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761056.55 0.060525402326 Long ABS-MBS USGSE US N 2 2045-04-15 Floating .765 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 FHLMC CMO IO 3137FJK99 14419708.28 PA USD 1266194.58 0.100698083969 Long ABS-MBS USGSE US N 2 2056-08-15 Floating .665 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 FHLMC CMO IO 3137FJGY9 6557553.85 PA USD 237299.51 0.018871985681 Long ABS-MBS USGSE US N 2 2042-06-15 Floating .615 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 FHLMC CMO IO 3137FC5M2 10646868.67 PA USD 957310 0.076133071715 Long ABS-MBS USGSE US N 2 2047-12-15 Floating .765 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 FHLMC CMO IO 3137AW3K9 770563.6 PA USD 79775.45 0.006344392157 Long ABS-MBS USGSE US N 2 2042-11-15 Fixed 4.5 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 FHLMC CMO IO 3137HANZ5 3870206.12 PA USD 800219.3 0.063639942500 Long ABS-MBS USGSE US N 2 2046-12-15 Fixed 4 N N N N N N FREDDIE MAC REMICS S6XOOCT0IEG5ABCC6L87 FHLMC CMO PO 31397P6U9 37424.2 PA USD 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N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN15 3140XM2T2 2000000 PA USD 1701860 0.135345739028 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN15 3140QL5S1 4946191.09 PA USD 4340929.64 0.345226005778 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140QSQA2 1970232.38 PA USD 1874470.22 0.149073106608 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140XK5T3 795177.6 PA USD 777363.55 0.061822267500 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140QKVB1 2916549.63 PA USD 2260276.97 0.179755595003 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140XMA55 4961811.25 PA USD 4710721.27 0.374634841669 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31402QYY1 152850.74 PA USD 151004.3 0.012009089220 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31409VC76 11278.18 PA USD 11335.74 0.000901510176 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31371MWJ2 6203.99 PA USD 6237.21 0.000496033632 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31410FDX0 7507.62 PA USD 7551.65 0.000600568584 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31371M5N3 12649.26 PA USD 12718.7 0.001011494395 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31411AFK6 6474.12 PA USD 6514.42 0.000518079624 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140K4CQ1 21633.34 PA USD 19680.1 0.001565121502 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140K4B58 201688.87 PA USD 176894.05 0.014068052558 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140KX2N5 233257.43 PA USD 179968.77 0.014312579282 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140L1SD8 274606.38 PA USD 211871.37 0.016849733322 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140L5LC8 159692.31 PA USD 123659.05 0.009834372692 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140KX6M3 168248.77 PA USD 130232.24 0.010357126184 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140KXMJ2 218779.04 PA USD 168798.03 0.013424191248 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140XGML0 1344086.03 PA USD 1129402.56 0.089819270764 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140XHB97 1309295.03 PA USD 1100168.54 0.087494343896 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140MN3M6 866041.49 PA USD 799372.4 0.063572590129 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140MWH66 947565.16 PA USD 874620.27 0.069556912326 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140QPSZ1 925955.24 PA USD 855903.67 0.068068416176 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140XJJM6 3692774.72 PA USD 3408499.75 0.271071602623 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140QNEP3 809342.71 PA USD 600141.05 0.047728093929 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140QHG66 566914.75 PA USD 419136.57 0.033333146569 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140QMAG9 567373.74 PA USD 440591.64 0.035039428111 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140XFGA3 362483.8 PA USD 281371.96 0.022376985103 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140QNE65 758224.65 PA USD 589506.93 0.046882382278 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140XCAU2 785013.26 PA USD 583326.94 0.046390899245 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31417GHQ2 51330.35 PA USD 43374.47 0.003449490379 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138WNBL2 88437.59 PA USD 74453.31 0.005921132329 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138M7G33 42698.38 PA USD 36234.04 0.002881625352 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140EVB63 135408.39 PA USD 119936.07 0.009538291064 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138Y7E99 1031336.3 PA USD 835724.9 0.066463636382 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140EVUP0 1412682.44 PA USD 1162841.93 0.092478641245 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140EVTB3 1376364.16 PA USD 1132946.72 0.090101131173 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138WJZG6 662452.41 PA USD 566268.76 0.045034294131 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31418CG32 367507.92 PA USD 314148.23 0.024983620482 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138Y7E57 129685.16 PA USD 109761.53 0.008729128950 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138Y7FA5 111597.17 PA USD 95149.89 0.007567092581 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138WJPQ5 240220.44 PA USD 203315.18 0.016169275553 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140FHAX5 59266.66 PA USD 50050.35 0.003980410615 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138Y7FF4 59477.28 PA USD 50283.98 0.003998990771 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140E5E67 90782.09 PA USD 83223.81 0.006618633771 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138YA4M4 161303.45 PA USD 148075.37 0.011776156902 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138Y4A90 209806.06 PA USD 192600.41 0.015317149959 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140EUNG0 75934.79 PA USD 69565.19 0.005532389298 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140FHG50 100029.33 PA USD 91482.33 0.007275418402 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140J5JS9 3062263.96 PA USD 2527384.74 0.200998175786 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138WJTE8 930750.68 PA USD 768178.42 0.061091791310 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140FC3F3 1333135.88 PA USD 1134157.62 0.090197431782 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140J8SF1 2477998.58 PA USD 1992334.9 0.158446663905 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 2.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140H25H7 73618.44 PA USD 64861.41 0.005158306483 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140H25U8 82541.79 PA USD 72723.31 0.005783548668 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140H24V7 81224.96 PA USD 71563.12 0.005691280930 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140H1HT0 31052.67 PA USD 27358.91 0.002175802882 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140JKAB2 359986.2 PA USD 326639.81 0.025977052449 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140JMRA2 682154.43 PA USD 640566.34 0.050943041545 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140JMSD5 878632.76 PA USD 825066.21 0.065615970726 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140JUFY5 61317.16 PA USD 56638.07 0.004504319651 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140JS4K2 57521.65 PA USD 53924.92 0.004288547912 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140JUGW8 17818.09 PA USD 16156.42 0.001284889829 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140JXZG6 113425.92 PA USD 106333.59 0.008456511300 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3140JKL87 46863.62 PA USD 43294.81 0.003443155169 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31411H6U9 22483.42 PA USD 22631.95 0.001799876605 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31410KD50 21085.27 PA USD 21221.23 0.001687684685 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31418MGR7 84262.82 PA USD 84770.43 0.006741633563 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31419A4K0 32187.4 PA USD 32388.45 0.002575792780 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31418MC91 105208.47 PA USD 105865.21 0.008419261916 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138EGE26 33256.58 PA USD 33468.2 0.002661663276 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138EHW40 53845.85 PA USD 54185.48 0.004309269761 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31416CKF2 25613.28 PA USD 25767.22 0.002049218757 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138ELCH4 85046.09 PA USD 85532.38 0.006802230020 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31417BXC6 177245.22 PA USD 154148.96 0.012259178141 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31419AA64 35357.96 PA USD 35558.64 0.002827912055 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138LWCH2 187818.67 PA USD 162756.05 0.012943683892 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138W1SQ1 34717.84 PA USD 29296.98 0.002329933960 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138X0YX0 427168.58 PA USD 368578.69 0.029312373044 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138W36N8 171600.1 PA USD 148508.82 0.011810628368 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138WDT76 74083.47 PA USD 65965.66 0.005246125418 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138XJZ75 539458.91 PA USD 462650.32 0.036793713626 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138EPT20 54992.7 PA USD 55304.02 0.004398225153 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 3138EKBW4 374269.81 PA USD 356008.75 0.028312709252 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 FN30 31418BM60 167519.57 PA USD 148692.2 0.011825212237 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 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N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617MNPR8 113541.98 PA USD 96692.21 0.007689750403 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617MNPS6 305528.71 PA USD 269477.15 0.021431013137 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617LNR89 984293.92 PA USD 838223.52 0.066662346952 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617LNR97 948375.53 PA USD 807635.46 0.064229735817 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617LE6X7 134906.26 PA USD 115771.33 0.009207077090 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617LE6Z2 192944.9 PA USD 164311.65 0.013067397847 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617LE6Y5 209234.27 PA 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MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JJ4C7 43814.97 PA USD 43680.11 0.003473797356 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JJ4A1 49586.48 PA USD 49433.86 0.003931382320 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JJ4U7 33692.68 PA USD 33588.98 0.002671268683 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JJZ25 27515.65 PA USD 27430.96 0.002181532884 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JJ4B9 12273.29 PA USD 12235.51 0.000973067199 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JJ3Z7 34416.35 PA USD 34310.42 0.002728643456 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JSE28 12357.19 PA USD 12303.71 0.000978491017 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JJVH6 15152.49 PA USD 15103.96 0.001201189656 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JJ2R6 22207.69 PA USD 22139.34 0.001760700254 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JJ2S4 25653.46 PA USD 25574.5 0.002033892096 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JUUV1 18065.06 PA USD 17986.88 0.001430462886 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 6 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617LES54 93993.19 PA USD 79985.74 0.006361116127 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617LXV41 139635.35 PA USD 122984.21 0.009780703931 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617LKWJ5 23853.49 PA USD 21061.21 0.001674958594 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617LKTB6 42511.57 PA USD 37535.17 0.002985101785 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617KQAS7 23323.29 PA USD 20614.94 0.001639467576 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617LKWK2 27141.25 PA USD 23964.1 0.001905820000 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617M1A50 197153.1 PA USD 174074.4 0.013843811074 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617MH3D6 1652580.67 PA USD 1357384.81 0.107950272205 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36202TWF9 46123.79 PA USD 42391.2 0.003371292758 Long ABS-MBS USGA US N 2 2044-05-20 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3617AMJ66 757704.69 PA USD 653547.8 0.051975432751 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617AMJ74 1182982.18 PA USD 1019256.02 0.081059522691 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617AMJ90 973222.44 PA USD 835790.09 0.066468820822 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617BG3X6 341154.16 PA USD 294257.85 0.023401775806 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617BG3Y4 198382.8 PA USD 170926.38 0.013593454938 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617BG3Z1 215681.89 PA USD 185224.65 0.014730569577 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617BGTB6 990567.33 PA USD 854400.28 0.067948854384 Long ABS-MBS USGA 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GII30 3617ATK85 46701.69 PA USD 40238.12 0.003200062337 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617BJUW2 23153.74 PA USD 19884.11 0.001581346035 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617G0RR3 356442 PA USD 307110 0.024423883229 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617G0RS1 541616.93 PA USD 466148.73 0.037071935622 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617G0RT9 406432.27 PA USD 348657.44 0.027728073334 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617G0RU6 829256.02 PA USD 711376.28 0.056574423480 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36179TSH9 1999972.53 PA USD 1785855.87 0.142025773285 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617GPMJ1 210282.09 PA USD 192607.8 0.015317737671 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617GPMK8 417286.97 PA USD 382213.83 0.030396750196 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36179TZ73 496045.58 PA USD 468611.13 0.037267765684 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36179TXX8 1239667.8 PA USD 1173043.34 0.093289940279 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36179T7J8 1309219.29 PA USD 1130476.56 0.089904683973 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617GCYW8 553944.35 PA USD 490138.38 0.038979787566 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617G0SZ4 118914.39 PA USD 105180.1 0.008364776401 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617G0S27 62005.47 PA USD 54844.01 0.004361641419 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617GQYF4 386554.04 PA USD 341304.1 0.027143275973 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617GQXB4 1176621.92 PA USD 1039254.49 0.082649963562 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617J16T7 590582.58 PA USD 572653.02 0.045542022375 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JLLB5 384995.8 PA USD 373307.67 0.029688459968 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 5.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 3617JLK83 131122.12 PA USD 123337.56 0.009808805194 Long ABS-MBS USGA US N 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303879.17 PA USD 251969.28 0.020038645020 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 3 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36182HFR2 133738.32 PA USD 131298.24 0.010441903168 Long ABS-MBS USGA US N 2 2065-05-20 Variable 4.646 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36186JHC5 24276.93 PA USD 23742.09 0.001888163960 Long ABS-MBS USGA US N 2 2065-05-20 Fixed 4.356 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36186JHJ0 22086.94 PA USD 21433.97 0.001704603498 Long ABS-MBS USGA US N 2 2065-06-20 Variable 4.405 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36186JHQ4 4719.28 PA USD 4607.86 0.000366454477 Long ABS-MBS USGA US N 2 2065-06-20 Variable 4.596 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36186JHS0 17038.19 PA USD 16532.29 0.001314782067 Long ABS-MBS USGA US N 2 2065-06-20 Variable 4.28 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36186JHR2 15320.32 PA USD 15002.33 0.001193107213 Long ABS-MBS USGA US 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549300M8ZYFG0OCMTT87 GII30 36291QQ49 497768.29 PA USD 456552.88 0.036308795641 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 4.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36194G5Z3 82828.45 PA USD 68964.86 0.005484646178 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36295LW98 214605.94 PA USD 178685.8 0.014210547081 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36194J5R5 179215.97 PA USD 149219.3 0.011867131512 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30 36195T2M6 160044.7 PA USD 133256.87 0.010597669345 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30P 3622ACN55 1491253.47 PA USD 1437126.04 0.114291942909 Long ABS-MBS USGA US N 2 2053-07-20 Fixed 5.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GII30P 3622AANA8 1035314.7 PA USD 894614.19 0.071146991345 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549300M8ZYFG0OCMTT87 GN30 3620C0ZX9 1291404.79 PA USD 1233740.72 0.098117089253 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GN30 36212CUX7 37317.42 PA USD 37655.36 0.002994660270 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 6.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GN30 36213GNR8 17849.21 PA USD 18024.55 0.001433458710 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 6.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GN30 36197F2U6 10035.39 PA USD 8674.66 0.000689879466 Long ABS-MBS USGA US N 2 2047-11-15 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GN30 36197F2T9 45809.82 PA USD 39598.34 0.003149181831 Long ABS-MBS USGA US N 2 2047-11-15 Fixed 3.5 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GN30 36213GNS6 7411.28 PA USD 7488.36 0.000595535249 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 6.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379HVB8 6846155.69 PA USD 1350267.28 0.107384228372 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381TSF3 8676246.55 PA USD 535263.68 0.042568518177 Long ABS-MBS USGA US N 2 2049-04-20 Floating .596 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38377WKG8 3452720.35 PA USD 9105.17 0.000724117120 Long ABS-MBS USGA US N 2 2040-12-20 Floating 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376WP82 791656.05 PA USD 137263.9 0.010916340937 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376WM85 556888.74 PA USD 113988.67 0.009065305479 Long ABS-MBS USGA US N 2 2040-03-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38375CMY3 1762834.74 PA USD 299824.17 0.023844454812 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376XF24 9351588.13 PA USD 513963.28 0.040874537250 Long ABS-MBS USGA US N 2 2040-03-20 Floating .296 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38375AX25 5011108.97 PA USD 1046069 0.083191908782 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38375AXQ2 2350397.79 PA USD 475226.93 0.037793907870 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38378YP78 1835079.54 PA USD 304141.68 0.024187818298 Long ABS-MBS USGA US N 2 2044-01-16 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38377X4D1 5840068.16 PA USD 831336.04 0.066114598565 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376MBJ5 947294.37 PA USD 34389.53 0.002734934926 Long ABS-MBS USGA US N 2 2029-01-16 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38378YFH7 1861878.46 PA USD 69777.43 0.005549268348 Long ABS-MBS USGA US N 2 2028-11-16 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379AAT7 945872.36 PA USD 33224.24 0.002642261594 Long ABS-MBS USGA US N 2 2029-02-16 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379BZU5 622791.04 PA USD 13601.76 0.001081722503 Long ABS-MBS USGA US N 2 2029-05-20 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379CU79 981743.59 PA USD 41844.66 0.003327827455 Long ABS-MBS USGA US N 2 2041-03-16 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38378HVU7 7453143 PA USD 1179203.49 0.093779845474 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376CM30 3171573.78 PA USD 432634.38 0.034406602124 Long ABS-MBS USGA US N 2 2039-08-20 Fixed 6 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379LL46 6511941.75 PA USD 1190134.2 0.094649144372 Long ABS-MBS USGA US N 2 2045-04-16 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376RAF3 16496798.96 PA USD 577387.97 0.045918584082 Long ABS-MBS USGA US N 2 2065-04-20 Variable 1.784 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379LWF9 1831392.48 PA USD 110159.54 0.008760781940 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376REB8 11897869.19 PA USD 575856.87 0.045796818565 Long ABS-MBS USGA US N 2 2065-07-20 Variable .519 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376RBE5 15027664.08 PA USD 455338.23 0.036212196800 Long ABS-MBS USGA US N 2 2065-05-20 Variable 1.83 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38375USW1 5604261.37 PA USD 108784.32 0.008651413269 Long ABS-MBS USGA US N 2 2064-12-20 Variable 1.54 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376RFF8 14936359.3 PA USD 504848.94 0.040149690857 Long ABS-MBS USGA US N 2 2065-08-20 Variable 1.812 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376RBT2 18294035.32 PA USD 735420.22 0.058486593005 Long ABS-MBS USGA US N 2 2065-05-20 Variable 1.814 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38375BFR8 8733704.34 PA USD 265757.89 0.021135227354 Long ABS-MBS USGA US N 2 2060-08-20 Variable 1.426 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376RBQ8 15445227.76 PA USD 480346.58 0.038201064047 Long ABS-MBS USGA US N 2 2065-04-20 Variable 1.668 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376RJD9 12985825.04 PA USD 345422.94 0.027470839606 Long ABS-MBS USGA US N 2 2065-09-20 Variable 1.577 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376RJH0 11146183.25 PA USD 381199.47 0.030316080045 Long ABS-MBS USGA US N 2 2065-10-20 Variable .046 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376RJW7 11104083.47 PA USD 403555.71 0.032094029949 Long ABS-MBS USGA US N 2 2065-10-20 Variable .09 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379DJU9 2603032.14 PA USD 121154.74 0.009635209608 Long ABS-MBS USGA US N 2 2029-07-16 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379B6E3 1803171.82 PA USD 357564.65 0.028436447067 Long ABS-MBS USGA US N 2 2044-05-20 Fixed 5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38378DRC1 12960727.16 PA USD 2180512.74 0.173412095152 Long ABS-MBS USGA US N 2 2042-03-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38375UWZ9 16979820.39 PA USD 494362.54 0.039315727101 Long ABS-MBS USGA US N 2 2066-01-20 Variable 2.083 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379Q6W0 4853090.86 PA USD 822744.5 0.065431329477 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38375UKB5 26527263.2 PA USD 747830.07 0.059473525138 Long ABS-MBS USGA US N 2 2064-06-20 Variable 1.494 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38384EUV5 1424539.25 PA USD 1213304.3 0.096491819039 Long ABS-MBS USGA US N 2 2053-09-20 Floating 2.809 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38384DZX8 3221000 PA USD 3218648.67 0.255973101731 Long ABS-MBS USGA US N 2 2051-04-20 Floating 6.462 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38380LU68 20222268.07 PA USD 940153.26 0.074768628309 Long ABS-MBS USGA US N 2 2070-01-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379EZ54 8983397.62 PA USD 872065.12 0.069353706032 Long ABS-MBS USGA US N 2 2044-09-16 Floating .751 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38379H3K9 9991994.3 PA USD 1933023.23 0.153729717852 Long ABS-MBS USGA US N 2 2045-01-20 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382AJU0 14347244.64 PA USD 976593.98 0.077666690535 Long ABS-MBS USGA US N 2 2049-10-20 Floating .696 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382DL64 15567737.59 PA USD 1185263.71 0.094261803423 Long ABS-MBS USGA US N 2 2049-10-20 Floating .596 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382BFR9 3616080.56 PA USD 641131.08 0.050987954260 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382BDB6 16555595.69 PA USD 2718710.26 0.216213936131 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382B6A6 30756842.91 PA USD 2430405.72 0.193285615921 Long ABS-MBS USGA US N 2 2050-01-20 Floating .646 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382DRV3 14140113.58 PA USD 1169361.94 0.092997165431 Long ABS-MBS USGA US N 2 2050-03-20 Floating .646 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381BFZ2 17210308.54 PA USD 1349196.98 0.107299109417 Long ABS-MBS USGA US N 2 2048-12-20 Floating .696 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381RBC2 14549231.04 PA USD 1120337.35 0.089098331588 Long ABS-MBS USGA US N 2 2049-02-20 Floating .646 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381YD92 18853593.01 PA USD 1838562.79 0.146217455938 Long ABS-MBS USGA US N 2 2049-09-16 Floating .601 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381R6Q7 12824073.75 PA USD 914736.05 0.072747245192 Long ABS-MBS USGA US N 2 2049-03-20 Floating .596 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381XXG6 11140706.02 PA USD 757568.01 0.060247965272 Long ABS-MBS USGA US N 2 2049-08-20 Floating .596 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382C5A5 16818592.4 PA USD 3161969.37 0.251465503135 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382EFF9 34944576.42 PA USD 2231910.1 0.177499630950 Long ABS-MBS USGA US N 2 2049-02-20 Floating .546 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382HLM0 4981343.24 PA USD 465363.56 0.037009492523 Long ABS-MBS USGA US N 2 2050-08-20 Floating .846 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382JPP5 27781474.5 PA USD 2691191.43 0.214025415110 Long ABS-MBS USGA US N 2 2050-09-20 Floating .846 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382J3Q7 28884152.26 PA USD 3935465.75 0.312980221848 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382GRP9 26784043.85 PA USD 2329180.63 0.185235374059 Long ABS-MBS USGA US N 2 2050-07-20 Floating .746 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382EMH7 39009636.07 PA USD 3012714.19 0.239595518154 Long ABS-MBS USGA US N 2 2050-04-20 Floating .596 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382LYL9 4526663.13 PA USD 714572.7 0.056828628777 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 3 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38384ARL9 3353719.71 PA USD 2988838.36 0.237696718102 Long ABS-MBS USGA US N 2 2053-05-20 Floating 2.072 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38380LYU1 15645298.01 PA USD 682773.48 0.054299696356 Long ABS-MBS USGA US N 2 2069-08-20 Variable 0 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381XAJ5 10555792.23 PA USD 839502.15 0.066764034002 Long ABS-MBS USGA US N 2 2049-07-20 Floating .646 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381XBB1 15020707.5 PA USD 1229294.7 0.097763505609 Long ABS-MBS USGA US N 2 2049-07-20 Floating .646 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381XAY2 8924723.09 PA USD 1806899.44 0.143699329002 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 4.5 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381A3Z7 7586308.35 PA USD 582491.17 0.046324432022 Long ABS-MBS USGA US N 2 2048-11-20 Floating .646 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382AAJ4 2777320.4 PA USD 262351.24 0.020864302858 Long ABS-MBS USGA US N 2 2049-10-20 Floating .546 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381AHQ2 10417634.47 PA USD 733558.77 0.058338555373 Long ABS-MBS USGA US N 2 2046-02-16 Floating .651 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38382AQY4 3913470.95 PA USD 364956.6 0.029024315009 Long ABS-MBS USGA US N 2 2049-10-20 Floating .596 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38381VKZ2 6828175.55 PA USD 458238.86 0.036442878473 Long ABS-MBS USGA US N 2 2049-05-20 Floating .646 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376RA63 21605231.59 PA USD 820998.8 0.065292497225 Long ABS-MBS USGA US N 2 2066-10-20 Variable .457 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 38376RG26 9107225.85 PA USD 427087.27 0.033965450852 Long ABS-MBS USGA US N 2 2066-11-20 Variable .102 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA CMO IO 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INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2059-11-17 278002.31 USD 0 USD 2192000 USD 430269.42 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Mortgage Backed Swap Basket Index N/A 571000 NC USD 257749.4 0.020498327140 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 0 USD 57085.42 USD 571000 USD -200108.84 N N N CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Mortgage Backed Swap Basket Index N/A 2639000 NC USD 1191244.6 0.094737452405 N/A DCR CORP US N 2 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Y 2072-12-16 0 USD 249051.7 USD 2639000 USD -939627.21 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 PERPETUAL BONDS 539439AG4 730000 PA USD 711437.23 0.056579270720 Long DBT CORP GB N 2 N/A Variable 7.5 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 PERPETUAL BONDS 29273VAJ9 2011000 PA USD 1553497.5 0.123546747215 Long DBT CORP US N 2 N/A Variable 6.625 N N N N N N DP WORLD SALAAM 549300SUYBT9X88E9435 PERPETUAL BONDS N/A 310000 PA USD 302250 0.024037376530 Long DBT CORP KY N 2 N/A Variable 6 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 PERPETUAL BONDS 83370RAA6 1682000 PA USD 1206340.83 0.095938027309 Long DBT CORP FR N 2 N/A Variable 5.375 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 PERPETUAL BONDS 28504KAA5 210000 PA USD 214462.5 0.017055801039 Long DBT CORP FR N 2 N/A Variable 9.125 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 PERPETUAL BONDS 172967MV0 1608000 PA USD 1348171.8 0.107217578771 Long DBT CORP US N 2 N/A Variable 3.875 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 PERPETUAL BONDS 05565ASK0 565000 PA USD 391812.36 0.031160103313 Long DBT CORP FR N 2 N/A Variable 4.625 N N N N N N GOLDMAN SACHS GROUP INC/THE 784F5XWPLTWKTBV3E584 PERPETUAL BONDS 38144GAG6 441000 PA USD 341753.52 0.027179017504 Long DBT CORP US N 2 N/A Variable 3.65 N N N N N N WELLS FARGO AND CO PBLD0EJDB5FWOLXP3B76 PERPETUAL BONDS 949746TD3 655000 PA USD 567334.8 0.045119074297 Long DBT CORP US N 2 N/A Variable 3.9 N N N N N N PUTNAM SHORT TERM INVESTMENT FUND 5493003MK0Q7JP8CPP42 SHORT TERM INV FUND 74676P664 130924038.91 NS USD 130924038.91 10.412143656232 Long STIV PF US N 2 N N N State Street Institutional U.S. Government Money Market Fund, Premier Class N/A SHORT TERM INV FUND N/A 60301000 NS USD 60301000 4.795625614988 Long STIV RF US N 1 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 SWAPTION N/A 62686100 NC USD -6363892.87 -0.506108483415 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2029-01-16 0 USD 0 USD 62686100 USD 1 1.7 USD 2024-01-11 XXXX -6363892.87 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 SWAPTION N/A 62686100 NC USD 1322049.85 0.105140149002 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2029-01-16 0 USD 0 USD 62686100 USD 1 1.7 USD 2024-01-11 XXXX 1322049.85 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 SWAPTION N/A 9726100 NC USD 456056.83 0.036269345713 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2037-01-14 0 USD 0 USD 9726100 USD 1 1.81 USD 2027-01-12 XXXX 456056.83 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 SWAPTION N/A 9726100 NC USD -1379744.55 -0.109728500458 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2037-01-14 0 USD 0 USD 9726100 USD 1 1.81 USD 2027-01-12 XXXX -1379744.55 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 SWAPTION N/A 22986200 NC USD 2292643.59 0.182329651685 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2042-02-13 0 USD 0 USD 22986200 USD 1 1.99 USD 2032-02-11 XXXX 2292643.59 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 SWAPTION N/A 22986200 NC USD -1030931.07 -0.081988017555 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2042-02-13 0 USD 0 USD 22986200 USD 1 1.99 USD 2032-02-11 XXXX -1030931.07 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 96522000 NC USD 4307776.86 0.342589427264 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2037-06-16 0 USD 0 USD 96522000 USD 1 3.073 USD 2027-06-14 XXXX 4307776.86 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 96522000 NC USD -5440945.14 -0.432708178689 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2037-06-16 0 USD 0 USD 96522000 USD 1 3.073 USD 2027-06-14 XXXX -5440945.14 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 38222600 NC USD -2076633.86 -0.165150802341 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2039-06-15 0 USD 0 USD 38222600 USD 1 3.101 USD 2029-06-13 XXXX -2076633.86 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 38222600 NC USD 1530815.13 0.121742860802 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2039-06-15 0 USD 0 USD 38222600 USD 1 3.101 USD 2029-06-13 XXXX 1530815.13 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SWAPTION N/A 27456100 NC USD -2120434.6 -0.168634193175 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2057-05-28 0 USD 0 USD 27456100 USD 1 2.41 USD 2027-05-26 XXXX -2120434.6 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SWAPTION N/A 27456100 NC USD 3303243.39 0.262700761407 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2057-05-28 0 USD 0 USD 27456100 USD 1 2.41 USD 2027-05-26 XXXX 3303243.39 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 SWAPTION N/A 38370100 NC USD -777378.23 -0.061823434973 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2042-01-15 0 USD 0 USD 38370100 USD 1 1.84 USD 2032-01-13 XXXX -777378.23 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 SWAPTION N/A 38370100 NC USD 2234674.62 0.177719488049 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2042-01-15 0 USD 0 USD 38370100 USD 1 1.84 USD 2032-01-13 XXXX 2234674.62 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 33520700 NC USD 1465525 0.116550459021 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2039-10-11 0 USD 0 USD 33520700 USD 1 3.32 USD 2029-10-09 XXXX 1465525 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 33520700 NC USD -1210767.68 -0.096290086400 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2039-10-11 0 USD 0 USD 33520700 USD 1 3.32 USD 2029-10-09 XXXX -1210767.68 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 SWAPTION N/A 50000000 NC USD -2015500 -0.160288940930 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2057-10-28 0 USD 0 USD 50000000 USD 1 2.1175 USD 2027-10-26 XXXX -2015500 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SWAPTION N/A 41997900 NC USD 2009599.52 0.159819686804 N/A DIR CORP US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2042-12-06 0 USD 0 USD 41997900 USD 1 3.09 USD 2032-12-02 XXXX 2009599.52 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SWAPTION N/A 41997900 NC USD -1344352.78 -0.106913859262 N/A DIR CORP US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2042-12-06 0 USD 0 USD 41997900 USD 1 3.09 USD 2032-12-02 XXXX -1344352.78 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 16558800 NC USD -1649753.24 -0.131201785976 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2057-12-10 0 USD 0 USD 16558800 USD 1 2.47 USD 2027-12-08 XXXX -1649753.24 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 16558800 NC USD 2265409.43 0.180163769937 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2057-12-10 0 USD 0 USD 16558800 USD 1 2.47 USD 2027-12-08 XXXX 2265409.43 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 SWAPTION N/A 21881900 NC USD 1063460.34 0.084575009486 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2042-12-13 0 USD 0 USD 21881900 USD 1 3.0175 USD 2032-12-09 XXXX 1063460.34 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 SWAPTION N/A 21881900 NC USD -765428.86 -0.060873123953 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2042-12-13 0 USD 0 USD 21881900 USD 1 3.0175 USD 2032-12-09 XXXX -765428.86 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 10940800 NC USD -1058412.99 -0.084173603192 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2057-12-13 0 USD 0 USD 10940800 USD 1 2.558 USD 2027-12-09 XXXX -1058412.99 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 10940800 NC USD 1393748.51 0.110842209174 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2057-12-13 0 USD 0 USD 10940800 USD 1 2.558 USD 2027-12-09 XXXX 1393748.51 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 26320900 NC USD -1007300.84 -0.080108749611 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-17 0 USD 0 USD 26320900 USD 1 2.67 USD 2025-12-15 XXXX -1007300.84 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 26320900 NC USD 1622946.69 0.129069911251 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-17 0 USD 0 USD 26320900 USD 1 3.17 USD 2025-12-15 XXXX 1622946.69 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 26831500 NC USD 488869.93 0.038878910113 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2033-02-09 0 USD 0 USD 26831500 USD 1 3.03 USD 2028-02-07 XXXX 488869.93 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 26831500 NC USD -963250.85 -0.076605536391 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2033-02-09 0 USD 0 USD 26831500 USD 1 3.03 USD 2028-02-07 XXXX -963250.85 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 29183400 NC USD -1596040.15 -0.126930084508 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2036-03-18 0 USD 0 USD 29183400 USD 1 3.095 USD 2026-03-16 XXXX -1596040.15 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 29183400 NC USD 1322883.52 0.105206449216 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2036-03-18 0 USD 0 USD 29183400 USD 1 3.095 USD 2026-03-16 XXXX 1322883.52 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 29935200 NC USD -1325530.66 -0.105416971303 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2036-03-18 0 USD 0 USD 29935200 USD 1 3.03 USD 2026-03-16 XXXX -1325530.66 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 SWAPTION N/A 29935200 NC USD 1808684.78 0.143841313749 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2036-03-18 0 USD 0 USD 29935200 USD 1 3.03 USD 2026-03-16 XXXX 1808684.78 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 SWAPTION N/A 39229100 NC USD -2006960.76 -0.159609831163 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2040-03-27 0 USD 0 USD 39229100 USD 1 3.1525 USD 2030-03-25 XXXX -2006960.76 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 SWAPTION N/A 39229100 NC USD 1464030.01 0.116431565266 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2040-03-27 0 USD 0 USD 39229100 USD 1 3.1525 USD 2030-03-25 XXXX 1464030.01 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 SWAPTION N/A 24677900 NC USD -1370857.34 -0.109021717288 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2038-03-31 0 USD 0 USD 24677900 USD 1 3.19 USD 2028-03-29 XXXX -1370857.34 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 SWAPTION N/A 24677900 NC USD 900496.57 0.071614806012 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2038-03-31 0 USD 0 USD 24677900 USD 1 3.19 USD 2028-03-29 XXXX 900496.57 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 SWAPTION N/A 3001800 NC USD -41034.61 -0.003263405695 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Call Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2041-03-05 0 USD 0 USD 3001800 USD 1 2.118 USD 2031-03-03 XXXX -41034.61 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 SWAPTION N/A 3001800 NC USD 176595.89 0.014044340452 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Put Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2041-03-05 0 USD 0 USD 3001800 USD 1 2.118 USD 2031-03-03 XXXX 176595.89 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SWAPTION N/A 41524500 NC USD -955063.5 -0.075954411777 N/A DIR CORP US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2051-06-11 0 USD 0 USD 41524500 USD 1 1.945 USD 2031-06-09 XXXX -955063.5 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SWAPTION N/A 41524500 NC USD 3561971.61 0.283276932269 N/A DIR CORP US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2051-06-11 0 USD 0 USD 41524500 USD 1 1.945 USD 2031-06-09 XXXX 3561971.61 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SWAPTION N/A 6678900 NC USD -244982.05 -0.019482963702 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2047-03-25 0 USD 0 USD 6678900 USD 1 2.525 USD 2027-03-23 XXXX -244982.05 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SWAPTION N/A 6678900 NC USD 721254.41 0.057360012662 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2047-03-25 0 USD 0 USD 6678900 USD 1 2.525 USD 2027-03-23 XXXX 721254.41 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 SWAPTION N/A 96022800 NC USD -981353.02 -0.078045168074 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2041-02-05 0 USD 0 USD 96022800 USD 1 1.75 USD 2031-02-03 XXXX -981353.02 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 SWAPTION N/A 96022800 NC USD 5820902.14 0.462925447421 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2041-02-05 0 USD 0 USD 96022800 USD 1 1.75 USD 2031-02-03 XXXX 5820902.14 N N N CITIBANK N.A. 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BONDS 46647PDA1 5187000 PA USD 4872364.88 0.387490055291 Long DBT CORP US N 2 2028-04-26 Variable 4.323 N N N N N N PNC FINANCIAL SERVICES GROUP INC/THE CFGNEKW0P8842LEUIA51 VAR.RT. CORP. BONDS 693475BE4 3705000 PA USD 3091115 0.245830587766 Long DBT CORP US N 2 2033-06-06 Variable 4.626 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 VAR.RT. CORP. BONDS 225401AZ1 1520000 PA USD 1460645.84 0.116162428562 Long DBT CORP CH N 2 2033-08-12 Variable 6.537 N N N N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 VAR.RT. CORP. BONDS 89117F8Z5 1085000 PA USD 1064452.38 0.084653904570 Long DBT CORP CA N 2 2082-10-31 Variable 8.125 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 VAR.RT. CORP. BONDS 225401BB3 430000 PA USD 481692.54 0.038308105726 Long DBT CORP CH N 2 2033-11-15 Variable 9.016 N N N N N N WELLS FARGO AND CO PBLD0EJDB5FWOLXP3B76 VAR.RT. CORP. BONDS 95000U3E1 445000 PA USD 429106.24 0.034126015756 Long DBT CORP US N 2 2029-07-25 Variable 5.574 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 VAR.RT. CORP. BONDS 316773DK3 685000 PA USD 663489.72 0.052766095032 Long DBT CORP US N 2 2029-07-27 Variable 6.339 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 VAR.RT. CORP. BONDS 456837BF9 2025000 PA USD 2005677.67 0.159507789418 Long DBT CORP NL N 2 2027-09-11 Variable 6.083 N N N N N N JPMORGAN CHASE AND CO 8I5DZWZKVSZI1NUHU748 VAR.RT. CORP. BONDS 46647PAL0 817000 PA USD 571133.65 0.045421189724 Long DBT CORP US N 2 2048-11-15 Variable 3.964 N N N N N N 2023-12-21 Putnam Investments Inc Janet C. Smith NPORT Principal Financial Officer