470000 PA USD 743104.580000 0.0127435 Long ABS-MBS USGSE US N 2 2037-07-15 None 0 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQT8 43812.620000 PA USD 41197.580000 0.0007065 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N FREDDIE MAC REMICS 3611 N/A 31398LSE9 116155.440000 PA USD 111287.230000 0.0019085 Long ABS-MBS USGSE US N 2 2034-07-15 None 0 N N N N N N FREDDIE MAC REMICS 3621 N/A 31398W2S2 432199.370000 PA USD 19618.260000 0.0003364 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 3.20537 N N N N N N FREDDIE MAC REMICS 3635 N/A 31398WJ21 614929.480000 PA USD 25437.300000 0.0004362 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 2.7119 N N N N N N FREDDIE MAC REMICS 3684 N/A 3137A06E0 1469213.050000 PA USD 88573.270000 0.0015189 Long ABS-MBS USGSE US N 2 2036-11-15 Floating 3.16913 N N N N N N FREDDIE MAC REMICS 3706 N/A 3137A1AD5 3298336.330000 PA USD 412428.920000 0.0070727 Long ABS-MBS USGSE US N 2 2040-08-15 Floating 4.34762 N N N N N N FREDDIE MAC REMICS 3744 N/A 3137GAE52 283666.010000 PA USD 384875.430000 0.0066002 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 9.49524 N N N N N N FREDDIE MAC REMICS 3752 N/A 3137A2XC0 315854.050000 PA USD 355555.770000 0.0060974 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 3753 N/A 3137A3ML0 1347858.660000 PA USD 1289821.210000 0.0221192 Long ABS-MBS USGSE US N 2 2040-11-15 None 0 N N N N N N FREDDIE MAC REMICS 3779 N/A 3137A4EK9 523939.130000 PA USD 9274.560000 0.0001590 Long ABS-MBS USGSE US N 2 2039-01-15 Floating 6.34762 N N N N N N FREDDIE MAC REMICS 3785 N/A 3137A5L77 1080854.520000 PA USD 1380084.450000 0.0236671 Long ABS-MBS USGSE US N 2 2041-01-15 Floating 9.59524 N N N N N N FREDDIE MAC REMICS 3798 N/A 3137A6AN2 548106.580000 PA USD 107060.450000 0.0018360 Long ABS-MBS USGSE US N 2 2041-01-15 Floating 6.44762 N N N N N N FREDDIE MAC REMICS 3805 N/A 3137A7D56 478663.590000 PA USD 725990.500000 0.0124500 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 14.0029 N N N N N N FREDDIE MAC REMICS 3842 N/A 3137A9QP4 20320.610000 PA USD 22271.940000 0.0003819 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 3852 N/A 3137ABB59 67280.690000 PA USD 75072.650000 0.0012874 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 5.5 N N N N N N FREDDIE MAC REMICS 3921 N/A 3137AFFZ0 1654863.400000 PA USD 2100363.710000 0.0360192 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 9.38974 N N N N N N FREDDIE MAC REMICS 3962 N/A 3137AJKA1 1121755.030000 PA USD 78129.340000 0.0013398 Long ABS-MBS USGSE US N 2 2038-06-15 Floating 3.21236 N N N N N N FREDDIE MAC REMICS 3970 N/A 3137AK6D8 1184068.690000 PA USD 115792.450000 0.0019857 Long ABS-MBS USGSE US N 2 2026-09-15 Floating 6.54762 N N N N N N FREDDIE MAC REMICS 4010 N/A 3137AMUM7 10005612.540000 PA USD 1811777.300000 0.0310702 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4024 N/A 3137ANLB9 400000.000000 PA USD 477573.240000 0.0081899 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4028 N/A 3137APDM9 371285.590000 PA USD 61628.400000 0.0010569 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 6.49762 N N N N N N FREDDIE MAC REMICS 4037 N/A 3137ANUN3 720247.880000 PA USD 34712.270000 0.0005953 Long ABS-MBS USGSE US N 2 2027-04-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4040 N/A 3137AQ7C6 114523.060000 PA USD 112469.480000 0.0019287 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N FREDDIE MAC REMICS 4043 N/A 3137APTE0 1032924.080000 PA USD 64523.880000 0.0011065 Long ABS-MBS USGSE US N 2 2027-05-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4052 N/A 3137APQH6 4478479.590000 PA USD 879659.380000 0.0150853 Long ABS-MBS USGSE US N 2 2042-05-15 Floating 5.84762 N N N N N N FREDDIE MAC REMICS 4059 N/A 3137AQZX9 1084342.910000 PA USD 1341880.750000 0.0230119 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 7.5 N N N N N N FREDDIE MAC REMICS 4062 N/A 3137ARG83 37.690000 PA USD 39.470000 0.0000007 Long ABS-MBS USGSE US N 2 2041-02-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4068 N/A 3137ARMT0 15005477.470000 PA USD 2986984.340000 0.0512238 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 5.84762 N N N N N N FREDDIE MAC REMICS 4068 N/A 3137ARPM2 10257408.710000 PA USD 2111168.580000 0.0362045 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 5.84762 N N N N N N FREDDIE MAC REMICS 4072 N/A 3137ARRJ7 1862443.860000 PA USD 2014738.500000 0.0345508 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4073 N/A 3137ARXH4 3628730.350000 PA USD 203671.560000 0.0034928 Long ABS-MBS USGSE US N 2 2027-05-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4076 N/A 3137ASG24 2142052.870000 PA USD 478200.880000 0.0082007 Long ABS-MBS USGSE US N 2 2042-07-15 Floating 6.54762 N N N N N N FREDDIE MAC REMICS 4077 N/A 3137ASCE2 12664689.330000 PA USD 2471894.060000 0.0423905 Long ABS-MBS USGSE US N 2 2042-07-15 Floating 5.84762 N N N N N N FREDDIE MAC REMICS 4088 N/A 3137ASRC0 1564971.470000 PA USD 1846973.230000 0.0316738 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4094 N/A 3137ASU69 2676093.960000 PA USD 2672667.490000 0.0458336 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4100 N/A 3137ASY40 23939964.440000 PA USD 1513024.900000 0.0259469 Long ABS-MBS USGSE US N 2 2027-08-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4100 N/A 3137ASZD9 2652.890000 PA USD 3132.360000 0.0000537 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4111 N/A 3137AUC56 2933536.170000 PA USD 216855.790000 0.0037189 Long ABS-MBS USGSE US N 2 2027-09-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4116 N/A 3137AVL54 1553112.000000 PA USD 300151.780000 0.0051473 Long ABS-MBS USGSE US N 2 2042-08-15 Floating 6.04762 N N N N N N FREDDIE MAC REMICS 4120 N/A 3137AVDC8 2772476.290000 PA USD 3008545.440000 0.0515936 Long ABS-MBS USGSE US N 2 2042-10-15 Floating 5.15714 N N N N N N FREDDIE MAC REMICS 4121 N/A 3137AV7B7 7193685.280000 PA USD 907124.430000 0.0155563 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4122 N/A 3137AV2A4 2637.480000 PA USD 3356.560000 0.0000576 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4122 N/A 3137AV2Q9 22295311.960000 PA USD 2316244.350000 0.0397213 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 5.99762 N N N N N N FREDDIE MAC REMICS 4123 N/A 3137AUXP9 3767317.580000 PA USD 646030.170000 0.0110788 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 4124 N/A 3137AUR68 3133641.040000 PA USD 479373.440000 0.0082208 Long ABS-MBS USGSE US N 2 2042-04-15 Floating 4.84762 N N N N N N FREDDIE MAC REMICS 4130 N/A 3137AVY43 12184323.670000 PA USD 652269.490000 0.0111858 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4134 N/A 3137AW2L8 3719233.190000 PA USD 3780580.450000 0.0648332 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 5.21384 N N N N N N FREDDIE MAC REMICS 4135 N/A 3137AWBC8 9098161.270000 PA USD 495112.840000 0.0084907 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4136 N/A 3137AWHG3 6061666.520000 PA USD 385255.280000 0.0066067 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4136 N/A 3137AWM36 3290391.340000 PA USD 657644.920000 0.0112780 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 5.99762 N N N N N N FREDDIE MAC REMICS 4136 N/A 3137AWM77 3871027.520000 PA USD 758611.460000 0.0130094 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 5.99762 N N N N N N FREDDIE MAC REMICS 4139 N/A 3137AWXH3 2938161.750000 PA USD 167029.500000 0.0028644 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4140 N/A 3137AWRZ0 5988569.030000 PA USD 312259.560000 0.0053549 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4141 N/A 3137AX2S1 872649.640000 PA USD 898846.760000 0.0154143 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 4.56731 N N N N N N FREDDIE MAC REMICS 4142 N/A 3137AX6D0 207455.970000 PA USD 13297.820000 0.0002280 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4143 N/A 3137AX7M9 7597371.140000 PA USD 423118.870000 0.0072561 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4146 N/A 3137AXGY3 3078931.900000 PA USD 3713163.550000 0.0636771 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 7.60833 N N N N N N FREDDIE MAC REMICS 4147 N/A 3137AXDJ9 10995186.860000 PA USD 2256028.720000 0.0386887 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 5.94762 N N N N N N FREDDIE MAC REMICS 4150 N/A 3137AY4T5 4703480.330000 PA USD 4915434.680000 0.0842948 Long ABS-MBS USGSE US N 2 2043-01-15 Floating 5.21714 N N N N N N FREDDIE MAC REMICS 4154 N/A 3137AXS95 4048679.380000 PA USD 887513.440000 0.0152200 Long ABS-MBS USGSE US N 2 2043-01-15 Floating 5.99762 N N N N N N FREDDIE MAC REMICS 4156 N/A 3137AXTT0 4026238.220000 PA USD 732342.540000 0.0125590 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 6.04762 N N N N N N FREDDIE MAC REMICS 4163 N/A 3137AYU74 231543.910000 PA USD 238084.240000 0.0040829 Long ABS-MBS USGSE US N 2 2032-11-15 Floating 5.27384 N N N N N N FREDDIE MAC REMICS 4165 N/A 3137AYSK8 7121277.770000 PA USD 548811.240000 0.0094116 Long ABS-MBS USGSE US N 2 2042-12-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4168 N/A 3137AYFP1 6603408.390000 PA USD 356193.130000 0.0061084 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4181 N/A 3137B0KH6 3510031.260000 PA USD 280954.130000 0.0048181 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4182 N/A 3137B0ZL1 1018638.760000 PA USD 79935.130000 0.0013708 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4182 N/A 3137B0ZW7 3068388.950000 PA USD 3518931.240000 0.0603462 Long ABS-MBS USGSE US N 2 2033-02-15 Floating 5.77143 N N N N N N FREDDIE MAC REMICS 4194 N/A 3137B1JU7 1648265.190000 PA USD 2631884.580000 0.0451342 Long ABS-MBS USGSE US N 2 2043-04-15 Floating 15.3284 N N N N N N FREDDIE MAC REMICS 4203 N/A 3137B2EV8 2651313.460000 PA USD 2939192.010000 0.0504042 Long ABS-MBS USGSE US N 2 2033-05-15 Floating 5.77143 N N N N N N FREDDIE MAC REMICS 4229 N/A 3137B3GS1 691458.480000 PA USD 750914.440000 0.0128774 Long ABS-MBS USGSE US N 2 2043-07-15 Floating 7.43333 N N N N N N FREDDIE MAC REMICS 42314 N/A 3137B9ES0 422150.820000 PA USD 99877.760000 0.0017128 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 6 N N N N N N FREDDIE MAC REMICS 4238 N/A 3137B4EG7 6851380.360000 PA USD 1209304.260000 0.0207384 Long ABS-MBS USGSE US N 2 2043-08-15 Floating 5.94762 N N N N N N FREDDIE MAC REMICS 4248 N/A 3137B4UN4 842161.490000 PA USD 1365076.150000 0.0234097 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 15.3795 N N N N N N FREDDIE MAC REMICS 4255 N/A 3137B5HZ9 274387.700000 PA USD 385984.140000 0.0066192 Long ABS-MBS USGSE US N 2 2035-05-15 Floating 11.853 N N N N N N FREDDIE MAC REMICS 4274 N/A 3137B5V67 6029934.300000 PA USD 1105360.520000 0.0189558 Long ABS-MBS USGSE US N 2 2043-11-15 Floating 5.89762 N N N N N N FREDDIE MAC REMICS 4315 N/A 3137B8JG3 4304574.680000 PA USD 805256.350000 0.0138093 Long ABS-MBS USGSE US N 2 2041-08-15 Floating 5.89762 N N N N N N FREDDIE MAC REMICS 4324 N/A 3137BAGM8 936860.080000 PA USD 51724.980000 0.0008870 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 3.12337 N N N N N N FREDDIE MAC REMICS 4325 N/A 3137B9UG8 3797498.780000 PA USD 473213.540000 0.0081151 Long ABS-MBS USGSE US N 2 2044-02-15 Floating 5.94762 N N N N N N FREDDIE MAC REMICS 4326 N/A 3137BABQ4 21216098.180000 PA USD 22362225.750000 0.3834901 Long ABS-MBS USGSE US N 2 2054-04-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4332 N/A 3137BAAN2 7295571.310000 PA USD 7338369.320000 0.1258458 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4338 N/A 3137BB7D6 1024559.500000 PA USD 53094.420000 0.0009105 Long ABS-MBS USGSE US N 2 2041-10-15 Floating 2.9869 N N N N N N FREDDIE MAC REMICS 4362 N/A 3137BCG36 891818.310000 PA USD 1168056.710000 0.0200310 Long ABS-MBS USGSE US N 2 2043-05-15 Floating 9.04191 N N N N N N FREDDIE MAC REMICS 4367 N/A 3137BCL55 575638.300000 PA USD 29612.270000 0.0005078 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 3.00074 N N N N N N FREDDIE MAC REMICS 4368 N/A 3137BCDV7 8873951.040000 PA USD 10099131.320000 0.1731901 Long ABS-MBS USGSE US N 2 2041-06-15 Variable 4.125 N N N N N N FREDDIE MAC REMICS 4385 N/A 3137BDTX4 2033260.730000 PA USD 2616769.760000 0.0448750 Long ABS-MBS USGSE US N 2 2037-07-15 Floating 8.97136 N N N N N N FREDDIE MAC REMICS 4388 N/A 3137BDGK6 3189093.160000 PA USD 538145.120000 0.0092287 Long ABS-MBS USGSE US N 2 2042-08-15 Floating 5.84762 N N N N N N FREDDIE MAC REMICS 4394 N/A 3137BEV43 519440.080000 PA USD 26551.340000 0.0004553 Long ABS-MBS USGSE US N 2 2041-08-15 Floating 3.0616 N N N N N N FREDDIE MAC REMICS 4438 N/A 3137BGLL1 1677895.330000 PA USD 90694.270000 0.0015553 Long ABS-MBS USGSE US N 2 2038-11-15 Floating 3.05752 N N N N N N FREDDIE MAC REMICS 4443 N/A 3137BGGU7 3777977.530000 PA USD 4292932.490000 0.0736195 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4447 N/A 3137BGXH7 651209.680000 PA USD 719089.170000 0.0123317 Long ABS-MBS USGSE US N 2 2045-03-15 Floating 5.39714 N N N N N N FREDDIE MAC REMICS 4463 N/A 3137BHGF8 1207784.470000 PA USD 63577.530000 0.0010903 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 3.16795 N N N N N N FREDDIE MAC REMICS 4474 N/A 3137BJFZ1 513745.200000 PA USD 72177.090000 0.0012378 Long ABS-MBS USGSE US N 2 2045-05-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4476 N/A 3137BJ5F6 5299498.480000 PA USD 192918.700000 0.0033084 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4544 N/A 3137BMQG4 11309559.630000 PA USD 1368283.680000 0.0234647 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4562 N/A 3137BNB60 6688571.850000 PA USD 497818.360000 0.0085371 Long ABS-MBS USGSE US N 2 2031-03-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4573 N/A 3137BP6Y0 13969668.800000 PA USD 1897224.910000 0.0325355 Long ABS-MBS USGSE US N 2 2046-04-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4575 N/A 3137BNU69 1172867.520000 PA USD 173312.640000 0.0029721 Long ABS-MBS USGSE US N 2 2045-11-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 4994530.420000 PA USD 285433.420000 0.0048949 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 3.11685 N N N N N N FREDDIE MAC REMICS 4585 N/A 3137BPGW3 6416864.110000 PA USD 500049.540000 0.0085754 Long ABS-MBS USGSE US N 2 2046-04-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4598 N/A 3137BQVM6 5783760.640000 PA USD 1006459.370000 0.0172598 Long ABS-MBS USGSE US N 2 2046-03-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4604 N/A 3137BRMT9 2885429.570000 PA USD 213088.110000 0.0036543 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4610 N/A 3137BRHU2 20662191.630000 PA USD 1430241.040000 0.0245272 Long ABS-MBS USGSE US N 2 2045-12-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4631 N/A 3137BSZS5 4604315.910000 PA USD 4596238.100000 0.0788209 Long ABS-MBS USGSE US N 2 2046-11-15 Floating 5 N N N N N N FREDDIE MAC REMICS 4637 N/A 3137BTSN2 3796881.090000 PA USD 4138000.100000 0.0709626 Long ABS-MBS USGSE US N 2 2044-04-15 Floating 4.5 N N N N N N FREDDIE MAC REMICS 4639 N/A 3137BTF22 1945164.050000 PA USD 2142938.800000 0.0367493 Long ABS-MBS USGSE US N 2 2044-12-15 Floating 5 N N N N N N FREDDIE MAC REMICS 4645 N/A 3137BUHN1 2286903.080000 PA USD 2403848.670000 0.0412236 Long ABS-MBS USGSE US N 2 2044-03-15 Floating 4 N N N N N N FREDDIE MAC REMICS 4657 N/A 3137BVPZ3 675590.750000 PA USD 678314.330000 0.0116324 Long ABS-MBS USGSE US N 2 2047-02-15 Floating 4 N N N N N N FREDDIE MAC REMICS 4680 N/A 3137BYCG3 492175.870000 PA USD 496175.490000 0.0085089 Long ABS-MBS USGSE US N 2 2046-12-15 Floating 4.5 N N N N N N FREDDIE MAC REMICS 4698 N/A 3137F1XH6 44500300.500000 PA USD 3975180.690000 0.0681704 Long ABS-MBS USGSE US N 2 2047-07-15 Floating 2.75 N N N N N N FREDDIE MAC REMICS 4704 N/A 3137F1HV3 19474676.250000 PA USD 4360533.860000 0.0747788 Long ABS-MBS USGSE US N 2 2047-07-15 Floating 5.99762 N N N N N N FREDDIE MAC REMICS 4731 N/A 3137FBQY5 1941034.040000 PA USD 2121555.450000 0.0363826 Long ABS-MBS USGSE US N 2 2042-10-15 Floating 5 N N N N N N FREDDIE MAC REMICS 4756 N/A 3137FDQP0 26633949.280000 PA USD 27173787.470000 0.4660036 Long ABS-MBS USGSE US N 2 2046-06-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4776 N/A 3137F4RD6 4605512.560000 PA USD 678061.320000 0.0116281 Long ABS-MBS USGSE US N 2 2048-03-15 Floating 6.04762 N N N N N N FREDDIE MAC REMICS 4792 N/A 3137F5B81 2745139.220000 PA USD 160356.480000 0.0027500 Long ABS-MBS USGSE US N 2 2048-05-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4795 N/A 3137F5RR2 5795620.180000 PA USD 615687.280000 0.0105584 Long ABS-MBS USGSE US N 2 2048-06-15 Floating 6.04762 N N N N N N FREDDIE MAC REMICS 4797 N/A 3137F5U72 7837429.300000 PA USD 864038.960000 0.0148174 Long ABS-MBS USGSE US N 2 2048-06-15 Floating 5.99762 N N N N N N FREDDIE MAC REMICS 4804 N/A 3137FGLZ6 5160607.970000 PA USD 563866.600000 0.0096698 Long ABS-MBS USGSE US N 2 2048-06-15 Floating 5.99762 N N N N N N FREDDIE MAC REMICS 4804 N/A 3137FGM51 9256506.060000 PA USD 1003473.760000 0.0172086 Long ABS-MBS USGSE US N 2 2048-05-15 Floating 5.99762 N N N N N N FREDDIE MAC REMICS 4813 N/A 3137FGSN6 12010070.210000 PA USD 1066580.710000 0.0182908 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 5.99762 N N N N N N FREDDIE MAC REMICS 4825 N/A 3137FH6Z1 4660192.020000 PA USD 287970.970000 0.0049384 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4851 N/A 3137FKAP1 2294980.230000 PA USD 2212076.360000 0.0379349 Long ABS-MBS USGSE US N 2 2057-08-15 Fixed 0 N N N N N N FREDDIE MAC REMICS 4851 N/A 3137FKAT3 40685872.940000 PA USD 35783965.730000 0.6136596 Long ABS-MBS USGSE US N 2 2057-08-15 None 0 N N N N N N FREDDIE MAC REMICS 4862 N/A 3137FKUH7 33515454.160000 PA USD 30389383.960000 0.5211479 Long ABS-MBS USGSE US N 2 2057-08-15 None 0 N N N N N N FREDDIE MAC REMICS 4902 N/A 3137FN2Q2 8418702.320000 PA USD 1609522.870000 0.0276017 Long ABS-MBS USGSE US N 2 2049-08-25 Floating 5.89762 N N N N N N FREDDIE MAC REMICS 4922 N/A 3137FP2R5 5463785.970000 PA USD 673085.430000 0.0115427 Long ABS-MBS USGSE US N 2 2049-04-25 Floating 5.89762 N N N N N N FREDDIE MAC REMICS 4923 N/A 3137FPZ32 8582914.800000 PA USD 1832224.000000 0.0314208 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 5.84762 N N N N N N FREDDIE MAC REMICS 4923 N/A 3137FPZ73 28581068.670000 PA USD 5809616.670000 0.0996292 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 5.84762 N N N N N N FREDDIE MAC REMICS 4942 N/A 3137FQWA7 1621605.290000 PA USD 1539007.200000 0.0263925 Long ABS-MBS USGSE US N 2 2053-04-15 None 0 N N N N N N FREDDIE MAC REMICS 4973 N/A 3137FT2J5 7405413.000000 PA USD 6604253.210000 0.1132564 Long ABS-MBS USGSE US N 2 2041-01-15 None 0 N N N N N N FREDDIE MAC REMICS 4976 N/A 3137FTAM9 15455588.080000 PA USD 2190988.800000 0.0375733 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4979 N/A 3137FTXU6 28171714.900000 PA USD 4606331.750000 0.0789940 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 5.89762 N N N N N N FREDDIE MAC REMICS 4979 N/A 3137FTYA9 62607165.580000 PA USD 11064764.720000 0.1897498 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 5.89762 N N N N N N FREDDIE MAC REMICS 4983 N/A 3137FTH34 24809668.170000 PA USD 3159933.010000 0.0541897 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 4988 N/A 3137FUQK3 116139095.960000 PA USD 15251769.340000 0.2615528 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FURT3 31610793.750000 PA USD 4516995.920000 0.0774620 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FUS70 27740139.630000 PA USD 5440165.940000 0.0932935 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 5.94762 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FUSA3 8798895.510000 PA USD 1274041.350000 0.0218485 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FUYG3 19313286.510000 PA USD 3766179.710000 0.0645863 Long ABS-MBS USGSE US N 2 2050-05-25 Floating 5.99762 N N N N N N FREDDIE MAC REMICS 4993 N/A 3137FU5U4 45385252.660000 PA USD 4793722.000000 0.0822076 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 5000 N/A 3137FVFL1 14539772.370000 PA USD 1917431.030000 0.0328820 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 5 N N N N N N FREDDIE MAC REMICS 5000 N/A 3137FVH39 29436791.930000 PA USD 4458366.980000 0.0764566 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 5003 N/A 3137FVHZ8 7468285.920000 PA USD 1988044.270000 0.0340930 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 5.94762 N N N N N N FREDDIE MAC REMICS 5003 N/A 3137FVJ60 13999710.010000 PA USD 3285488.340000 0.0563429 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 5.94762 N N N N N N FREDDIE MAC REMICS 5003 N/A 3137FVJU7 10090247.150000 PA USD 1093287.360000 0.0187488 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 5004 N/A 3137FVDV1 50691176.330000 PA USD 10169572.550000 0.1743981 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 6.04762 N N N N N N FREDDIE MAC REMICS 5004 N/A 3137FVBP6 11527828.020000 PA USD 1067410.010000 0.0183050 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2 N N N N N N FREDDIE MAC REMICS 5009 N/A 3137FWEG1 30757681.680000 PA USD 5730678.980000 0.0982755 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5011 N/A 3137FVSK9 16988845.690000 PA USD 2951310.770000 0.0506121 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 4.5 N N N N N N FREDDIE MAC REMICS-1809 N/A 3133T6RM5 246629.770000 PA USD 20573.090000 0.0003528 Long ABS-MBS USGSE US N 2 2023-12-15 Floating 6.897 N N N N N N FREDDIE MAC REMICS-3598 N/A 31398KZ94 206757.010000 PA USD 8591.310000 0.0001473 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 2.6918 N N N N N N FREDDIE MAC REMICS-3800 N/A 3137A7G46 50000.000000 PA USD 55912.260000 0.0009588 Long ABS-MBS USGSE US N 2 2031-02-15 Fixed 4 N N N N N N FREDDIE MAC REMICS-3997 N/A 3137AMCA3 973817.000000 PA USD 1253954.160000 0.0215041 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4 N N N N N N FREDDIE MAC SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2019-3 N/A 35564CEE3 67007346.820000 PA USD 70744333.150000 1.2131953 Long ABS-MBS MUN US N 2 2029-11-25 Fixed 2.75 N N N N N N FREDDIE MAC SER 2052 N/A 3133TDRK4 13149.220000 PA USD 12956.000000 0.0002222 Long ABS-MBS USGSE US N 2 2022-03-15 None 0 N N N N N N FREDDIE MAC STRIP TRUST 195 N/A 31351BTN5 4929.240000 PA USD 4758.480000 0.0000816 Long ABS-MBS USGSE US N 2 2028-04-01 None 0 N N N N N N FREDDIE MAC STRIPS 183 N/A 31351BAP0 59811.220000 PA USD 59580.730000 0.0010218 Long ABS-MBS USGSE US N 2 2027-04-01 None 0 N N N N N N FREDDIE MAC STRIPS 205 N/A 3128CU3D6 314077.760000 PA USD 289061.650000 0.0049571 Long ABS-MBS USGSE US N 2 2029-09-01 None 0 N N N N N N FREDDIE MAC STRIPS 226 N/A 3128HVBU2 755103.130000 PA USD 710630.900000 0.0121866 Long ABS-MBS USGSE US N 2 2034-02-01 None 0 N N N N N N FREDDIE MAC STRIPS 244 N/A 3128HWJC2 337448.530000 PA USD 324006.200000 0.0055564 Long ABS-MBS USGSE US N 2 2036-12-15 None 0 N N N N N N FREDDIE MAC STRIPS 295 N/A 31283DAS3 2880140.980000 PA USD 260103.660000 0.0044605 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3 N N N N N N FREDDIE MAC STRIPS 303 N/A 31325UEH5 9015578.620000 PA USD 1044746.260000 0.0179164 Long ABS-MBS USGSE US N 2 2043-01-15 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 304 N/A 31325UP34 1660422.950000 PA USD 103770.090000 0.0017796 Long ABS-MBS USGSE US N 2 2027-12-15 Variable 3.3136 N N N N N N FREDDIE MAC STRIPS 324 N/A 31325VBT0 6492492.560000 PA USD 873871.450000 0.0149860 Long ABS-MBS USGSE US N 2 2043-12-15 Fixed 4 N N N N N N FREDDIE MAC STRIPS 337 N/A 31325VL36 5685017.600000 PA USD 1031050.260000 0.0176815 Long ABS-MBS USGSE US N 2 2044-09-15 Floating 5.89762 N N N N N N FREDDIE MAC STRIPS 345 N/A 31325VRC0 9065447.790000 PA USD 839241.350000 0.0143922 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 354 N/A 31325WVT6 16869792.440000 PA USD 1906744.730000 0.0326988 Long ABS-MBS USGSE US N 2 2046-12-15 Fixed 3 N N N N N N FREDDIE MAC STRIPS 363 N/A 31325XBF6 134371.050000 PA USD 10224.470000 0.0001753 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 4 N N N N N N FREDDIE MAC STRIPS 363 N/A 31325XBP4 3776332.280000 PA USD 298417.820000 0.0051176 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 3 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XKR0 1736540.590000 PA USD 211885.040000 0.0036336 Long ABS-MBS USGSE US N 2 2047-10-15 Variable 3.5 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XLU2 1525594.930000 PA USD 230002.440000 0.0039443 Long ABS-MBS USGSE US N 2 2046-09-15 Variable 5 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XPK0 1096015.180000 PA USD 81338.600000 0.0013949 Long ABS-MBS USGSE US N 2 2034-05-15 Variable 3 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XQG8 970517.340000 PA USD 148434.520000 0.0025455 Long ABS-MBS USGSE US N 2 2049-05-15 Variable 4 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XVB3 10474346.040000 PA USD 1354536.670000 0.0232290 Long ABS-MBS USGSE US N 2 2047-10-15 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWQ9 4918832.030000 PA USD 424648.670000 0.0072823 Long ABS-MBS USGSE US N 2 2049-04-15 Fixed 3 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWS5 10605789.620000 PA USD 1291678.160000 0.0221510 Long ABS-MBS USGSE US N 2 2049-05-15 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 367 N/A 31325X3A6 18806928.860000 PA USD 2568174.530000 0.0440417 Long ABS-MBS USGSE US N 2 2050-06-15 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 367 N/A 31325X3J7 33687315.170000 PA USD 4043478.330000 0.0693417 Long ABS-MBS USGSE US N 2 2050-06-15 Fixed 4 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-HQ1 N/A 3137G0EM7 670191.550000 PA USD 734351.670000 0.0125934 Long ABS-MBS USGSE US N 2 2025-03-25 Floating 10.8981 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES-DNA1 N/A 3137G0EZ8 247249.180000 PA USD 278149.590000 0.0047700 Long ABS-MBS USGSE US N 2 2027-10-25 Floating 9.34813 N N N N N N FREDDIE MAC-1599 N/A 3133T1FW7 18495.960000 PA USD 22293.980000 0.0003823 Long ABS-MBS USGSE US N 2 2023-10-15 Floating 18.8698 N N N N N N FREDDIE MAC-1686 N/A 3133T4DS2 65113.400000 PA USD 63090.790000 0.0010819 Long ABS-MBS USGSE US N 2 2024-02-15 None 0 N N N N N N FREDDIE MAC-1700 N/A 3133T4BL9 5464.850000 PA USD 5400.990000 0.0000926 Long ABS-MBS USGSE US N 2 2024-02-15 None 0 N N N N N N FREDDIE MAC-1958 N/A 3133TA3Z3 94208.070000 PA USD 91590.720000 0.0015707 Long ABS-MBS USGSE US N 2 2026-10-15 None 0 N N N N N N FREDDIE MAC-2177 N/A 3133TLQB7 8973.340000 PA USD 8648.590000 0.0001483 Long ABS-MBS USGSE US N 2 2029-08-15 None 0 N N N N N N FREDDIE MAC-2221 N/A 3133TNJF2 11019.310000 PA USD 10869.090000 0.0001864 Long ABS-MBS USGSE US N 2 2024-01-15 None 0 N N N N N N FREDDIE MAC-2504 N/A 31392UL44 22076.580000 PA USD 25117.210000 0.0004307 Long ABS-MBS USGSE US N 2 2032-09-17 Floating 7.99146 N N N N N N FREDDIE MAC-2528 N/A 31397JJW5 104172.700000 PA USD 96038.280000 0.0016470 Long ABS-MBS USGSE US N 2 2037-06-15 None 0 N N N N N N FREDDIE MAC-2614 N/A 31393QP30 15116.920000 PA USD 19117.080000 0.0003278 Long ABS-MBS USGSE US N 2 2033-05-15 Floating 11.9081 N N N N N N FREDDIE MAC-2835 N/A 31395FEZ3 90546.400000 PA USD 86207.860000 0.0014784 Long ABS-MBS USGSE US N 2 2032-12-15 None 0 N N N N N N FREDDIE MAC-2962 N/A 31395TQ56 436541.840000 PA USD 53226.320000 0.0009128 Long ABS-MBS USGSE US N 2 2035-03-15 Floating 6.49762 N N N N N N FREDDIE MAC-3123 N/A 31396JPR0 80511.230000 PA USD 76653.640000 0.0013145 Long ABS-MBS USGSE US N 2 2036-03-15 None 0 N N N N N N FREDDIE MAC-3136 N/A 31396NGH3 5749.860000 PA USD 5525.590000 0.0000948 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N FREDDIE MAC-3145 N/A 31396NCS3 79084.000000 PA USD 75786.810000 0.0012997 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N FREDDIE MAC-3149 N/A 31396RH59 151162.950000 PA USD 143381.640000 0.0024589 Long ABS-MBS USGSE US N 2 2036-05-15 None 0 N N N N N N FREDDIE MAC-3151 N/A 31396NU46 155022.340000 PA USD 147512.390000 0.0025297 Long ABS-MBS USGSE US N 2 2036-05-15 None 0 N N N N N N FREDDIE MAC-3152 N/A 31396R2P1 27722.420000 PA USD 26481.430000 0.0004541 Long ABS-MBS USGSE US N 2 2036-03-15 None 0 N N N N N N FREDDIE MAC-3262 N/A 31397EMQ5 28563.520000 PA USD 27726.370000 0.0004755 Long ABS-MBS USGSE US N 2 2037-01-15 None 0 N N N N N N FREDDIE MAC-4110 N/A 3137AU5Y1 1099680.290000 PA USD 57952.380000 0.0009938 Long ABS-MBS USGSE US N 2 2027-09-15 Fixed 2.5 N N N N N N FREDDIEMAC STRIP-146 N/A 31282XAR2 7776.780000 PA USD 7595.630000 0.0001303 Long ABS-MBS USGSE US N 2 2023-01-01 None 0 N N N N N N FREDDIEMAC STRIP-166 N/A 31282XQK0 29678.850000 PA USD 28709.300000 0.0004923 Long ABS-MBS USGSE US N 2 2024-05-01 None 0 N N N N N N FREDDIEMAC STRIP-169 N/A 31282XQL8 22131.500000 PA USD 21644.870000 0.0003712 Long ABS-MBS USGSE US N 2 2023-03-01 None 0 N N N N N N FREDDIEMAC STRIP-176 N/A 31282XVL2 6888.100000 PA USD 6691.300000 0.0001147 Long ABS-MBS USGSE US N 2 2026-06-01 None 0 N N N N N N FREDDIEMAC STRIP-179 N/A 31282XYN5 3713.700000 PA USD 3508.660000 0.0000602 Long ABS-MBS USGSE US N 2 2026-09-01 None 0 N N N N N N FREDDIEMAC STRIP-186 N/A 31351BFA8 220786.310000 PA USD 219839.080000 0.0037700 Long ABS-MBS USGSE US N 2 2027-08-01 None 0 N N N N N N FREDDIEMAC STRIP-188 N/A 31351BGV1 30421.600000 PA USD 29342.950000 0.0005032 Long ABS-MBS USGSE US N 2 2027-10-01 None 0 N N N N N N FREDDIEMAC STRIP-203-215 N/A 3128CVPV0 327227.610000 PA USD 324034.580000 0.0055569 Long ABS-MBS USGSE US N 2 2031-06-15 None 0 N N N N N N FREDDIEMAC STRIP-206 N/A 3128CU5E2 136621.400000 PA USD 130490.050000 0.0022378 Long ABS-MBS USGSE US N 2 2029-12-15 None 0 N N N N N N FREDDIEMAC STRIP-207 N/A 3128CU7F7 70539.570000 PA USD 70056.110000 0.0012014 Long ABS-MBS USGSE US N 2 2030-04-01 None 0 N N N N N N FREDDIEMAC STRIP-208 N/A 3128CVBL7 160912.450000 PA USD 154452.840000 0.0026487 Long ABS-MBS USGSE US N 2 2030-06-15 None 0 N N N N N N FREDDIEMAC STRIP-209 N/A 3128CVC51 156655.580000 PA USD 143449.350000 0.0024600 Long ABS-MBS USGSE US N 2 2030-09-15 None 0 N N N N N N FREDDIEMAC STRIP-314 N/A 31325UUE4 19010138.340000 PA USD 4031761.960000 0.0691407 Long ABS-MBS USGSE US N 2 2043-09-15 Floating 5.73762 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4P4 2538325.950000 PA USD 209486.570000 0.0035925 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4Q2 8252714.010000 PA USD 630057.160000 0.0108049 Long ABS-MBS USGSE US N 2 2047-10-15 Fixed 3 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4R0 2570950.880000 PA USD 234889.250000 0.0040281 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3.5 N N N N N N FREMF MORTGAGE TRUST 2018-K2S N/A 30306PAW2 13400000.000000 PA USD 12124462.040000 0.2079225 Long ABS-MBS USGSE US N 2 2024-09-25 Variable 3.5538 N N N N N N FREMONT HOME LOAN TRUST 2005-B N/A 35729PJZ4 10657000.000000 PA USD 10361250.130000 0.1776852 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.07813 N N N N N N FREMONT HOME LOAN TRUST 2006-A N/A 35729RAE6 18407427.990000 PA USD 13655233.850000 0.2341738 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.30813 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAD0 24880521.510000 PA USD 10933541.160000 0.1874994 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.33513 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 14063593.590000 PA USD 9150852.670000 0.1569281 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.28813 N N N N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAE0 4200000.000000 PA USD 4173011.390000 0.0715630 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.475 N N N N N N GALLATIN CLO IX LTD 2018-1A N/A 36361WAC0 2672457.450000 PA USD 2654321.350000 0.0455190 Long ABS-CBDO CORP KY N 2 2028-01-21 Floating 1.32138 N N N N N N GB TRUST 2020-FLIX N/A 368306AC0 230129900.000000 PA USD 1683998.560000 0.0288789 Long ABS-MBS CORP US N 2 2037-08-15 Fixed 0.861191 N N N N N N GCAT 2020-3 LLC N/A 36168CAA3 4900000.000000 PA USD 4901244.500000 0.0840515 Long ABS-MBS CORP US N 3 2025-09-25 Fixed 2.9814 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAB7 16048834.950000 PA USD 10018326.330000 0.1718044 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.29813 N N N N N N GLACIER FUNDING CDO LTD 2004-2A N/A 37638VAB9 1882308.350000 PA USD 1871575.430000 0.0320957 Long ABS-CBDO CORP KY N 2 2042-11-12 Floating 1.05463 N N N N N N GLAXOSMITHKLINE CAPITAL INC 5493007Q8VD7Q3ZYZS59 377372AM9 1600000.000000 PA USD 1818047.900000 0.0311777 Long DBT CORP US N 2 2025-05-15 Fixed 3.625 N N N N N N GLOBAL MORTGAGE SECURITIZATION LTD 2005-A N/A 378961AQ9 1969729.540000 PA USD 1872335.280000 0.0321087 Long ABS-MBS CORP KY N 2 2032-04-25 Floating 0.41813 N N N N N N GLS AUTO RECEIVABLES TRUST 2020-2A N/A 38014RAA2 7847111.810000 PA USD 7924798.220000 0.1359025 Long ABS-O CORP US N 2 2024-08-15 Fixed 1.58 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR2 N/A 36185N6M7 14463.220000 PA USD 13661.840000 0.0002343 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.5 N N N N N N GNMA PASS THRU POOLS N/A 01N0326A8 3000000.000000 PA USD 3123984.390000 0.0535732 Long ABS-MBS USGSE US N 2 2050-10-21 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202D3Y5 2878.060000 PA USD 3414.780000 0.0000586 Long ABS-MBS USGSE US N 2 2034-02-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202D7G0 2880.500000 PA USD 3290.260000 0.0000564 Long ABS-MBS USGSE US N 2 2034-08-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202ETU3 16658.720000 PA USD 18465.410000 0.0003167 Long ABS-MBS USGSE US N 2 2038-06-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EUU1 126345.280000 PA USD 145352.270000 0.0024926 Long ABS-MBS USGSE US N 2 2038-07-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202EVG1 16568.600000 PA USD 18367.020000 0.0003150 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EVP1 7422.490000 PA USD 8539.140000 0.0001464 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202EXM6 22452.990000 PA USD 24932.550000 0.0004276 Long ABS-MBS USGSE US N 2 2038-11-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EXU8 6219.870000 PA USD 7155.650000 0.0001227 Long ABS-MBS USGSE US N 2 2038-11-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202EYD5 21523.870000 PA USD 23258.460000 0.0003989 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202EYE3 148487.180000 PA USD 163815.480000 0.0028093 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EY94 31508.900000 PA USD 34002.060000 0.0005831 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EZH5 5943.800000 PA USD 6838.140000 0.0001173 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202EZ44 27013.230000 PA USD 29785.260000 0.0005108 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202E2C2 54054.150000 PA USD 62187.150000 0.0010664 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202E4K2 10787.500000 PA USD 12410.610000 0.0002128 Long ABS-MBS USGSE US N 2 2039-04-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202E6U8 18959.870000 PA USD 19616.360000 0.0003364 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202E6V6 107662.840000 PA USD 114789.830000 0.0019685 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202E7A1 5150.400000 PA USD 5624.160000 0.0000964 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202FCJ3 26537.360000 PA USD 28952.570000 0.0004965 Long ABS-MBS USGSE US N 2 2039-11-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202FFV3 7698.800000 PA USD 8889.700000 0.0001524 Long ABS-MBS USGSE US N 2 2040-04-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FG26 46654.740000 PA USD 53670.080000 0.0009204 Long ABS-MBS USGSE US N 2 2040-06-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FHY5 8604.360000 PA USD 9822.890000 0.0001685 Long ABS-MBS USGSE US N 2 2040-07-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202FJT4 5202.960000 PA USD 5985.180000 0.0001026 Long ABS-MBS USGSE US N 2 2040-08-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FKR6 37988.890000 PA USD 43701.640000 0.0007494 Long ABS-MBS USGSE US N 2 2040-09-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FSG2 3691.560000 PA USD 4247.470000 0.0000728 Long ABS-MBS USGSE US N 2 2041-04-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202FUJ3 122662.280000 PA USD 141044.350000 0.0024188 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3620ADKS0 652467.030000 PA USD 713911.420000 0.0122429 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3620AGBG9 119978.950000 PA USD 131564.000000 0.0022562 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3620AMZ21 97749.530000 PA USD 105015.310000 0.0018009 Long ABS-MBS USGSE US N 2 2042-03-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36176ND40 632310.640000 PA USD 689723.690000 0.0118281 Long ABS-MBS USGSE US N 2 2042-01-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36241LWR3 17107.080000 PA USD 19559.880000 0.0003354 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3622A2LP5 496552.430000 PA USD 520070.850000 0.0089187 Long ABS-MBS USGSE US N 2 2044-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36177XEZ7 108684.830000 PA USD 115811.930000 0.0019861 Long ABS-MBS USGSE US N 2 2042-06-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36180UMA4 87393.630000 PA USD 97135.320000 0.0016658 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36181GDD8 64485.700000 PA USD 70098.250000 0.0012021 Long ABS-MBS USGSE US N 2 2043-06-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36181GDE6 209190.380000 PA USD 230235.680000 0.0039483 Long ABS-MBS USGSE US N 2 2043-06-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36193TAF4 1509761.090000 PA USD 1612787.850000 0.0276577 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36194GH98 129959.900000 PA USD 142207.760000 0.0024387 Long ABS-MBS USGSE US N 2 2046-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36195B4W1 1609976.560000 PA USD 1761726.380000 0.0302119 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36195DLV0 1326338.490000 PA USD 1472930.670000 0.0252593 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36195EF37 1517835.960000 PA USD 1686745.530000 0.0289260 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36195PUJ0 1142840.010000 PA USD 1270028.080000 0.0217797 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36195T3P8 1737039.940000 PA USD 1930337.170000 0.0331034 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36196EST5 1147452.290000 PA USD 1274367.520000 0.0218541 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36196FZE7 50094.180000 PA USD 55668.820000 0.0009547 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36196JRM0 1361791.570000 PA USD 1513741.250000 0.0259592 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36196JWZ5 983833.720000 PA USD 1093971.180000 0.0187605 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36196PG71 1877767.290000 PA USD 2086745.480000 0.0357856 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36196RX78 2091653.870000 PA USD 2323610.520000 0.0398476 Long ABS-MBS USGSE US N 2 2046-12-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36196VYM5 1958229.030000 PA USD 2176156.720000 0.0373189 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36197AND2 1427670.100000 PA USD 1586552.010000 0.0272078 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B5D35 920439.780000 PA USD 1022875.930000 0.0175413 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B8GX0 3814950.930000 PA USD 4214901.500000 0.0722814 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B8J33 80792.500000 PA USD 89325.270000 0.0015318 Long ABS-MBS USGSE US N 2 2047-08-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BB7B1 1437674.780000 PA USD 1598453.230000 0.0274119 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BXYV9 1641285.630000 PA USD 1823552.730000 0.0312721 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BX3P6 997751.040000 PA USD 1091793.830000 0.0187232 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617G3HM9 1369212.610000 PA USD 1522374.220000 0.0261072 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617G44R0 312571.820000 PA USD 337818.080000 0.0057932 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 15223260.280000 PA USD 150116569.610000 2.5743507 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 3617GAPT9 1357693.220000 PA USD 1447872.550000 0.0248296 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617H3RJ4 264945.830000 PA USD 285690.740000 0.0048993 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617H4C66 1075565.460000 PA USD 1161873.340000 0.0199250 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617H6P42 623927.040000 PA USD 673543.900000 0.0115506 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3617HF5R3 1425159.250000 PA USD 1558149.240000 0.0267207 Long ABS-MBS USGSE US N 2 2048-10-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3617HF6R2 2200153.680000 PA USD 2403774.140000 0.0412223 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3617JRLB2 2381443.800000 PA USD 2534525.480000 0.0434646 Long ABS-MBS USGSE US N 2 2049-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179QRZ6 1563720.130000 PA USD 1702004.810000 0.0291877 Long ABS-MBS USGSE US N 2 2044-10-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179QSL6 2578481.850000 PA USD 2683855.560000 0.0460255 Long ABS-MBS USGSE US N 2 2044-10-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36179QYT2 2489505.310000 PA USD 2709161.260000 0.0464594 Long ABS-MBS USGSE US N 2 2045-01-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179RLQ0 3377221.490000 PA USD 3642988.630000 0.0624737 Long ABS-MBS USGSE US N 2 2045-08-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179RMD8 1584831.410000 PA USD 1646303.530000 0.0282325 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36179SLR6 1723190.750000 PA USD 1823596.340000 0.0312729 Long ABS-MBS USGSE US N 2 2046-09-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179SNU7 2858048.130000 PA USD 3013982.060000 0.0516868 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179SQV2 4092120.270000 PA USD 4332001.300000 0.0742895 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179SSP3 18052820.860000 PA USD 19096825.420000 0.3274917 Long ABS-MBS USGSE US N 2 2046-12-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179SYT8 41005157.510000 PA USD 44111340.020000 0.7564659 Long ABS-MBS USGSE US N 2 2047-03-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179S5M5 1567434.590000 PA USD 1686697.050000 0.0289252 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TLT0 1245946.210000 PA USD 1334395.470000 0.0228836 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TSF3 22302191.250000 PA USD 23353892.110000 0.4004962 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179TT96 188218.620000 PA USD 197258.140000 0.0033828 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179TV77 1280959.670000 PA USD 1386732.490000 0.0237811 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TXL4 1302457.070000 PA USD 1380351.270000 0.0236717 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TXW0 3788061.230000 PA USD 4098912.110000 0.0702923 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TZU2 1432987.700000 PA USD 1518679.990000 0.0260439 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TZ57 11372369.920000 PA USD 12153056.280000 0.2084129 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TZ65 1848988.460000 PA USD 1997291.830000 0.0342516 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179T4E2 2110747.750000 PA USD 2235659.020000 0.0383393 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179T7L3 10660186.040000 PA USD 11488913.490000 0.1970235 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UCC4 2206106.650000 PA USD 2386015.950000 0.0409178 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UGE6 35533.030000 PA USD 38712.570000 0.0006639 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UKZ4 40534.750000 PA USD 44091.420000 0.0007561 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179VHT0 25880259.780000 PA USD 27262116.840000 0.4675183 Long ABS-MBS USGSE US N 2 2050-03-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179VMD9 492312.720000 PA USD 517548.340000 0.0088754 Long ABS-MBS USGSE US N 2 2050-05-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179VQT0 32920106.950000 PA USD 34737858.800000 0.5957199 Long ABS-MBS USGSE US N 2 2050-07-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179VSH4 14468746.570000 PA USD 15294405.880000 0.2622839 Long ABS-MBS USGSE US N 2 2050-08-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179VVY3 50500000.000000 PA USD 53120354.100000 0.9109615 Long ABS-MBS USGSE US N 2 2050-10-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0206B6 136700000.000000 PA USD 141730133.500000 2.4305316 Long ABS-MBS USGSE US N 2 2050-11-19 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 21H0206C4 45000000.000000 PA USD 46572200.550000 0.7986672 Long ABS-MBS USGSE US N 2 2050-12-21 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 21H0226B2 125000000.000000 PA USD 131020506.250000 2.2468721 Long ABS-MBS USGSE US N 2 2050-11-19 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0226C0 53000000.000000 PA USD 55451249.470000 0.9509341 Long ABS-MBS USGSE US N 2 2050-12-21 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0306C3 76950000.000000 PA USD 80532983.610000 1.3810610 Long ABS-MBS USGSE US N 2 2050-12-21 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H0326B1 74000000.000000 PA USD 77974608.820000 1.3371874 Long ABS-MBS USGSE US N 2 2050-11-19 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0326B1 -77900000.000000 PA USD -82084081.450000 -1.4076608 Short ABS-MBS USGSE US N 2 2050-11-19 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0326C9 -74000000.000000 PA USD -78057205.400000 -1.3386039 Short ABS-MBS USGSE US N 2 2050-12-21 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0406B4 104400000.000000 PA USD 111022876.040000 1.9039325 Long ABS-MBS USGSE US N 2 2050-11-19 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 21H0426B0 19880000.000000 PA USD 21325182.760000 0.3657058 Long ABS-MBS USGSE US N 2 2050-11-19 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36212UAR2 6119.560000 PA USD 6264.210000 0.0001074 Long ABS-MBS USGSE US N 2 2030-11-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36291FKA5 182693.960000 PA USD 209397.520000 0.0035910 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176PZ41 75319.330000 PA USD 82532.220000 0.0014153 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36241KED6 677496.260000 PA USD 814131.130000 0.0139615 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36241LKU9 212270.730000 PA USD 235835.900000 0.0040444 Long ABS-MBS USGSE US N 2 2040-06-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3622A2AN2 47207.130000 PA USD 52447.300000 0.0008994 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36197MRM2 1351965.490000 PA USD 1440507.740000 0.0247033 Long ABS-MBS USGSE US N 2 2047-04-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617ALXP0 777732.130000 PA USD 827493.630000 0.0141907 Long ABS-MBS USGSE US N 2 2047-05-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617ALZA1 761624.780000 PA USD 807291.650000 0.0138443 Long ABS-MBS USGSE US N 2 2047-06-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617B4GK7 890975.540000 PA USD 944139.170000 0.0161911 Long ABS-MBS USGSE US N 2 2047-07-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617B4HP5 802480.190000 PA USD 849869.810000 0.0145744 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617B4JZ1 571534.530000 PA USD 611280.890000 0.0104829 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617G02L3 347873.930000 PA USD 368847.180000 0.0063254 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617GQJT1 4156686.740000 PA USD 4727897.720000 0.0810788 Long ABS-MBS USGSE US N 2 2048-07-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617GUYE8 449545.180000 PA USD 510959.390000 0.0087624 Long ABS-MBS USGSE US N 2 2048-07-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617HAMT1 683070.210000 PA USD 777376.330000 0.0133312 Long ABS-MBS USGSE US N 2 2048-08-15 Fixed 4 N N N N N N GOODGREEN TRUST 2018-1A N/A 38218GAA0 9827728.950000 PA USD 10469730.260000 0.1795455 Long ABS-O CORP KY N 2 2053-10-15 Variable 3.93 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2003-90 N/A 38374CUM1 870154.890000 PA USD 97000.260000 0.0016635 Long ABS-MBS USGSE US N 2 2033-10-20 Floating 6.42375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2009-41 N/A 38374UU41 1609350.920000 PA USD 237393.100000 0.0040711 Long ABS-MBS USGSE US N 2 2039-06-16 Floating 5.89787 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-110 N/A 38376GTH3 4639505.000000 PA USD 1951.380000 0.0000335 Long ABS-MBS USGSE US N 2 2050-05-16 Variable 0.02756 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-158 N/A 38377RGV1 2156666.280000 PA USD 2502767.650000 0.0429200 Long ABS-MBS USGSE US N 2 2040-12-20 Floating 9.2875 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-158 N/A 38377RCR4 2662554.540000 PA USD 2525619.360000 0.0433119 Long ABS-MBS USGSE US N 2 2040-12-20 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-126 N/A 38376G4P2 902994.560000 PA USD 1373.360000 0.0000236 Long ABS-MBS USGSE US N 2 2053-04-16 Variable 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-79 N/A 38376LPM5 1240916.090000 PA USD 1180651.870000 0.0202470 Long ABS-MBS USGSE US N 2 2040-06-20 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H09 N/A 38375BLE0 484427.440000 PA USD 485475.210000 0.0083254 Long ABS-MBS USGSE US N 2 2061-03-20 Floating 0.65488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-20 N/A 38378DLZ6 2694798.660000 PA USD 461337.130000 0.0079115 Long ABS-MBS USGSE US N 2 2041-05-20 Floating 6.54375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-7 N/A 38378CMZ7 1693207.750000 PA USD 1533945.140000 0.0263056 Long ABS-MBS USGSE US N 2 2041-05-20 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H18 N/A 38375BUL4 804172.620000 PA USD 806311.400000 0.0138274 Long ABS-MBS USGSE US N 2 2062-08-20 Floating 0.67488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-106 N/A 38378VHA6 236754.280000 PA USD 12471.030000 0.0002139 Long ABS-MBS USGSE US N 2 2042-02-20 Floating 6.09375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-151 N/A 38378UUL9 1509279.060000 PA USD 244188.670000 0.0041876 Long ABS-MBS USGSE US N 2 2043-05-16 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-27 N/A 38378FZB9 1243701.190000 PA USD 1390268.390000 0.0238417 Long ABS-MBS USGSE US N 2 2043-02-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-43 N/A 38378KDF3 7852247.820000 PA USD 55268.050000 0.0009478 Long ABS-MBS USGSE US N 2 2048-08-16 Variable 0.10348 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-54 N/A 38378MRJ6 1030240.580000 PA USD 1144030.240000 0.0196190 Long ABS-MBS USGSE US N 2 2043-04-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-7 N/A 38378B4W6 325174.780000 PA USD 19496.760000 0.0003344 Long ABS-MBS USGSE US N 2 2053-05-16 Variable 1.61028 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-70 N/A 38378TNC0 1221903.420000 PA USD 164447.550000 0.0028201 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-77 N/A 38378PAG3 2690330.920000 PA USD 190585.730000 0.0032684 Long ABS-MBS USGSE US N 2 2043-02-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-90 N/A 38378TA91 872522.170000 PA USD 73774.630000 0.0012652 Long ABS-MBS USGSE US N 2 2041-12-16 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-93 N/A 38378TUW8 773128.720000 PA USD 111583.890000 0.0019136 Long ABS-MBS USGSE US N 2 2043-03-16 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-8 N/A 38378P7R3 110594.020000 PA USD 4814.080000 0.0000826 Long ABS-MBS USGSE US N 2 2043-07-20 Floating 5.94375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-8 N/A 38378P6U7 2073521.660000 PA USD 279280.770000 0.0047894 Long ABS-MBS USGSE US N 2 2043-09-20 Floating 5.39375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-116 N/A 38379MZB3 2104150.990000 PA USD 257648.030000 0.0044184 Long ABS-MBS USGSE US N 2 2044-10-16 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126 N/A 38379QFL4 323051.960000 PA USD 432342.830000 0.0074143 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 8.96758 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127 N/A 38379MX90 2051863.540000 PA USD 96154.630000 0.0016490 Long ABS-MBS USGSE US N 2 2043-06-20 Floating 2.61831 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127 N/A 38379MY32 2429727.340000 PA USD 117524.450000 0.0020154 Long ABS-MBS USGSE US N 2 2041-07-20 Floating 2.53216 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-141 N/A 38379Q4L6 981487.500000 PA USD 1182821.990000 0.0202842 Long ABS-MBS USGSE US N 2 2045-06-20 Floating 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-152 N/A 38379FAR0 8353208.530000 PA USD 358863.860000 0.0061542 Long ABS-MBS USGSE US N 2 2040-05-20 Floating 2.56858 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-157 N/A 38379FCF4 1820783.420000 PA USD 2191913.340000 0.0375891 Long ABS-MBS USGSE US N 2 2045-10-20 Floating 16.6612 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165 N/A 38379FE39 2423976.000000 PA USD 231707.870000 0.0039736 Long ABS-MBS USGSE US N 2 2042-11-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166 N/A 38379FDK2 2301480.170000 PA USD 111071.270000 0.0019048 Long ABS-MBS USGSE US N 2 2042-06-20 Floating 2.41937 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180 N/A 38379TGM5 2443400.060000 PA USD 117025.670000 0.0020069 Long ABS-MBS USGSE US N 2 2042-06-20 Floating 2.36937 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-24 N/A 38379JUP4 212322.110000 PA USD 215172.260000 0.0036900 Long ABS-MBS USGSE US N 2 2045-02-20 Floating 9.20208 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-39 N/A 38379LDY9 170.200000 PA USD 162.080000 0.0000028 Long ABS-MBS USGSE US N 2 2045-03-20 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-42 N/A 38379LAB2 1336396.650000 PA USD 34349.270000 0.0005891 Long ABS-MBS USGSE US N 2 2039-05-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-55 N/A 38379LZD1 761058.480000 PA USD 725439.270000 0.0124406 Long ABS-MBS USGSE US N 2 2042-12-20 Variable 0.50306 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-82 N/A 38379NMD1 3787592.190000 PA USD 3851048.370000 0.0660417 Long ABS-MBS USGSE US N 2 2044-01-20 Floating 5.39375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118 N/A 38380AUU9 734405.740000 PA USD 96229.180000 0.0016502 Long ABS-MBS USGSE US N 2 2046-09-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-138 N/A 38376MCQ8 1422546.080000 PA USD 58747.600000 0.0010075 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 2.55035 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-145 N/A 38380BHF5 2849535.790000 PA USD 191614.470000 0.0032860 Long ABS-MBS USGSE US N 2 2045-07-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-160 N/A 38380B5Q4 5498435.820000 PA USD 260316.850000 0.0044642 Long ABS-MBS USGSE US N 2 2046-06-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-168 N/A 38380TTB2 2592261.570000 PA USD 2822272.420000 0.0483992 Long ABS-MBS USGSE US N 2 2046-11-20 Floating 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-172 N/A 38380B5X9 9461908.510000 PA USD 346562.270000 0.0059432 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180 N/A 38376T6N7 3198402.170000 PA USD 117666.020000 0.0020179 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 2.45532 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-61 N/A 38379WD66 2142857.000000 PA USD 509251.890000 0.0087332 Long ABS-MBS USGSE US N 2 2046-05-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-84 N/A 38379XHD5 8344719.870000 PA USD 1614092.460000 0.0276801 Long ABS-MBS USGSE US N 2 2045-11-20 Floating 5.92375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-84 N/A 38379XGB0 2857142.000000 PA USD 671538.660000 0.0115162 Long ABS-MBS USGSE US N 2 2046-06-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-110 N/A 38380FUN4 13690307.250000 PA USD 682274.260000 0.0117003 Long ABS-MBS USGSE US N 2 2043-04-20 Floating 2.57261 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-118 N/A 38380GNH3 6757825.790000 PA USD 318731.500000 0.0054659 Long ABS-MBS USGSE US N 2 2046-06-20 Floating 2.41824 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-130 N/A 38380GDG6 2152867.610000 PA USD 60302.900000 0.0010341 Long ABS-MBS USGSE US N 2 2045-12-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-136 N/A 38380HJC7 10046269.330000 PA USD 436339.620000 0.0074828 Long ABS-MBS USGSE US N 2 2047-01-20 Floating 2.53358 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15 N/A 38380CSQ7 2376718.830000 PA USD 109559.850000 0.0018788 Long ABS-MBS USGSE US N 2 2045-11-20 Floating 2.38277 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-153 N/A 38380HA69 19313368.670000 PA USD 3442490.150000 0.0590353 Long ABS-MBS USGSE US N 2 2047-10-20 Floating 6.04375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-153 N/A 38380HB35 10161782.980000 PA USD 455368.800000 0.0078091 Long ABS-MBS USGSE US N 2 2046-10-20 Floating 2.61583 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-162 N/A 38380HXB3 15879007.100000 PA USD 1200303.670000 0.0205840 Long ABS-MBS USGSE US N 2 2047-10-20 Floating 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-164 N/A 38380KJB2 10375927.780000 PA USD 467390.930000 0.0080153 Long ABS-MBS USGSE US N 2 2046-11-20 Floating 2.60753 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-182 N/A 38380UAZ6 15767756.730000 PA USD 738352.010000 0.0126620 Long ABS-MBS USGSE US N 2 2047-05-20 Floating 2.32956 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-186 N/A 38380T6L5 35969198.710000 PA USD 32200043.930000 0.5521989 Long ABS-MBS USGSE US N 2 2045-11-16 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-42 N/A 38376MTE7 6165653.290000 PA USD 267060.960000 0.0045798 Long ABS-MBS USGSE US N 2 2046-01-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57 N/A 38380B7Q2 2203725.860000 PA USD 90099.990000 0.0015451 Long ABS-MBS USGSE US N 2 2045-12-20 Floating 2.49472 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-84 N/A 38380FJD9 10561648.760000 PA USD 516876.530000 0.0088639 Long ABS-MBS USGSE US N 2 2046-07-20 Floating 2.54577 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-99 N/A 38380F3T1 752788.230000 PA USD 39506.330000 0.0006775 Long ABS-MBS USGSE US N 2 2046-11-20 Floating 2.49028 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-113 N/A 38380X3A3 1356688.610000 PA USD 1338972.830000 0.0229621 Long ABS-MBS USGSE US N 2 2042-09-20 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-121 N/A 38380YJ97 8845626.060000 PA USD 1036769.290000 0.0177796 Long ABS-MBS USGSE US N 2 2048-09-20 Floating 6.04375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-128 N/A 38381AAH9 860668.150000 PA USD 859125.830000 0.0147332 Long ABS-MBS USGSE US N 2 2041-03-20 Floating 0.40625 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-135 N/A 38381AJF4 2645529.550000 PA USD 2573987.290000 0.0441413 Long ABS-MBS USGSE US N 2 2043-06-16 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168 N/A 38381BGP3 15058727.040000 PA USD 2506142.620000 0.0429779 Long ABS-MBS USGSE US N 2 2048-12-20 Floating 5.94375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEV9 9493368.900000 PA USD 451192.290000 0.0077375 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 2.26651 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-44 N/A 38380VVC2 33437281.920000 PA USD 2553190.600000 0.0437847 Long ABS-MBS USGSE US N 2 2048-03-20 Floating 3.14375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-46 N/A 38380V3X7 3660005.090000 PA USD 3646281.170000 0.0625301 Long ABS-MBS USGSE US N 2 2044-01-20 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-53 N/A 38380V7L9 12406755.340000 PA USD 14421640.940000 0.2473169 Long ABS-MBS USGSE US N 2 2048-04-20 Floating 6.09375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-90 N/A 38380XEU7 6149934.250000 PA USD 937516.890000 0.0160775 Long ABS-MBS USGSE US N 2 2048-06-20 Floating 6.04375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110 N/A 38381YWG5 13844736.070000 PA USD 2525796.270000 0.0433149 Long ABS-MBS USGSE US N 2 2049-09-20 Floating 5.89375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115 N/A 38381YVM3 10456702.610000 PA USD 1802116.490000 0.0309045 Long ABS-MBS USGSE US N 2 2049-09-20 Floating 5.89375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-143 N/A 38382AZF5 17428385.370000 PA USD 3662920.270000 0.0628155 Long ABS-MBS USGSE US N 2 2046-04-20 Floating 5.89375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20 N/A 38381RAX7 68339451.900000 PA USD 4964191.450000 0.0851310 Long ABS-MBS USGSE US N 2 2049-02-20 Floating 3.63375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-23 N/A 38381RPW3 20688380.300000 PA USD 3517717.710000 0.0603254 Long ABS-MBS USGSE US N 2 2035-12-20 Floating 5.96375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-29 N/A 38381TFX8 4554834.860000 PA USD 4944061.900000 0.0847858 Long ABS-MBS USGSE US N 2 2049-03-20 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-35 N/A 38381RG78 21384504.640000 PA USD 3667872.370000 0.0629004 Long ABS-MBS USGSE US N 2 2049-03-20 Floating 5.89375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-45 N/A 38381TYZ2 28534721.040000 PA USD 4711108.120000 0.0807908 Long ABS-MBS USGSE US N 2 2049-04-20 Floating 5.89375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-57 N/A 38381VSX9 9144628.580000 PA USD 1083167.540000 0.0185753 Long ABS-MBS USGSE US N 2 2049-05-20 Floating 5.38375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-74 N/A 38381VW89 48888804.820000 PA USD 3775100.620000 0.0647392 Long ABS-MBS USGSE US N 2 2049-06-20 Floating 3.12375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 60 N/A 38376UEU9 3504452.960000 PA USD 559384.990000 0.0095929 Long ABS-MBS USGSE US N 2 2035-01-20 Floating 5.94375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 60 N/A 38376UFG9 3134253.530000 PA USD 580141.240000 0.0099488 Long ABS-MBS USGSE US N 2 2040-02-16 Floating 6.29787 N N N N N N GOVERNMENT NATIONAL MTG ASSOC 2008-47 N/A 38375XAD6 35137.110000 PA USD 1578.920000 0.0000271 Long ABS-MBS USGSE US N 2 2037-11-16 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MTGE ASSOC 2004-106 N/A 38374KJP9 4971.300000 PA USD 5014.610000 0.0000860 Long ABS-MBS USGSE US N 2 2034-05-17 Floating 8 N N N N N N GOVERNMENT NATIONAL MTGE ASSOC 2004-91 N/A 38374JJ72 580617.800000 PA USD 114305.010000 0.0019602 Long ABS-MBS USGSE US N 2 2034-11-16 Floating 5.94787 N N N N N N GOVERNMENT NATL MTGE ASSOC 2009-26 N/A 38374TSK1 3166713.280000 PA USD 334058.170000 0.0057288 Long ABS-MBS USGSE US N 2 2038-01-16 Floating 6.24787 N N N N N N GOVERNMENT NATL MTGE ASSOC 2011-H01 N/A 38375BJN3 1113816.290000 PA USD 1115169.580000 0.0191241 Long ABS-MBS USGSE US N 2 2060-11-20 Floating 0.60488 N N N N N N GOVERNMENT NATL MTGE ASSOC 2015-159 N/A 38379FWQ8 773706.300000 PA USD 919930.600000 0.0157759 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 5 N N N N N N GREAT HALL MORTGAGES PLC 2007-2X N/A B1Z97QII7 542327.550000 PA USD 526978.600000 0.0090372 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 0.36325 N N N N N N GREENPOINT MTGE FUNDING TR 2007-AR1 N/A 39539KAH6 12512655.310000 PA USD 11320309.370000 0.1941321 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.37813 N N N N N N GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2 N/A 39809LAA2 13600000.000000 PA USD 13294000.000000 0.2279790 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 1.33238 N N N N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 13113824.730000 PA 14557527.050000 0.2496472 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 0 N N N N N N GS MORTGAGE SECURITIES CORP II 2010-C1 N/A 36249KAE0 22227185.950000 PA USD 269230.120000 0.0046170 Long ABS-MBS CORP US N 2 2043-08-10 Variable 1.18328 N N N N N N GS MORTGAGE SECURITIES CORP II 2017-SLP N/A 36255MAL1 26200000.000000 PA USD 25072349.380000 0.4299660 Long ABS-MBS CORP US N 2 2032-10-10 Variable 4.579 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2016-RENT N/A 36251GAL8 20000000.000000 PA USD 19876518.000000 0.3408626 Long ABS-MBS CORP US N 2 2029-02-10 Fixed 4.20222 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2016-RENT N/A 36251GAN4 6000000.000000 PA USD 5942738.400000 0.1019121 Long ABS-MBS CORP US N 2 2029-02-10 Variable 4.20222 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2018-TWR N/A 36251SAJ7 11605000.000000 PA USD 11118788.800000 0.1906762 Long ABS-MBS CORP US N 2 2031-07-15 Floating 1.35238 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2018-TWR N/A 36251SAL2 3293000.000000 PA USD 3123746.720000 0.0535692 Long ABS-MBS CORP US N 2 2031-07-15 Floating 1.60238 N N N N N N GSAA HOME EQUITY TRUST 2005-5 N/A 36242DS38 900000.000000 PA USD 826286.220000 0.0141700 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.02313 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAC0 8253247.350000 PA USD 4986732.550000 0.0855175 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.37813 N N N N N N GSAA HOME EQUITY TRUST 2007-6 N/A 36245RAF6 495619.440000 PA USD 384348.370000 0.0065912 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.44813 N N N N N N GSAA HOME EQUITY TRUST 2007-9 N/A 3622EEAA0 563967.090000 PA USD 541131.050000 0.0092799 Long ABS-MBS CORP US N 2 2047-08-25 Fixed 6 Y N N N N N GSAMP TRUST 2006-HE6 N/A 36245AAC0 2026745.340000 PA USD 1748873.690000 0.0299915 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.29813 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 6703202.390000 PA USD 4189801.800000 0.0718510 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.28813 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAC5 948031.720000 PA USD 575476.300000 0.0098688 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.26813 N N N N N N GSMPS MORTGAGE LOAN TRUST 2005-RP2 N/A 36242DU35 4659467.490000 PA USD 4659584.910000 0.0799073 Long ABS-MBS CORP US N 2 2035-03-25 Floating 3.85973 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413V9 723187.060000 PA USD 588992.760000 0.0101006 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.49813 Y N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413J6 4128929.150000 PA USD 3973623.610000 0.0681437 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.80685 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP2 N/A 36298XAA0 7464399.830000 PA USD 6504418.300000 0.1115443 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.54813 Y N N N N N GSMSC PASS-THROUGH TRUST 2009-6R N/A 36190NAB9 6449060.810000 PA USD 5912415.760000 0.1013921 Long ABS-MBS CORP US N 2 2037-06-26 Variable 3.16337 N N N N N N GSR MORTGAGE LOAN TRUST 2006-7F N/A 36298NAV6 810175.990000 PA USD 451257.490000 0.0077386 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 Y N N N N N GULF STREAM MERIDIAN 2 LTD 2020-IIA N/A 40256TAA1 14100000.000000 PA USD 14130391.140000 0.2423222 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 2.47755 N N N N N N HARBEN FINANCE 2017-1 PLC 17-1X N/A ACI12FW02 535182.410000 PA 689201.000000 0.0118191 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86825 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-11 N/A 41161PUK7 49703.740000 PA USD 48174.350000 0.0008261 Long ABS-MBS CORP US N 2 2045-08-19 Floating 0.77625 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-8 N/A 41161PRT2 6849349.270000 PA USD 6161275.970000 0.1056598 Long ABS-MBS CORP US N 2 2035-09-19 Floating 2.91929 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 5328112.170000 PA USD 4692065.580000 0.0804643 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.36125 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 21530647.100000 PA USD 19577104.740000 0.3357280 Long ABS-MBS CORP US N 2 2038-01-19 Floating 0.34625 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-9 N/A 41161XAC0 6661473.500000 PA USD 5904993.900000 0.1012648 Long ABS-MBS CORP US N 2 2036-11-19 Floating 0.36625 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 111330.970000 PA USD 105080.770000 0.0018020 Long ABS-MBS CORP US N 2 2034-04-19 Floating 2.87399 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVF7 24971950.550000 PA USD 18606223.280000 0.3190783 Long ABS-MBS CORP US N 2 2035-10-19 Floating 3.01929 N N N N N N HARLEY MARINE FINANCING LLC 2018-1A N/A 41284LAA2 14144432.330000 PA USD 11739878.830000 0.2013273 Long ABS-O CORP US N 3 2043-05-15 Fixed 5.682 N N N N N N HARVEST CLO X DAC 10 A N/A ACI12PS21 945547.760000 PA 1105281.440000 0.0189545 Long ABS-CBDO CORP IE N 2 2028-11-15 Floating 0.439 N N N N N N HARVEST COMMERCIAL CAPITAL LOAN TRUST 2019-1 N/A 41753CAA4 6089485.790000 PA USD 6147077.710000 0.1054163 Long ABS-MBS CORP US N 2 2046-09-25 Fixed 3.29 N N N N N N HARVEST SBA LOAN TRUST 2018-1 N/A 41755JAA7 10773828.270000 PA USD 10436868.170000 0.1789820 Long ABS-O CORP US N 2 2044-08-25 Floating 2.40813 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 50330757.550000 PA 64968328.580000 1.1141426 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.1122 N N N N N N HILDENE TRUPS 2018-1A N/A 43133AAA5 20216159.810000 PA USD 19900787.720000 0.3412788 Long ABS-CBDO CORP KY N 2 2038-10-10 Floating 1.63288 N N N N N N HOME EQUITY PASS-THRU CERTS 2004-6 N/A 437084EV4 961712.240000 PA USD 931823.950000 0.0159799 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.12313 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-7 N/A 437084PA8 17500000.000000 PA USD 16427327.000000 0.2817124 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.61813 N N N N N N HOMESTAR MORTGAGE ACCEPTANCE CORP 2004-1 N/A 437690AB6 2668018.390000 PA USD 2531555.920000 0.0434137 Long ABS-MBS CORP US N 2 2034-03-25 Floating 0.94313 N N N N N N HSBC ASSET LOAN OBLIGATION 2006-2 N/A 40431HAG2 842167.550000 PA USD 171143.860000 0.0029349 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.51813 N N N N N N HSBC ASSET LOAN OBLIGATION 2006-2 N/A 40431HAH0 846033.240000 PA USD 221506.310000 0.0037986 Long ABS-O CORP US N 2 2036-12-25 Floating 6.48187 N N N N N N HSI ASSET SEC CORP TRUST 2006-WMC1 N/A 40430MAC1 8539955.100000 PA USD 5078453.390000 0.0870905 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.24813 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE1 N/A 40430FAD4 3033619.430000 PA USD 2547446.420000 0.0436862 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.33813 N N N N N N HSI ASSET SECUR CORP TRUST 2007-OPT1 N/A 40431JAD5 6317548.830000 PA USD 5406998.620000 0.0927247 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.29813 N N N N N N HSI ASSET SECURI CORP TRUS 2005-I1 N/A 40430HCN6 1346336.690000 PA USD 1310661.060000 0.0224765 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.53813 N N N N N N HSI ASSET SECURI CORP TRUS 2005-NC1 N/A 40430HAH1 13265000.000000 PA USD 13206754.710000 0.2264828 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.95813 N N N N N N IMPAC SECURED ASSETS CORP 2006-1 N/A 45254TTN4 34728.600000 PA USD 33252.460000 0.0005702 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.49813 N N N N N N IMPAC SECURED ASSETS CORP. 2006-2 N/A 45256VAE7 1964647.940000 PA USD 1794973.870000 0.0307820 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.42813 Y N N N N N INDYMAC IMSC MTGE LN TRUST 2007-AR1 N/A 456672AC8 14534945.680000 PA USD 11852706.050000 0.2032622 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.3005 Y N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 13076958.740000 PA USD 5269019.220000 0.0903585 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.21813 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR13 N/A 45660LRE1 58757.170000 PA USD 55355.800000 0.0009493 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.04745 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR25 N/A 45661HAA5 3132672.970000 PA USD 2702744.620000 0.0463494 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.92149 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR25 N/A 45661HAN7 214240.340000 PA USD 191600.750000 0.0032858 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.07027 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR27 N/A 45661LAG3 10912.540000 PA USD 10237.350000 0.0001756 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.34813 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR12 N/A 45660N5H4 385100.600000 PA USD 317695.560000 0.0054482 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.92813 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 3014111.920000 PA USD 2872871.840000 0.0492669 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.32813 Y N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-C N/A 43709BAF6 7500000.000000 PA USD 6370179.000000 0.1092423 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.38813 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 5746649.200000 PA USD 4285152.760000 0.0734861 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.38813 N N N N N N INVITATION HOMES TRUST 2018-SFR4 N/A 46187XAA3 59825023.480000 PA USD 60031910.380000 1.0294879 Long ABS-MBS CORP US N 2 2038-01-17 Floating 1.2505 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2017-FL11 N/A 46648PAL9 3900000.000000 PA USD 3539453.190000 0.0606981 Long ABS-MBS CORP US N 2 2032-10-15 Floating 2.29238 N N N N N N JEFFERIES & CO 2008-R1 N/A 472320AA8 911604.530000 PA USD 797999.640000 0.0136849 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.59507 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AA1 2214285.670000 PA USD 1955184.350000 0.0335295 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.30813 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AP8 289442.050000 PA USD 290247.510000 0.0049775 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.41221 Y N N N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AA9 3627725.210000 PA USD 2885589.860000 0.0494850 Long ABS-MBS CORP US N 2 2036-12-27 Fixed 6 Y N N N N N JP MORGAN CHASE CMML MTGE SEC 2006-CB15 N/A 46627QBC1 2508559.520000 PA USD 2514830.920000 0.0431269 Long ABS-MBS CORP US N 2 2043-06-12 Fixed 5.855 N N N N N N JP MORGAN CHASE CMML MTGE SEC 2006-LDP8 N/A 46629MAT2 1482409.380000 PA USD 1464900.350000 0.0251216 Long ABS-MBS CORP US N 2 2045-05-15 Variable 6.09461 N N N N N N JP MORGAN CHASE CMML MTGE SEC 2006-LDP9 N/A 46629PAQ1 25322763.290000 PA USD 22270035.800000 0.3819091 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 5.337 N N N N N N JP MORGAN CHASE COMMERCIAL MOR 2003-CB7 N/A 46625MQ69 1500000.000000 PA USD 1519011.300000 0.0260495 Long ABS-MBS CORP US N 2 2038-01-12 Variable 6.03973 N N N N N N JP MORGAN CHASE COMMERCIAL MOR 2004-CB8 N/A 46625M2U2 4238880.770000 PA USD 4208665.180000 0.0721744 Long ABS-MBS CORP US N 2 2039-01-12 Variable 4.733 N N N N N N JP MORGAN CHASE COMML MTGE SEC 2004-CBX N/A 46625YDK6 906391.490000 PA USD 919127.020000 0.0157621 Long ABS-MBS CORP US N 2 2037-01-12 Variable 5.126 N N N N N N JP MORGAN CHASE COMML MTGE SEC 2004-CBX N/A 46625YDS9 2576956.890000 PA USD 2610354.250000 0.0447650 Long ABS-MBS CORP US N 2 2037-01-12 Variable 5.215 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YN7 4430339.210000 PA USD 4181230.100000 0.0717040 Long ABS-MBS CORP US N 2 2035-11-25 Variable 3.55864 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A3 N/A 46628KAV2 28123.490000 PA USD 28196.910000 0.0004835 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.88721 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A4 N/A 46628LAQ1 5641778.240000 PA USD 4895262.660000 0.0839489 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.36447 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A7 N/A 46629DAL9 3853900.360000 PA USD 3564957.650000 0.0611355 Long ABS-MBS CORP US N 2 2037-01-25 Variable 3.62858 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAN5 5580.660000 PA USD 5514.460000 0.0000946 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.96177 N N N N N N JP MORGAN MORTGAGE TRUST 2007-S3 N/A 46631NDT3 1220775.840000 PA USD 946168.050000 0.0162258 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 7 Y N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 2977598.540000 PA USD 2900403.110000 0.0497390 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.35813 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-FRE2 N/A 46626LHB9 9161109.000000 PA USD 9050050.710000 0.1551994 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.48813 Y N N N N N JP MORGAN REREMIC 2009-10 N/A 46634AAM6 3572211.520000 PA USD 3510705.900000 0.0602051 Long ABS-MBS CORP US N 2 2036-08-26 Variable 6 N N N N N N JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9 N/A 46633XAB1 6559276.510000 PA USD 5691772.180000 0.0976083 Long ABS-MBS CORP US N 2 2036-09-26 Fixed 6 N N N N N N LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2010-1GA N/A 50346RAA6 5922732.370000 PA USD 6102800.250000 0.1046570 Long ABS-MBS CORP PA N 3 2039-09-08 Floating 3.17475 N N N N N N LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A N/A 50346EAA5 12591013.210000 PA USD 13465976.570000 0.2309282 Long ABS-MBS CORP PA N 3 2042-11-24 Floating 3.508 N N N N N N LA HIPOTECARIA SA 2019-1A N/A 50346WAA5 36470490.980000 PA USD 40705733.240000 0.6980631 Long ABS-MBS CORP US N 3 2046-09-29 Fixed 4.25 N N N N N N LB-UBS COMMERCIAL MORTGAGE TRUST 2005-C3 N/A 52108H5D2 3750000.000000 PA USD 3740669.250000 0.0641488 Long ABS-MBS CORP US N 2 2040-07-15 Variable 5.111 N N N N N N LB-UBS COMMERCIAL MORTGAGE TRUST 2007-C2 N/A 50180JAQ8 3782487.870000 PA USD 196.690000 0.0000034 Long ABS-MBS CORP US N 2 2040-02-15 Variable 0.358582 N N N N N N LEGACY MORTGAGE ASSET TRUST 2017-RPL1 N/A 52472WAA7 27439993.590000 PA USD 27509998.500000 0.4717693 Long ABS-MBS CORP US N 2 2070-01-28 Floating 1.89475 N N N N N N LEGACY MORTGAGE ASSET TRUST 2018-GS3 2018-GS3 N/A 52474LAA9 12753324.830000 PA USD 12915942.470000 0.2214956 Long ABS-MBS CORP US N 2 2058-06-25 Fixed 4 N N N N N N LEGACY MORTGAGE ASSET TRUST 2019-GS4 N/A 52473CAA0 2413487.740000 PA USD 2442821.990000 0.0418920 Long ABS-MBS CORP US N 2 2059-05-25 Fixed 3.438 N N N N N N LEGACY MORTGAGE ASSET TRUST 2019-GS6 N/A 52474VAA7 3753138.630000 PA USD 3772534.100000 0.0646952 Long ABS-MBS CORP US N 2 2059-06-25 Fixed 3 N N N N N N LEGACY MORTGAGE ASSET TRUST 2020-SL1 N/A 52475KAA0 3900000.000000 PA USD 3899386.300000 0.0668706 Long ABS-MBS CORP US N 3 2060-01-25 Variable 2.734 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAL8 30558374.510000 PA USD 6376756.580000 0.1093551 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.59813 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAQ7 19203939.880000 PA USD 6349477.380000 0.1088873 Long ABS-O CORP US N 2 2036-11-25 Floating 6.40187 N N N N N N LEHMAN MORTGAGE TRUST 2007-2 N/A 52521DAB8 5309510.100000 PA USD 4538394.020000 0.0778290 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 5.75 Y N N N N N LEHMAN MORTGAGE TRUST 2007-5 N/A 52521RBH3 146241.330000 PA USD 107812.710000 0.0018489 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.46813 Y N N N N N LEHMAN XS TRUST 2006-14N N/A 52522CAG8 154378.300000 PA USD 159633.210000 0.0027376 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.38813 Y N N N N N LEHMAN XS TRUST 2006-18N N/A 52522GAC8 3567341.610000 PA USD 3521189.840000 0.0603849 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.32813 N N N N N N LEHMAN XS TRUST 2006-4N N/A 525221KM8 6779986.700000 PA USD 6795080.310000 0.1165289 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.37813 Y N N N N N LEHMAN XS TRUST 2007-1 N/A 525241AB1 3952629.130000 PA USD 3754775.140000 0.0643907 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.30813 N N N N N N LEHMAN XS TRUST 2007-1 N/A 525241AC9 10643409.890000 PA USD 10245117.530000 0.1756936 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.26813 N N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAQ2 3197223.360000 PA USD 2787172.110000 0.0477972 Long ABS-MBS CORP US N 2 2047-08-25 Floating 1.07513 Y N N N N N LOANCORE ISSUER LTD 2019-CRE2 N/A 53946JAA2 26000000.000000 PA USD 25741019.200000 0.4414330 Long ABS-O CORP KY N 2 2036-05-15 Floating 1.28238 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL1 N/A 542514LK8 4564204.080000 PA USD 4562256.530000 0.0782382 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.04813 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL3 N/A 542514PS7 8230402.800000 PA USD 7315052.790000 0.1254459 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.85313 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 1708524.070000 PA USD 1190162.820000 0.0204101 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.29813 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-6 N/A 54251RAA1 12608159.030000 PA USD 10181070.770000 0.1745953 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.29313 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-8 N/A 54251UAD8 24262127.530000 PA USD 10483675.010000 0.1797847 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.30813 N N N N N N LONG BEACH MTGE LOAN TR 2005-1 N/A 542514KC7 700000.000000 PA USD 693205.450000 0.0118878 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.42313 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-2 N/A 542514FX7 66287.500000 PA USD 64550.170000 0.0011070 Long ABS-MBS CORP US N 2 2034-06-25 Floating 0.94313 N N N N N N LOOMIS SAYLES CLO II LTD 2015-2A N/A 54347LAN2 18668816.000000 PA USD 18515057.760000 0.3175149 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.175 N N N N N N LP CREDIT CARD ABS MASTER TRUST 2018-1 N/A 50214FAA1 2204797.470000 PA USD 2260117.600000 0.0387588 Long ABS-MBS CORP US N 2 2024-08-20 Floating 1.74 N N N N N N LUMINENT MORTGAGE TRUST 2007-2 N/A 55027WAA0 45330.370000 PA USD 41469.060000 0.0007112 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.37813 Y N N N N N M360 LLC 2018-CRE1 N/A 55379LAA8 996957.920000 PA USD 996929.730000 0.0170964 Long ABS-O CORP KY N 2 2028-07-24 Fixed 4.3951 N N N N N N M360 LLC 2018-CRE1 N/A 55379LAC4 19700000.000000 PA USD 19691807.560000 0.3376950 Long ABS-O CORP KY N 2 2028-07-24 Fixed 6.1211 N N N N N N MACKAY SHIELDS EURO CLO-2 DAC 2A N/A ACI1NGXC0 700000.000000 PA 825454.690000 0.0141557 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 1.55 N N N N N N MADISON PARK FUNDING LTD 2014-12A N/A 55818PAL4 3897696.610000 PA USD 3897507.180000 0.0668384 Long ABS-CBDO CORP KY N 2 2026-07-20 Floating 1.53175 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 1500000.000000 PA 1750470.520000 0.0300188 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N MARLETTE FUNDING TRUST 2018-4A N/A 57109GAA2 419897.330000 PA USD 422814.060000 0.0072508 Long ABS-O CORP US N 2 2028-12-15 Fixed 3.71 N N N N N N MASTR ASSET BACKED SEC TR 2006-AM3 N/A 57645EAC4 505512.440000 PA USD 500061.800000 0.0085756 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.31813 N N N N N N MASTR ASSET BACKED SEC TR 2006-AM3 N/A 57645EAM2 8702720.000000 PA USD 7941249.410000 0.1361846 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.38813 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE1 N/A 57643LPP5 2065437.830000 PA USD 2050781.480000 0.0351689 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.72813 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE2 N/A 57644UAE5 12180070.930000 PA USD 7005232.600000 0.1201328 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.29813 N N N N N N MASTR ASSET BACKED SEC TR 2006-NC3 N/A 55275RAD4 2711382.440000 PA USD 1819425.740000 0.0312014 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.30813 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAE8 11670830.960000 PA USD 4557238.910000 0.0781521 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.37813 N N N N N N MASTR ASSET BACKED SEC TRUST 2006-WMC1 N/A 57643LRK4 6113587.340000 PA USD 3358894.750000 0.0576017 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.32813 N N N N N N MASTR ASSET BACKED SECUR TR 2005-FRE1 N/A 57643LMA1 6209631.450000 PA USD 5940802.840000 0.1018789 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.64813 Y N N N N N MASTR ASSET SECURITIZATION TRUST 2007-2 N/A 57646NAC3 686744.870000 PA USD 538190.970000 0.0092294 Long ABS-MBS CORP US N 2 2038-01-25 Fixed 6.25 N N N N N N MASTR REPERFORMING LOAN TR 2006-1 N/A 57643QBM6 2864534.550000 PA USD 2666197.620000 0.0457227 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 7 N N N N N N MASTR REPERFORMING LOAN TRUST 2005-1 N/A 576436AR0 1092059.280000 PA USD 856990.460000 0.0146965 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 6 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE3 N/A 590238AB7 5669968.460000 PA USD 3544207.130000 0.0607796 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.28813 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE3 N/A 590238AC5 6131008.050000 PA USD 3864070.280000 0.0662650 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.33813 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 572646.130000 PA USD 383952.360000 0.0065844 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.25813 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 30937417.110000 PA USD 20928553.210000 0.3589040 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.29813 N N N N N N MERRILL LYNCH MORTGAGE TRUST 2005-CLI1 N/A 59022HLP5 3318997.630000 PA USD 3308660.610000 0.0567403 Long ABS-MBS CORP US N 2 2037-11-12 Variable 5.51876 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-OPT1 N/A 59020UKL8 318626.320000 PA USD 315449.110000 0.0054096 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.66813 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-OPT1 N/A 59020UKM6 400137.570000 PA USD 391783.060000 0.0067187 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.86813 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A2 N/A 590215AC3 633052.060000 PA USD 507991.490000 0.0087116 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.39524 Y N N N N N MERRILL LYNCH/COUNTRYWIDE MTGE TR 2006-4 N/A 55312VAN8 4953462.930000 PA USD 3036656.050000 0.0520756 Long ABS-MBS CORP US N 2 2049-12-12 Variable 5.324 N N N N N N MERX AVIATION FINANCE LLC 2018-1A N/A 56564RAA8 7204152.510000 PA USD 6700180.980000 0.1149015 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.212 N N N N N N MF1 2020-FL3 LTD N/A 59319WAA9 19800000.000000 PA USD 19974402.360000 0.3425412 Long ABS-MBS CORP US N 2 2035-07-15 Floating 2.20238 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS1 N/A 59981BAC8 2460733.370000 PA USD 2572617.010000 0.0441178 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS2 N/A 59981TAC9 12991378.510000 PA USD 13620005.330000 0.2335696 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 2.75 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 4969507.990000 PA USD 4921940.700000 0.0844064 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 1.1245 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-WMC3 N/A 61746RJL6 11082536.850000 PA USD 10817514.610000 0.1855097 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.94313 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC4 N/A 61744CRF5 200000.000000 PA USD 194793.580000 0.0033405 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.19813 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAF2 6104562.650000 PA USD 3623017.640000 0.0621312 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.37813 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAD4 8292060.420000 PA USD 5105957.270000 0.0875621 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.24813 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAD2 1920941.310000 PA USD 1187716.090000 0.0203682 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.35813 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC3 N/A 61755AAB2 4767797.220000 PA USD 3982453.770000 0.0682951 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.20813 N N N N N N MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1 N/A 61757MAA6 3773325.620000 PA USD 3453594.010000 0.0592257 Long ABS-MBS CORP US N 2 2047-02-25 Floating 2.04813 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C8 N/A 61761QAF0 7976804.450000 PA USD 136429.680000 0.0023396 Long ABS-MBS CORP US N 2 2048-12-15 Variable 1.1073 N N N N N N MORGAN STANLEY CAPITAL 2006-T21 N/A 617451CV9 848894.050000 PA USD 845858.830000 0.0145056 Long ABS-MBS CORP US N 2 2052-10-12 Fixed 5.68362 N N N N N N MORGAN STANLEY CAPITAL I 2007-T25 N/A 61751XAG5 2775694.570000 PA USD 2834841.570000 0.0486147 Long ABS-MBS CORP US N 2 2049-11-12 Variable 5.574 N N N N N N MORGAN STANLEY CAPITAL I 2007-T27 N/A 61754JAK4 4200000.000000 PA USD 4330880.400000 0.0742703 Long ABS-MBS CORP US N 2 2042-06-11 Variable 6.21481 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2020-CNP N/A 61770YAA3 18600000.000000 PA USD 19612742.100000 0.3363391 Long ABS-MBS CORP US N 2 2042-04-05 Variable 2.50852 N N N N N N MORGAN STANLEY CAPITAL I-2005-HQ7 N/A 617451BW8 849334.980000 PA USD 841783.200000 0.0144357 Long ABS-MBS CORP US N 2 2042-11-14 Variable 5.49542 N N N N N N MORGAN STANLEY CAPITAL INC 2004-NC7 N/A 61744CFQ4 118389.990000 PA USD 115526.330000 0.0019812 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.07813 N N N N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A 617463AC8 14514692.270000 PA USD 7086003.100000 0.1215179 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.29813 N N N N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A 617463AP9 11143187.890000 PA USD 5352883.250000 0.0917967 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.21813 N N N N N N MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1 N/A 61749QAD2 20041170.390000 PA USD 11387966.190000 0.1952924 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.29813 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-5AR N/A 61748HLF6 74075.630000 PA USD 60544.000000 0.0010383 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.25029 Y N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-9AR N/A 61748HQY0 6226336.310000 PA USD 5875052.020000 0.1007513 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.25255 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2006-12XS N/A 61749EAH0 2866356.800000 PA USD 1268380.660000 0.0217515 Long ABS-MBS CORP US N 2 2036-10-25 Variable 5.72629 Y N N N N N MORGAN STANLEY MTGE LN TR 2006-2 N/A 61748HVH1 367097.110000 PA USD 333948.640000 0.0057269 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.04813 Y N N N N N MORGAN STANLEY MTGE LN TR 2007-13 N/A 61756HAG5 686930.060000 PA USD 694967.350000 0.0119180 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 5.5 Y N N N N N MORGAN STANLEY MTGE LN TR 2007-6XS N/A 61751JAM3 2554897.570000 PA USD 1541182.940000 0.0264298 Long ABS-MBS CORP US N 2 2047-02-25 Variable 5.70097 N N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAC6 1861990.310000 PA USD 868280.530000 0.0148902 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.38813 N N N N N N MORGAN STANLEY REREMIC TRUST 2012-R1 N/A 61757SAB1 14505297.040000 PA USD 13783984.880000 0.2363817 Long ABS-MBS CORP US N 2 2037-02-26 Floating 0.35513 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF1 N/A 61910AAA6 26559202.090000 PA USD 25824343.500000 0.4428619 Long ABS-MBS CORP US N 2 2042-01-25 Floating 0.62 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF2 N/A 61911CAA1 5464301.360000 PA USD 5338189.660000 0.0915447 Long ABS-MBS CORP US N 2 2042-02-25 Floating 0.59 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 13809038.960000 PA USD 12298313.530000 0.2109039 Long ABS-MBS CORP US N 2 2042-05-25 Floating 0.63 N N N N N N MORTGAGEIT TRUST 2007-1 N/A 61915YAA9 3631353.520000 PA USD 3435499.370000 0.0589154 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.37813 N N N N N N MOTEL 6 TRUST 2017-MTL6 N/A 61975FAA7 2467529.160000 PA USD 2430575.690000 0.0416820 Long ABS-MBS CORP US N 2 2034-08-15 Floating 1.07238 N N N N N N MOTEL 6 TRUST 2017-MTL6 N/A 61975FAG4 8505947.270000 PA USD 8327692.390000 0.1428117 Long ABS-MBS CORP US N 2 2034-08-15 Floating 1.34238 N N N N N N MOTEL 6 TRUST 2017-MTL6 N/A 61975FAL3 882692.640000 PA USD 860725.600000 0.0147606 Long ABS-MBS CORP US N 2 2034-08-15 Floating 2.30238 N N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 13500000.000000 PA USD 13470202.260000 0.2310006 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 1.36088 N N N N N N MOUNTAIN VIEW CLO LTD 15-10A N/A 62432CAQ4 8001467.910000 PA USD 7919645.380000 0.1358141 Long ABS-CBDO CORP KY N 2 2027-10-13 Floating 1.08625 N N N N N N MOUNTAIN VIEW CLO LTD 2014-1A N/A 62431XAU0 3542010.400000 PA USD 3521172.500000 0.0603846 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 1.075 N N N N N N NASSAU LTD 2017-IA N/A 631707AL0 18500000.000000 PA USD 18430832.940000 0.3160706 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 1.425 N N N N N N NATIONSLINK FUNDING CORP 1999-LTL1 N/A 63859CCL5 745103.960000 PA USD 754468.130000 0.0129384 Long ABS-MBS CORP US N 2 2026-01-22 Fixed 5 N N N N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-10K N/A 63874UAA2 10180000.000000 PA USD 11277963.900000 0.1934059 Long ABS-MBS CORP US N 2 2039-05-15 Fixed 3.622 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-DA N/A 63941HAA0 22085505.200000 PA USD 22387687.920000 0.3839267 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69 N N N N N N NAVIENT STUDENT LOAN TRUST 2017-5A N/A 63940CAA2 15115005.890000 PA USD 14759496.420000 0.2531108 Long ABS-O CORP US N 2 2066-07-26 Floating 0.94813 N N N N N N NEUBERGER BERMAN CLO XIX LTD 2015-19A N/A 64130CAN2 2010644.480000 PA USD 2005252.740000 0.0343881 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.075 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2005-2 N/A 64352VKW0 1332028.590000 PA USD 1287969.350000 0.0220874 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.09313 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 44542829.840000 PA USD 46905907.140000 0.8043899 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 4626056.270000 PA USD 4976202.010000 0.0853369 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N NEW YORK MORTGAGE TRUST 2005-2 N/A 649603AD9 992585.720000 PA USD 953841.130000 0.0163574 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.80813 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-HE1 N/A 65536HCS5 1016334.160000 PA USD 1011225.760000 0.0173415 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.55813 N N N N N N NOVASTAR MORTGAGE FUNDING TRUST SERIES 2004-3 N/A 66987XFU4 119859.750000 PA USD 118551.960000 0.0020330 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.24813 N N N N N N OBP DEPOSITOR LLC TRUST 2019-OBP N/A 68236JAA9 50000000.000000 PA USD 53495440.000000 0.9173939 Long ABS-MBS CORP US N 2 2054-09-15 Fixed 2.51641 N N N N N N OCP CLO 2015-9 N/A 67091YAJ3 6430925.760000 PA USD 6410831.170000 0.1099394 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.075 N N N N N N OCTAGON INVESTMENT PARTNERS LTD 2015-1A N/A 67590WCE2 7993392.590000 PA USD 7935773.900000 0.1360907 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.125 N N N N N N OFSI FUND VII LTD 7A N/A 67106MAN3 195484.830000 PA USD 195636.610000 0.0033550 Long ABS-CBDO CORP KY N 2 2026-10-18 Floating 1.17175 N N N N N N OPTION ONE MORTGAGE LN TRUST 2003-4 N/A 68389FDT8 724286.660000 PA USD 679032.070000 0.0116447 Long ABS-MBS CORP US N 2 2033-07-25 Floating 0.78813 N N N N N N OPTION ONE MORTGAGE LOAN TR 2002-3 N/A 68389FCF9 451306.130000 PA USD 446020.700000 0.0076488 Long ABS-MBS CORP US N 2 2032-08-25 Floating 0.64813 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-2 N/A 68389FHC1 3000000.000000 PA USD 2912904.900000 0.0499534 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.88313 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-4 N/A 68389FJJ4 13200000.000000 PA USD 12791060.040000 0.2193540 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.83813 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAC0 210182.140000 PA USD 146651.960000 0.0025149 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.32813 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-6 N/A 68403KAB1 3033193.740000 PA USD 2406648.750000 0.0412716 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.27813 N N N N N N OZLM XXIII LTD 2019-23A N/A 67112WAA1 30000000.000000 PA USD 29924040.600000 0.5131677 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 1.745 N N N N N N OZLME BV 1A N/A ACI1DQDD9 1200000.000000 PA 1403070.650000 0.0240613 Long ABS-CBDO CORP NL N 2 2030-01-18 Floating 0.82 N N N N N N PALISADES CDO LTD. 2004-1A N/A 696399AC8 10623169.140000 PA USD 10472277.650000 0.1795892 Long ABS-CBDO CORP KY N 2 2039-07-22 Floating 0.90775 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-2A N/A 69700HAA8 4236044.810000 PA USD 4221247.750000 0.0723902 Long ABS-CBDO CORP KY N 2 2026-07-15 Floating 0.925 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-4A N/A 69700KAA1 1508166.070000 PA USD 1504859.760000 0.0258069 Long ABS-CBDO CORP KY N 2 2026-11-15 Floating 1.18013 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-2A N/A 69689PAA5 9632389.100000 PA USD 9616304.070000 0.1649101 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 1.24175 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-4A N/A 69689HAA3 11139093.510000 PA USD 11112289.950000 0.1905648 Long ABS-CBDO CORP KY N 2 2027-10-24 Floating 1.1635 N N N N N N PARK PLACE SEC INC 2004-WCW1 N/A 70069FAE7 412473.710000 PA USD 412339.780000 0.0070712 Long ABS-MBS CORP US N 2 2034-09-25 Floating 2.02313 N N N N N N PARK PLACE SECURITIES INC 2004-MCW1 N/A 70069FCH8 2470156.790000 PA USD 2499716.660000 0.0428677 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.16813 N N N N N N PARK PLACE SECURITIES INC 2004-MCW1 N/A 70069FCJ4 21500000.000000 PA USD 20995300.400000 0.3600486 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.27313 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ1 N/A 70069FBW6 9135860.600000 PA USD 9270042.640000 0.1589721 Long ABS-MBS CORP US N 2 2034-09-25 Floating 2.24813 N N N N N N PEOPLE'S CHOICE HOME LOAN SECURITIES TRUST SERIES 2004-1 N/A 71085PAE3 5540736.270000 PA USD 5406037.650000 0.0927082 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.03313 N N N N N N 522 FUNDING CLO I LTD 2017-1A N/A 04625AAA2 5500000.000000 PA USD 5493554.550000 0.0942090 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 1.52175 N N N N N N PHYSICIANS REALTY LP 549300P6Q1UMT0X60U20 71951QAB8 2784000.000000 PA USD 2903425.920000 0.0497909 Long DBT CORP US N 2 2028-01-15 Fixed 3.95 N N N N N N PREFERRED TERM SECURITIES XVI LTD / PREFERRED TERM SECURITIES XVI INC N/A 74041EAB1 4000000.000000 PA USD 3360000.000000 0.0576207 Long DBT CORP KY N 2 2035-03-23 Floating 0.81725 N N N N N N PREFERRED TERM SECURITIES XVIII LTD / PREFERRED TERM SECURITIES XVIII INC N/A 74042WAA2 180528.450000 PA USD 171502.030000 0.0029411 Long DBT CORP KY N 2 2035-09-23 Floating 0.61725 N N N N N N PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC N/A 74042JAA1 1978581.060000 PA USD 1701579.710000 0.0291804 Long DBT CORP KY N 2 2038-03-22 Floating 0.60038 N N N N N N PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC N/A 74043CAA5 387508.040000 PA USD 333256.910000 0.0057150 Long DBT CORP KY N 2 2037-03-22 Floating 0.55038 N N N N N N PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC N/A 74042QAA5 2678078.230000 PA USD 2356708.840000 0.0404152 Long DBT CORP KY N 2 2037-09-22 Floating 0.55038 N N N N N N RAAC 2004-SP1 N/A 7609855V9 108764.150000 PA USD 107760.190000 0.0018480 Long ABS-MBS CORP US N 2 2034-03-25 Floating 0.84813 N N N N N N RAAC SERIES 2005-SP2 N/A 76112BF54 45580.250000 PA USD 39999.640000 0.0006860 Long ABS-MBS CORP US N 2 2044-06-25 Floating 0.44813 N N N N N N RAAC SERIES 2007-SP3 N/A 74978FAH2 5900000.000000 PA USD 6125070.840000 0.1050389 Long ABS-MBS CORP US N 2 2047-09-25 Floating 1.64813 N N N N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 194457.710000 PA USD 164946.070000 0.0028287 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.44813 N N N N N N RALI TRUST 2007-QS8 N/A 74922UAA1 4301892.030000 PA USD 2930704.810000 0.0502587 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.54813 N N N N N N RALI TRUST 2007-QS8 N/A 74922UAB9 4364397.960000 PA USD 1061432.060000 0.0182025 Long ABS-O CORP US N 2 2037-06-25 Floating 6.45187 N N N N N N RASC TRUST 2006-EMX6 N/A 754065AC4 2387910.340000 PA USD 2363157.740000 0.0405258 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.29813 Y N N N N N RBSGC MTGE PASS THRU CERT 2007-B N/A 74927XAA0 21353495.900000 PA USD 4308522.630000 0.0738869 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.44813 Y N N N N N RBSSP RESECURITIZATION TRUST 2009-12 N/A 74928UCD7 4334871.830000 PA USD 4137782.550000 0.0709589 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.54478 N N N N N N RBSSP RESECURITIZATION TRUST 2009-6 N/A 74928XDE8 440163.690000 PA USD 367919.620000 0.0063095 Long ABS-MBS CORP US N 2 2037-06-26 Fixed 6 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQL2 14478110.780000 PA 11122990.330000 0.1907483 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.072 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQM0 8300000.000000 PA 6711870.380000 0.1151019 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.65 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GV4 6956736.210000 PA USD 4860923.420000 0.0833600 Long ABS-MBS CORP US N 2 2036-05-25 Variable 5.608 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GW2 3203630.970000 PA USD 2377926.480000 0.0407791 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.011 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GX0 3496803.220000 PA USD 2654266.320000 0.0455180 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.166 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GY8 2211997.270000 PA USD 1578518.410000 0.0270700 Long ABS-MBS CORP US N 2 2036-05-25 Variable 5.746 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAG5 9150482.680000 PA USD 4764564.830000 0.0817076 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.473 N N N N N N REPERFORMING LOAN REMIC TRUST 2006-R1 N/A 12669UCN8 306211.240000 PA USD 293371.710000 0.0050310 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.48813 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA6 N/A 76110H6F1 75094.000000 PA USD 53114.730000 0.0009109 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.41212 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO8 N/A 75115FAD2 1592221.890000 PA USD 1505525.090000 0.0258183 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.34813 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS12 N/A 761118DV7 1116793.910000 PA USD 901803.600000 0.0154650 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.49813 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS4 N/A 749228AH5 226162.750000 PA USD 210552.050000 0.0036108 Long ABS-MBS CORP US N 2 2036-04-25 Floating 8 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA1 N/A 74923GAA1 3551063.530000 PA USD 3440402.090000 0.0589995 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.28813 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 6350766.030000 PA USD 5765970.980000 0.0988807 Long ABS-MBS CORP US N 2 2037-10-25 Variable 2.02877 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 3122861.690000 PA USD 2946943.400000 0.0505372 Long ABS-MBS CORP US N 2 2045-09-25 Floating 2.37929 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO3 N/A 761118KU1 147440.660000 PA USD 126907.060000 0.0021763 Long ABS-MBS CORP US N 2 2045-10-25 Floating 0.94813 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QH4 N/A 74922TAA4 5457919.250000 PA USD 5089063.790000 0.0872724 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.33813 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR28 10170094.210000 PA USD 9130751.260000 0.1565834 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.82813 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10 N/A 76112BED8 5717085.250000 PA USD 5275631.940000 0.0904719 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.02313 N N N N N N RESIDENTIAL ASSET MTGE PROD 2007-RZ1 N/A 74923PAB9 180572.720000 PA USD 180554.880000 0.0030963 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.30813 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX4 N/A 75406DAD5 16228584.220000 PA USD 15781712.300000 0.2706408 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.37813 N N N N N N RESIDENTIAL ASSET SEC CORP 2007-KS3 N/A 74924YAC7 101240.620000 PA USD 100684.310000 0.0017266 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.39813 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AD8 607842.640000 PA USD 526867.060000 0.0090352 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS4 N/A 76110WU95 3794000.000000 PA USD 3699982.400000 0.0634510 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.15313 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA2 N/A 74958XAF1 355425.490000 PA USD 308331.680000 0.0052876 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.89311 N N N N N N RESIMAC BASTILLE TRUST SERIES 2018-1NC N/A 76118VAA8 451160.960000 PA USD 449026.090000 0.0077004 Long ABS-MBS CORP AU N 2 2059-12-05 Floating 0.99 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0WLGW6 1071603.970000 PA 1381213.610000 0.0236864 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86825 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2005-3 N/A 004375DW8 3405000.000000 PA USD 3335661.260000 0.0572033 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.62813 N N N N N N RIVERVIEW HECM TRUST 2007-4A N/A 76942LAA2 7589785.680000 PA USD 6947285.280000 0.1191391 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.41813 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 11599402.390000 PA USD 11329065.560000 0.1942823 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.40813 N N N N N N ACCUNIA EUROPEAN CLO I BV 1A N/A ACI19ZJ97 2100000.000000 PA 2451881.130000 0.0420473 Long ABS-CBDO CORP NL N 2 2030-07-15 Floating 0.95 N N N N N N ACE SECURITIES CORP 2003-HE1 N/A 004421DA8 1057804.770000 PA USD 1053819.600000 0.0180720 Long ABS-MBS CORP US N 2 2033-11-25 Floating 1.12313 N N N N N N ACE SECURITIES CORP 2005-HE1 N/A 004421KY8 15343536.610000 PA USD 15366711.490000 0.2635239 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.31813 N N N N N N ACE SECURITIES CORP 2006-ASP1 N/A 004421VX8 16213343.610000 PA USD 15939516.450000 0.2733469 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.76313 N N N N N N ACE SECURITIES CORP 2007-HE2 N/A 00443PAE9 4582288.810000 PA USD 3412999.600000 0.0585296 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.44813 N N N N N N ACE SECURITIES CORP 2007-HE3 N/A 00442GAA8 5609784.050000 PA USD 2104977.220000 0.0360983 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.36813 N N N N N N SAPPHIRE AVIATION FINANCE I LIMITED 2018-1X N/A G7820FAA0 19599963.800000 PA USD 18278765.520000 0.3134628 Long ABS-O CORP KY N 2 2040-03-15 Fixed 4.25 N N N N N N SARANAC CLO II LTD 2014-3A N/A 803169AN1 9882312.040000 PA USD 9878440.840000 0.1694055 Long ABS-CBDO CORP JE N 2 2030-06-22 Floating 1.82538 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1 N/A 004421WQ2 1860423.250000 PA USD 1845778.930000 0.0316533 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.44813 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-WM2 N/A 00442KAB7 3985733.800000 PA USD 2158558.240000 0.0370171 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.26813 N N N N N N ACE SECURITIES CORP-2006-ASP5 N/A 004422AD3 6714745.070000 PA USD 3484723.720000 0.0597596 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.27813 N N N N N N SAXON ASSET SECURITIES TRUST 2005-3 N/A 805564SU6 9000000.000000 PA USD 8710900.200000 0.1493833 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.89813 N N N N N N SAXON ASSET SECURITIES TRUST 2007-3 N/A 80557BAA2 2455342.010000 PA USD 2380095.840000 0.0408163 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.45813 N N N N N N SCF RC FUNDING LLC 2017-1A N/A 784037AA1 7276904.710000 PA USD 7348829.640000 0.1260252 Long ABS-O CORP US N 2 2047-06-25 Fixed 4.1 N N N N N N SEC ASSET BACKED REC LLC 2005-FR2 N/A 81375WEF9 63234.880000 PA USD 63268.470000 0.0010850 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.12313 N N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAC5 3747758.070000 PA USD 1845162.960000 0.0316427 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.23813 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1 N/A 81375WCS3 12370646.460000 PA USD 12063684.950000 0.2068803 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.76313 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2 N/A 81376GAC4 3583426.240000 PA USD 3080045.510000 0.0528197 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.20813 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2 N/A 81376GAD2 31168971.920000 PA USD 27422492.660000 0.4702686 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.30813 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2 N/A 81376GAE0 5726585.580000 PA USD 5131273.790000 0.0879963 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.38813 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAQ5 111846.880000 PA USD 84948.960000 0.0014568 Long ABS-MBS CORP US N 2 2037-07-20 Floating 3.3706 Y N N N N N SG MORTGAGE SECURITIES TRUST 2005-OPT1 N/A 81879MAD1 989241.330000 PA USD 988819.520000 0.0169573 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.57813 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2004-2 N/A 007036CG9 8337050.260000 PA USD 7393632.990000 0.1267935 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.29813 N N N N N N SLC STUDENT LOAN TRUST 2005-2 N/A 784420AH4 1731118.970000 PA USD 1728300.360000 0.0296386 Long ABS-O CORP US N 2 2027-03-15 Floating 0.36038 N N N N N N SLM CONSOLIDATION STUD LN TRUST 2004-10 N/A 78442GNJ1 1676871.790000 PA USD 1672488.610000 0.0286815 Long ABS-O CORP US N 2 2029-10-25 Floating 0.8445 N N N N N N SLM CONSOLIDATION STUD LN TRUST 2004-10 N/A 78442GNK8 2193292.470000 PA USD 2187559.420000 0.0375145 Long ABS-O CORP US N 2 2029-10-25 Floating 0.8445 N N N N N N SLM STUDENT LOAN TRUST 2003-12X N/A 772149II3 2740822.730000 PA 3384799.930000 0.0580460 Long DBT CORP US N 2 2038-03-15 Floating 0.60913 N N N N N N SLM STUDENT LOAN TRUST 2003-5 N/A B010CSII5 1238249.440000 PA 1450590.460000 0.0248762 Long ABS-O CORP US N 2 2024-06-17 Floating 0 N N N N N N SLM STUDENT LOAN TRUST 2003-7X N/A 763369II8 1212354.850000 PA 1344058.420000 0.0230493 Long DBT CORP US N 2 2033-12-15 Floating 0.066 N N N N N N SLM STUDENT LOAN TRUST 2004-2 N/A 99QUHKII8 1306768.120000 PA 1532607.200000 0.0262827 Long ABS-O CORP US N 2 2024-01-25 Floating 0 N N N N N N SLM STUDENT LOAN TRUST 2004-2X N/A B00KKMII6 880000.000000 PA 978514.110000 0.0167805 Long ABS-O CORP US N 2 2039-07-25 Floating 0.097 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LZ7 5169660.540000 PA USD 4789593.820000 0.0821368 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.59813 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC 2016-1 N/A 78471DAA5 773655.690000 PA USD 778807.310000 0.0133558 Long ABS-O CORP US N 2 2025-08-25 Fixed 3.26 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C N/A 83405DAC2 3133672.460000 PA USD 3197147.500000 0.0548279 Long ABS-O CORP US N 2 2040-07-25 Fixed 2.63 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D N/A 78471CAB5 882094.280000 PA USD 905459.020000 0.0155277 Long ABS-O CORP US N 2 2040-09-25 Fixed 2.65 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAL4 25000000.000000 PA USD 24908716.500000 0.4271599 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.4055 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2 N/A 83611XAB0 3477863.550000 PA USD 3014937.650000 0.0517032 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.25813 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2 N/A 83611MML9 26000000.000000 PA USD 25470957.200000 0.4368017 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.42813 N N N N N N SOUNDVIEW HOME LOAN TRUST 2005-3 N/A 83611MFQ6 4884251.830000 PA USD 4831593.730000 0.0828571 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.13813 N N N N N N AEGIS ASSET BACKED SEC TR 2004-5 N/A 00764MDH7 2120370.510000 PA USD 1949045.000000 0.0334242 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.97813 N N N N N N AEGIS ASSET BACKED SEC TR 2005-1 N/A 00764MEN3 7050000.000000 PA USD 6905324.840000 0.1184195 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.84813 N N N N N N AEGIS ASSET BACKED SECURITIES TRUST 2005-2 N/A 00764MFE2 4000000.000000 PA USD 2853930.000000 0.0489421 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.77813 N N N N N N SPECIALTY UNDERWRITING & RESID 2007-AB1 N/A 84752CAE7 406195.870000 PA USD 292439.050000 0.0050150 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.52513 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAC6 1830573.150000 PA USD 1527895.200000 0.0262019 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.29813 N N N N N N SPRTE 2017-1 N/A 85208HAA1 2757336.690000 PA USD 2516703.640000 0.0431590 Long ABS-O CORP KY N 2 2037-12-15 Fixed 4.25 N N N N N N ST PAUL'S CLO VI DAC 6A N/A ACI149JY5 16650000.000000 PA 19529145.300000 0.3349055 Long ABS-CBDO CORP IE N 2 2030-08-20 Floating 0.85 N N N N N N STANLINGTON NO 1 PLC 17-1 N/A ACI0SNHR7 430710.030000 PA 554063.590000 0.0095016 Long ABS-MBS CORP GB N 2 2046-06-12 Floating 1.05963 N N N N N N STANWICH MORTGAGE LOAN CO LLC 2019-NPB1 N/A 85502HAA4 1855407.100000 PA USD 1845961.220000 0.0316564 Long ABS-MBS CORP US N 2 2024-08-15 Fixed 3.375 N N N N N N START IRELAND 2019-1 N/A 85573LAA9 4749504.300000 PA USD 4473988.410000 0.0767245 Long ABS-O CORP BM N 2 2044-03-15 Fixed 4.089 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 25400000.000000 PA USD 25099384.650000 0.4304296 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 1.23238 N N N N N N STORE MASTER FUNDING I-VII 2018-1A N/A 86212VAE4 4225755.740000 PA USD 4503674.400000 0.0772336 Long ABS-O CORP US N 2 2048-10-20 Fixed 4.26 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-11 N/A 863579RP5 1877030.490000 PA USD 1617895.730000 0.0277453 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.43795 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 481545.980000 PA USD 466510.720000 0.0080002 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.23919 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-1 N/A 86362TAA5 4652534.910000 PA USD 4412690.220000 0.0756733 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.44813 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-11 N/A 86364YAA2 3275818.770000 PA USD 3176459.260000 0.0544731 Long ABS-MBS CORP US N 2 2037-12-25 Floating 1.29813 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-16XS N/A 863579WV6 8745975.050000 PA USD 8165568.530000 0.1400314 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.79813 N N N N N N STRUCTURED ASSET INVST LN TR 2004-4 N/A 86358EHQ2 4998041.080000 PA USD 4920172.100000 0.0843761 Long ABS-MBS CORP US N 2 2034-04-25 Floating 0.94813 N N N N N N STRUCTURED ASSET INVST LN TR 2006-4 N/A 86360WAA0 1954522.190000 PA USD 1420828.570000 0.0243658 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.32063 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 481250.660000 PA USD 405867.080000 0.0069602 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.36813 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAA4 74709.390000 PA USD 63517.950000 0.0010893 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.32813 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAC0 5089370.930000 PA USD 3865347.700000 0.0662869 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.33813 Y N N N N N STRUCTURED ASSET SEC CORP 2005-RF4 N/A 86359DQB6 882539.120000 PA USD 806019.540000 0.0138224 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.39813 N N N N N N STRUCTURED ASSET SEC CORP 2005-RF7 N/A 86359DWT0 8351643.870000 PA USD 7377220.000000 0.1265120 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.40813 N N N N N N STRUCTURED ASSET SEC CORP 2005-RF7 N/A 86359DWU7 8351643.870000 PA USD 1240310.980000 0.0212701 Long ABS-O CORP US N 2 2035-11-25 Variable 4.27111 N N N N N N STRUCTURED ASSET SEC CORP 2006-EQ1A N/A 86360RAA1 756386.270000 PA USD 737805.720000 0.0126526 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.28313 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXR3 2311742.380000 PA USD 2182788.300000 0.0374327 Long ABS-MBS CORP US N 2 2036-01-25 Variable 3.48985 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 250620.110000 PA USD 215458.030000 0.0036949 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.43813 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 11264911.530000 PA USD 10605408.410000 0.1818723 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.35813 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC1 N/A 86362PAA3 22391696.410000 PA USD 21145336.520000 0.3626216 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.28313 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAA2 35296755.610000 PA USD 33322586.890000 0.5714494 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.30813 N N N N N N STRUCTURED ASSET SECURITIES CRP 2003-26A N/A 86359AS95 69434.380000 PA USD 68985.380000 0.0011830 Long ABS-MBS CORP US N 2 2033-09-25 Floating 2.62071 N N N N N N SYMPHONY CLO XIV LTD 2014-14A N/A 87159QBV9 18055791.810000 PA USD 17960959.720000 0.3080127 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 1.21813 N N N N N N TABERNA PREFERRED FUNDING IX LTD 2007-9A N/A 87331XAA2 3810580.060000 PA USD 3410469.150000 0.0584862 Long ABS-CBDO CORP KY N 2 2038-05-05 Floating 2.2305 N N N N N N TABERNA PREFERRED FUNDING LTD 2005-2A N/A 87330UAB7 2230756.570000 PA USD 1918450.650000 0.0328995 Long ABS-CBDO CORP KY N 2 2035-11-05 Floating 1.19088 Y N N N N N TABERNA PREFERRED FUNDING LTD 2006-6A N/A 87331AAB0 31803576.340000 PA USD 26396968.360000 0.4526819 Long ABS-CBDO CORP KY N 2 2036-12-05 Floating 0.609 N N N N N N TELOS CLO LTD 2014-5A N/A 87974KAQ7 18777765.890000 PA USD 18657523.410000 0.3199581 Long ABS-CBDO CORP KY N 2 2028-04-17 Floating 1.22288 N N N N N N TERWIN MORTGAGE TRUST 2007-4HE N/A 88157QAK4 8361205.780000 PA USD 5832874.140000 0.1000280 Long ABS-MBS CORP US N 2 2038-05-25 Floating 0.39813 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-1 N/A 885220EU3 21876.930000 PA USD 21398.260000 0.0003670 Long ABS-MBS CORP US N 2 2044-03-25 Floating 1.04813 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 6586470.930000 PA USD 5994772.680000 0.1028044 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.67175 Y N N N N N THUNDERBOLT II AIRCRAFT LEASE LTD 2018-A N/A 886065AA9 20284818.540000 PA USD 19129880.080000 0.3280585 Long ABS-O CORP KY N 2 2038-09-15 Variable 4.147 N N N N N N TICP CLO I LTD 2015-1A N/A 87248BAQ7 1873761.890000 PA USD 1867248.470000 0.0320215 Long ABS-CBDO CORP KY N 2 2027-07-20 Floating 1.07175 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 19634433.650000 PA USD 19593469.350000 0.3360086 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.11175 N N N N N N TIMES SQUARE HOTEL TRUST N/A 887367AA8 2484165.770000 PA USD 2712206.470000 0.0465117 Long DBT CORP US N 2 2026-08-01 Fixed 8.528 N N N N N N TORO ABS CDO I LTD 2005-1A N/A 891088AA4 271459685.120000 PA USD 17834086.930000 0.3058370 Long ABS-CBDO CORP KY N 2 2042-02-07 Floating 0.492 N N N N N N TORO EUROPEAN CLO 3 DAC 3A N/A ACI1G5145 300000.000000 PA 349560.050000 0.0059946 Long ABS-CBDO CORP IE N 2 2030-04-15 Floating 0.65 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 19636712.000000 PA 25259741.030000 0.4331796 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.9652 N N N N N N TOWD POINT MORTGAGE FUNDING 19-V2A N/A ACI1GVL46 1007089.750000 PA 1303420.260000 0.0223524 Long ABS-MBS CORP GB N 2 2054-02-20 Floating 1.26285 N N N N N N TOWD POINT MORTGAGE FUNDING 2018 - AUBURN 12 PLC 18-A12X N/A BF2GGBII9 459897.380000 PA 591067.450000 0.0101362 Long ABS-MBS CORP GB N 2 2045-02-20 Floating 0.86825 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 10293234.110000 PA 13316971.910000 0.2283729 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.101 N N N N N N TOWD POINT MORTGAGE TRUST 2018-4 N/A 89175TAA6 4989747.850000 PA USD 5343697.610000 0.0916391 Long ABS-MBS CORP US N 2 2058-06-25 Variable 3 N N N N N N TOWD POINT MORTGAGE TRUST 2018-SJ1 N/A 89176BAC0 8510500.000000 PA USD 8840401.870000 0.1516041 Long ABS-MBS CORP US N 2 2058-10-25 Variable 4.5 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 1676152.150000 PA USD 1679085.080000 0.0287946 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.14813 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 12375252.770000 PA USD 12390719.360000 0.2124886 Long ABS-MBS CORP US N 2 2059-10-25 Floating 1.14813 N N N N N N TOWD POINT MORTGAGE TRUST 2019-MH1 N/A 89177WAA7 3653245.110000 PA USD 3748504.940000 0.0642832 Long ABS-O CORP US N 2 2058-11-25 Fixed 3 N N N N N N TOWD POINT MORTGAGE TRUST 2019-SJ1 N/A 89177RAW0 7674000.000000 PA USD 7926605.830000 0.1359335 Long ABS-MBS CORP US N 2 2058-11-25 Variable 4.17 N N N N N N TOWD POINT MORTGAGE TRUST 2019-SJ1 N/A 89177RAD2 9718000.000000 PA USD 10127534.010000 0.1736772 Long ABS-MBS CORP US N 2 2058-11-25 Variable 4.4 N N N N N N TOWD POINT MORTGAGE TRUST 2019-SJ2 N/A 89177KAD7 12900000.000000 PA USD 13531511.760000 0.2320520 Long ABS-MBS CORP US N 2 2058-11-25 Variable 4.75 N N N N N N TRALEE CLO V LTD 2018-5A N/A 89300JAA6 2000000.000000 PA USD 1983192.600000 0.0340098 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.38175 N N N N N N TRALEE CLO V LTD 2018-5A N/A 89300JAE8 3150000.000000 PA USD 3094902.470000 0.0530745 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.97175 N N N N N N ALBACORE EURO CLO I DAC A N/A ACI1NFNZ2 900000.000000 PA 1063421.000000 0.0182366 Long ABS-CBDO CORP IE N 2 2031-07-18 Floating 1.53 N N N N N N TRINITAS CLO V LTD 2016-5A N/A 89641AAQ8 12500000.000000 PA USD 12460827.250000 0.2136909 Long ABS-CBDO CORP KY N 2 2028-10-25 Floating 1.6345 N N N N N N TRINITY SQUARE 2015-1 PLC 15-1X N/A ACI0JG421 1607608.630000 PA 2077706.330000 0.0356306 Long ABS-MBS CORP GB N 2 2051-07-15 Floating 1.23238 N N N N N N TROPIC CDO CORP 2003-2A N/A 89707UAA0 81840.240000 PA USD 80203.440000 0.0013754 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 1.025 N N N N N N TROPIC CDO CORP 2006-5A N/A 89708BAB9 10772452.260000 PA USD 9695207.030000 0.1662632 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 0.595 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C3 N/A 90349DAL6 178585968.000000 PA USD 726594.870000 0.0124604 Long ABS-MBS CORP US N 2 2049-08-10 Variable 0.310476 N N N N N N UMBS PASS THRU POOLS N/A 01F0124A1 1100000.000000 PA USD 1125265.640000 0.0192972 Long ABS-MBS USGSE US N 2 2035-10-19 Fixed 1.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0124B9 70400000.000000 PA USD 71967114.560000 1.2341648 Long ABS-MBS USGSE US N 2 2035-11-17 Fixed 1.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0204A4 200000.000000 PA USD 207828.130000 0.0035640 Long ABS-MBS USGSE US N 2 2035-10-19 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0204B2 1103900000.000000 PA USD 1146670075.630000 19.6642577 Long ABS-MBS USGSE US N 2 2035-11-17 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0204C0 71000000.000000 PA USD 73682986.340000 1.2635903 Long ABS-MBS USGSE US N 2 2035-12-16 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0224A0 400000.000000 PA USD 417656.250000 0.0071624 Long ABS-MBS USGSE US N 2 2035-10-19 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0224B8 133700000.000000 PA USD 139548642.320000 2.3931212 Long ABS-MBS USGSE US N 2 2035-11-17 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0304A3 52575000.000000 PA USD 55172944.730000 0.9461614 Long ABS-MBS USGSE US N 2 2035-10-19 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0324A9 118500000.000000 PA USD 125320694.100000 2.1491260 Long ABS-MBS USGSE US N 2 2035-10-19 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0404A2 38500000.000000 PA USD 40834819.800000 0.7002768 Long ABS-MBS USGSE US N 2 2035-10-19 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0424A8 1000000.000000 PA USD 1048964.990000 0.0179887 Long ABS-MBS USGSE US N 2 2035-10-19 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0206C8 2191900000.000000 PA USD 2256556951.150000 38.6977199 Long ABS-MBS USGSE US N 2 2050-12-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0226B6 1842850000.000000 PA USD 1928999238.520000 33.0804291 Long ABS-MBS USGSE US N 2 2050-11-12 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0226C4 200000000.000000 PA USD 209009000.000000 3.5842976 Long ABS-MBS USGSE US N 2 2050-12-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0306A1 5700000.000000 PA USD 5971417.930000 0.1024039 Long ABS-MBS USGSE US N 2 2050-10-14 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0306B9 397000000.000000 PA USD 415997073.290000 7.1339384 Long ABS-MBS USGSE US N 2 2050-11-12 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 191100000.000000 PA USD 201735336.080000 3.4595615 Long ABS-MBS USGSE US N 2 2050-11-12 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 -1000000.000000 PA USD -1055653.250000 -0.0181034 Short ABS-MBS USGSE US N 2 2050-11-12 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 -678735000.000000 PA USD -724602642.070000 -12.4262187 Short ABS-MBS USGSE US N 2 2050-11-12 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0426A6 92500000.000000 PA USD 100077050.550000 1.7162224 Long ABS-MBS USGSE US N 2 2050-10-14 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0526B3 -4500000.000000 PA USD -4998867.210000 -0.0857256 Short ABS-MBS USGSE US N 2 2050-11-12 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0606A8 2000000.000000 PA USD 2233828.140000 0.0383079 Long ABS-MBS USGSE US N 2 2050-10-14 Fixed 6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127963T4 3000.000000 PA USD 2999.280000 0.0000514 Long DBT UST US N 2 2021-01-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962J7 72000.000000 PA USD 72000.000000 0.0012347 Long DBT UST US N 2 2020-10-01 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962R9 180000.000000 PA USD 179994.930000 0.0030867 Long DBT UST US N 2 2020-10-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962S7 290000.000000 PA USD 289986.890000 0.0049730 Long DBT UST US N 2 2020-10-22 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796TN9 483000.000000 PA USD 482994.840000 0.0082829 Long DBT UST US N 2 2020-10-08 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828P38 25350000.000000 PA USD 26297654.230000 0.4509788 Long DBT UST US N 2 2023-01-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283U2 61800000.000000 PA USD 65013117.340000 1.1149107 Long DBT UST US N 2 2023-01-31 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286A3 60500000.000000 PA USD 67899433.750000 1.1644081 Long DBT UST US N 2 2026-01-31 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286F2 57600000.000000 PA USD 64347750.140000 1.1035003 Long DBT UST US N 2 2026-02-28 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283W8 3300000.000000 PA USD 3839214.850000 0.0658387 Long DBT UST US N 2 2028-02-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286B1 42420000.000000 PA USD 49545234.380000 0.8496518 Long DBT UST US N 2 2029-02-15 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828J76 22900000.000000 PA USD 23452820.200000 0.4021927 Long DBT UST US N 2 2022-03-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284D9 45750000.000000 PA USD 48440492.990000 0.8307065 Long DBT UST US N 2 2023-03-31 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XR6 69340000.000000 PA USD 71203512.500000 1.2210698 Long DBT UST US N 2 2022-05-31 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286T2 75500000.000000 PA USD 86881035.350000 1.4899238 Long DBT UST US N 2 2029-05-15 Fixed 2.375 N N N N N N ALPHA BANK SA 5299009N55YRQC69CN08 ACI10BX36 2600000.000000 PA 3188222.510000 0.0546749 Long DBT CORP GR N 2 2023-02-05 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XG0 100300000.000000 PA USD 103786991.690000 1.7798443 Long DBT UST US N 2 2022-06-30 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284U1 25000000.000000 PA USD 26697265.500000 0.4578317 Long DBT UST US N 2 2023-06-30 Fixed 2.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XZ8 5100000.000000 PA USD 5698054.660000 0.0977160 Long DBT UST US N 2 2025-06-30 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287C8 2760000.000000 PA USD 2839673.440000 0.0486976 Long DBT UST US N 2 2022-07-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XQ8 37500000.000000 PA USD 38778808.500000 0.6650182 Long DBT UST US N 2 2022-07-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828L24 57200000.000000 PA USD 59101453.270000 1.0135315 Long DBT UST US N 2 2022-08-31 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282R0 21700000.000000 PA USD 24342144.480000 0.4174437 Long DBT UST US N 2 2027-08-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828L57 57200000.000000 PA USD 59050062.500000 1.0126502 Long DBT UST US N 2 2022-09-30 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285C0 22000000.000000 PA USD 24968281.360000 0.4281813 Long DBT UST US N 2 2025-09-30 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283C2 64100000.000000 PA USD 66590135.010000 1.1419550 Long DBT UST US N 2 2022-10-31 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828M80 15000000.000000 PA USD 15603515.700000 0.2675849 Long DBT UST US N 2 2022-11-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828M56 1600000.000000 PA USD 1758812.500000 0.0301619 Long DBT UST US N 2 2025-11-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285N6 75400000.000000 PA USD 85361047.250000 1.4638575 Long DBT UST US N 2 2025-11-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828G87 92400000.000000 PA USD 94681125.000000 1.6236877 Long DBT UST US N 2 2021-12-31 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285T3 37700000.000000 PA USD 42253453.130000 0.7246049 Long DBT UST US N 2 2025-12-31 Fixed 2.625 N N N N N N UPSTART SECURITIZATION TRUST 2018-1 N/A 91678TAC0 278498.200000 PA USD 278501.370000 0.0047760 Long ABS-O CORP US N 2 2025-08-20 Fixed 4.997 N N N N N N UPSTART SECURITIZATION TRUST 2019-2 N/A 916780AA7 1916272.070000 PA USD 1932393.090000 0.0331386 Long ABS-O CORP US N 2 2029-09-20 Fixed 2.897 N N N N N N US CAPITAL FUNDING V LTD 2006-5A N/A 90342WAA5 869664.430000 PA USD 756608.050000 0.0129751 Long ABS-CBDO CORP KY N 2 2040-10-10 Floating 0.55288 N N N N N N VENTURE CDO LTD 2012-12A N/A 92329JAY5 8570084.030000 PA USD 8529642.750000 0.1462749 Long ABS-CBDO CORP KY N 2 2026-02-28 Floating 1.05588 N N N N N N VENTURE CDO LTD 2018-35A N/A 92331XAC8 4000000.000000 PA USD 3998483.400000 0.0685700 Long ABS-CBDO CORP KY N 2 2031-10-22 Floating 1.40775 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 18700000.000000 PA USD 18583424.950000 0.3186874 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 1.28588 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 5066901.990000 PA USD 5021026.660000 0.0861056 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.155 N N N N N N VOYA CLO LTD 2014-3A N/A 92912QAG1 1860936.990000 PA USD 1859356.720000 0.0318861 Long ABS-CBDO CORP KY N 2 2026-07-25 Floating 0.9645 N N N N N N WACHOVIA BANK COMM MTGE TRUST 2007-C33 N/A 92978NAK0 3053538.020000 PA USD 2380910.770000 0.0408303 Long ABS-MBS CORP US N 2 2051-02-15 Variable 5.84287 N N N N N N WAMU COMMERCIAL MORTGAGE SECURITIES TRUST 2006-SL1 N/A 933633AF6 1300000.000000 PA USD 1316024.390000 0.0225685 Long ABS-MBS CORP US N 2 2043-11-23 Variable 3.23729 N N N N N N WAMU MTGE P/T CERT 2007-HY3 N/A 933634AF4 6236262.010000 PA USD 5948210.940000 0.1020059 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.59086 Y N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAE1 92534.340000 PA USD 88326.430000 0.0015147 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.07262 Y N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAL5 54045.130000 PA USD 52490.490000 0.0009002 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.30566 Y N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 19525554.970000 PA 25146924.620000 0.4312449 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 0.98188 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KJ5 2387000.000000 PA 3078765.650000 0.0527978 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 1.68188 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KH9 1193000.000000 PA 1534550.480000 0.0263160 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 2.18188 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JX6 682000.000000 PA 873178.840000 0.0149742 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 2.68188 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JP3 682000.000000 PA 861672.690000 0.0147768 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 3.18188 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 186.000000 PA 333941.010000 0.0057268 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 186.000000 PA 558917.720000 0.0095849 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAK3 6008753.580000 PA USD 2598663.340000 0.0445645 Long ABS-MBS CORP US N 2 2036-09-25 Variable 5.866 Y N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZF8 3011271.000000 PA USD 2974923.450000 0.0510170 Long ABS-MBS CORP US N 2 2044-10-25 Floating 0.92813 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 875414.910000 PA USD 861531.350000 0.0147744 Long ABS-MBS CORP US N 2 2034-11-25 Floating 0.88813 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336W25 5140642.720000 PA USD 5190373.300000 0.0890098 Long ABS-MBS CORP US N 2 2035-01-25 Variable 3.82389 N N N N N N WASHINGTON MUTUAL 2005-AR16 N/A 92922F7D4 801644.790000 PA USD 701590.220000 0.0120316 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.53717 Y N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 1179467.400000 PA USD 1104940.390000 0.0189486 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.5455 Y N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AD0 7397904.620000 PA USD 7039777.980000 0.1207252 Long ABS-MBS CORP US N 2 2047-01-25 Floating 1.932 N N N N N N WASHINGTON MUTUAL 2007-OA3 N/A 93364AAB8 1055990.490000 PA USD 901740.590000 0.0154640 Long ABS-MBS CORP US N 2 2047-04-25 Floating 1.78929 Y N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 696951.670000 PA USD 601448.310000 0.0103142 Long ABS-MBS CORP US N 2 2047-07-25 Floating 1.82929 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 N/A 93934FJQ6 289414.430000 PA USD 239838.060000 0.0041130 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.39813 Y N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-OA2 N/A 93935QAB3 1949773.090000 PA USD 1665774.210000 0.0285664 Long ABS-MBS CORP US N 2 2047-01-25 Floating 1.71929 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-3 N/A 93934FNT5 9330496.840000 PA USD 7832385.740000 0.1343177 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6.5 Y N N N N N WELLS FARGO ALTERNATIVE LOAN TR 2007-PA1 N/A 94984TAH2 666091.990000 PA USD 570228.300000 0.0097789 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.68813 Y N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 N/A 95000GAY0 600000.000000 PA USD 636493.620000 0.0109152 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 2.652 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAA6 11140000.000000 PA USD 10726226.980000 0.1839442 Long ABS-MBS CORP US N 2 2031-12-13 Floating 1.00113 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAG3 9273000.000000 PA USD 8581896.290000 0.1471710 Long ABS-MBS CORP US N 2 2031-12-13 Floating 1.25113 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAL2 220000.000000 PA USD 184543.850000 0.0031647 Long ABS-MBS CORP US N 2 2031-12-13 Floating 1.9958 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-3 N/A 9497ENAH6 10324000.000000 PA USD 10344897.840000 0.1774048 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.24813 N N N N N N WELLS FARGO MTGE BACKED SEC 2007-7 N/A 94985JBU3 23970.860000 PA USD 19727.490000 0.0003383 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.64813 Y N N N N N WELLS FARGO MTGE BACKED SEC 2007-7 N/A 94985JAH3 60477.550000 PA USD 49771.700000 0.0008535 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.64813 Y N N N N N WELLS FARGO MTGE BACKED SEC 2007-AR8 N/A 94985YAA5 7286178.750000 PA USD 6708151.620000 0.1150382 Long ABS-MBS CORP US N 2 2037-11-25 Floating 3.63252 Y N N N N N WHITEHORSE X LTD 2015-10A N/A 96525WAN3 1219540.620000 PA USD 1216633.670000 0.0208641 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 1.20288 N N N N N N WMALT MTGE PASS-THRU CERT 2005-10 N/A 93934FFZ0 1030668.990000 PA USD 968785.970000 0.0166137 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.75 Y N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAE9 200000.000000 PA USD 226034.300000 0.0038763 Long DBT CORP US N 2 2026-10-01 Fixed 4.25 N N N N N N Z CAPITAL CREDIT PARTNERS CLO LTD 2015-1 N/A 98877EAG8 4501447.540000 PA USD 4490752.820000 0.0770120 Long ABS-CBDO CORP KY N 2 2027-07-16 Floating 1.22088 N N N N N N ZAIS CLO 1 LTD 2014-1A N/A 98886MBA1 3754656.840000 PA USD 3754111.780000 0.0643793 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.425 N N N N N N ZEPHYRUS CAPITAL AVIATION PARTNERS LTD 2018-1 N/A 933QMTII0 1610075.400000 PA USD 1434554.640000 0.0246012 Long ABS-O CORP US N 2 2038-10-15 Fixed 4.605 N N N N N N N/A N/A 000000000 198000.000000 PA USD 198000.000000 0.0033955 Long RA US N 2 Repurchase N 0.0000001 2020-10-01 173000.000000 USD 201998.510000 USD UST N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AC0 8283189.370000 PA USD 6863492.960000 0.1177021 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.37813 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-4 N/A 026934AD1 10763822.930000 PA USD 9679251.520000 0.1659896 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.43813 Y N N N N N AMERICAN HOME MORTGAGE INVT TR 2006-1 N/A 02660TJB0 7320528.960000 PA USD 6673861.980000 0.1144501 Long ABS-MBS CORP US N 2 2046-03-25 Floating 0.54813 N N N N N N AMERICAN HOME MTG INV TRUST 2005-1 N/A 02660TDF7 172893.180000 PA USD 173126.650000 0.0029690 Long ABS-MBS CORP US N 2 2045-06-25 Floating 2.32513 N N N N N N AMERICAN HOME MTG INV TRUST 2005-1 N/A 02660TDH3 25377.410000 PA USD 25657.880000 0.0004400 Long ABS-MBS CORP US N 2 2045-06-25 Floating 2.32513 N N N N N N AMERICAN HOME MTG INV TRUST 2005-1 N/A 02660TDM2 1668213.440000 PA USD 1377927.790000 0.0236301 Long ABS-MBS CORP US N 2 2045-06-25 Floating 1.03013 N N N N N N AMERICAN HOME MTGE ASSETS 2005-2 N/A 02660VBH0 1322237.690000 PA USD 1060617.230000 0.0181885 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.14615 N N N N N N N/A N/A 000000000 -2244233.840000 PA -2630298.990000 -0.0451070 Short RA LU N 2 Reverse repurchase N -0.1500000 2020-10-06 2600000.000000 EUR 2719282.800000 EUR CDS N N N N/A N/A 000000000 -859417702.860000 PA USD -859494811.710000 -14.7394860 Short RA US N 2 Reverse repurchase N 0.1900000 2020-10-14 820942857.880000 USD 886861702.950000 USD AMBS N N N N/A N/A 000000000 -30351786.560000 PA USD -30354653.110000 -0.5205523 Short RA US N 2 Reverse repurchase N 0.2000000 2020-10-14 29053956.500000 USD 31184579.920000 USD AMBS N N N N/A N/A 000000000 -80077176.850000 PA USD -80078111.080000 -1.3732604 Short RA US N 2 Reverse repurchase N 0.2100000 2020-10-14 77914544.480000 USD 82379310.630000 USD AMBS N N N N/A N/A 000000000 -9028540.090000 PA USD -9029242.320000 -0.1548426 Short RA US N 2 Reverse repurchase N 0.2000000 2020-10-21 8616153.250000 USD 9278546.450000 USD AMBS N N N N/A N/A 000000000 1.000000 NC USD -298888.250000 -0.0051256 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AA.06-1 N/A N/A Y Single Leg Swap 2045-07-25 0.000000 USD -1213929.750000 USD 3518559.790000 USD 915041.500000 N N N N/A N/A 000000000 1.000000 NC USD -621440.000000 -0.0106571 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -1464165.730000 USD 6659612.270000 USD 842725.730000 N N N N/A N/A 000000000 1.000000 NC USD -39331.640000 -0.0006745 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-26 0.000000 USD -96694.870000 USD 421494.450000 USD 57363.230000 N N N N/A N/A 000000000 1.000000 NC USD -393316.460000 -0.0067450 N/A DCR US N 2 Signature Bank VLP5AP0XK2GM6GKD1007 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -826190.870000 USD 4214944.480000 USD 432874.410000 N N N N/A N/A 000000000 1.000000 NC -20984.710000 -0.0003599 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1665931.740000 USD 1403000.000000 EUR 2020-10-02 -20984.710000 N N N N/A N/A 000000000 1.000000 NC 24477.290000 0.0004198 N/A DFE GB N 2 BNP Paribas S.A. N/A 1798786.160000 USD 1413000.000000 GBP 2020-10-02 24477.290000 N N N N/A N/A 000000000 1.000000 NC 119092.380000 0.0020423 N/A DFE CA N 2 BNP Paribas S.A. N/A 26849434.000000 CAD 20285967.910000 USD 2020-11-17 119092.380000 N N N AMERIQUEST MTGE SEC INC 2004-R4 N/A 03072SRG2 645825.160000 PA USD 620313.970000 0.0106378 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.09813 Y N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 5152459.750000 PA USD 5108827.690000 0.0876113 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.06313 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R11 N/A 03072SV51 5000000.000000 PA USD 4249246.000000 0.0728704 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.82813 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R4 N/A 03072SC37 2993730.470000 PA USD 2989328.490000 0.0512640 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.82313 N N N N N N N/A N/A 000000000 1.000000 NC 22229.170000 0.0003812 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2414000.000000 EUR 2855214.260000 USD 2020-11-17 22229.170000 N N N N/A N/A 000000000 1.000000 NC 3694842.670000 0.0633629 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 117929745.000000 GBP 155865397.160000 USD 2020-10-02 3694842.670000 N N N N/A N/A 000000000 1.000000 NC USD 16011.420000 0.0002746 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA-9 N/A N/A Y Single Leg Swap 2058-09-18 0.000000 USD -107728.000000 USD 2000000.000000 USD 123739.420000 N N N N/A N/A 000000000 1.000000 NC USD 2401.710000 0.0000412 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA-9 N/A N/A Y Single Leg Swap 2058-09-18 0.000000 USD -12593.720000 USD 300000.000000 USD 14995.430000 N N N N/A N/A 000000000 1.000000 NC USD 16011.420000 0.0002746 N/A DCR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX.NA.AAA-9 N/A N/A Y Single Leg Swap 2058-09-18 0.000000 USD -107728.000000 USD 2000000.000000 USD 123739.420000 N N N N/A N/A 000000000 1.000000 NC USD 120085.620000 0.0020593 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.AAA-9 N/A N/A Y Single Leg Swap 2058-09-18 0.000000 USD -1430555.670000 USD 15000000.000000 USD 1550641.290000 N N N N/A N/A 000000000 1.000000 NC USD 405088.840000 0.0069469 N/A DCR US N 2 Signature Bank VLP5AP0XK2GM6GKD1007 CMBX.NA.AAA-9 N/A N/A Y Single Leg Swap 2058-09-18 50372.680000 USD 0.000000 USD 50600000.000000 USD 354716.160000 N N N N/A N/A 000000000 1.000000 NC USD 108593.150000 0.0018623 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -391561.790000 USD 16700000.000000 USD 500154.940000 N N N N/A N/A 000000000 1.000000 NC USD 41291.410000 0.0007081 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -138766.730000 USD 6350000.000000 USD 180058.140000 N N N N/A N/A 000000000 1.000000 NC USD 136554.250000 0.0023418 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -734016.780000 USD 21000000.000000 USD 870571.030000 N N N N/A N/A 000000000 1.000000 NC USD 145007.610000 0.0024867 N/A DCR US N 2 Signature Bank VLP5AP0XK2GM6GKD1007 CMBX.NA.AAA.10 N/A N/A Y Single Leg Swap 2059-11-18 0.000000 USD -581649.510000 USD 22300000.000000 USD 726657.120000 N N N N/A N/A 000000000 1.000000 NC USD 5642.530000 0.0000968 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.11 N/A N/A Y Single Leg Swap 2054-11-19 0.000000 USD -17917.500000 USD 1600000.000000 USD 23560.030000 N N N N/A N/A 000000000 1.000000 NC USD 104386.870000 0.0017901 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.AAA.11 N/A N/A Y Single Leg Swap 2054-11-19 0.000000 USD -368076.000000 USD 29600000.000000 USD 472462.870000 N N N N/A N/A 000000000 1.000000 NC USD 606572.340000 0.0104021 N/A DCR US N 2 Signature Bank VLP5AP0XK2GM6GKD1007 CMBX.NA.AAA.11 N/A N/A Y Single Leg Swap 2054-11-19 0.000000 USD -1424224.220000 USD 172000000.000000 USD 2030796.560000 N N N N/A N/A 000000000 1.000000 NC USD -6866.170000 -0.0001177 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-18 0.000000 USD -16069.160000 USD 2300000.000000 USD 9202.990000 N N N N/A N/A 000000000 1.000000 NC USD -25374.980000 -0.0004352 N/A DCR US N 2 Signature Bank VLP5AP0XK2GM6GKD1007 CMBX.NA.AAA.12 N/A N/A Y Single Leg Swap 2061-08-18 0.000000 USD -11502.650000 USD 8500000.000000 USD -13872.330000 N N N N/A N/A 000000000 1.000000 NC USD 76604.450000 0.0013137 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -337380.000000 USD 16673228.400000 USD 413984.450000 N N N N/A N/A 000000000 1.000000 NC USD 105807.250000 0.0018145 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -540384.040000 USD 23029321.000000 USD 646191.290000 N N N N/A N/A 000000000 1.000000 NC USD 6348.440000 0.0001089 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 7431.690000 USD 0.000000 USD 1381759.260000 USD -1083.250000 N N N N/A N/A 000000000 1.000000 NC USD 3809.060000 0.0000653 N/A DCR US N 2 Signature Bank VLP5AP0XK2GM6GKD1007 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 7107.170000 USD 0.000000 USD 829055.560000 USD -3298.110000 N N N N/A N/A 000000000 1.000000 NC USD 93426.010000 0.0016022 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-18 0.000000 USD -380610.710000 USD 12509828.670000 USD 474036.720000 N N N N/A N/A 000000000 1.000000 NC USD 5931.810000 0.0001017 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-18 0.000000 USD -38059.680000 USD 794274.840000 USD 43991.490000 N N N N/A N/A 000000000 1.000000 NC USD 271380.300000 0.0046539 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-18 0.000000 USD -1372889.730000 USD 36338073.750000 USD 1644270.030000 N N N N/A N/A 000000000 1.000000 NC USD 209361.450000 0.0035903 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-18 0.000000 USD -1384028.670000 USD 25000000.000000 USD 1593390.120000 N N N N/A N/A 000000000 1.000000 NC USD 52759.090000 0.0009048 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-18 0.000000 USD -328469.150000 USD 6300000.000000 USD 381228.240000 N N N ANTHRACITE LTD 2004-HY1A N/A 000000000 6521424.460000 PA USD 688460.260000 0.0118064 Long ABS-MBS CORP US N 2 2041-06-20 Fixed 5.678 N N N N N N N/A N/A 000000000 1745.000000 NC USD 41391.400000 0.0007098 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A EUOD 2021-12-13 435333875.000000 USD 41391.400000 N N N N/A N/A 000000000 -1578.000000 NC USD -458582.580000 -0.0078642 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A EUOD 2022-12-19 -393454575.000000 USD -458582.580000 N N N N/A N/A 000000000 5968.000000 NC USD 1083634.780000 0.0185833 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A EUOD 2021-06-14 1489165200.000000 USD 1083634.780000 N N N N/A N/A 000000000 -1113.000000 NC USD -390924.550000 -0.0067040 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A EUOD 2022-06-13 -277610025.000000 USD -390924.550000 N N N N/A N/A 000000000 -10031.000000 NC USD -59685453.100000 -1.0235465 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A EUOD 2021-03-15 -2502859887.500000 USD -59685453.100000 N N N N/A N/A 000000000 -5368.000000 NC USD -1921129.820000 -0.0329455 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A EUOD 2022-03-14 -1339047600.000000 USD -1921129.820000 N N N N/A N/A 000000000 -1578.000000 NC USD -527095.390000 -0.0090392 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A EUOD 2023-03-13 -393395400.000000 USD -527095.390000 N N N N/A N/A 000000000 -1699.000000 NC USD -420200.930000 -0.0072060 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A EUOD 2022-09-19 -423730600.000000 USD -420200.930000 N N N N/A N/A 000000000 -20000000.000000 NC USD -89870.000000 -0.0015412 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.0% DEC 30YR JMBO N/A 102.190000 USD 2020-12-14 XXXX 22630.000000 N N N N/A N/A 000000000 -14600000.000000 NC USD -141195.870000 -0.0024214 N/A DIR US N 3 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% JAN 30YR JMBO N/A 103.370000 USD 2021-01-14 XXXX -77320.870000 N N N N/A N/A 000000000 -15000000.000000 NC USD -58005.000000 -0.0009947 N/A DIR US N 3 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% JAN 30YR JMBO N/A 103.590000 USD 2021-01-14 XXXX 2.810000 N N N N/A N/A 000000000 124450000.000000 NC USD 1.240000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased GNMA PASS THRU POOLS GNMA II TBA 3.0% OCT 30YR JMBO N/A 78.000000 USD 2020-10-07 XXXX -4860.090000 N N N N/A N/A 000000000 -10500000.000000 NC USD -13112.400000 -0.0002249 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.0% NOV 30YR JMBO N/A 102.160000 USD 2020-11-12 XXXX 31184.480000 N N N N/A N/A 000000000 -15000000.000000 NC USD -26254.500000 -0.0004502 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 3.0% DEC 30YR JMBO N/A 104.000000 USD 2020-12-14 XXXX 11245.500000 N N N N/A N/A 000000000 2000000.000000 NC USD 0.020000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased GNMA PASS THRU POOLS GNMA II TBA 3.0% OCT 30YR JMBO N/A 73.000000 USD 2020-10-07 XXXX -78.110000 N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2019-FL1 N/A 03879YAA5 3700000.000000 PA USD 3667826.760000 0.0628996 Long ABS-CBDO CORP KY N 2 2037-05-15 Floating 1.30238 N N N N N N ARBOUR CLO IV DAC 4A N/A ACI1C2187 2400000.000000 PA 2805427.910000 0.0481103 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N N/A N/A 000000000 1.000000 NC 626919.200000 0.0107510 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 208282871.200000 USD 161901745.000000 GBP 2020-10-02 626919.200000 N N N N/A N/A 000000000 1.000000 NC 1463961.970000 0.0251055 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 76760858.000000 EUR 91462212.670000 USD 2020-10-02 1463961.970000 N N N N/A N/A 000000000 1.000000 NC 299416.510000 0.0051347 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 47553000.000000 GBP 61659392.970000 USD 2020-10-02 299416.510000 N N N N/A N/A 000000000 1.000000 NC -628160.490000 -0.0107723 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 161901745.000000 GBP 208316546.770000 USD 2020-11-03 -628160.490000 N N N 2020-11-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer