| US TREASURY N/B |
45,126,000 |
34,607,000 |
-10,519,000 |
13.44% |
-$10.70M |
| FANNIE MAE POOL FN FS5306 |
1,657,368 |
1,557,777 |
-99,591 |
0.63% |
-$131.01K |
| FREDDIE MAC POOL FR 12/53 FIXED 6 |
1,408,081 |
1,329,873 |
-78,208 |
0.54% |
-$96.15K |
| FREDDIE MAC POOL FR 03/55 FIXED 6 |
1,416,383 |
1,320,681 |
-95,702 |
0.53% |
-$104.98K |
| FN FS5209 |
1,131,753 |
1,100,529 |
-31,224 |
0.45% |
-$39.52K |
| FREDDIE MAC POOL FR 09/34 FIXED 2.5 |
1,049,020 |
985,537 |
-63,483 |
0.37% |
-$63.73K |
| FANNIE MAE POOL FN 09/34 FIXED 2.5 |
993,122 |
959,998 |
-33,124 |
0.36% |
-$34.65K |
| FR SD2180 |
735,938 |
687,488 |
-48,449 |
0.28% |
-$54.49K |
| FN FS6458 |
474,733 |
459,896 |
-14,836 |
0.19% |
-$18.92K |
| FREDDIE MAC POOL FR 05/53 FIXED 6 |
461,355 |
437,768 |
-23,587 |
0.18% |
-$27.00K |
| FANNIE MAE POOL FN 01/33 FIXED VAR |
463,457 |
429,182 |
-34,275 |
0.17% |
-$35.64K |
| FREDDIE MAC POOL FR 01/54 FIXED 6 |
410,896 |
395,859 |
-15,037 |
0.16% |
-$18.72K |
| FANNIE MAE POOL FN 02/33 FIXED 3 |
437,101 |
416,933 |
-20,168 |
0.16% |
-$21.11K |
| FANNIE MAE POOL FN 08/53 FIXED VAR |
412,086 |
392,688 |
-19,397 |
0.16% |
-$23.12K |
| FREDDIE MAC POOL FR SD5036 |
385,628 |
370,896 |
-14,732 |
0.15% |
-$18.85K |
| FREDDIE MAC POOL FR 03/54 FIXED 6 |
388,922 |
364,511 |
-24,410 |
0.15% |
-$27.84K |
| FREDDIE MAC GOLD POOL FG 04/32 FIXED 3.5 |
392,939 |
368,977 |
-23,962 |
0.14% |
-$27.33K |
| FANNIE MAE POOL FN 07/31 FIXED VAR |
387,729 |
363,452 |
-24,277 |
0.14% |
-$25.44K |
| FANNIE MAE POOL FN 12/32 FIXED VAR |
382,778 |
357,164 |
-25,614 |
0.14% |
-$28.73K |
| FANNIE MAE POOL FN 10/30 FIXED VAR |
353,315 |
325,558 |
-27,758 |
0.13% |
-$28.12K |
| FREDDIE MAC POOL FR 12/32 FIXED 3 |
350,407 |
325,381 |
-25,025 |
0.13% |
-$25.54K |
| FREDDIE MAC POOL FR 12/31 FIXED 3 |
317,598 |
286,385 |
-31,213 |
0.11% |
-$31.55K |
| FANNIE MAE POOL FN 05/33 FIXED VAR |
299,600 |
276,247 |
-23,353 |
0.11% |
-$23.94K |
| FANNIE MAE POOL FN 03/28 FIXED 3 |
273,415 |
233,197 |
-40,218 |
0.09% |
-$39.81K |
| FANNIE MAE POOL FN 08/30 FIXED VAR |
256,778 |
231,449 |
-25,329 |
0.09% |
-$25.45K |
| FANNIE MAE POOL FN 03/31 FIXED 3 |
256,701 |
230,245 |
-26,456 |
0.09% |
-$26.82K |
| FANNIE MAE POOL FN 01/29 FIXED 3 |
241,492 |
216,939 |
-24,553 |
0.08% |
-$24.35K |
| FREDDIE MAC NON GOLD POOL FH 05/45 FLOATING VAR |
181,574 |
179,456 |
-2,118 |
0.07% |
-$1.16K |
| FANNIE MAE POOL FN 07/30 FIXED 3 |
186,582 |
169,845 |
-16,737 |
0.07% |
-$16.92K |
| FANNIE MAE POOL FN 01/39 FIXED VAR |
149,872 |
142,030 |
-7,842 |
0.06% |
-$9.53K |
| FREDDIE MAC GOLD POOL FG 07/30 FIXED 3 |
133,035 |
123,294 |
-9,741 |
0.05% |
-$9.85K |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2020 120 IO |
1,847,896 |
1,837,672 |
-10,224 |
0.04% |
-$2.73K |
| Government National Mortgage Association |
1,749,698 |
1,739,323 |
-10,375 |
0.04% |
-$2.97K |
| FNMA POOL FM1674 FN 09/34 FIXED VAR |
112,640 |
105,358 |
-7,282 |
0.04% |
-$8.21K |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2020 170 IO |
1,467,482 |
1,459,534 |
-7,949 |
0.04% |
-$2.43K |
| FANNIE MAE POOL FN 06/34 FIXED 3.5 |
93,816 |
88,542 |
-5,274 |
0.03% |
-$6.18K |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2020 137 IO |
1,324,299 |
1,316,819 |
-7,480 |
0.03% |
$2.93K |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-118 IO |
1,289,444 |
1,282,021 |
-7,423 |
0.03% |
-$1.56K |
| FNMA 15YR 2.5% 10/01/2027#AL2462 |
94,534 |
75,921 |
-18,612 |
0.03% |
-$18.34K |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2022 53 IO |
1,618,371 |
1,591,810 |
-26,561 |
0.03% |
-$2.97K |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2018 9 IO |
1,281,697 |
1,274,319 |
-7,378 |
0.01% |
-$1.08K |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2017 46 IO |
939,128 |
933,099 |
-6,029 |
0.01% |
-$932 |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2020 119 IO |
719,802 |
713,977 |
-5,825 |
0.01% |
-$1.05K |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2017 20 IO |
1,355,804 |
1,321,754 |
-34,050 |
0.01% |
-$2.19K |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2017 74 IO |
1,183,636 |
1,176,063 |
-7,573 |
0.01% |
-$889 |
| Government National Mortgage Association Variable Rate Notes, Series 2017-61 |
461,252 |
459,182 |
-2,070 |
0.01% |
-$429 |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2017 140 IO |
593,433 |
589,633 |
-3,800 |
0.01% |
-$482 |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2017 124 IO |
449,790 |
403,418 |
-46,372 |
0.01% |
-$1.82K |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2017 89 IO |
568,701 |
564,994 |
-3,707 |
0.01% |
-$497 |
| Government National Mortgage Association |
546,618 |
511,191 |
-35,427 |
0.00% |
-$1.20K |
| Government National Mortgage Association |
654,836 |
644,839 |
-9,996 |
0.00% |
-$284 |
| GOVERNMENT NATIONAL MORTGAGE A GNR 2017 109 IO |
635,622 |
631,879 |
-3,743 |
0.00% |
-$348 |
| FANNIE MAE POOL FN 09/30 FIXED 8 |
150 |
143 |
-7 |
0.00% |
-$9 |
| FANNIE MAE POOL FN 01/29 FIXED 7 |
112 |
91 |
-21 |
0.00% |
-$22 |
| FANNIE MAE POOL FN 05/30 FIXED 8 |
91 |
86 |
-5 |
0.00% |
-$5 |
| FREDDIE MAC GOLD POOL FG 07/31 FIXED 7 |
90 |
84 |
-7 |
0.00% |
-$7 |
| FANNIE MAE POOL FN 10/28 FIXED 7 |
67 |
61 |
-6 |
0.00% |
-$6 |
| FANNIE MAE POOL FN 07/30 FIXED 8 |
53 |
50 |
-3 |
0.00% |
-$3 |
| FANNIE MAE POOL FN 05/30 FIXED VAR |
40 |
38 |
-3 |
0.00% |
-$3 |
| FANNIE MAE POOL FN 09/29 FIXED 8 |
38 |
34 |
-4 |
0.00% |
-$4 |
| FANNIE MAE POOL FN 10/28 FIXED 7 |
33 |
26 |
-7 |
0.00% |
-$7 |
| FREDDIE MAC GOLD POOL FG 04/31 FIXED 7 |
27 |
25 |
-2 |
0.00% |
-$2 |
| FANNIE MAE POOL FN 11/28 FIXED 7 |
7 |
6 |
-1 |
0.00% |
-$1 |
| FN 313210 |
10 |
6 |
-4 |
0.00% |
-$4 |