NPORT-P false 0000810893 XXXXXXXX S000009711 C000200454 C000064157 C000026664 C000026660 C000026662 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Mortgage-Backed Securities Fund S000009711 62ZRTQ9GH88U1L7EYW37 2024-03-31 2023-09-30 N 371571493.790000 239628852.780000 131942641.010000 0.000000 0.000000 38472773.040000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1606085.990000 USD N Bloomberg US MBS Fixed Total Return Unhedged USD Index LD10TRUU N/A N/A 000000000 -138.000000 NC USD 199047.060000 0.1508588 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-09-17 -32712037.500000 USD 199047.060000 N N N N/A N/A 000000000 278.000000 NC USD -252321.140000 -0.1912355 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2024-06-18 65762637.500000 USD -252321.140000 N N N N/A N/A 000000000 -46.000000 NC USD 133132.340000 0.1009017 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2023-12-19 -10882593.750000 USD 133132.340000 N N N N/A N/A 000000000 -140.000000 NC USD -1925.700000 -0.0014595 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2024-12-17 -33282375.000000 USD -1925.700000 N N N N/A N/A 000000000 2000000.000000 NC USD 123615.800000 0.0936890 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 03/01/24-10Y LCH 2034-03-01 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-02-28 XXXX 107415.800000 N N N N/A N/A 000000000 2000000.000000 NC USD 123712.600000 0.0937624 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 03/06/24-10Y LCH 2034-03-06 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-03-04 XXXX 109112.600000 N N N N/A N/A 000000000 4800000.000000 NC USD 916.800000 0.0006948 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 N/A RFR USD SOFR/2.77000 12/26/23-7Y LCH 2030-12-26 0.000000 USD 0.000000 USD N/A USD N/A 2.770000 USD 2023-12-21 XXXX -95683.200000 N N N N/A N/A 000000000 4800000.000000 NC USD 216721.440000 0.1642543 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 N/A RFR USD SOFR/3.52000 12/26/23-7Y LCH 2030-12-26 0.000000 USD 0.000000 USD N/A USD N/A 3.520000 USD 2023-12-21 XXXX 120121.440000 N N N N/A N/A 000000000 500000.000000 NC USD 99.000000 0.0000750 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.80000 12/22/23-7Y LCH 2030-12-22 0.000000 USD 0.000000 USD N/A USD N/A 2.800000 USD 2023-12-20 XXXX -10225.000000 N N N N/A N/A 000000000 1500000.000000 NC USD 65500.350000 0.0496430 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.55000 12/22/23-7Y LCH 2030-12-22 0.000000 USD 0.000000 USD N/A USD N/A 3.550000 USD 2023-12-20 XXXX 35170.350000 N N N N/A N/A 000000000 500000.000000 NC USD 99.000000 0.0000750 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.80000 12/22/23-7Y LCH 2030-12-22 0.000000 USD 0.000000 USD N/A USD N/A 2.800000 USD 2023-12-20 XXXX -10011.000000 N N N N/A N/A 000000000 1600000.000000 NC USD 69867.040000 0.0529526 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.55000 12/22/23-7Y LCH 2030-12-22 0.000000 USD 0.000000 USD N/A USD N/A 3.550000 USD 2023-12-20 XXXX 37547.040000 N N N N/A N/A 000000000 100000.000000 NC USD 5247.770000 0.0039773 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62500 01/05/24-10Y LCH 2034-01-05 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2024-01-03 XXXX 2567.770000 N N N N/A N/A 000000000 100000.000000 NC USD 42.400000 0.0000321 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.87500 01/05/24-10Y LCH 2034-01-05 0.000000 USD 0.000000 USD N/A USD N/A 2.880000 USD 2024-01-03 XXXX -2637.600000 N N N N/A N/A 000000000 2000000.000000 NC USD 56866.600000 0.0430995 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.04000 01/16/24-10Y LCH 2034-01-16 0.000000 USD 0.000000 USD N/A USD N/A 4.040000 USD 2024-01-11 XXXX 37766.600000 N N N N/A N/A 000000000 2000000.000000 NC USD 72.400000 0.0000549 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.04000 01/16/24-10Y LCH 2034-01-16 0.000000 USD 0.000000 USD N/A USD N/A 2.040000 USD 2024-01-11 XXXX -19027.600000 N N N N/A N/A 000000000 100000.000000 NC USD 0.980000 0.0000007 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/1.50000 01/26/24-10Y LCH 2034-01-26 0.000000 USD 0.000000 USD N/A USD N/A 1.500000 USD 2024-01-24 XXXX -294.020000 N N N N/A N/A 000000000 11500000.000000 NC USD 76762.500000 0.0581787 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.60000 02/02/24-1Y LCH 2025-02-02 0.000000 USD 0.000000 USD N/A USD N/A 4.600000 USD 2024-01-31 XXXX 61381.250000 N N N N/A N/A 000000000 11000000.000000 NC USD 119708.600000 0.0907278 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.10000 02/05/24-1Y LCH 2025-02-05 0.000000 USD 0.000000 USD N/A USD N/A 4.100000 USD 2024-02-01 XXXX 94821.100000 N N N N/A N/A 000000000 -11000000.000000 NC USD -72810.100000 -0.0551831 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.60000 02/05/24-1Y LCH 2025-02-05 0.000000 USD 0.000000 USD N/A USD N/A 4.600000 USD 2024-02-01 XXXX -60710.100000 N N N N/A N/A 000000000 200000.000000 NC USD 0.540000 0.0000004 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/0.97900 02/05/24-10Y LCH 2034-02-05 0.000000 USD 0.000000 USD N/A USD N/A 0.980000 USD 2024-02-01 XXXX -169.460000 N N N N/A N/A 000000000 10000000.000000 NC USD 108826.000000 0.0824798 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.10000 02/05/24-1Y LCH 2025-02-05 0.000000 USD 0.000000 USD N/A USD N/A 4.100000 USD 2024-02-01 XXXX 89401.000000 N N N N/A N/A 000000000 -10000000.000000 NC USD -66191.000000 -0.0501665 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.60000 02/05/24-1Y LCH 2025-02-05 0.000000 USD 0.000000 USD N/A USD N/A 4.600000 USD 2024-02-01 XXXX -56891.000000 N N N N/A N/A 000000000 20000000.000000 NC USD 132266.000000 0.1002451 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 N/A RFR USD SOFR/4.60000 02/06/24-1Y LCH 2025-02-06 0.000000 USD 0.000000 USD N/A USD N/A 4.600000 USD 2024-02-02 XXXX 116366.000000 N N N N/A N/A 000000000 900000.000000 NC USD 364.950000 0.0002766 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 N/A RFR USD SOFR/2.43250 02/29/24-10Y LCH 2034-02-28 0.000000 USD 0.000000 USD N/A USD N/A 2.430000 USD 2024-02-27 XXXX -6295.050000 N N N N/A N/A 000000000 1500000.000000 NC USD 4509.300000 0.0034176 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.21000 03/12/24-7Y LCH 2031-03-12 0.000000 USD 0.000000 USD N/A USD N/A 3.210000 USD 2024-03-08 XXXX -26990.700000 N N N N/A N/A 000000000 1500000.000000 NC USD 55342.800000 0.0419446 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.71000 03/12/24-7Y LCH 2031-03-12 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2024-03-08 XXXX 23842.800000 N N N N/A N/A 000000000 1700000.000000 NC USD 120667.700000 0.0914547 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 N/A RFR USD SOFR/3.01250 04/09/24-7Y LCH 2031-04-09 0.000000 USD 0.000000 USD N/A USD N/A 3.010000 USD 2024-04-05 XXXX 84117.700000 N N N N/A N/A 000000000 1700000.000000 NC USD 1608.710000 0.0012192 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 N/A RFR USD SOFR/2.51250 04/09/24-7Y LCH 2031-04-09 0.000000 USD 0.000000 USD N/A USD N/A 2.510000 USD 2024-04-05 XXXX -34941.290000 N N N N/A N/A 000000000 1500000.000000 NC USD 2129.100000 0.0016137 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 N/A RFR USD SOFR/2.67000 04/15/24-7Y LCH 2031-04-15 0.000000 USD 0.000000 USD N/A USD N/A 2.670000 USD 2024-04-11 XXXX -29258.400000 N N N N/A N/A 000000000 1500000.000000 NC USD 94031.250000 0.0712668 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 N/A RFR USD SOFR/3.17000 04/15/24-7Y LCH 2031-04-15 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2024-04-11 XXXX 62643.750000 N N N N/A N/A 000000000 1300000.000000 NC USD 77451.010000 0.0587005 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 N/A RFR USD SOFR/3.23200 04/26/24-7Y LCH 2031-04-26 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2024-04-24 XXXX 48699.340000 N N N N/A N/A 000000000 1300000.000000 NC USD 2410.850000 0.0018272 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 N/A RFR USD SOFR/2.73200 04/26/24-7Y LCH 2031-04-26 0.000000 USD 0.000000 USD N/A USD N/A 2.730000 USD 2024-04-24 XXXX -26340.820000 N N N N/A N/A 000000000 5500000.000000 NC USD 17043.400000 0.0129173 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 N/A RFR USD SOFR/5.00000 06/18/24-1Y LCH 2025-06-18 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2024-06-14 XXXX 8518.400000 N N N N/A N/A 000000000 2800000.000000 NC USD 7551.880000 0.0057236 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 N/A RFR USD SOFR/5.00000 12/18/24-1Y LCH 2025-12-18 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2024-12-16 XXXX 2959.880000 N N N N/A N/A 000000000 6000000.000000 NC USD 9033.000000 0.0068462 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 12/18/24-1Y LCH 2025-12-18 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2024-12-16 XXXX 1983.000000 N N N N/A N/A 000000000 10900000.000000 NC USD 16965.850000 0.0128585 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 N/A RFR USD SOFR/5.50000 01/23/25-1Y LCH 2026-01-23 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-01-21 XXXX 4975.850000 N N N N/A N/A 000000000 -700000.000000 NC USD -7614.250000 -0.0057709 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.12250 10/06/23-7Y LCH 2030-10-06 0.000000 USD 0.000000 USD N/A USD N/A 4.120000 USD 2023-10-04 XXXX -4429.250000 N N N N/A N/A 000000000 4600000.000000 NC USD 53115.280000 0.0402563 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 01/30/25-10Y LCH 2035-01-30 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-01-28 XXXX 26435.280000 N N N N/A N/A 000000000 -1000000.000000 NC USD -9892.500000 -0.0074976 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.14500 10/10/23-7Y LCH 2030-10-10 0.000000 USD 0.000000 USD N/A USD N/A 4.140000 USD 2023-10-05 XXXX -5892.500000 N N N N/A N/A 000000000 -2000000.000000 NC USD -20786.400000 -0.0157541 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.13500 10/10/23-7Y LCH 2030-10-10 0.000000 USD 0.000000 USD N/A USD N/A 4.130000 USD 2023-10-05 XXXX -12436.400000 N N N N/A N/A 000000000 -2100000.000000 NC USD -23708.790000 -0.0179690 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11750 10/10/23-7Y LCH 2030-10-10 0.000000 USD 0.000000 USD N/A USD N/A 4.120000 USD 2023-10-05 XXXX -11738.790000 N N N N/A N/A 000000000 -2600000.000000 NC USD -24442.860000 -0.0185254 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.15500 10/10/23-7Y LCH 2030-10-10 0.000000 USD 0.000000 USD N/A USD N/A 4.160000 USD 2023-10-05 XXXX -11377.860000 N N N N/A N/A 000000000 -300000.000000 NC USD -936.510000 -0.0007098 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.32000 10/10/23-7Y LCH 2030-10-10 0.000000 USD 0.000000 USD N/A USD N/A 4.320000 USD 2023-10-05 XXXX -29.010000 N N N N/A N/A 000000000 11300000.000000 NC USD 13939.680000 0.0105650 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 02/23/24-1Y LCH 2025-02-23 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2024-02-21 XXXX 5084.680000 N N N N/A N/A 000000000 4200000.000000 NC USD 33551.700000 0.0254290 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.18500 10/10/23-7Y LCH 2030-10-10 0.000000 USD 0.000000 USD N/A USD N/A 4.180000 USD 2023-10-05 XXXX 12971.700000 N N N N/A N/A 000000000 2600000.000000 NC USD 3542.240000 0.0026847 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 05/09/24-1Y LCH 2025-05-09 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2024-05-07 XXXX 1462.240000 N N N N/A N/A 000000000 -2500000.000000 NC USD -47948.500000 -0.0363404 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.01200 11/08/23-7Y LCH 2030-11-08 0.000000 USD 0.000000 USD N/A USD N/A 4.010000 USD 2023-11-06 XXXX -30298.500000 N N N N/A N/A 000000000 4500000.000000 NC USD 10081.350000 0.0076407 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.25000 02/23/24-1Y LCH 2025-02-23 0.000000 USD 0.000000 USD N/A USD N/A 5.250000 USD 2024-02-21 XXXX 5525.100000 N N N N/A N/A 000000000 5000000.000000 NC USD 6799.000000 0.0051530 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 05/14/24-1Y LCH 2025-05-14 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2024-05-10 XXXX 3549.000000 N N N N/A N/A 000000000 -3000000.000000 NC USD -36888.900000 -0.0279583 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.18000 11/08/23-7Y LCH 2030-11-08 0.000000 USD 0.000000 USD N/A USD N/A 4.180000 USD 2023-11-06 XXXX -16788.900000 N N N N/A N/A 000000000 -1000000.000000 NC USD -11869.800000 -0.0089962 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.19200 11/08/23-7Y LCH 2030-11-08 0.000000 USD 0.000000 USD N/A USD N/A 4.190000 USD 2023-11-06 XXXX -5219.800000 N N N N/A N/A 000000000 400000.000000 NC USD 9757.440000 0.0073952 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.20000 08/21/24-7Y LCH 2031-08-21 0.000000 USD 0.000000 USD N/A USD N/A 4.200000 USD 2024-08-19 XXXX 1602.440000 N N N N/A N/A 000000000 400000.000000 NC USD 5155.200000 0.0039072 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 08/21/24-7Y LCH 2031-08-21 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-08-19 XXXX -2999.800000 N N N N/A N/A 000000000 -2800000.000000 NC USD -20002.920000 -0.0151603 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 N/A RFR USD SOFR/4.35000 11/08/23-7Y LCH 2030-11-08 0.000000 USD 0.000000 USD N/A USD N/A 4.350000 USD 2023-11-06 XXXX 1557.080000 N N N N/A N/A 000000000 4300000.000000 NC USD 8868.750000 0.0067217 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.25000 08/21/24-1Y LCH 2025-08-21 0.000000 USD 0.000000 USD N/A USD N/A 5.250000 USD 2024-08-19 XXXX 215.000000 N N N N/A N/A 000000000 400000.000000 NC USD 4303.440000 0.0032616 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.36500 08/21/24-7Y LCH 2031-08-21 0.000000 USD 0.000000 USD N/A USD N/A 3.370000 USD 2024-08-19 XXXX -3095.560000 N N N N/A N/A 000000000 400000.000000 NC USD 9102.720000 0.0068990 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.26500 08/21/24-7Y LCH 2031-08-21 0.000000 USD 0.000000 USD N/A USD N/A 4.260000 USD 2024-08-19 XXXX 1703.720000 N N N N/A N/A 000000000 5000000.000000 NC USD 10705.500000 0.0081138 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.25000 03/05/25-1Y LCH 2026-03-05 0.000000 USD 0.000000 USD N/A USD N/A 5.250000 USD 2025-03-03 XXXX 2705.500000 N N N N/A N/A 000000000 -1500000.000000 NC USD -7945.950000 -0.0060223 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.43375 11/08/23-7Y LCH 2030-11-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2023-11-06 XXXX -2620.950000 N N N N/A N/A 000000000 2000000.000000 NC USD 4125.000000 0.0031264 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.30000 03/17/25-1Y LCH 2026-03-17 0.000000 USD 0.000000 USD N/A USD N/A 5.300000 USD 2025-03-13 XXXX 525.000000 N N N N/A N/A 000000000 13000000.000000 NC USD 16727.100000 0.0126776 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 03/20/24-1Y LCH 2025-03-20 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2024-03-18 XXXX 3077.100000 N N N N/A N/A 000000000 -13000000.000000 NC USD -8762.000000 -0.0066408 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.75000 03/20/24-1Y LCH 2025-03-20 0.000000 USD 0.000000 USD N/A USD N/A 5.750000 USD 2024-03-18 XXXX -2424.500000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAA4 1000000.000000 PA USD 988683.900000 0.7493286 Long ABS-MBS CORP US N 2 2034-03-15 Floating 6.58001 N N N N N N N/A N/A 000000000 5000000.000000 NC USD 307460.500000 0.2330259 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 02/07/24-10Y LCH 2034-02-07 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-02-05 XXXX 273960.500000 N N N N/A N/A 000000000 5000000.000000 NC USD 307807.000000 0.2332885 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 02/09/24-10Y LCH 2034-02-09 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-02-07 XXXX 272057.000000 N N N N/A N/A 000000000 4100000.000000 NC USD 252432.900000 0.1913202 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 N/A RFR USD SOFR/3.50000 02/13/24-10Y LCH 2034-02-13 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2024-02-09 XXXX 222707.900000 N N N BANC OF AMERICA FUNDING CORP 2005-E N/A 05946XXH1 21360.980000 PA USD 18304.890000 0.0138734 Long ABS-MBS CORP US N 2 2035-05-20 Floating 6.01932 Y N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 108038.420000 PA USD 98546.550000 0.0746889 Long ABS-MBS CORP US N 2 2047-01-20 Floating 4.43554 Y N N N N N N/A N/A 000000000 1.000000 NC USD 295993.680000 0.2243351 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-12-20 147935.320000 USD 0.000000 USD 2400000.000000 USD 148058.360000 N N N N/A N/A 000000000 1.000000 NC USD 571051.610000 0.4328029 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-12-20 0.000000 USD -102915.030000 USD 9700000.000000 USD 673966.640000 N N N N/A N/A 000000000 1.000000 NC USD 498092.000000 0.3775065 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 0.000000 USD -58899.000000 USD 11200000.000000 USD 556991.000000 N N N N/A N/A 000000000 1.000000 NC USD -32948.680000 -0.0249720 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-07-10 0.000000 USD -2922.500000 USD 700000.000000 USD -30026.180000 N N N N/A N/A 000000000 1.000000 NC USD -12862.170000 -0.0097483 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-07-10 0.000000 USD -1120.000000 USD 350000.000000 USD -11742.170000 N N N N/A N/A 000000000 1.000000 NC USD 6006.850000 0.0045526 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-21 919.670000 USD 0.000000 USD 225000.000000 USD 5087.180000 N N N N/A N/A 000000000 1.000000 NC USD 159896.750000 0.1211866 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-20 0.000000 USD -98494.000000 USD 6500000.000000 USD 258390.750000 N N N N/A N/A 000000000 1.000000 NC USD 470926.000000 0.3569172 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-12-20 0.000000 USD -375466.000000 USD 32800000.000000 USD 846392.000000 N N N N/A N/A 000000000 1.000000 NC USD 756647.220000 0.5734668 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-06-16 51805.100000 USD 0.000000 USD 19000000.000000 USD 704842.120000 N N N N/A N/A 000000000 1.000000 NC USD 803498.590000 0.6089757 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-04-05 6135.910000 USD 0.000000 USD 11600000.000000 USD 797362.680000 N N N N/A N/A 000000000 1.000000 NC USD 1083474.930000 0.8211712 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-05-04 8181.970000 USD 0.000000 USD 16300000.000000 USD 1075292.960000 N N N BANCO LA HIPOTECARIA SA 2016-1A N/A 50346VAA7 460645.610000 PA USD 412045.870000 0.3122917 Long ABS-MBS CORP PA N 3 2046-01-15 Fixed 3.3575 N N N N N N N/A N/A 000000000 -500000.000000 NC USD -35.800000 -0.0000271 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% OCT 30YR N/A 92.490000 USD 2023-10-05 XXXX 2054.040000 N N N N/A N/A 000000000 -1000000.000000 NC USD -15236.900000 -0.0115481 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% OCT 30YR N/A 90.500000 USD 2023-10-05 XXXX -11018.150000 N N N N/A N/A 000000000 3000000.000000 NC USD 36992.400000 0.0280367 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% NOV 30YR N/A 97.550000 USD 2023-11-06 XXXX 19531.460000 N N N N/A N/A 000000000 -5000000.000000 NC USD -12.500000 -0.0000095 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% OCT 30YR N/A 98.220000 USD 2023-10-05 XXXX 24401.560000 N N N N/A N/A 000000000 -1000000.000000 NC USD -18115.100000 -0.0137295 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 4.0% OCT 30YR N/A 90.830000 USD 2023-10-05 XXXX -12724.470000 N N N N/A N/A 000000000 -1000000.000000 NC USD -6186.200000 -0.0046886 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% NOV 30YR N/A 90.890000 USD 2023-11-06 XXXX 727.860000 N N N N/A N/A 000000000 1000000.000000 NC USD 10057.500000 0.0076226 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% OCT 30YR N/A 97.660000 USD 2023-10-05 XXXX 6698.120000 N N N N/A N/A 000000000 3100000.000000 NC USD 23751.890000 0.0180017 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% OCT 30YR N/A 97.370000 USD 2023-10-05 XXXX 11521.420000 N N N N/A N/A 000000000 -5000000.000000 NC USD -49794.000000 -0.0377391 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% OCT 30YR N/A 95.220000 USD 2023-10-05 XXXX -18934.620000 N N N N/A N/A 000000000 -1000000.000000 NC USD -6142.200000 -0.0046552 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% NOV 30YR N/A 90.910000 USD 2023-11-06 XXXX 264.050000 N N N N/A N/A 000000000 3000000.000000 NC USD 21981.900000 0.0166602 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% OCT 30YR N/A 97.330000 USD 2023-10-05 XXXX 13778.770000 N N N N/A N/A 000000000 1000000.000000 NC USD 6854.900000 0.0051954 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% OCT 30YR N/A 97.270000 USD 2023-10-05 XXXX 4198.650000 N N N N/A N/A 000000000 500000.000000 NC USD 457.700000 0.0003469 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.5% OCT 30YR N/A 100.000000 USD 2023-10-05 XXXX -518.860000 N N N N/A N/A 000000000 3000000.000000 NC USD 13884.900000 0.0105234 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% NOV 30YR N/A 95.950000 USD 2023-11-06 XXXX -8380.730000 N N N N/A N/A 000000000 -5000000.000000 NC USD -49794.000000 -0.0377391 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% OCT 30YR N/A 95.220000 USD 2023-10-05 XXXX -18934.620000 N N N N/A N/A 000000000 3000000.000000 NC USD 29178.900000 0.0221148 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% OCT 30YR N/A 95.190000 USD 2023-10-05 XXXX 16053.900000 N N N N/A N/A 000000000 1500000.000000 NC USD 10282.350000 0.0077930 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% OCT 30YR N/A 97.270000 USD 2023-10-05 XXXX 6297.970000 N N N N/A N/A 000000000 3000000.000000 NC USD 36208.200000 0.0274424 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% NOV 30YR N/A 94.630000 USD 2023-11-06 XXXX 17458.200000 N N N N/A N/A 000000000 -500000.000000 NC USD -38.950000 -0.0000295 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% OCT 30YR N/A 92.440000 USD 2023-10-05 XXXX 2148.550000 N N N N/A N/A 000000000 1500000.000000 NC USD 6942.450000 0.0052617 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% NOV 30YR N/A 95.950000 USD 2023-11-06 XXXX 1083.070000 N N N N/A N/A 000000000 -5000000.000000 NC USD -58306.500000 -0.0441908 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% OCT 30YR N/A 95.440000 USD 2023-10-05 XXXX -29790.870000 N N N N/A N/A 000000000 1000000.000000 NC USD 11921.900000 0.0090357 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% NOV 30YR N/A 94.590000 USD 2023-11-06 XXXX 5671.900000 N N N N/A N/A 000000000 268.000000 NC USD -509161.680000 -0.3858962 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-12-19 28950281.380000 USD -509161.680000 N N N N/A N/A 000000000 24.000000 NC USD -75221.570000 -0.0570108 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-12-19 2677312.510000 USD -75221.570000 N N N N/A N/A 000000000 50.000000 NC USD -48306.100000 -0.0366114 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2023-12-29 5266210.950000 USD -48306.100000 N N N N/A N/A 000000000 -8.000000 NC USD 49924.940000 0.0378384 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2023-12-19 -951625.000000 USD 49924.940000 N N N BANK OF AMERICA MTG SEC 2002-G N/A 06050HKR8 810.540000 PA USD 743.530000 0.0005635 Long ABS-MBS CORP US N 3 2032-07-20 Floating 5.74998 N N N N N N CENTEX HOME EQUITY 2002-A N/A 152314EQ9 6503.020000 PA USD 6144.410000 0.0046569 Long ABS-MBS CORP US N 3 2032-01-25 Floating 5.7342 N N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-1A N/A 16678RAS6 4786.620000 PA USD 4468.010000 0.0033863 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.7142 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT N/A 29429MAA1 1000000.000000 PA USD 998129.700000 0.7564876 Long ABS-MBS CORP US N 2 2036-01-10 Fixed 4.149 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3 N/A 17329VBA6 1866483.140000 PA USD 1417743.260000 1.0745148 Long ABS-MBS CORP US N 2 2051-05-25 Variable 2.5 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 568269.490000 PA USD 318611.600000 0.2414774 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.7542 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-12 N/A 17307GY69 121554.520000 PA USD 116750.450000 0.0884858 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.2342 N N N N N N COMM 2021-2400 MORTGAGE TRUST N/A 20048FAA6 1750000.000000 PA USD 1639860.430000 1.2428586 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.74748 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA16 N/A 23242GAF1 39137.930000 PA USD 27699.190000 0.0209934 Long ABS-MBS CORP US N 3 2046-10-25 Floating 5.9342 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA16 N/A 23242GAZ7 298144.880000 PA USD 212554.970000 0.1610965 Long ABS-MBS CORP US N 2 2046-10-25 Floating 6.1142 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-14 N/A 12667GCB7 181864.170000 PA USD 161931.220000 0.1227285 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.8542 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAC0 283881.830000 PA USD 202391.280000 0.1533934 Long ABS-MBS CORP US N 2 2046-09-20 Floating 5.71932 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAC5 411525.430000 PA USD 298979.030000 0.2265977 Long ABS-MBS CORP US N 2 2046-09-25 Floating 5.9342 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAD8 36258.770000 PA USD 28730.630000 0.0217751 Long ABS-MBS CORP US N 2 2046-07-20 Floating 5.63932 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAA9 93495.200000 PA USD 88033.400000 0.0667210 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.5742 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 87717.380000 PA USD 82215.030000 0.0623112 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.9342 N N N N N N COUNTRYWIDE HOME LOANS 2001-HYB1 N/A 12669B2X9 18047.960000 PA USD 16781.170000 0.0127185 Long ABS-MBS CORP US N 3 2031-06-19 Floating 4.00963 N N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FY31 50726.650000 PA USD 41548.130000 0.0314895 Long ABS-MBS CORP US N 3 2034-09-25 Floating 6.3542 N N N N N N COUNTRYWIDE HOME LOANS 2005-11 N/A 12669GUM1 229260.020000 PA USD 170356.200000 0.1291138 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.6067 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTV3 48710.240000 PA USD 42931.080000 0.0325377 Long ABS-MBS CORP US N 3 2035-04-25 Floating 6.0142 N N N N N N COUNTRYWIDE HOME LOANS 2006-3 N/A 126694YN2 1320.950000 PA USD 249.570000 0.0001892 Long ABS-MBS CORP US N 3 2036-03-25 Floating 6.1142 Y N N N N N COUNTRYWIDE HOME LOANS 2006-3 N/A 126694YR3 1298.500000 PA USD 492.230000 0.0003731 Long ABS-MBS CORP US N 3 2036-02-25 Floating 6.1342 Y N N N N N CSMC 2021-INV1 TRUST N/A 12661XAC6 162171.620000 PA USD 123182.320000 0.0933605 Long ABS-MBS CORP US N 2 2056-07-25 Variable 2.5 N N N N N N EMCM MORTGAGE LOAN TRUST 2003-A N/A 268668BU3 27114.140000 PA USD 25356.390000 0.0192177 Long ABS-MBS CORP US N 3 2040-08-25 Floating 6.9342 N N N N N N FANNIE MAE 1998-22 N/A 31359RY63 153.850000 PA USD 153.480000 0.0001163 Long ABS-MBS USGSE US N 2 2028-04-18 Floating 5.82776 N N N N N N FANNIE MAE 2001-81 N/A 31392BQR0 13532.240000 PA USD 13646.530000 0.0103428 Long ABS-MBS USGSE US N 2 2032-01-25 Fixed 6.5 N N N N N N FANNIE MAE 2002-25 N/A 31392C6T6 26563.400000 PA USD 26707.370000 0.0202417 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 6.42943 N N N N N N FANNIE MAE 2002-9 N/A 31392BD52 49180.320000 PA USD 48892.780000 0.0370561 Long ABS-MBS USGSE US N 2 2032-03-25 Floating 5.92943 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 30939.990000 PA USD 30868.100000 0.0233951 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 5.52206 N N N N N N FANNIE MAE 2004-53 N/A 31394AAX4 221729.060000 PA USD 234494.980000 0.1777249 Long ABS-MBS USGSE US N 2 2034-07-25 Fixed 8 N N N N N N FANNIE MAE 2004-63 N/A 31394ANT9 1454.010000 PA USD 1416.560000 0.0010736 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 5.55206 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 354962.400000 PA USD 344699.940000 0.2612498 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 5.46206 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 30633.860000 PA USD 31056.210000 0.0235377 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 4.77977 N N N N N N FANNIE MAE 2007-33 N/A 31396VGE2 281181.680000 PA USD 281194.080000 0.2131184 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 6.08943 N N N N N N FANNIE MAE 2020-54 N/A 3136BBGN6 160524.610000 PA USD 152250.450000 0.1153914 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 3.1683 N N N N N N FANNIE MAE INTEREST STRIP 386 N/A 3136FFSR1 12982.180000 PA USD 3774.440000 0.0028607 Long ABS-MBS USGSE US N 2 2038-04-25 Fixed 6.5 N N N N N N FANNIE MAE INTEREST STRIP FNS 426 N/A 31422MZM1 773137.180000 PA USD 101911.970000 0.0772396 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 2 N N N N N N FANNIE MAE REMICS 2005-102 N/A 31394UHW5 433877.050000 PA USD 24893.390000 0.0188668 Long ABS-MBS USGSE US N 2 2035-11-25 Floating 1.15557 N N N N N N FANNIE MAE REMICS 2006-63 N/A 31395NQL4 197254.000000 PA USD 194492.620000 0.1474069 Long ABS-MBS USGSE US N 2 2036-07-25 Floating 5.87943 N N N N N N FANNIE MAE REMICS 2009-88 N/A 31398F3H2 46709.830000 PA USD 38354.270000 0.0290689 Long ABS-MBS USGSE US N 2 2039-11-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2011-18 N/A 31397QF94 119859.660000 PA USD 111059.770000 0.0841728 Long ABS-MBS USGSE US N 2 2041-03-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-3 N/A 3136A3S69 104983.820000 PA USD 97103.000000 0.0735949 Long ABS-MBS USGSE US N 2 2042-02-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-77 N/A 3136A6H98 57882.340000 PA USD 2361.940000 0.0017901 Long ABS-MBS USGSE US N 2 2052-07-25 Floating 0.000001 N N N N N N FANNIE MAE REMICS 2013-47 N/A 3136AEBH9 101377.900000 PA USD 81454.190000 0.0617345 Long ABS-MBS USGSE US N 2 2043-04-25 Floating 0 N N N N N N FANNIE MAE REMICS 2013-5 N/A 3136ABJ46 575869.720000 PA USD 467648.370000 0.3544331 Long ABS-MBS USGSE US N 2 2042-08-25 Fixed 2 N N N N N N FANNIE MAE REMICS 2013-54 N/A 3136AEUE5 248780.980000 PA USD 172336.030000 0.1306144 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 0 N N N N N N FANNIE MAE REMICS 2013-86 N/A 3136AF2E3 591200.000000 PA USD 527356.900000 0.3996865 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2014-11 N/A 3136AJGR1 416000.000000 PA USD 371176.750000 0.2813168 Long ABS-MBS USGSE US N 2 2044-03-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2014-42 N/A 3136AKPR8 61065.450000 PA USD 2222.720000 0.0016846 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 0 N N N N N N FANNIE MAE REMICS 2014-43 N/A 3136AKKU6 50901.620000 PA USD 2371.940000 0.0017977 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 0 N N N N N N FANNIE MAE REMICS 2014-45 N/A 3136AKUC5 36148.470000 PA USD 1486.300000 0.0011265 Long ABS-MBS USGSE US N 2 2044-08-25 Floating 0 N N N N N N FANNIE MAE REMICS 2014-45 N/A 3136AKTW3 1436000.000000 PA USD 1255590.010000 0.9516181 Long ABS-MBS USGSE US N 2 2044-08-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2014-47 N/A 3136AKTL7 79677.040000 PA USD 3341.070000 0.0025322 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 0 N N N N N N FANNIE MAE REMICS 2014-79 N/A 3136ALF48 233266.550000 PA USD 14080.740000 0.0106719 Long ABS-MBS USGSE US N 2 2044-06-25 Floating 0.17057 N N N N N N FANNIE MAE REMICS 2014-84 N/A 3136AL2X8 128806.400000 PA USD 859.670000 0.0006515 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 3136AMEE5 41599.140000 PA USD 2251.300000 0.0017063 Long ABS-MBS USGSE US N 2 2045-01-25 Floating 0.000001 N N N N N N FANNIE MAE REMICS 2015-1 N/A 3136AMLP2 328291.320000 PA USD 203227.260000 0.1540270 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 0 N N N N N N FANNIE MAE REMICS 2015-10 N/A 3136AMZT9 114238.180000 PA USD 5706.430000 0.0043249 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 0 N N N N N N FANNIE MAE REMICS 2015-19 N/A 3136ANJM0 94987.050000 PA USD 4044.200000 0.0030651 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 0 N N N N N N FANNIE MAE REMICS 2015-50 N/A 3136APNG3 199410.500000 PA USD 10287.030000 0.0077966 Long ABS-MBS USGSE US N 2 2045-07-25 Floating 0 N N N N N N FANNIE MAE REMICS 2015-58 N/A 3136APU75 55612.820000 PA USD 1901.930000 0.0014415 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 0 N N N N N N FANNIE MAE REMICS 2015-64 N/A 3136AP3C4 47533.400000 PA USD 2180.700000 0.0016528 Long ABS-MBS USGSE US N 2 2045-09-25 Floating 0.000001 N N N N N N FANNIE MAE REMICS 2015-64 N/A 3136AP5V0 547175.850000 PA USD 350169.070000 0.2653949 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2015-73 N/A 3136AP7M8 73406.620000 PA USD 37009.490000 0.0280497 Long ABS-MBS USGSE US N 2 2045-10-25 Floating 0 N N N N N N FANNIE MAE REMICS 2015-81 N/A 3136AQPQ7 308660.040000 PA USD 212502.310000 0.1610566 Long ABS-MBS USGSE US N 2 2045-11-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2015-81 N/A 3136AQPM6 95077.440000 PA USD 66954.370000 0.0507451 Long ABS-MBS USGSE US N 2 2045-07-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-52 N/A 3136AS6D3 112746.560000 PA USD 13645.070000 0.0103417 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-63 N/A 3136ATXU3 40302.530000 PA USD 3123.290000 0.0023672 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-76 N/A 3136ATY81 16366.200000 PA USD 728.840000 0.0005524 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 0 N N N N N N FANNIE MAE REMICS 2018-37 N/A 3136B17E8 15097.830000 PA USD 13730.720000 0.0104066 Long ABS-MBS USGSE US N 2 2047-12-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2018-85 N/A 3136B3QC7 369851.620000 PA USD 359267.100000 0.2722904 Long ABS-MBS USGSE US N 2 2048-12-25 Floating 5.72943 N N N N N N FANNIE MAE REMICS 2019-10 N/A 3136B3M72 254635.090000 PA USD 247233.820000 0.1873798 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 5.82943 N N N N N N FANNIE MAE REMICS 2019-62 N/A 3136B6Z48 1060835.290000 PA USD 1026378.190000 0.7778973 Long ABS-MBS USGSE US N 2 2059-11-25 Floating 5.92943 N N N N N N FANNIE MAE REMICS 2019-62 N/A 3136B62S1 75916.260000 PA USD 7925.480000 0.0060068 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 0.57057 N N N N N N FANNIE MAE REMICS 2021-3 N/A 3136BDR42 606153.650000 PA USD 104470.820000 0.0791790 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N FANNIE MAE WHOLE LOAN 2002 W11 N/A 31392EW63 12827.260000 PA USD 12629.630000 0.0095721 Long ABS-O USGSE US N 2 2032-11-25 Floating 5.59943 N N N N N N FANNIE MAE-1993-183 N/A 31359EHA2 13.080000 PA USD 13.030000 0.0000099 Long ABS-MBS USGSE US N 2 2023-10-25 Fixed 6.5 N N N N N N FANNIE MAE-1994-15 N/A 31359GQB5 1219.580000 PA USD 1219.740000 0.0009244 Long ABS-MBS USGSE US N 2 2024-02-25 Floating 6.07943 N N N N N N FANNIE MAE-ACES 2016-M11 N/A 3136AT5G5 131520.410000 PA USD 113596.060000 0.0860950 Long ABS-MBS USGSE US N 2 2039-07-25 Fixed 2.944 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 1714513.660000 PA USD 140662.640000 0.1066089 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.34852 N N N N N N FANNIEMAE WHOLE LOAN 2003-W9 N/A 31393B6U4 9126.790000 PA USD 8660.770000 0.0065640 Long ABS-O USGSE US N 2 2033-06-25 Floating 5.54943 N N N N N N FANNIEMAIE WHOLE LOAN 2002-W2 N/A 31392CEQ3 38570.400000 PA USD 37734.490000 0.0285992 Long ABS-O USGSE US N 2 2032-06-25 Floating 5.55943 N N N N N N FHLMC PASS THRU POOLS N/A 3128JMSW8 55297.370000 PA USD 54329.470000 0.0411766 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 5.52 N N N N N N FHLMC PASS THRU POOLS N/A 3128JM4F1 4575.210000 PA USD 4516.050000 0.0034227 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 3.998 N N N N N N FHLMC PASS THRU POOLS N/A 3128JM5H6 4166.890000 PA USD 4117.100000 0.0031204 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.591 N N N N N N FHLMC PASS THRU POOLS N/A 3128JNAM7 1396.230000 PA USD 1369.810000 0.0010382 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.462 N N N N N N FHLMC PASS THRU POOLS N/A 3128QPNH1 5765.080000 PA USD 5830.830000 0.0044192 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 5.312 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCDG6 1208.950000 PA USD 1192.140000 0.0009035 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 3.991 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2DA8 9433.650000 PA USD 9609.620000 0.0072832 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 4.996 N N N N N N FHLMC PASS THRU POOLS N/A 3128S4FZ5 62724.090000 PA USD 63899.910000 0.0484301 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 5.083 N N N N N N FHLMC PASS THRU POOLS N/A 31349TD40 92258.650000 PA USD 93979.710000 0.0712277 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.863 N N N N N N FHLMC PASS THRU POOLS N/A 31349ULH9 1186.930000 PA USD 1201.340000 0.0009105 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.498 N N N N N N FHLMC PASS THRU POOLS N/A 31349UNM6 6234.470000 PA USD 6294.250000 0.0047704 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 5.115 N N N N N N FHLMC PASS THRU POOLS N/A 31349UNV6 12648.290000 PA USD 12800.320000 0.0097014 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 5.096 N N N N N N FHLMC PASS THRU POOLS N/A 31295MZJ2 5104.960000 PA USD 4997.870000 0.0037879 Long ABS-MBS USGSE US N 2 2031-11-01 Floating 4.912 N N N N N N FHLMC PASS THRU POOLS N/A 31300LYH2 194029.780000 PA USD 196027.860000 0.1485705 Long ABS-MBS USGSE US N 2 2039-10-01 Floating 4.618 N N N N N N FHLMC PASS THRU POOLS N/A 31348UCE7 62.720000 PA USD 61.860000 0.0000469 Long ABS-MBS USGSE US N 2 2025-08-01 Floating 3.007 N N N N N N FHLMC PASS THRU POOLS N/A 31336CKR3 5838.420000 PA USD 5742.160000 0.0043520 Long ABS-MBS USGSE US N 2 2032-05-01 Floating 5.548 N N N N N N FHLMC PASS THRU POOLS N/A 31336CLR2 2499.530000 PA USD 2503.150000 0.0018972 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 4.35 N N N N N N FHLMC PASS THRU POOLS N/A 31297QGM5 18747.360000 PA USD 18197.120000 0.0137917 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 31297SBN4 13319.350000 PA USD 13005.460000 0.0098569 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31297UYW4 45372.380000 PA USD 44024.380000 0.0333663 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KC2C0 1789.550000 PA USD 1823.160000 0.0013818 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KF4X5 2564.070000 PA USD 2563.790000 0.0019431 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KT4S6 6877.530000 PA USD 6682.430000 0.0050646 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 3128KU4Z7 40544.670000 PA USD 41144.860000 0.0311839 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KWBR3 815.490000 PA USD 830.080000 0.0006291 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KWDX8 3638.230000 PA USD 3692.510000 0.0027986 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L2BN7 31794.230000 PA USD 30899.040000 0.0234185 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128L8NM3 54952.940000 PA USD 53313.150000 0.0404063 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LDHK3 6672.070000 PA USD 6547.840000 0.0049626 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LD2Z6 24513.120000 PA USD 23624.830000 0.0179054 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LECB6 1020.000000 PA USD 990.170000 0.0007505 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 312927EU6 16503.230000 PA USD 16568.250000 0.0125572 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312928N83 30939.580000 PA USD 30659.100000 0.0232367 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312932CF1 104323.290000 PA USD 98751.560000 0.0748443 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3129325Q5 11512.970000 PA USD 11288.820000 0.0085559 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3129344N9 10895.630000 PA USD 10951.580000 0.0083003 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312938NJ8 18225.870000 PA USD 17729.730000 0.0134375 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3129393G4 6308.450000 PA USD 6181.700000 0.0046851 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 312940AM1 13755.340000 PA USD 13449.150000 0.0101932 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 312941NS2 7147.110000 PA USD 6980.140000 0.0052903 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 312944DD0 53444.210000 PA USD 51591.060000 0.0391011 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 312944DE8 60032.250000 PA USD 57550.890000 0.0436181 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31292HYT5 652.900000 PA USD 641.030000 0.0004858 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31292LDN2 3974.250000 PA USD 3881.670000 0.0029419 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 31292L5D3 39936.860000 PA USD 34217.320000 0.0259335 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31335H4K6 3019.530000 PA USD 2993.960000 0.0022691 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7GZ0 6987.740000 PA USD 6913.400000 0.0052397 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXAT7 66825.830000 PA USD 65611.140000 0.0497270 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXAV2 212619.000000 PA USD 212175.190000 0.1608087 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXFG0 327.410000 PA USD 317.590000 0.0002407 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXMR8 7406.070000 PA USD 7544.550000 0.0057181 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4J20 1558.960000 PA USD 1588.160000 0.0012037 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4NG4 241.920000 PA USD 242.130000 0.0001835 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4S46 229.410000 PA USD 229.610000 0.0001740 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4UX9 21754.480000 PA USD 22161.260000 0.0167961 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M43N1 3864.150000 PA USD 3852.150000 0.0029196 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M46D0 42104.750000 PA USD 42895.760000 0.0325109 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5C57 340.310000 PA USD 346.620000 0.0002627 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5DD9 19904.700000 PA USD 19368.830000 0.0146797 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 3128M5ED8 1135.390000 PA USD 1136.390000 0.0008613 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5H45 883.060000 PA USD 899.200000 0.0006815 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5NP1 3332.530000 PA USD 3394.290000 0.0025725 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5RA0 24266.550000 PA USD 24688.440000 0.0187115 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5VC1 112781.250000 PA USD 114724.540000 0.0869503 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5W55 299.670000 PA USD 291.790000 0.0002211 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5ZQ6 26900.300000 PA USD 27385.140000 0.0207553 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M56F2 2374.950000 PA USD 2403.300000 0.0018215 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6KQ0 52368.480000 PA USD 52339.640000 0.0396685 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6NG9 20162.900000 PA USD 20115.650000 0.0152458 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6RM2 7758.460000 PA USD 7734.320000 0.0058619 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7AX4 108996.590000 PA USD 108891.990000 0.0825298 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7A97 70009.900000 PA USD 68649.660000 0.0520299 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M8CC6 276499.270000 PA USD 271126.700000 0.2054883 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M86H2 91298.920000 PA USD 91379.710000 0.0692571 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M9A85 46577.560000 PA USD 47451.340000 0.0359636 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M9B76 30531.810000 PA USD 31105.200000 0.0235748 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M9KQ4 48126.930000 PA USD 45557.540000 0.0345283 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJBD1 64403.100000 PA USD 63231.020000 0.0479231 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJJT8 25738.520000 PA USD 25703.270000 0.0194806 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJLX6 36944.490000 PA USD 36225.160000 0.0274552 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJSP6 96798.800000 PA USD 82933.110000 0.0628554 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 57711.280000 PA USD 52614.920000 0.0398771 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ5M8 19088.510000 PA USD 16783.860000 0.0127206 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128CUQP4 14013.130000 PA USD 13867.260000 0.0105101 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31335BMB9 51604.500000 PA USD 46865.730000 0.0355198 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XCSK2 384653.080000 PA USD 370065.950000 0.2804749 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3132HPYF5 51375.420000 PA USD 44016.990000 0.0333607 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132M6EZ9 62602.650000 PA USD 58869.470000 0.0446175 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132M6E22 68812.040000 PA USD 64815.820000 0.0491242 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132QQNZ1 64514.670000 PA USD 54759.470000 0.0415025 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132XVLQ4 66630.720000 PA USD 58451.930000 0.0443010 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 109712.460000 PA USD 99633.000000 0.0755124 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XW4M0 7691.430000 PA USD 6990.460000 0.0052981 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 5017.830000 PA USD 4560.260000 0.0034562 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 11921.210000 PA USD 10834.770000 0.0082117 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133A2JY7 1744653.180000 PA USD 1461956.070000 1.1080240 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133A3BJ6 655563.060000 PA USD 573047.330000 0.4343155 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133B6UH1 90479.010000 PA USD 75100.970000 0.0569194 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133B7SY5 191111.380000 PA USD 164659.530000 0.1247963 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133B9M76 28006.730000 PA USD 22350.840000 0.0169398 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133B9ZH0 1026118.070000 PA USD 883515.900000 0.6696212 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133BSNZ1 475940.850000 PA USD 439090.350000 0.3327888 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133BULB1 748480.310000 PA USD 707752.590000 0.5364093 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133BWGC1 1007912.670000 PA USD 926234.980000 0.7019982 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133BXL25 409741.950000 PA USD 386784.960000 0.2931463 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C2ME5 814216.310000 PA USD 772380.470000 0.5853911 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C2NK0 107467.090000 PA USD 107039.660000 0.0811259 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133C5FY2 191137.840000 PA USD 181624.630000 0.1376542 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C5FZ9 790776.570000 PA USD 750537.860000 0.5688365 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C5S44 440505.990000 PA USD 418444.400000 0.3171411 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C8TD7 148946.850000 PA USD 140763.360000 0.1066853 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C9HP1 98363.590000 PA USD 92959.230000 0.0704543 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C9NH2 163490.050000 PA USD 154507.480000 0.1171020 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KHLP9 134389.290000 PA USD 118477.620000 0.0897948 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KKVH9 727563.510000 PA USD 579330.020000 0.4390772 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KMR31 429653.310000 PA USD 345004.080000 0.2614804 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KNX57 193509.970000 PA USD 154566.220000 0.1171465 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KNX65 197807.380000 PA USD 158183.490000 0.1198881 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KNYR8 68776.560000 PA USD 54935.380000 0.0416358 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYWX3 1020264.470000 PA USD 864433.190000 0.6551583 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYW39 174892.380000 PA USD 148034.820000 0.1121963 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXA2 60793.890000 PA USD 51407.640000 0.0389621 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXH7 2031.750000 PA USD 1718.050000 0.0013021 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYZG7 261771.020000 PA USD 243229.550000 0.1843449 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYZM4 686881.070000 PA USD 620689.820000 0.4704240 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133L8B53 723440.320000 PA USD 624142.970000 0.4730411 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A 3132D9BT0 546123.840000 PA USD 474027.350000 0.3592677 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DNBH5 128446.790000 PA USD 106615.720000 0.0808046 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DNBJ1 324256.350000 PA USD 269667.680000 0.2043825 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DQJ72 863368.590000 PA USD 743842.960000 0.5637624 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVK79 1872053.930000 PA USD 1573365.330000 1.1924616 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVLY9 3754371.710000 PA USD 3020601.050000 2.2893289 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128S3JM2 199597.660000 PA USD 160038.350000 0.1212939 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128S3JQ3 135857.770000 PA USD 113412.170000 0.0859557 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132H3DQ3 420637.520000 PA USD 384504.190000 0.2914177 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132H3EE9 412775.780000 PA USD 377516.190000 0.2861214 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132HBXZ3 82089.750000 PA USD 75035.260000 0.0568696 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XGMZ6 221351.000000 PA USD 186324.360000 0.1412162 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3.05 N N N N N N FHLMC PASS THRU POOLS N/A 3132XGUJ3 82367.000000 PA USD 77427.610000 0.0586828 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.4 N N N N N N FHLMC PASS THRU POOLS N/A 3132FCAD7 7272.240000 PA USD 7408.150000 0.0056147 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31329PBB8 316469.320000 PA USD 277222.880000 0.2101086 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31329QHD6 331560.730000 PA USD 299955.100000 0.2273375 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131XJCU4 435.870000 PA USD 387.160000 0.0002934 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y8WT8 120709.090000 PA USD 113482.170000 0.0860087 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132A4FG8 460.240000 PA USD 408.600000 0.0003097 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132A9UB1 454826.620000 PA USD 410902.650000 0.3114252 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132AC2W9 944421.410000 PA USD 855864.360000 0.6486640 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEB39 469153.820000 PA USD 438030.930000 0.3319859 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.5 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 75470.450000 PA USD 71424.060000 0.0541327 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.82567 N N N N N N FNMA PASS THRU POOLS N/A 31371NFL4 35051.330000 PA USD 36087.130000 0.0273506 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31371PA83 379.630000 PA USD 381.750000 0.0002893 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31380KLD0 1389.920000 PA USD 1373.850000 0.0010412 Long ABS-MBS USGSE US N 2 2028-10-01 Floating 4.26 N N N N N N FNMA PASS THRU POOLS N/A 31385XHR1 225.100000 PA USD 226.790000 0.0001719 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31391FFF0 10148.120000 PA USD 10137.790000 0.0076835 Long ABS-MBS USGSE US N 2 2027-08-01 Floating 6.97 N N N N N N FNMA PASS THRU POOLS N/A 31391KDP9 85102.270000 PA USD 83552.980000 0.0633252 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 5.755 N N N N N N FNMA PASS THRU POOLS N/A 31391VGP2 6698.160000 PA USD 6630.400000 0.0050252 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31400JFJ3 207.460000 PA USD 206.480000 0.0001565 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31400JMH9 8673.030000 PA USD 8738.490000 0.0066229 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 4.562 N N N N N N FNMA PASS THRU POOLS N/A 31400MAD4 20922.690000 PA USD 21039.770000 0.0159461 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31402Q5Q0 3129.330000 PA USD 3167.880000 0.0024010 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.212 N N N N N N FNMA PASS THRU POOLS N/A 31402RHT9 96051.470000 PA USD 93210.660000 0.0706448 Long ABS-MBS USGSE US N 2 2042-08-01 Floating 5.826 N N N N N N FNMA PASS THRU POOLS N/A 31402RHU6 106909.020000 PA USD 103541.440000 0.0784746 Long ABS-MBS USGSE US N 2 2042-08-01 Floating 5.826 N N N N N N FNMA PASS THRU POOLS N/A 31402RH69 10995.120000 PA USD 10481.090000 0.0079437 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 5.826 N N N N N N FNMA PASS THRU POOLS N/A 31402RRR2 210.890000 PA USD 214.560000 0.0001626 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402RS75 5154.730000 PA USD 5108.930000 0.0038721 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 4.725 N N N N N N FNMA PASS THRU POOLS N/A 31402RTT6 12305.830000 PA USD 12114.300000 0.0091815 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 5.017 N N N N N N FNMA PASS THRU POOLS N/A 31403CWV9 2300.980000 PA USD 2260.930000 0.0017136 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 5.393 N N N N N N FNMA PASS THRU POOLS N/A 31404NBP0 8646.250000 PA USD 8725.290000 0.0066129 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 3.969 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 75952.030000 PA USD 73473.720000 0.0556861 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 5.826 N N N N N N FNMA PASS THRU POOLS N/A 31405KNA5 20080.720000 PA USD 19886.540000 0.0150721 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31405NM28 29258.270000 PA USD 28676.940000 0.0217344 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31405UR92 2696.830000 PA USD 2650.890000 0.0020091 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.719 N N N N N N FNMA PASS THRU POOLS N/A 31405VEG8 459.680000 PA USD 447.660000 0.0003393 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.465 N N N N N N FNMA PASS THRU POOLS N/A 31405WP41 74.450000 PA USD 74.190000 0.0000562 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 7.5 N N N N N N FNMA PASS THRU POOLS N/A 31405WXA8 4181.110000 PA USD 4134.980000 0.0031339 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31405XYK3 21507.390000 PA USD 21194.050000 0.0160631 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.675 N N N N N N FNMA PASS THRU POOLS N/A 31406BJJ0 3062.330000 PA USD 3001.990000 0.0022752 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.795 N N N N N N FNMA PASS THRU POOLS N/A 31406GCG2 8441.280000 PA USD 8378.520000 0.0063501 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 3.646 N N N N N N FNMA PASS THRU POOLS N/A 31406GHE2 5722.340000 PA USD 5746.440000 0.0043553 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.037 N N N N N N FNMA PASS THRU POOLS N/A 31406GNJ4 5050.140000 PA USD 4986.480000 0.0037793 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 4.29 N N N N N N FNMA PASS THRU POOLS N/A 31406GYW3 3073.740000 PA USD 3001.280000 0.0022747 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 3.805 N N N N N N FNMA PASS THRU POOLS N/A 31406G5W5 3235.910000 PA USD 3175.770000 0.0024069 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 3.998 N N N N N N FNMA PASS THRU POOLS N/A 31406H3D7 26975.260000 PA USD 27338.250000 0.0207198 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.83 N N N N N N FNMA PASS THRU POOLS N/A 31406MER3 7119.200000 PA USD 7215.140000 0.0054684 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 7.02 N N N N N N FNMA PASS THRU POOLS N/A 31406NL93 12824.160000 PA USD 12604.760000 0.0095532 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.425 N N N N N N FNMA PASS THRU POOLS N/A 31406NYS7 13544.300000 PA USD 13706.260000 0.0103880 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 7.014 N N N N N N FNMA PASS THRU POOLS N/A 31406NYU2 5408.350000 PA USD 5480.290000 0.0041535 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.946 N N N N N N FNMA PASS THRU POOLS N/A 31406QGA9 3784.370000 PA USD 3834.480000 0.0029062 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 7.041 N N N N N N FNMA PASS THRU POOLS N/A 31406UMD7 13713.230000 PA USD 13738.570000 0.0104125 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 3.768 N N N N N N FNMA PASS THRU POOLS N/A 31407DUG8 29609.730000 PA USD 30180.330000 0.0228738 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 6.545 N N N N N N FNMA PASS THRU POOLS N/A 31407DUJ2 3180.700000 PA USD 3210.250000 0.0024331 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 6.475 N N N N N N FNMA PASS THRU POOLS N/A 31407HN85 14449.720000 PA USD 14700.880000 0.0111419 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407H3G9 259271.510000 PA USD 263780.450000 0.1999205 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407R2A1 10822.290000 PA USD 10676.390000 0.0080917 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 5.987 N N N N N N FNMA PASS THRU POOLS N/A 31407VHN8 17088.970000 PA USD 17501.110000 0.0132642 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.665 N N N N N N FNMA PASS THRU POOLS N/A 31407WSB0 1959.610000 PA USD 1912.930000 0.0014498 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.844 N N N N N N FNMA PASS THRU POOLS N/A 31407X3X7 10831.520000 PA USD 10516.300000 0.0079704 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.264 N N N N N N FNMA PASS THRU POOLS N/A 31408DB45 96444.800000 PA USD 94482.400000 0.0716087 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 3.175 N N N N N N FNMA PASS THRU POOLS N/A 31408DC85 3290.030000 PA USD 3235.510000 0.0024522 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.03 N N N N N N FNMA PASS THRU POOLS N/A 31408DC93 4057.320000 PA USD 3990.330000 0.0030243 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.03 N N N N N N FNMA PASS THRU POOLS N/A 31409VD34 42071.180000 PA USD 42802.880000 0.0324405 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410DXX3 13652.460000 PA USD 13720.750000 0.0103990 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410FVG7 18054.920000 PA USD 18358.410000 0.0139139 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 5.007 N N N N N N FNMA PASS THRU POOLS N/A 31410F6T7 12017.040000 PA USD 12198.810000 0.0092455 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.458 N N N N N N FNMA PASS THRU POOLS N/A 31410LFB3 159065.130000 PA USD 150358.390000 0.1139574 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31410MRD4 11109.740000 PA USD 11404.340000 0.0086434 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410QK75 3645.910000 PA USD 3669.780000 0.0027813 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31410SPR2 113.250000 PA USD 111.980000 0.0000849 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410TAD7 15689.410000 PA USD 16014.110000 0.0121372 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31412LG87 5941.990000 PA USD 5980.220000 0.0045324 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31412LUP3 25799.090000 PA USD 26229.770000 0.0198797 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31412PGX3 2378.710000 PA USD 2179.460000 0.0016518 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31412PQG9 267712.280000 PA USD 245288.160000 0.1859051 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31412P5L1 220785.870000 PA USD 208702.330000 0.1581766 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412SFA8 11750.790000 PA USD 11816.550000 0.0089558 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31413GCN8 23052.570000 PA USD 23298.910000 0.0176584 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31413HQS0 28686.370000 PA USD 29105.980000 0.0220596 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31413VSA6 32641.370000 PA USD 32857.150000 0.0249026 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31415AZH7 30634.730000 PA USD 30278.610000 0.0229483 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416J5B3 33270.140000 PA USD 33050.270000 0.0250490 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416K5H7 1037.210000 PA USD 1030.930000 0.0007813 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416NBZ4 127.010000 PA USD 126.280000 0.0000957 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416WHQ8 7945.150000 PA USD 7280.140000 0.0055177 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417AQB8 190284.930000 PA USD 174344.820000 0.1321368 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417C5E1 200792.870000 PA USD 183969.390000 0.1394313 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417GQT6 950.330000 PA USD 842.770000 0.0006387 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417HA95 115269.850000 PA USD 109214.690000 0.0827744 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31417HB86 614458.980000 PA USD 564104.160000 0.4275374 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417N2X8 106279.280000 PA USD 97775.680000 0.0741047 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418MRT1 184266.280000 PA USD 183835.140000 0.1393296 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MUL4 64343.830000 PA USD 60822.810000 0.0460979 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AYM3 375757.110000 PA USD 344289.410000 0.2609387 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419EZQ5 112929.340000 PA USD 103471.990000 0.0784219 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419LH55 46318.380000 PA USD 42438.590000 0.0321644 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ANCZ4 48171.620000 PA USD 43850.220000 0.0332343 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ASW32 675562.150000 PA USD 618191.180000 0.4685302 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138E4Y47 26019.580000 PA USD 25729.220000 0.0195003 Long ABS-MBS USGSE US N 2 2042-02-01 Floating 4.275 N N N N N N FNMA PASS THRU POOLS N/A 3138E6VD5 119485.400000 PA USD 109476.590000 0.0829729 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EBWT8 264089.350000 PA USD 243239.770000 0.1843527 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EJJD1 70822.320000 PA USD 65020.810000 0.0492796 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EKDV4 26445.390000 PA USD 26557.970000 0.0201284 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 4.83 N N N N N N FNMA PASS THRU POOLS N/A 3138ELXR9 99148.170000 PA USD 101251.490000 0.0767390 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 201043.960000 PA USD 204790.980000 0.1552121 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 5.24 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 596658.520000 PA USD 5800117.470000 4.3959386 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3138ENS34 55621.760000 PA USD 51902.140000 0.0393369 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138EP2M5 365483.430000 PA USD 336601.440000 0.2551119 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138EP2Y9 280640.040000 PA USD 286322.260000 0.2170051 Long ABS-MBS USGSE US N 2 2037-10-01 Floating 5.604 N N N N N N FNMA PASS THRU POOLS N/A 3138EP6V1 68728.240000 PA USD 69871.570000 0.0529560 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 5.305 N N N N N N FNMA PASS THRU POOLS N/A 3138EQCH3 44880.500000 PA USD 44849.440000 0.0339916 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 4.631 N N N N N N FNMA PASS THRU POOLS N/A 3138EQNF5 4027.070000 PA USD 3541.880000 0.0026844 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EQ7E6 382343.480000 PA USD 350322.640000 0.2655113 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ETCC8 1106659.950000 PA USD 975913.770000 0.7396500 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ERM64 328190.050000 PA USD 306197.930000 0.2320690 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138LS6H8 11177.670000 PA USD 10241.280000 0.0077619 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138MGXL4 60399.400000 PA USD 55570.940000 0.0421175 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138W0LW7 4369.330000 PA USD 4117.120000 0.0031204 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3138W1ZT7 102060.430000 PA USD 96339.120000 0.0730159 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3138W2X75 6916.380000 PA USD 6227.000000 0.0047195 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3138WARC3 4134.410000 PA USD 3872.750000 0.0029352 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3138WBQQ1 19311.500000 PA USD 17654.350000 0.0133803 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WB2N4 138058.320000 PA USD 128806.220000 0.0976229 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WCUK7 27967.400000 PA USD 24844.480000 0.0188298 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WCVS9 109336.950000 PA USD 98952.710000 0.0749968 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WC7H0 6398.150000 PA USD 5982.080000 0.0045338 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3138WDN31 107964.410000 PA USD 95901.030000 0.0726839 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 53903.410000 PA USD 47883.580000 0.0362912 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 3138WHN40 150065.110000 PA USD 120917.810000 0.0916442 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WTST4 16657.270000 PA USD 15475.080000 0.0117286 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WUAD5 253854.250000 PA USD 233054.890000 0.1766335 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WWL98 55037.110000 PA USD 52362.020000 0.0396854 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3138X2F82 77062.590000 PA USD 72983.850000 0.0553148 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3138X5VY0 206977.930000 PA USD 193334.140000 0.1465289 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138XWM96 78430.970000 PA USD 71667.710000 0.0543173 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138XZFG1 142478.200000 PA USD 130079.840000 0.0985882 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138Y9ZE1 61283.860000 PA USD 56071.550000 0.0424969 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138YFS70 30845.810000 PA USD 28368.390000 0.0215005 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138YKH48 56657.510000 PA USD 52710.850000 0.0399498 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140FECL6 288651.060000 PA USD 255979.530000 0.1940082 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FM7B6 5818.040000 PA USD 5290.970000 0.0040101 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FTWA5 96355.500000 PA USD 87493.280000 0.0663116 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 3573.170000 PA USD 3236.560000 0.0024530 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FUKX5 1290.460000 PA USD 1167.260000 0.0008847 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FVCM6 193561.190000 PA USD 178051.290000 0.1349460 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FXDG4 27940.570000 PA USD 23798.230000 0.0180368 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXFH0 287906.210000 PA USD 239233.640000 0.1813164 Long ABS-MBS USGSE US N 2 2057-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140FXFK3 25158.320000 PA USD 21428.510000 0.0162408 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXM90 704542.930000 PA USD 651520.300000 0.4937906 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 3140GNKM4 137002.180000 PA USD 124612.780000 0.0944447 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GQNB8 2335.520000 PA USD 2115.270000 0.0016032 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 140169.700000 PA USD 127270.930000 0.0964593 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 117162.460000 PA USD 106393.890000 0.0806365 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GT6E5 49271.900000 PA USD 43392.680000 0.0328875 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GYK57 67702.380000 PA USD 59868.510000 0.0453746 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H4UM4 10569.520000 PA USD 9592.180000 0.0072700 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 133977.150000 PA USD 119194.600000 0.0903382 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 82870.630000 PA USD 75156.440000 0.0569614 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 6999.840000 PA USD 6352.580000 0.0048147 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 12162.700000 PA USD 11022.950000 0.0083543 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 15106.470000 PA USD 13656.340000 0.0103502 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HCAX4 16803.170000 PA USD 15251.200000 0.0115590 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HEBD3 332522.870000 PA USD 318209.420000 0.2411725 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HFFC8 31099.670000 PA USD 28225.690000 0.0213924 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HGRA7 156357.280000 PA USD 136985.540000 0.1038220 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HNV66 49930.460000 PA USD 46850.910000 0.0355085 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 3140HSNN7 500000.000000 PA USD 476077.110000 0.3608213 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 3140J8BG7 101594.120000 PA USD 93275.860000 0.0706942 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J9AX9 66118.470000 PA USD 60750.810000 0.0460433 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140J9CV1 31783.750000 PA USD 28210.720000 0.0213810 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J9ET4 106520.930000 PA USD 94723.820000 0.0717917 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140JAUP1 138927.080000 PA USD 139241.660000 0.1055320 Long ABS-MBS USGSE US N 2 2048-11-01 Floating 4.05 N N N N N N FNMA PASS THRU POOLS N/A 3140JHH63 64970.700000 PA USD 60676.330000 0.0459869 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JR3G4 470398.300000 PA USD 442350.290000 0.3352595 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140K3HX3 860620.570000 PA USD 751510.040000 0.5695733 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LJF43 89867.000000 PA USD 86699.220000 0.0657098 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.77 N N N N N N FNMA PASS THRU POOLS N/A 3140LJ7J9 188000.000000 PA USD 178801.680000 0.1355147 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.7 N N N N N N FNMA PASS THRU POOLS N/A 3140LJ7K6 125000.000000 PA USD 118884.790000 0.0901034 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.7 N N N N N N FNMA PASS THRU POOLS N/A 3140LKCN1 166000.000000 PA USD 155435.200000 0.1178051 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.385 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDG5 156000.000000 PA USD 149264.440000 0.1131283 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 4.14 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDW0 200000.000000 PA USD 188965.280000 0.1432177 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.49 N N N N N N FNMA PASS THRU POOLS N/A 3140LKD91 335000.000000 PA USD 318644.220000 0.2415021 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.59 N N N N N N FNMA PASS THRU POOLS N/A 3140LKWD1 1479733.000000 PA USD 1416365.940000 1.0734710 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.68 N N N N N N FNMA PASS THRU POOLS N/A 3140M5N76 505338.110000 PA USD 468834.500000 0.3553321 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140MJAV7 297817.090000 PA USD 256685.290000 0.1945431 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140MUM56 15838.030000 PA USD 13333.560000 0.0101056 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140N8TD0 112330.580000 PA USD 111901.420000 0.0848107 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140NLN88 553059.660000 PA USD 525362.120000 0.3981746 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140NLRQ4 245769.000000 PA USD 243459.710000 0.1845194 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140NRGK6 88686.970000 PA USD 83814.310000 0.0635233 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8N84 35590.280000 PA USD 32343.960000 0.0245137 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8QN8 322588.930000 PA USD 281824.360000 0.2135961 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9F65 161418.850000 PA USD 150886.860000 0.1143579 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9PU1 33987.490000 PA USD 30904.010000 0.0234223 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QBDY1 654463.970000 PA USD 591436.590000 0.4482528 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QC5P7 1928985.350000 PA USD 1673297.240000 1.2682005 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QDFB5 146008.050000 PA USD 128168.290000 0.0971394 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QED66 464796.820000 PA USD 388153.720000 0.2941837 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QNGX4 490994.210000 PA USD 423310.180000 0.3208289 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QNL42 187193.610000 PA USD 149694.810000 0.1134545 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QNNN8 109027.950000 PA USD 87092.860000 0.0660081 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QSUR0 851270.760000 PA USD 788909.600000 0.5979186 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QSUS8 2351460.110000 PA USD 2178748.370000 1.6512845 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QSUT6 2958771.410000 PA USD 2734922.450000 2.0728117 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X3CN6 3264828.600000 PA USD 2729204.250000 2.0684778 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X4VG8 276229.040000 PA USD 231054.680000 0.1751175 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 264262.050000 PA USD 221072.740000 0.1675522 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X5SX2 47105.600000 PA USD 41436.840000 0.0314052 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X5VM2 969319.990000 PA USD 806959.690000 0.6115989 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X6ST9 799776.830000 PA USD 709164.770000 0.5374796 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S77 1037964.920000 PA USD 867893.040000 0.6577806 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X6WA5 390866.860000 PA USD 369768.170000 0.2802492 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 3140X63B5 195485.600000 PA USD 183828.950000 0.1393249 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 3140X8ML8 281345.420000 PA USD 225318.520000 0.1707701 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XASC7 214416.850000 PA USD 184837.850000 0.1400895 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3140XBB41 145779.770000 PA USD 125643.920000 0.0952262 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3140XBCW8 1070801.150000 PA USD 925303.690000 0.7012924 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3140XBLQ1 56499.050000 PA USD 49350.870000 0.0374033 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XCS82 425613.280000 PA USD 340502.430000 0.2580685 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XCUP1 552124.210000 PA USD 443875.840000 0.3364158 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XECC6 3819929.040000 PA USD 3382487.770000 2.5636047 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XFNY3 146958.530000 PA USD 125570.830000 0.0951708 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140XGAA7 1508972.190000 PA USD 1339844.110000 1.0154747 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XGPY9 44461.630000 PA USD 35514.520000 0.0269166 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XHDQ7 42871.650000 PA USD 38073.310000 0.0288560 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XHS40 763988.340000 PA USD 653758.880000 0.4954872 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140XH6Q5 1205444.010000 PA USD 964957.800000 0.7313464 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XLH43 1428438.230000 PA USD 1230923.400000 0.9329231 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CH49 73843.100000 PA USD 61337.990000 0.0464884 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU85 2352.160000 PA USD 2139.120000 0.0016212 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CWV2 23922.060000 PA USD 21282.690000 0.0161303 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418CYK4 220753.520000 PA USD 202294.760000 0.1533202 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 69991.330000 PA USD 64138.340000 0.0486108 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418DDH2 355968.900000 PA USD 289841.520000 0.2196724 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418DWS7 403987.080000 PA USD 322416.140000 0.2443608 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31418DYC0 1166147.040000 PA USD 929414.580000 0.7044080 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EEE6 171150.060000 PA USD 145034.160000 0.1099221 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418EER7 182819.450000 PA USD 154895.760000 0.1173963 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418EFA3 325501.610000 PA USD 275587.890000 0.2088695 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418EGD6 39927.930000 PA USD 33772.260000 0.0255962 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418EJL5 69493.480000 PA USD 64850.590000 0.0491506 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418ETR1 759637.750000 PA USD 705901.830000 0.5350066 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EUX6 1952012.780000 PA USD 1810850.500000 1.3724528 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.5 N N N N N N FREDDIE MAC 2248 N/A 3133TPV48 2055.920000 PA USD 2043.510000 0.0015488 Long ABS-MBS USGSE US N 2 2030-09-15 Floating 5.92776 N N N N N N FREDDIE MAC 2395 N/A 31339LMA5 22820.760000 PA USD 22658.570000 0.0171730 Long ABS-MBS USGSE US N 2 2031-12-15 Floating 5.87776 N N N N N N FREDDIE MAC 3031 N/A 31396AAQ7 120831.940000 PA USD 112550.840000 0.0853029 Long ABS-MBS USGSE US N 2 2035-09-15 Fixed 5.5 N N N N N N FREDDIE MAC 4836 N/A 3137FJE21 236599.760000 PA USD 157438.780000 0.1193237 Long ABS-MBS USGSE US N 2 2058-10-15 Fixed 0 N N N N N N FREDDIE MAC 4839 N/A 3137FJK81 733586.990000 PA USD 474402.340000 0.3595520 Long ABS-MBS USGSE US N 2 2056-08-15 None 0 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45 N/A 3137HA4L7 600000.000000 PA USD 574694.880000 0.4355642 Long ABS-MBS USGSE US N 2 2031-01-25 Fixed 4.66 N N N N N N FREDDIE MAC REMICS 2064 N/A 3133TEMJ0 38723.390000 PA USD 38667.660000 0.0293064 Long ABS-MBS USGSE US N 2 2028-05-15 Fixed 6.5 N N N N N N FREDDIE MAC REMICS 3514 N/A 31398C7C6 127993.510000 PA USD 128743.500000 0.0975754 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.5 N N N N N N FREDDIE MAC REMICS 3621 N/A 31398W2S2 12982.770000 PA USD 602.010000 0.0004563 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 0 N N N N N N FREDDIE MAC REMICS 3635 N/A 31398WJ21 15023.690000 PA USD 655.240000 0.0004966 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0 N N N N N N FREDDIE MAC REMICS 3684 N/A 3137A06E0 43434.970000 PA USD 2800.570000 0.0021226 Long ABS-MBS USGSE US N 2 2036-11-15 Floating 0 N N N N N N FREDDIE MAC REMICS 3962 N/A 3137AJKA1 33637.880000 PA USD 2057.930000 0.0015597 Long ABS-MBS USGSE US N 2 2038-06-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4020 N/A 3137AMMG9 445601.170000 PA USD 335446.110000 0.2542363 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4068 N/A 3137ARPN0 176741.550000 PA USD 171654.040000 0.1300975 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 5.92776 N N N N N N FREDDIE MAC REMICS 4091 N/A 3137ATGL0 118370.980000 PA USD 79644.010000 0.0603626 Long ABS-MBS USGSE US N 2 2040-11-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4150 N/A 3137AYAM3 961714.880000 PA USD 74944.520000 0.0568008 Long ABS-MBS USGSE US N 2 2043-01-15 Floating 0.77224 N N N N N N FREDDIE MAC REMICS 4248 N/A 3137B4UN4 199056.350000 PA USD 158129.030000 0.1198468 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4255 N/A 3137B5HZ9 114481.620000 PA USD 96216.970000 0.0729233 Long ABS-MBS USGSE US N 2 2035-05-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4324 N/A 3137BAGM8 21627.830000 PA USD 713.110000 0.0005405 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4338 N/A 3137BB7D6 30650.710000 PA USD 1129.750000 0.0008562 Long ABS-MBS USGSE US N 2 2041-10-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4361 N/A 3137BC5J3 67364.950000 PA USD 10330.620000 0.0078296 Long ABS-MBS USGSE US N 2 2035-10-15 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4367 N/A 3137BCL55 15147.030000 PA USD 846.300000 0.0006414 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4394 N/A 3137BEV43 13086.530000 PA USD 634.680000 0.0004810 Long ABS-MBS USGSE US N 2 2041-08-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4398 N/A 3137BEPQ1 837142.270000 PA USD 646832.370000 0.4902375 Long ABS-MBS USGSE US N 2 2044-10-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4434 N/A 3137BGEH8 580681.000000 PA USD 414680.970000 0.3142888 Long ABS-MBS USGSE US N 2 2037-06-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4438 N/A 3137BGLL1 42961.990000 PA USD 2010.790000 0.0015240 Long ABS-MBS USGSE US N 2 2038-11-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4459 N/A 3137BHTE7 1031838.790000 PA USD 638950.490000 0.4842638 Long ABS-MBS USGSE US N 2 2043-08-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4462 N/A 3137BHJA6 149730.960000 PA USD 131381.600000 0.0995748 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4463 N/A 3137BHGF8 26620.450000 PA USD 1215.080000 0.0009209 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4534 N/A 3137BMGC4 173576.590000 PA USD 105686.260000 0.0801002 Long ABS-MBS USGSE US N 2 2044-05-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4572 N/A 3137BNY73 158117.890000 PA USD 32257.200000 0.0244479 Long ABS-MBS USGSE US N 2 2046-04-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4588 N/A 3137BQEL7 772220.260000 PA USD 119984.730000 0.0909370 Long ABS-MBS USGSE US N 2 2045-09-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4804 N/A 3137FGM85 758447.090000 PA USD 471965.700000 0.3577052 Long ABS-MBS USGSE US N 2 2048-05-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4989 N/A 3137FUKP8 887988.620000 PA USD 853799.810000 0.6470992 Long ABS-MBS USGSE US N 2 2040-08-15 Floating 4.58785 N N N N N N FREDDIE MAC REMICS 4989 N/A 3137FUKQ6 853388.840000 PA USD 818239.890000 0.6201482 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 4.866 N N N N N N FREDDIE MAC REMICS 5034 N/A 3137F6K55 424460.600000 PA USD 52479.420000 0.0397744 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N FREDDIE MAC REMICS-3598 N/A 31398KZ94 7760.820000 PA USD 271.330000 0.0002056 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0 N N N N N N FREDDIE MAC STRIPS 303 N/A 31325UEH5 178816.720000 PA USD 29002.830000 0.0219814 Long ABS-MBS USGSE US N 2 2043-01-15 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 330 N/A 31351DDT5 66925.560000 PA USD 65371.980000 0.0495458 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 5.053 N N N N N N FREDDIE MAC STRIPS 345 N/A 31325VRC0 208165.610000 PA USD 34098.440000 0.0258434 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3.5 N N N N N N FREDDIE MAC STRIPS 386 N/A 31325YCL0 366334.330000 PA USD 56817.570000 0.0430623 Long ABS-MBS USGSE US N 2 2052-03-15 Fixed 2.5 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YRU4 3595040.840000 PA USD 531313.820000 0.4026855 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 2.5 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2015-SC02 N/A 3137G1AK3 130460.950000 PA USD 112275.200000 0.0850939 Long ABS-MBS MUN US N 2 2045-09-25 Fixed 3 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01 N/A 3137G1BK2 221337.770000 PA USD 183677.680000 0.1392102 Long ABS-MBS MUN US N 2 2046-12-25 Fixed 3 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01 N/A 3137G1BL0 239640.570000 PA USD 206545.270000 0.1565417 Long ABS-MBS MUN US N 2 2046-12-25 Fixed 3.5 N N N N N N FREDDIE MAC-1628 N/A 3133T3KK3 23.480000 PA USD 23.420000 0.0000178 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 6.5 N N N N N N FREDDIE MAC-1694 N/A 3133T4NZ5 149.440000 PA USD 149.200000 0.0001131 Long ABS-MBS USGSE US N 2 2024-03-15 Fixed 6.5 N N N N N N FREDDIE MAC-1856 N/A 3133T7BC2 380.040000 PA USD 384.290000 0.0002913 Long ABS-MBS USGSE US N 2 2026-06-15 Fixed 8 N N N N N N FREDDIE MAC-2974 N/A 31395TXG4 16820.620000 PA USD 16445.430000 0.0124641 Long ABS-MBS USGSE US N 2 2035-05-15 Floating 5.67776 N N N N N N FREDDIE MAC-3325 N/A 31397JEY6 453328.860000 PA USD 472631.380000 0.3582097 Long ABS-MBS USGSE US N 2 2037-05-15 Fixed 7 N N N N N N FREDDIE MAC-4832 N/A 3137FHRY1 270209.270000 PA USD 263063.400000 0.1993771 Long ABS-MBS USGSE US N 2 2038-04-15 Floating 5.01217 N N N N N N GNMA PASS THRU POOLS N/A 01N0406A1 2000000.000000 PA USD 1810781.240000 1.3724003 Long ABS-MBS USGSE US N 2 2053-10-23 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202EBD0 557.340000 PA USD 547.310000 0.0004148 Long ABS-MBS USGSE US N 2 2034-11-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202FZ25 116829.400000 PA USD 114724.900000 0.0869506 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36202KNW1 262.540000 PA USD 260.500000 0.0001974 Long ABS-MBS USGSE US N 2 2024-09-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36202KTU9 123.850000 PA USD 121.910000 0.0000924 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36202K5E1 500.090000 PA USD 487.070000 0.0003692 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 2.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CBY1 37.900000 PA USD 36.680000 0.0000278 Long ABS-MBS USGSE US N 2 2027-03-20 Floating 3.625 N N N N N N GNMA PASS THRU POOLS N/A 36295NV20 68153.260000 PA USD 60646.200000 0.0459641 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3622A2XY3 527228.320000 PA USD 469347.630000 0.3557210 Long ABS-MBS USGSE US N 2 2047-03-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3622A24S8 97674.200000 PA USD 86854.780000 0.0658277 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 3622A25E8 95236.050000 PA USD 84677.550000 0.0641775 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 3622AAAA2 594681.140000 PA USD 535372.180000 0.4057613 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36178DZN4 159925.540000 PA USD 140590.430000 0.1065542 Long ABS-MBS USGSE US N 2 2043-03-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36192S2Y5 143078.850000 PA USD 125440.480000 0.0950720 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 36196JFE1 15355.720000 PA USD 13664.050000 0.0103561 Long ABS-MBS USGSE US N 2 2047-04-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36197K5G3 8971.440000 PA USD 7976.190000 0.0060452 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617AN3Q7 14742.350000 PA USD 13118.300000 0.0099424 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617AQHV4 13481.790000 PA USD 11987.900000 0.0090857 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617AQUG2 13652.070000 PA USD 12144.360000 0.0092043 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617AQU56 14435.190000 PA USD 12833.690000 0.0097267 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617ATYC1 12291.080000 PA USD 10939.360000 0.0082910 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617AT4T7 20600.190000 PA USD 18330.750000 0.0138930 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 3617AUKA7 18864.720000 PA USD 16771.660000 0.0127113 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B0TG0 13977.240000 PA USD 12433.200000 0.0094232 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 3617B0YH2 82425.470000 PA USD 74735.970000 0.0566428 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617B1XT5 108551.440000 PA USD 96508.080000 0.0731440 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 3617B5DZ4 183630.350000 PA USD 163434.510000 0.1238678 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 3617B8LV8 12737.820000 PA USD 11330.990000 0.0085878 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 3617BKKP5 15832.260000 PA USD 14083.720000 0.0106741 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 3617BMC54 11102.120000 PA USD 9870.460000 0.0074809 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617BTBB7 13451.200000 PA USD 11979.910000 0.0090796 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 3617G0JC5 181888.770000 PA USD 164338.600000 0.1245531 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617G1A73 13565.590000 PA USD 12060.480000 0.0091407 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 3617G1HC5 11953.900000 PA USD 10627.630000 0.0080547 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 3617G8N41 22963.540000 PA USD 20427.140000 0.0154818 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 3617W24P0 1152527.630000 PA USD 987805.170000 0.7486626 Long ABS-MBS USGSE US N 2 2051-07-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617YMXG2 138964.940000 PA USD 118928.930000 0.0901368 Long ABS-MBS USGSE US N 2 2047-08-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617YM4D1 161335.490000 PA USD 138074.560000 0.1046474 Long ABS-MBS USGSE US N 2 2047-06-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617YQG98 81759.280000 PA USD 69239.200000 0.0524767 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617YURY2 116835.310000 PA USD 99989.650000 0.0757827 Long ABS-MBS USGSE US N 2 2047-04-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179MC65 26084.660000 PA USD 26895.470000 0.0203842 Long ABS-MBS USGSE US N 2 2042-05-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179M2P4 447264.540000 PA USD 385077.570000 0.2918523 Long ABS-MBS USGSE US N 2 2043-02-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179NLG1 90727.640000 PA USD 89090.080000 0.0675218 Long ABS-MBS USGSE US N 2 2043-08-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179NQZ4 62734.290000 PA USD 49668.630000 0.0376441 Long ABS-MBS USGSE US N 2 2043-03-20 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 36179NTC2 90995.270000 PA USD 78497.390000 0.0594936 Long ABS-MBS USGSE US N 2 2043-11-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179NVR6 38435.690000 PA USD 37742.120000 0.0286049 Long ABS-MBS USGSE US N 2 2043-12-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179QL82 67943.300000 PA USD 66722.850000 0.0505696 Long ABS-MBS USGSE US N 2 2044-08-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179RS91 223631.610000 PA USD 199136.750000 0.1509268 Long ABS-MBS USGSE US N 2 2045-11-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179RVB2 216567.290000 PA USD 192215.300000 0.1456810 Long ABS-MBS USGSE US N 2 2045-12-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TG33 25695.950000 PA USD 22082.580000 0.0167365 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179TSF3 142513.550000 PA USD 122247.900000 0.0926523 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179TV77 20635.590000 PA USD 19363.540000 0.0146757 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 36179TXW0 58046.150000 PA USD 54444.490000 0.0412638 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 36179TZ65 27491.140000 PA USD 25778.910000 0.0195380 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 36179UGE6 108071.540000 PA USD 104153.170000 0.0789382 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UH62 130356.280000 PA USD 125366.100000 0.0950156 Long ABS-MBS USGSE US N 2 2048-12-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UKY7 73506.170000 PA USD 68962.070000 0.0522667 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UMM1 128779.610000 PA USD 120704.090000 0.0914822 Long ABS-MBS USGSE US N 2 2049-02-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179VKL3 1267706.470000 PA USD 1081996.730000 0.8200508 Long ABS-MBS USGSE US N 2 2050-04-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179XS98 1922880.140000 PA USD 1691893.740000 1.2822949 Long ABS-MBS USGSE US N 2 2053-02-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0206A8 -7000000.000000 PA USD -5535195.260000 -4.1951527 Short ABS-MBS USGSE US N 2 2053-10-23 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 21H0226B2 4650000.000000 PA USD 3804818.280000 2.8836912 Long ABS-MBS USGSE US N 2 2053-11-20 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0306B5 5450000.000000 PA USD 4620578.070000 3.5019597 Long ABS-MBS USGSE US N 2 2053-11-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H0326A3 2800000.000000 PA USD 2452843.760000 1.8590228 Long ABS-MBS USGSE US N 2 2053-10-23 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0406A6 2350000.000000 PA USD 2117478.500000 1.6048477 Long ABS-MBS USGSE US N 2 2053-10-23 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 21H0426B0 1250000.000000 PA USD 1155615.230000 0.8758467 Long ABS-MBS USGSE US N 2 2053-11-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 21H0506A5 2000000.000000 PA USD 1895312.520000 1.4364670 Long ABS-MBS USGSE US N 2 2053-10-23 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36206JAA2 213.450000 PA USD 213.370000 0.0001617 Long ABS-MBS USGSE US N 2 2027-08-15 Fixed 7.5 N N N N N N GNMA PASS THRU POOLS N/A 36207AFH0 99.720000 PA USD 100.450000 0.0000761 Long ABS-MBS USGSE US N 2 2026-03-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36207ENF7 40863.520000 PA USD 41163.650000 0.0311981 Long ABS-MBS USGSE US N 2 2033-12-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36208PX52 2160.100000 PA USD 2176.910000 0.0016499 Long ABS-MBS USGSE US N 2 2028-11-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36209VPM0 297.160000 PA USD 299.340000 0.0002269 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36209YRB6 82.200000 PA USD 83.010000 0.0000629 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36211SCZ8 83867.360000 PA USD 81764.160000 0.0619695 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36200QJC9 471.830000 PA USD 481.020000 0.0003646 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36200RA77 186.740000 PA USD 188.140000 0.0001426 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36201DA85 85.870000 PA USD 86.500000 0.0000656 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36290VD35 2338.590000 PA USD 2272.200000 0.0017221 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36291FPX0 76099.680000 PA USD 70457.620000 0.0534002 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36295QA42 32877.930000 PA USD 32803.630000 0.0248620 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36295QGB0 4770.140000 PA USD 4805.170000 0.0036419 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36295QGH7 3985.430000 PA USD 3960.310000 0.0030015 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36295QKP4 3997.520000 PA USD 4026.880000 0.0030520 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36295SH33 131554.940000 PA USD 132875.500000 0.1007070 Long ABS-MBS USGSE US N 2 2037-10-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36295XFV2 52296.890000 PA USD 52722.530000 0.0399587 Long ABS-MBS USGSE US N 2 2038-01-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36296B6N7 13705.870000 PA USD 13806.530000 0.0104640 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36296QLD9 218721.220000 PA USD 214014.610000 0.1622028 Long ABS-MBS USGSE US N 2 2039-03-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296Q2K4 14184.630000 PA USD 13580.670000 0.0102929 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36296Q2T5 33941.710000 PA USD 32481.990000 0.0246183 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36296UYA2 2451.130000 PA USD 2388.810000 0.0018105 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36296XXQ2 11584.030000 PA USD 11349.640000 0.0086019 Long ABS-MBS USGSE US N 2 2039-06-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36297FV74 2677.550000 PA USD 2549.030000 0.0019319 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3620A2JM9 4921.100000 PA USD 4748.020000 0.0035985 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 3620AGN43 1499.550000 PA USD 1433.550000 0.0010865 Long ABS-MBS USGSE US N 2 2040-04-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3620ARP96 2272.060000 PA USD 2164.950000 0.0016408 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3620C4B33 5723.440000 PA USD 5468.520000 0.0041446 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36176FAN8 8134.080000 PA USD 7791.460000 0.0059052 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36225ABC3 2.430000 PA USD 2.450000 0.0000019 Long ABS-MBS USGSE US N 2 2024-07-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36225AR69 53.290000 PA USD 53.750000 0.0000407 Long ABS-MBS USGSE US N 2 2027-02-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36225BND6 284.880000 PA USD 287.690000 0.0002180 Long ABS-MBS USGSE US N 2 2031-05-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A 36241LF27 29988.460000 PA USD 29920.860000 0.0226772 Long ABS-MBS USGSE US N 2 2039-12-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36241LKU9 527307.510000 PA USD 497972.700000 0.3774160 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 36241L4R4 3088.690000 PA USD 2779.710000 0.0021068 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36241L6Q4 87651.020000 PA USD 78881.910000 0.0597850 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3622A2N32 139718.040000 PA USD 129434.120000 0.0980988 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3622A2P22 262181.100000 PA USD 242874.970000 0.1840762 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3622A2U91 367450.240000 PA USD 340376.940000 0.2579734 Long ABS-MBS USGSE US N 2 2046-07-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36178DXS5 1103009.580000 PA USD 960769.780000 0.7281723 Long ABS-MBS USGSE US N 2 2043-02-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36178NB65 9745.760000 PA USD 8767.830000 0.0066452 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36183BAX6 1144699.750000 PA USD 1141402.270000 0.8650746 Long ABS-MBS USGSE US N 2 2050-01-15 Fixed 4.07 N N N N N N GNMA PASS THRU POOLS N/A 36188KDV2 28364.200000 PA USD 24295.190000 0.0184134 Long ABS-MBS USGSE US N 2 2045-10-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36192YDV6 189558.950000 PA USD 170298.160000 0.1290698 Long ABS-MBS USGSE US N 2 2045-12-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36196YDX8 22120.060000 PA USD 20369.990000 0.0154385 Long ABS-MBS USGSE US N 2 2047-01-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36197DZB7 106815.310000 PA USD 98186.240000 0.0744159 Long ABS-MBS USGSE US N 2 2047-02-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36197MRM2 79182.260000 PA USD 72929.550000 0.0552737 Long ABS-MBS USGSE US N 2 2047-04-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617ACHV5 153011.490000 PA USD 140431.940000 0.1064341 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 57885.150000 PA USD 53257.240000 0.0403639 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 43835.250000 PA USD 40222.150000 0.0304846 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 55692.690000 PA USD 51113.440000 0.0387391 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 77260.620000 PA USD 70828.770000 0.0536815 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 16562.520000 PA USD 15293.000000 0.0115906 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 19123.610000 PA USD 17481.260000 0.0132491 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 3617LR6X8 768149.260000 PA USD 673293.140000 0.5102923 Long ABS-MBS USGSE US N 2 2049-10-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617MN5W9 564438.290000 PA USD 480520.650000 0.3641890 Long ABS-MBS USGSE US N 2 2050-03-15 Fixed 3 N N N N N N GOVERNEMENT NATIONAL MTG ASSOC 2006-69 N/A 38375JBL8 103820.680000 PA USD 93118.530000 0.0705750 Long ABS-MBS USGSE US N 2 2036-12-20 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23 N/A 38378MAC9 240885.350000 PA USD 28833.160000 0.0218528 Long ABS-MBS USGSE US N 2 2042-08-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-88 N/A 38378TJ84 80491.040000 PA USD 71714.270000 0.0543526 Long ABS-MBS USGSE US N 2 2043-06-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H10 N/A 38375BU83 689418.910000 PA USD 690750.940000 0.5235237 Long ABS-MBS USGSE US N 2 2063-04-20 Floating 6.43162 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H20 N/A 38375B6F4 120689.190000 PA USD 120962.210000 0.0916779 Long ABS-MBS USGSE US N 2 2063-08-20 Floating 6.43162 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23 N/A 38375B8G0 96249.090000 PA USD 96666.480000 0.0732640 Long ABS-MBS USGSE US N 2 2063-09-20 Floating 6.73162 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23 N/A 38375B8J4 135499.950000 PA USD 135327.010000 0.1025650 Long ABS-MBS USGSE US N 2 2063-09-20 Floating 6.15162 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126 N/A 38379QFL4 138450.840000 PA USD 71713.450000 0.0543520 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127 N/A 38379MX90 59005.840000 PA USD 1260.110000 0.0009550 Long ABS-MBS USGSE US N 2 2043-06-20 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165 N/A 38379FB65 1495167.010000 PA USD 1386639.860000 1.0509414 Long ABS-MBS USGSE US N 2 2045-07-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166 N/A 38379FDK2 59216.210000 PA USD 1387.640000 0.0010517 Long ABS-MBS USGSE US N 2 2042-06-20 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180 N/A 38379TGM5 64160.620000 PA USD 1518.030000 0.0011505 Long ABS-MBS USGSE US N 2 2042-06-20 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-84 N/A 38379PP35 341047.010000 PA USD 51879.970000 0.0393201 Long ABS-MBS USGSE US N 2 2045-06-20 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-84 N/A 38379PP68 542565.000000 PA USD 437176.630000 0.3313384 Long ABS-MBS USGSE US N 2 2045-06-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H03 N/A 38375UTT7 36436.580000 PA USD 36020.570000 0.0273002 Long ABS-MBS USGSE US N 2 2065-01-20 Floating 4.39974 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H14 N/A 38376RCF1 11632.560000 PA USD 11578.450000 0.0087754 Long ABS-MBS USGSE US N 2 2065-05-20 Floating 5.86162 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H27 N/A 38376RHR0 517024.810000 PA USD 514397.600000 0.3898646 Long ABS-MBS USGSE US N 2 2065-09-20 Floating 5.09978 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180 N/A 38376T6N7 84567.810000 PA USD 1567.250000 0.0011878 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15 N/A 38380CSQ7 72747.270000 PA USD 1423.170000 0.0010786 Long ABS-MBS USGSE US N 2 2045-11-20 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57 N/A 38380B7Q2 69473.020000 PA USD 1934.720000 0.0014663 Long ABS-MBS USGSE US N 2 2045-12-20 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-77 N/A 38376UTT6 226076.070000 PA USD 154953.260000 0.1174399 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23 N/A 38375US27 204587.990000 PA USD 191126.000000 0.1448554 Long ABS-MBS USGSE US N 2 2067-11-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07 N/A 38380LCU5 16383.510000 PA USD 16298.680000 0.0123529 Long ABS-MBS USGSE US N 2 2068-02-20 Floating 5.78162 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14 N/A 38380QFT4 1716138.780000 PA USD 1725572.050000 1.3078199 Long ABS-MBS USGSE US N 2 2070-07-20 Floating 6.244 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15 N/A 38380QHX3 731716.860000 PA USD 736621.560000 0.5582892 Long ABS-MBS USGSE US N 2 2070-08-20 Floating 6.37896 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17 N/A 38380QMV1 710407.950000 PA USD 715640.810000 0.5423878 Long ABS-MBS USGSE US N 2 2070-10-20 Floating 4.90647 N N N N N N GOVERNMENT NATIONAL MTGE ASSOC 2005-58 N/A 38374LM57 29401.950000 PA USD 28470.770000 0.0215781 Long ABS-MBS USGSE US N 2 2035-08-20 Fixed 5.5 N N N N N N GOVERNMENT NATL MTGE ASSOC 2011-H08 N/A 38375BLC4 17055.250000 PA USD 16983.940000 0.0128722 Long ABS-MBS USGSE US N 2 2061-03-20 Floating 5.91162 N N N N N N GOVERNMENT NATL MTGE ASSOC 2015-159 N/A 38379FWQ8 84877.000000 PA USD 55888.010000 0.0423578 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 0 N N N N N N GREENPOINT MTGE FUNDING TR 2006-AR3 N/A 39538WHG6 35834.580000 PA USD 33754.010000 0.0255823 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.9742 Y N N N N N GREENPOINT MTGE FUNDING TR 2006-AR6 N/A 39538BAG9 338479.740000 PA USD 226376.300000 0.1715718 Long ABS-MBS CORP US N 2 2046-10-25 Floating 6.1142 Y N N N N N GREENPOINT MTGE FUNDING TR 2006-AR7 N/A 39538CAF9 173450.860000 PA USD 157435.810000 0.1193214 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.8342 Y N N N N N GREENPOINT MTGE FUNDING TRUST 2006-AR5 N/A 39538AAJ5 127069.850000 PA USD 113559.260000 0.0860671 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.8342 Y N N N N N GREENPOINT MTGE FUUNDING TRUST 2006-AR4 N/A 39539FAG9 352664.590000 PA USD 281029.240000 0.2129935 Long ABS-MBS CORP US N 2 2046-09-25 Floating 6.0742 Y N N N N N GS MORTGAGE SECURITIES CORP TRUST 2018-TWR N/A 36251SAA6 1100000.000000 PA USD 927575.000000 0.7030138 Long ABS-MBS CORP US N 2 2031-07-15 Floating 6.53 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 N/A 36263KAB7 252437.420000 PA USD 191746.420000 0.1453256 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.5 N N N N N N GSAA HOME EQUITY TRUST 2007-4 N/A 3622EBAC2 182365.390000 PA USD 71315.960000 0.0540507 Long ABS-MBS CORP US N 2 2037-03-25 Floating 6.0342 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 815851.860000 PA USD 438142.800000 0.3320707 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.5742 N N N N N N GSAMP TRUST 2007-NC1 N/A 3622MGAA6 406950.280000 PA USD 215681.980000 0.1634665 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.5642 N N N N N N GSR MORTGAGE LOAN TRUST 2006-OA1 N/A 362631AC7 172903.120000 PA USD 43071.780000 0.0326443 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.9542 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 20775.080000 PA USD 17995.490000 0.0136389 Long ABS-MBS CORP US N 2 2036-03-19 Floating 5.92156 Y N N N N N HOME EQUITY PASS-THRU CERTS 2002-1 N/A 22541NAD1 2565.960000 PA USD 2170.180000 0.0016448 Long ABS-MBS CORP US N 3 2032-11-25 Floating 6.0342 N N N N N N HOMEBANC MTGE TRUST 2006-2 N/A 43739HAA8 1789.270000 PA USD 1741.910000 0.0013202 Long ABS-MBS CORP US N 3 2036-12-25 Floating 5.7942 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE1 N/A 40430FAA0 282481.890000 PA USD 216130.030000 0.1638061 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.5742 N N N N N N IMS ECUADORIAN MORTGAGE 2021-1 TRUST N/A 44970EAA1 843876.620000 PA USD 779417.860000 0.5907248 Long ABS-MBS CORP US N 2 2043-08-18 Fixed 3.4 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR6 N/A 456612AC4 48667.290000 PA USD 37619.850000 0.0285123 Long ABS-MBS CORP US N 2 2046-06-25 Floating 5.8342 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 117225.030000 PA USD 105139.790000 0.0796860 Long ABS-MBS CORP US N 2 2046-11-25 Floating 5.8342 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR19 N/A 45660GAG5 1345425.530000 PA USD 1147893.520000 0.8699943 Long ABS-MBS CORP US N 2 2036-08-25 Variable 3.87174 N N N N N N JP MORGAN MORTGAGE TRUST 2019-5 N/A 46591FAL8 56678.000000 PA USD 53999.060000 0.0409262 Long ABS-MBS CORP US N 2 2049-11-25 Floating 6.32943 N N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV4 N/A 46654DAD5 831157.050000 PA USD 661957.740000 0.5017011 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV6 N/A 46654FAD0 810837.180000 PA USD 645774.410000 0.4894357 Long ABS-MBS CORP US N 2 2052-04-25 Fixed 3 N N N N N N LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A N/A 50346EAA5 556736.710000 PA USD 508291.110000 0.3852364 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 837563.750000 PA USD 755948.070000 0.5729369 Long ABS-MBS CORP US N 3 2046-09-29 Fixed 4.25 N N N N N N LEHMAN XS TRUST 2006-16N N/A 52522DAH4 344150.360000 PA USD 255386.310000 0.1935586 Long ABS-MBS CORP US N 2 2046-11-25 Floating 6.0742 Y N N N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 959869.970000 PA USD 104212.600000 0.0789833 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.8342 Y N N N N N MASTR ASSET SECURIZATION TR 2007-3 N/A 57645NAS9 1755.580000 PA USD 1688.720000 0.0012799 Long ABS-MBS CORP US N 3 2047-05-25 Floating 6.0342 Y N N N N N MASTR ASSET SECURIZATION TR 2007-3 N/A 57645NAT7 450000.000000 PA USD 367229.790000 0.2783253 Long ABS-MBS CORP US N 2 2047-05-25 Floating 6.1142 Y N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 16591.090000 PA USD 15690.800000 0.0118921 Long ABS-MBS CORP US N 2 2031-11-15 Floating 6.14668 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AA7 212744.850000 PA USD 193041.550000 0.1463072 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.381 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-NC5 N/A 61749BAB9 407217.670000 PA USD 210249.740000 0.1593493 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.5042 N N N N N N AEGIS ASSET BACKED SEC TR 2005-1 N/A 00764MEN3 299681.170000 PA USD 285228.900000 0.2161764 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.1342 N N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 498267.090000 PA USD 142702.000000 0.1081546 Long ABS-MBS CORP US N 2 2037-04-25 Floating 6.1542 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 462213.600000 PA USD 425617.750000 0.3225779 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2 N/A 67114WAA9 373442.930000 PA USD 296490.830000 0.2247119 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC N/A 74040YAB8 147554.520000 PA USD 138701.250000 0.1051224 Long DBT CORP KY N 2 2033-07-03 Floating 6.52142 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 2276350.570000 PA USD 2122326.540000 1.6085221 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1 N/A 69363JAA2 896166.540000 PA USD 868780.590000 0.6584532 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 3.721 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO5 N/A 75114HAK3 66496.240000 PA USD 51328.280000 0.0389020 Long ABS-MBS CORP US N 2 2046-05-25 Floating 5.9742 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA9 N/A 761118FJ2 146889.280000 PA USD 56687.800000 0.0429640 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.25601 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QO9 N/A 75114PAC3 90051.890000 PA USD 78822.520000 0.0597400 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.8342 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QH4 N/A 74922TAB2 17943.460000 PA USD 15071.690000 0.0114229 Long ABS-MBS CORP US N 3 2037-05-25 Floating 5.8942 Y N N N N N RESIDENTIAL ASSET SEC CORP 2006-KS9 N/A 75406YAD9 587231.930000 PA USD 505947.050000 0.3834598 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.6842 Y N N N N N SAXON ASSET SECURITIES TRUST 2007-4 N/A 80557CAB8 165308.060000 PA USD 138055.490000 0.1046330 Long ABS-MBS CORP US N 2 2037-12-25 Floating 7.1842 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-EC1 N/A 81375WDE3 79721.060000 PA USD 77003.590000 0.0583614 Long ABS-MBS CORP US N 3 2035-01-25 Floating 6.0792 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAB9 2008.050000 PA USD 1871.490000 0.0014184 Long ABS-MBS CORP US N 3 2027-10-20 Floating 6.19932 N N N N N N SEQUOIA MORTGAGE TRUST 5 N/A 81743WAA9 11146.960000 PA USD 10515.610000 0.0079698 Long ABS-MBS CORP US N 3 2026-10-19 Floating 6.14156 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 4870.460000 PA USD 4658.320000 0.0035306 Long ABS-MBS CORP US N 2 2032-09-19 Floating 6.10156 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2006-5 N/A 88522RAA2 34885.510000 PA USD 32328.950000 0.0245023 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.82972 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 187395.430000 PA USD 189082.060000 0.1433063 Long ABS-MBS CORP US N 2 2058-05-25 Floating 6.4342 N N N N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A 86358RMY0 4002.610000 PA USD 3834.560000 0.0029062 Long ABS-MBS CORP US N 2 2031-10-25 Floating 6.1342 N N N N N N UMBS PASS THRU POOLS N/A 01F0124A1 -5000000.000000 PA USD -4166113.250000 -3.1575185 Short ABS-MBS USGSE US N 2 2037-10-18 Fixed 1.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0204B2 500000.000000 PA USD 429482.420000 0.3255069 Long ABS-MBS USGSE US N 2 2038-11-15 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0224A0 850000.000000 PA USD 749195.310000 0.5678189 Long ABS-MBS USGSE US N 2 2037-10-18 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0304A3 -500000.000000 PA USD -452304.690000 -0.3428040 Short ABS-MBS USGSE US N 2 2037-10-18 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0324A9 500000.000000 PA USD 462351.660000 0.3504187 Long ABS-MBS USGSE US N 2 2037-10-18 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0404A2 -1200000.000000 PA USD -1132828.130000 -0.8585762 Short ABS-MBS USGSE US N 2 2038-10-18 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0424A8 2500000.000000 PA USD 2396398.700000 1.8162428 Long ABS-MBS USGSE US N 2 2038-10-18 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0126A9 900000.000000 PA USD 646804.680000 0.4902166 Long ABS-MBS USGSE US N 2 2053-10-12 Fixed 1.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0206B0 25300000.000000 PA USD 19269507.690000 14.6044581 Long ABS-MBS USGSE US N 2 2053-11-13 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0306A1 5000000.000000 PA USD 4134960.900000 3.1339079 Long ABS-MBS USGSE US N 2 2053-10-12 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0306B9 1145000.000000 PA USD 948337.300000 0.7187497 Long ABS-MBS USGSE US N 2 2053-11-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0326A7 -500000.000000 PA USD -430039.070000 -0.3259288 Short ABS-MBS USGSE US N 2 2053-10-12 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 -11300000.000000 PA USD -9727710.990000 -7.3726817 Short ABS-MBS USGSE US N 2 2053-11-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0406A0 2000000.000000 PA USD 1780781.240000 1.3496632 Long ABS-MBS USGSE US N 2 2053-10-12 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 4450000.000000 PA USD 3966410.130000 3.0061625 Long ABS-MBS USGSE US N 2 2053-11-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0426A6 -1700000.000000 PA USD -1560945.320000 -1.1830484 Short ABS-MBS USGSE US N 2 2052-10-13 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0426B4 5200000.000000 PA USD 4776281.280000 3.6199679 Long ABS-MBS USGSE US N 2 2053-11-13 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0506A9 21000000.000000 PA USD 19813828.230000 15.0170014 Long ABS-MBS USGSE US N 2 2053-10-12 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F0526B3 4100000.000000 PA USD 3961464.770000 3.0024143 Long ABS-MBS USGSE US N 2 2053-11-13 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0606B6 5100000.000000 PA USD 5031070.340000 3.8130738 Long ABS-MBS USGSE US N 2 2053-11-13 Fixed 6 N N N N N N UMBS PASS THRU POOLS N/A 01F0626B2 17200000.000000 PA USD 17268531.340000 13.0879079 Long ABS-MBS USGSE US N 2 2053-11-13 Fixed 6.5 N N N N N N UNITED NATIONAL HM LN OWNER TR 1999-1 N/A 91103PAC3 3393.730000 PA USD 3281.290000 0.0024869 Long ABS-MBS CORP US N 3 2025-03-25 Variable 6.91 Y N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796YJ2 311000.000000 PA USD 310863.550000 0.2356051 Long DBT UST US N 2 2023-10-05 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796ZD4 126000.000000 PA USD 124900.390000 0.0946626 Long DBT UST US N 2 2023-11-30 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797FJ1 1048000.000000 PA USD 1042148.080000 0.7898493 Long DBT UST US N 2 2023-11-09 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797FK8 351000.000000 PA USD 348679.010000 0.2642656 Long DBT UST US N 2 2023-11-16 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDP3 -1900000.000000 PA USD -1614035.160000 -1.2232855 Short DBT UST US N 2 2028-12-31 Fixed 1.375 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4 N/A 03880RAA7 1400000.000000 PA USD 1382080.000000 1.0474855 Long ABS-CBDO CORP KY N 2 2036-11-15 Floating 6.79668 N N N N N N WASHINGTON MUTUAL 2004-AR10 N/A 92922FWV6 34258.010000 PA USD 30826.740000 0.0233637 Long ABS-MBS CORP US N 3 2044-07-25 Floating 6.4342 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBL5 261016.700000 PA USD 216277.320000 0.1639177 Long ABS-MBS CORP US N 2 2045-12-25 Floating 6.1342 N N N N N N WASHINGTON MUTUAL MTGE P/T 2007-OA1 N/A 93935NAB0 112683.660000 PA USD 89604.440000 0.0679117 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.34567 N N N N N N N/A N/A 000000000 517000.000000 PA USD 517000.000000 0.3918369 Long RA US N 2 Repurchase N 2.6000000 2023-10-02 542700.000000 USD 527340.350000 USD UST N N N N/A N/A 000000000 1619750.000000 PA USD 1619750.000000 1.2276168 Long RA US N 2 Repurchase N 5.3800000 2023-10-04 1900000.000000 USD 1614035.160000 USD UST N N N N/A N/A 000000000 -13815952.690000 PA USD -13853601.170000 -10.4997149 Short RA US N 2 Reverse repurchase N 5.4500000 2023-10-12 16384821.800000 USD 13840911.690000 USD AMBS N N N 2023-11-14 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer