| US TREASURY N/B |
106,000,000 |
71,000,000 |
-35,000,000 |
3.71% |
-$35.08M |
| US TREASURY N/B |
100,000,000 |
85,000,000 |
-15,000,000 |
3.59% |
-$12.65M |
| FR SD7556 |
37,260,950 |
36,441,103 |
-819,847 |
1.75% |
-$901.52K |
| FANNIE MAE SUPER LNG 30 YEAR 3%, DUE 04/01/2052 |
28,949,337 |
28,304,138 |
-645,199 |
1.36% |
-$769.37K |
| FNMA UMBS Lng 30 YR 3.00% 12/01/2049 |
23,141,830 |
22,746,328 |
-395,502 |
1.10% |
-$498.84K |
| FHLMC SUPER 30Y 3% due 07/01/2051 |
19,271,484 |
18,945,432 |
-326,052 |
0.91% |
-$389.84K |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-175 DG |
18,974,383 |
18,567,940 |
-406,442 |
0.85% |
-$630.68K |
| FREDDIE MAC MORTGAGE BACKED SECURITY (FGTW 4 2018 175K NAX) 4.00%, DUE 07/01/2038 |
17,194,742 |
16,664,881 |
-529,860 |
0.85% |
-$537.61K |
| FREDDIE MAC POOL FR SC0384 |
16,156,441 |
15,772,135 |
-384,306 |
0.74% |
-$377.76K |
| Fannie Mae Pool |
13,434,964 |
13,119,328 |
-315,635 |
0.64% |
-$308.40K |
| FNMA Super Int 20 Year 2.0% Due 08/01/2042 |
13,287,098 |
12,983,890 |
-303,208 |
0.61% |
-$298.65K |
| FNMA SUPER LNG 30 YEAR 3%, DUE 07/01/2052 |
12,678,346 |
12,334,995 |
-343,351 |
0.59% |
-$377.67K |
| Uniform Mortgage-Backed Securities |
10,576,992 |
10,349,824 |
-227,168 |
0.52% |
-$303.71K |
| FNMA Super Lng 30 Year 3.50% Due 08/01/2052 |
10,476,543 |
10,234,494 |
-242,049 |
0.51% |
-$305.53K |
| FNMA SUPER LONG 3% due 12/01/2051 |
10,739,877 |
10,378,106 |
-361,771 |
0.50% |
-$390.89K |
| FNMA Super Lng 30 YR 3.00% 05/01/2052 |
10,452,345 |
10,154,685 |
-297,660 |
0.49% |
-$335.56K |
| FR RB5125 |
10,414,684 |
10,175,386 |
-239,298 |
0.48% |
-$235.52K |
| FNMA Super Lng 30 YR 3.00% 07/01/2052 |
9,906,203 |
9,732,544 |
-173,659 |
0.47% |
-$216.63K |
| FHLMC Remic Series Fixed 5% Due 04/25/2053 |
8,649,779 |
8,225,328 |
-424,451 |
0.45% |
-$432.53K |
| FNMA UMBS LNG 30 YEAR 3% 11/01/2043 |
8,221,461 |
8,104,654 |
-116,807 |
0.40% |
-$122.15K |
| FNMA SUPER LNG 30 YEAR 3%, DUE 05/01/2052 |
8,270,916 |
8,150,351 |
-120,565 |
0.39% |
-$150.27K |
| FNMA Super LNG 30 Year 4.0% Due 10/01/2049 |
7,700,067 |
7,530,271 |
-169,796 |
0.39% |
-$224.81K |
| FREDDIE MAC REMICS FHR 4471 GA |
7,463,840 |
7,213,857 |
-249,983 |
0.37% |
-$246.09K |
| FREDDIE MAC MORTGAGE BACKED SECURITY (FGTW 4 2018 175K NAX) 4.00%, DUE 07/01/2038 |
7,336,076 |
7,003,183 |
-332,892 |
0.37% |
-$384.58K |
| FR SD7544 |
7,074,697 |
6,920,843 |
-153,853 |
0.33% |
-$184.87K |
| FNMA REMIC TRUST 4% due 09/25/2048 |
6,375,548 |
6,252,319 |
-123,230 |
0.33% |
-$155.53K |
| FNMA SUPER LONG 3% due 11/01/2051 |
6,686,827 |
6,604,506 |
-82,321 |
0.32% |
-$108.38K |
| FNMA LONG 3% DUE 03/01/2052 |
5,870,956 |
5,657,773 |
-213,184 |
0.27% |
-$224.07K |
| FNMA SUPER INT 4% due 08/01/39 |
4,623,440 |
4,458,595 |
-164,845 |
0.24% |
-$192.38K |
| Fannie Mae 1.00%, due 1/25/2051 |
5,704,156 |
5,589,737 |
-114,419 |
0.23% |
-$138.41K |
| FHLMC Super 30 YR Fixed 3.5% Due 06/01/2049 |
4,647,445 |
4,555,839 |
-91,607 |
0.23% |
-$134.30K |
| FHLMC Super 20 YR Fixed 4.5% Due 01/01/2039 |
4,285,028 |
4,150,867 |
-134,162 |
0.22% |
-$164.62K |
| FNCT UMBS 4.0 MA3186 11-01-37 |
4,013,493 |
3,858,413 |
-155,080 |
0.20% |
-$177.82K |
| FN FM4929 |
3,788,137 |
3,705,026 |
-83,111 |
0.19% |
-$117.34K |
| FN MA2773 |
3,153,229 |
3,054,235 |
-98,994 |
0.16% |
-$110.73K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION POOL FN FM5394 |
2,936,116 |
2,668,658 |
-267,458 |
0.14% |
-$278.91K |
| FREDDIE MAC, SERIES 4906-DE 2.50%, DUE 09/25/2049 |
2,842,593 |
2,760,566 |
-82,027 |
0.13% |
-$97.48K |
| Fannie Mae 3.00% Due 05/01/2030 |
2,040,162 |
1,804,855 |
-235,307 |
0.10% |
-$239.55K |
| Federal Home Loan Mortgage Corporation Pool ZT-1964 |
1,861,571 |
1,720,163 |
-141,408 |
0.09% |
-$153.76K |
| Federal Home Loan Mortgage Corporation Pool ZA-3721 |
1,822,778 |
1,615,132 |
-207,646 |
0.09% |
-$209.86K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION SERIES 2018-25 CLASS P |
1,644,510 |
1,586,670 |
-57,840 |
0.08% |
-$68.70K |
| FRST AM-GV OB-Z |
4,219,764 |
1,539,506 |
-2,680,258 |
0.08% |
-$2.68M |
| Federal National Mortgage Association 4.00%, Due 04/01/2038 |
1,460,744 |
1,412,936 |
-47,808 |
0.07% |
-$56.88K |
| FHLMC MBS Gold V6-1479 |
1,500,941 |
1,405,544 |
-95,397 |
0.07% |
-$102.12K |
| Fannie Mae Collateralized Mortgage Obligation FNCL 4 2016 - 85K Max |
1,372,619 |
1,301,226 |
-71,393 |
0.07% |
-$76.30K |
| FNMA SUPER INT 20 YEAR 4.00%, Due 07/15/2035 |
1,293,643 |
1,233,139 |
-60,504 |
0.07% |
-$69.29K |
| FREDDIE MAC MORTGAGE BACKED SECURITY (FGTW 4 2018 175K NAX) 4.00%, DUE 07/01/2038 |
1,314,228 |
1,232,294 |
-81,934 |
0.07% |
-$89.70K |
| Freddie Mac REMICS |
1,269,434 |
1,215,297 |
-54,136 |
0.06% |
-$56.95K |
| FG G18642 |
1,285,507 |
1,213,222 |
-72,284 |
0.06% |
-$79.66K |
| FNMA, REMIC, Series 2019-60, Class DA |
1,335,787 |
1,288,506 |
-47,281 |
0.06% |
-$51.21K |
| Freddie Mac REMICS |
1,222,642 |
1,183,175 |
-39,467 |
0.06% |
-$42.78K |
| Fannie Mae 20 year Mortgage Backed Security 4%, Due 12/01/2036 |
1,099,259 |
1,034,143 |
-65,116 |
0.06% |
-$72.69K |
| FANNIE MAE 2015-85 |
1,134,429 |
1,072,823 |
-61,606 |
0.05% |
-$64.61K |
| FNMA REMIC TRUST 2016-99 20460125 3%, DUE 01/25/2046 |
1,032,161 |
996,839 |
-35,322 |
0.05% |
-$41.47K |
| Fannie Mae 2.5%, due 1/1/2031 |
1,066,960 |
972,825 |
-94,135 |
0.05% |
-$96.68K |
| Federal Home Loan Mortgage Corporation Conventional 15 year level pay |
1,042,637 |
911,700 |
-130,937 |
0.05% |
-$132.11K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 30 YR MORTGAGE BACKED SECURITY (FNCL 4 2016) |
925,643 |
899,161 |
-26,482 |
0.05% |
-$31.36K |
| FREDDIE MAC MRTG BACKED SECURITY (FGCI 3.5 2017) POOL FG G18667 |
816,801 |
784,141 |
-32,660 |
0.04% |
-$37.75K |
| Fannie Mae Mortgage Backed Security 3.5%, Due 12/01/2025 |
796,012 |
761,215 |
-34,797 |
0.04% |
-$39.47K |
| FREDDIE MAC REMIC SERIES 4151 |
828,778 |
768,571 |
-60,207 |
0.04% |
-$57.50K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION SERIES 2012-136 CLASS PD |
730,237 |
681,730 |
-48,508 |
0.04% |
-$47.80K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION SERIES 2016-79L |
684,475 |
661,936 |
-22,539 |
0.03% |
-$24.93K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.00%, DUE 09/25/2045 |
576,385 |
556,539 |
-19,846 |
0.03% |
-$23.07K |
| FNR 2018-67 BA 4.500%, Due 3/25/2046 |
627,818 |
528,827 |
-98,991 |
0.03% |
-$102.38K |
| Freddie Mac Collateralized Mortgage Obligation FGLMC 4 2017 - 150k max |
548,822 |
523,749 |
-25,073 |
0.03% |
-$26.75K |
| FEDERAL HOME LOAN MORTGAGE CORPORATION 2.5%, 10/15/2042 |
542,394 |
508,143 |
-34,251 |
0.03% |
-$35.36K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNCL 5.5 2008 85K MAX |
498,893 |
465,054 |
-33,839 |
0.02% |
-$29.55K |
| FN FM5050 |
515,784 |
460,060 |
-55,724 |
0.02% |
-$56.35K |
| Uniform Mortgage-Backed Securities |
491,757 |
449,612 |
-42,145 |
0.02% |
-$43.43K |
| FG G08068 |
398,099 |
381,750 |
-16,349 |
0.02% |
-$19.48K |
| FREDDIE MAC COLLATERALIZED MORTGAGE OBLIGATION 5.50%, DUE 02/15/2036 |
394,001 |
378,508 |
-15,492 |
0.02% |
-$14.16K |
| FHLMC Super 30 YR Fixed 4% Due 12/01/2049 |
402,227 |
390,872 |
-11,354 |
0.02% |
-$14.58K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION POOL #AL6847, 3.5% DUE 05/01/2045 |
361,887 |
340,769 |
-21,118 |
0.02% |
-$23.47K |
| FREDDIE MAC SERIES 4517 CLASS PC |
368,249 |
342,370 |
-25,879 |
0.02% |
-$25.81K |
| FREDDIE MAC SERIES 4689-DA |
360,440 |
336,356 |
-24,083 |
0.02% |
-$22.37K |
| FNMA Umbs Lng 30 Year 3.5% Due 08/01/2049 |
314,144 |
306,059 |
-8,085 |
0.02% |
-$10.14K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION POOL #AA4392 |
288,864 |
282,384 |
-6,480 |
0.01% |
-$7.57K |
| FHLMC, REMIC, Series 3592, Class BZ |
269,352 |
257,360 |
-11,991 |
0.01% |
-$13.14K |
| FREDDIE MAC 4087 PT MTGE |
266,574 |
257,664 |
-8,910 |
0.01% |
-$5.98K |
| Federal National Mortgage Association Series 12-120 Class KD |
270,229 |
241,131 |
-29,098 |
0.01% |
-$28.97K |
| FREDDIE MAC SERIES 4689-DA |
258,177 |
225,236 |
-32,942 |
0.01% |
-$33.05K |
| FEDERAL HOME LOAN MORTGAGE CORPORATION POOL #G06616 |
177,385 |
171,732 |
-5,653 |
0.01% |
-$6.30K |
| FNMA SUPER INT 20 YEAR 4.00%, Due 09/01/2036 |
175,085 |
169,897 |
-5,188 |
0.01% |
-$6.46K |
| FREDDIE MAC COLLATERALIZED MORTGAGE OBLIGATION (FGLMC 4 2012 - 150K MAX) |
180,150 |
164,388 |
-15,762 |
0.01% |
-$15.70K |
| UMBS |
175,162 |
163,882 |
-11,280 |
0.01% |
-$12.30K |
| FEDERAL HOME LOAN MORTGAGE CORPORATION SERIES 3946-LN |
175,415 |
158,593 |
-16,822 |
0.01% |
-$16.82K |
| Federal National Mortgage Association FNCL 4 2010 150K Max |
170,766 |
163,113 |
-7,653 |
0.01% |
-$8.50K |
| FNMA POOL MA0384 FN 04/30 FIXED 5 |
151,595 |
140,996 |
-10,599 |
0.01% |
-$11.33K |
| FN 995112 |
131,038 |
125,324 |
-5,714 |
0.01% |
-$6.66K |
| FREDDIE MAC 2.00%, DUE 12/15/2026 |
137,425 |
123,061 |
-14,364 |
0.01% |
-$13.79K |
| FNMA POOL 888223 FN 01/36 FIXED VAR |
122,293 |
117,071 |
-5,221 |
0.01% |
-$6.18K |
| Federal National Mortgage Association REMIC TRUST 2016-02 |
130,184 |
123,450 |
-6,735 |
0.01% |
-$5.45K |
| FN MA1237 |
116,418 |
109,529 |
-6,889 |
0.01% |
-$7.45K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION SERIES #2014-28-PA |
110,302 |
103,098 |
-7,205 |
0.01% |
-$7.18K |
| Freddie Mac Gold Pool |
103,073 |
97,442 |
-5,631 |
0.01% |
-$6.35K |
| FANNIE MAE, MTG COLLTRL |
109,438 |
96,862 |
-12,577 |
0.01% |
-$12.42K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION SERIES #2013-83-MH |
98,241 |
95,618 |
-2,623 |
0.01% |
-$3.26K |
| Fannie Mae Remic Trust 2019-57 2.5% Due 08/25/2049 |
95,160 |
91,651 |
-3,509 |
0.00% |
-$3.96K |
| FN 725027 |
84,610 |
79,745 |
-4,866 |
0.00% |
-$5.17K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION SERIES 2013-35 CLASS CV |
81,349 |
78,970 |
-2,378 |
0.00% |
-$2.75K |
| FREDDIE MAC, SERIES 4567-LA 3.00%, DUE 08/15/2045 |
78,811 |
77,513 |
-1,298 |
0.00% |
-$1.82K |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION POOL 889050, 6.00%, DUE 05/01/2037 |
65,990 |
64,176 |
-1,814 |
0.00% |
-$2.61K |
| FANNIE MAE, SERIES 1011-53-DT 4.50%, DUE 06/25/2041 |
66,248 |
62,982 |
-3,266 |
0.00% |
-$2.92K |
| FREDDIE MAC SERIES 4161-QA MTGE |
63,561 |
61,398 |
-2,163 |
0.00% |
-$2.17K |
| Freddie Mac REMICS |
61,619 |
59,492 |
-2,126 |
0.00% |
-$1.86K |
| FREDDIE MAC GOLD POOL |
45,172 |
44,002 |
-1,170 |
0.00% |
-$1.43K |
| FNMA 15YR 4% 03/01/2034#FM3388 |
60,347 |
38,721 |
-21,626 |
0.00% |
-$21.76K |
| Uniform Mortgage-Backed Securities |
34,984 |
33,149 |
-1,835 |
0.00% |
-$2.26K |
| FNMA Umbs Int 15 Year 3.0% Due 01/01/2030 |
33,651 |
31,098 |
-2,553 |
0.00% |
-$2.65K |
| FHLMC |
16,071 |
15,428 |
-643 |
0.00% |
-$745 |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION POOL #AJ7509 |
11,832 |
11,457 |
-375 |
0.00% |
-$306 |
| FNMA, REMIC, Series 2005-64, Class PL |
11,712 |
10,763 |
-950 |
0.00% |
-$912 |
| FANNIE MAE COLLATERALIZED |
20,529 |
11,112 |
-9,417 |
0.00% |
-$9.31K |
| FEDERAL HOME LOAN MORTGAGE CORPORATION POOL #780439, 2.348%, DUE 04/01/2033 |
6,844 |
6,639 |
-205 |
0.00% |
-$227 |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION POOL #4187 |
6,399 |
6,300 |
-98 |
0.00% |
-$152 |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION POOL #2658 |
2,057 |
1,772 |
-286 |
0.00% |
-$301 |
| FANNIE MAE SERIES #2014-20-AC |
901 |
593 |
-308 |
0.00% |
-$305 |
| FED HM LN PC POOL C01005 FG 06/30 FIXED 8 |
322 |
304 |
-17 |
0.00% |
-$22 |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION POOL #2945 |
264 |
247 |
-17 |
0.00% |
-$20 |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION POOL #780420 |
18 |
7 |
-10 |
0.00% |
-$10 |