| JPMORGAN PRIME VAR 12/49 | 10.38 | 89,376,312 |
| CREDIT 4.68% 09/34 | 1.38 | 11,845,000 |
| FHLMC STACR FLT 08/44 | 1.15 | 9,916,666 |
| FNMA REMICS FLT 01/50 | 1.02 | 8,862,597 |
| UMBS MORTPASS 5% 03/53 | 0.97 | 8,345,130 |
| GNMA II 3.5% 08/51 | 0.93 | 8,609,982 |
| GNMA 2014-H07 FLT 05/64 | 0.89 | 7,670,053 |
| GNMA 2015-H23 FLT 09/65 | 0.87 | 7,500,231 |
| PROGRESS 3.3% 04/41 | 0.87 | 7,930,000 |
| UMBS MORTPASS 5.5% 09/52 | 0.87 | 7,333,846 |
| CONNECTICUT FLT 07/44 | 0.86 | 7,430,101 |
| FNMA REMICS FLT 10/39 | 0.85 | 7,232,282 |
| SMR 2022-IND FLT 02/39 | 0.84 | 7,325,417 |
| AMSR 1.355% 09/37 | 0.80 | 7,104,239 |
| ONE 2021-PARK FLT 03/36 | 0.79 | 7,000,000 |
| UMBS MORTPASS 5.5% 11/52 | 0.78 | 6,616,432 |
| BALLYROCK CLO FLT 07/32 | 0.75 | 6,415,000 |
| BX TRUST FLT 02/36 | 0.75 | 6,500,000 |
| PROGRESS 3.1% 07/41 | 0.75 | 6,900,000 |
| BX TRUST FLT 10/26 | 0.74 | 6,464,207 |
| BXMT 2020-FL3 FLT 11/37 | 0.73 | 6,441,349 |
| FIRSTKEY 1.538% 08/38 | 0.73 | 6,635,802 |
| FHLMC REMICS FLT 04/37 | 0.72 | 6,087,156 |
| BUSINESS JET 5.364% 09/39 | 0.72 | 6,160,000 |
| BNP PARIBAS SA VAR 01/27 | 0.72 | 6,470,000 |
| BUSINESS JET 4.455% 06/37 | 0.71 | 6,190,833 |
| BHMS 2018-ATLS FLT 07/35 | 0.70 | 6,000,000 |
| JOHN DEERE 4.06% 06/29 | 0.70 | 6,000,000 |
| FHLMC SEASONED 3% 08/59 | 0.70 | 6,557,010 |
| TOYOTA LEASE 4.21% 09/27 | 0.70 | 6,000,000 |
| COMM 2020-CBM VAR 02/37 | 0.69 | 6,000,000 |
| FNMA REMICS 3% 07/45 | 0.67 | 6,123,088 |
| SCF EQUIPMENT 6.5% 10/30 | 0.67 | 5,717,716 |
| TRICON 1.499% 07/38 | 0.66 | 5,959,309 |
| UMBS MORTPASS 5.5% 06/54 | 0.66 | 5,568,481 |
| CONNECTICUT FLT 09/44 | 0.64 | 5,500,000 |
| UMBS MORTPASS 3% 06/50 | 0.63 | 5,977,949 |
| GNMA II MORTPASS 6% 07/64 | 0.62 | 5,319,410 |
| GNMA 2014-H17 FLT 08/64 | 0.61 | 5,226,700 |
| PROGRESS 3.35% 02/41 | 0.60 | 5,494,264 |
| ELMWOOD CLO XII FLT 10/37 | 0.60 | 5,200,000 |
| FOUNDATION 4.6% 03/50 | 0.60 | 5,160,000 |
| PROTECTIVE 1.17% 07/25 | 0.59 | 5,190,000 |
| MARINER 5.13% 09/36 | 0.59 | 5,000,000 |
| OCP CLO 2015-9 FLT 01/33 | 0.58 | 5,000,000 |
| PALMER SQUARE FLT 10/32 | 0.58 | 5,000,000 |
| GENERATE CLO 6 FLT 10/37 | 0.58 | 5,000,000 |
| UMBS MORTPASS 3% 12/51 | 0.58 | 5,550,905 |
| UMBS MORTPASS 4.5% 09/52 | 0.58 | 5,066,274 |
| CARVANA AUTO 4.26% 10/29 | 0.58 | 5,000,000 |
| BENEFIT STREET FLT 10/37 | 0.58 | 5,000,000 |
| BX 2024-PALM FLT 06/37 | 0.58 | 5,000,000 |
| SDR COMMERCIAL FLT 05/39 | 0.58 | 5,000,000 |
| FNMA MORTPASS 4.5% 09/63 | 0.57 | 4,946,869 |
| UMBS MORTPASS 4% 02/45 | 0.56 | 4,900,121 |
| MF1 2022-FL8 FLT 02/37 | 0.56 | 4,843,317 |
| PROGRESS 1.558% 05/38 | 0.55 | 4,922,731 |
| ONEMAIN 1.55% 06/36 | 0.54 | 5,000,000 |
| GNMA 2015-H19 FLT 07/65 | 0.54 | 4,688,787 |
| UMBS MORTPASS 4% 04/50 | 0.53 | 4,699,177 |
| BSPRT 2022-FL8 FLT 02/37 | 0.53 | 4,529,770 |
| BA CREDIT 4.93% 05/29 | 0.53 | 4,500,000 |
| GNMA 2015-H15 FLT 06/65 | 0.52 | 4,469,265 |
| LCM 29 LTD 29A FLT 04/31 | 0.52 | 4,461,438 |
| ONE BRYANT 2.51641% 09/54 | 0.52 | 5,000,000 |
| UMBS MORTPASS 5.5% 12/52 | 0.51 | 4,340,066 |
| UMBS MORTPASS 2.5% 07/50 | 0.51 | 5,035,262 |
| FS RIALTO FLT 11/36 | 0.50 | 4,302,350 |
| GNMA 2015-H04 FLT 02/65 | 0.50 | 4,288,888 |
| CARVANA AUTO 4.31% 09/30 | 0.50 | 4,350,000 |
| PROGRESS 1.51% 10/38 | 0.49 | 4,454,512 |
| FNMA REMICS FLT 12/59 | 0.48 | 4,207,636 |
| FNMA REMICS FLT 02/42 | 0.48 | 4,180,832 |
| M&T EQUIPMENT 4.99% 08/31 | 0.47 | 4,000,000 |
| NEUBERGER FLT 07/31 | 0.47 | 4,043,214 |
| FHLMC REMICS 1% 10/50 | 0.47 | 5,051,973 |
| UBS 7.95% 01/25 | 0.47 | 4,000,000 |
| WINGSPIRE 4.99% 09/32 | 0.47 | 4,000,000 |
| WESTLAKE 5.82% 05/27 | 0.47 | 4,000,000 |
| AT&T INC 1.65% 02/28 | 0.46 | 4,335,000 |
| AMSR 4.29% 07/41 | 0.46 | 4,000,000 |
| APIDOS CLO XXXI FLT 04/31 | 0.46 | 3,963,311 |
| NEW STEP 09/39 | 0.46 | 3,960,000 |
| UMBS MORTPASS 3% 06/50 | 0.46 | 4,354,877 |
| TRUIST 1.2% 08/25 | 0.45 | 4,000,000 |
| AMSR 1.527% 08/38 | 0.44 | 4,000,000 |
| OPORTUN 5.05% 06/31 | 0.43 | 3,725,170 |
| FNMA REMICS FLT 04/42 | 0.42 | 3,616,151 |
| CONNECTICUT FLT 06/42 | 0.42 | 3,491,077 |
| CNH EQUIPMENT 4.12% 03/32 | 0.41 | 3,585,000 |
| UMBS MORTPASS 5.5% 10/52 | 0.41 | 3,441,064 |
| PRESTIGE AUTO 4.72% 02/28 | 0.41 | 3,500,000 |
| DRIVE AUTO 4.5% 09/28 | 0.40 | 3,460,000 |
| BAMLL 3.218% 04/33 | 0.40 | 3,500,000 |
| UMBS MORTPASS 3% 09/51 | 0.39 | 3,714,019 |
| UMBS MORTPASS 5% 10/52 | 0.39 | 3,233,463 |
| PAGAYA AI 3.6% 10/40 | 0.39 | 3,500,000 |
| PROGRESS 4.3% 03/40 | 0.39 | 3,392,478 |
| FHLMC REMICS 1.25% 01/35 | 0.38 | 3,685,478 |
| FHLMC REMICS FLT 12/44 | 0.38 | 3,337,962 |
| FHLMC REMICS FLT 01/43 | 0.37 | 3,272,306 |
| UMBS MORTPASS 5% 10/52 | 0.37 | 3,142,881 |
| GNMA 2012-61 FM FLT 05/42 | 0.37 | 3,201,328 |
| TRICON 2.75% 03/38 | 0.37 | 3,246,157 |
| UMBS MORTPASS 4% 09/47 | 0.36 | 3,124,545 |
| UMBS MORTPASS 4% 01/46 | 0.36 | 3,156,361 |
| FHLMC REMICS FLT 10/40 | 0.35 | 3,104,152 |
| BALLYROCK CLO FLT 10/31 | 0.35 | 3,034,623 |
| EXETER 5.28% 08/30 | 0.35 | 3,000,000 |
| EXETER 5.82% 02/27 | 0.35 | 3,050,000 |
| GNMA 2015-H12 FLT 05/65 | 0.35 | 3,038,460 |
| ILPT COMMERCIAL FLT 10/39 | 0.35 | 3,000,000 |
| LENDMARK 5.12% 07/32 | 0.35 | 3,000,000 |
| LHOME MORTGAGE STEP 07/39 | 0.35 | 3,000,000 |
| TESLA AUTO 5.55% 05/28 | 0.35 | 3,000,000 |
| VOLVO 4.29% 10/28 | 0.35 | 3,000,000 |
| WORLD OMNI 4.84% 10/29 | 0.34 | 2,890,000 |
| CARVANA AUTO 6.42% 01/28 | 0.34 | 2,910,377 |
| MARINER 1.86% 03/36 | 0.33 | 3,000,000 |
| MVW 2024-2 4.43% 03/42 | 0.33 | 2,805,000 |
| PROGRESS 1.052% 04/38 | 0.33 | 3,010,165 |
| HARLEY-DAVIDS 4.28% 04/32 | 0.33 | 2,850,000 |
| GNMA 2015-H03 FLT 01/65 | 0.33 | 2,857,560 |
| SANTANDER 0.71% 08/26 | 0.32 | 2,750,000 |
| MF1 2021-FL7 FLT 10/36 | 0.32 | 2,762,336 |
| UMBS MORTPASS 4% 10/42 | 0.32 | 2,811,289 |
| SUMITOMO 0.948% 01/26 | 0.32 | 2,900,000 |
| EXETER 6.51% 08/28 | 0.30 | 2,500,000 |
| CARMAX AUTO 3.49% 02/27 | 0.29 | 2,555,477 |
| CLARUS 4.71% 08/32 | 0.29 | 2,500,000 |
| PALMER SQUARE FLT 10/30 | 0.29 | 2,503,667 |
| TOWD POINT VAR 06/58 | 0.29 | 2,639,784 |
| CONNECTICUT FLT 05/42 | 0.28 | 2,313,137 |
| BANK 1.874% 06/64 | 0.28 | 2,650,000 |
| CREDIT 6.39% 08/33 | 0.28 | 2,375,000 |
| COREVEST 1.174% 12/52 | 0.28 | 2,536,723 |
| FHLMC REMICS FLT 06/40 | 0.28 | 2,452,730 |
| FHLMC REMICS FLT 02/43 | 0.27 | 2,361,416 |
| FHLMC VAR 05/50 | 0.27 | 2,324,681 |
| CARVANA AUTO 5.33% 07/29 | 0.27 | 2,250,000 |
| FNMA REMICS FLT 11/42 | 0.27 | 2,352,032 |
| VERDANT 6.24% 01/31 | 0.27 | 2,308,950 |
| STWD 2021-LIH FLT 11/36 | 0.26 | 2,300,000 |
| SOFI 1.14% 02/47 | 0.26 | 2,555,423 |
| CF HIPPOLYTA 1.69% 07/60 | 0.26 | 2,307,094 |
| CONNECTICUT FLT 01/44 | 0.26 | 2,195,280 |
| CONNECTICUT FLT 12/41 | 0.26 | 2,264,250 |
| FOUNDATION 5.5% 12/49 | 0.25 | 2,109,413 |
| FNMA REMICS FLT 12/45 | 0.25 | 2,098,315 |
| MVW 2024-1 5.32% 02/43 | 0.25 | 2,071,071 |
| WELLS FARGO FLT 02/40 | 0.25 | 2,158,874 |
| OAKST VAR 03/40 | 0.24 | 2,000,000 |
| GNMA 2015-H12 FLT 05/65 | 0.24 | 2,109,662 |
| FNMA REMICS FLT 06/45 | 0.23 | 2,017,834 |
| FNMA REMICS 3% 07/45 | 0.23 | 2,070,877 |
| FNMA REMICS 3% 02/48 | 0.23 | 2,131,969 |
| CFMT 2024-HB15 VAR 08/34 | 0.23 | 1,985,477 |
| PRET 2024-RPL2 VAR 06/64 | 0.22 | 2,000,000 |
| MERCEDES-BENZ 4.22% 06/30 | 0.22 | 1,915,000 |
| VOLT XCVII LLC STEP 04/51 | 0.22 | 1,860,634 |
| VOLT XCIII LLC STEP 02/51 | 0.22 | 1,929,905 |
| FHLMC REMICS FLT 06/38 | 0.21 | 1,859,740 |
| EXETER 4.45% 03/28 | 0.20 | 1,750,000 |
| FNMA REMICS 3.5% 12/42 | 0.20 | 1,782,979 |
| CONNECTICUT FLT 02/44 | 0.20 | 1,744,692 |
| PEAC 4.74% 04/27 | 0.20 | 1,750,000 |
| GNMA 2015-H14 FLT 05/65 | 0.20 | 1,745,434 |
| GOODGREEN VAR 10/53 | 0.20 | 1,842,005 |
| VOLT XCIV LLC STEP 02/51 | 0.20 | 1,760,803 |
| SOUTHERN 0.9% 01/26 | 0.20 | 1,780,000 |
| 20 TIMES SQUARE VAR 05/35 | 0.19 | 1,751,311 |
| TRICON 4.75% 06/40 | 0.19 | 1,648,974 |
| FHLMC REMICS FLT 05/40 | 0.19 | 1,692,862 |
| FHLMC REMICS FLT 12/37 | 0.19 | 1,653,745 |
| FHLMC REMICS FLT 12/43 | 0.19 | 1,622,292 |
| FHLMC STRIPS FLT 10/37 | 0.18 | 1,554,877 |
| BX 2021-MFM1 FLT 01/34 | 0.18 | 1,523,986 |
| PALMER SQUARE FLT 10/29 | 0.18 | 1,570,201 |
| PRPM 2020-6 STEP 11/25 | 0.18 | 1,588,492 |
| METLIFE VAR 03/57 | 0.18 | 1,594,529 |
| CONNECTICUT FLT 07/42 | 0.17 | 1,415,586 |
| CPS AUTO 4.91% 06/28 | 0.17 | 1,500,000 |
| CONNECTICUT FLT 12/41 | 0.17 | 1,489,593 |
| FHLMC REMICS FLT 09/41 | 0.17 | 1,471,280 |
| FHLMC REMICS 2.5% 02/45 | 0.17 | 1,576,015 |
| HILTON GRAND 4.3% 01/37 | 0.16 | 1,387,901 |
| GNMA 2014-H11 FLT 06/64 | 0.16 | 1,376,439 |
| TRICON 4.65% 04/41 | 0.16 | 1,390,000 |
| GM FINANCIAL 4.22% 10/28 | 0.15 | 1,250,000 |
| FNMA REMICS 3% 06/47 | 0.15 | 1,367,585 |
| FNMA REMICS 2.25% 05/42 | 0.15 | 1,406,534 |
| FHLMC REMICS FLT 07/42 | 0.14 | 1,182,730 |
| CONNECTICUT FLT 07/44 | 0.14 | 1,228,833 |
| BUSINESS JET 6.197% 05/39 | 0.14 | 1,198,137 |
| GNMA 2011-158 EB 4% 12/26 | 0.14 | 1,243,247 |
| GM FINANCIAL 4.21% 10/27 | 0.14 | 1,250,000 |
| FLAGSTAR VAR 12/49 | 0.14 | 1,301,817 |
| GNMA 2013-H16 FLT 07/63 | 0.14 | 1,201,144 |
| GOODGREEN 3.86% 10/54 | 0.14 | 1,328,823 |
| SCF EQUIPMENT 5.52% 01/32 | 0.14 | 1,175,000 |
| VOLT XCVI LLC STEP 03/51 | 0.13 | 1,149,942 |
| VOLT XCV LLC STEP 03/51 | 0.12 | 1,061,200 |
| THORNBURG VAR 12/44 | 0.12 | 1,197,120 |
| SBNA AUTO 4.56% 02/28 | 0.12 | 1,000,000 |
| PRPM 2021-10 STEP 10/26 | 0.12 | 1,016,653 |
| PRET 2021-NPL6 STEP 07/51 | 0.12 | 1,070,997 |
| NYMT LOAN STEP 09/39 | 0.12 | 1,055,000 |
| GOODGREEN 3.26% 10/53 | 0.12 | 1,152,498 |
| AMORTIZING FLT 12/32 | 0.12 | 1,051,184 |
| FHLMC REMICS FLT 10/41 | 0.12 | 1,099,062 |
| FHLMC REMICS FLT 08/38 | 0.11 | 920,402 |
| FHLMC REMICS FLT 03/42 | 0.11 | 917,014 |
| UMBS MORTPASS 3% 07/33 | 0.11 | 940,091 |
| BBCMS 2.021% 04/53 | 0.11 | 1,000,000 |
| VOLT C LLC STEP 05/51 | 0.11 | 995,216 |
| UPSTART 5.98% 08/32 | 0.10 | 877,798 |
| SANTANDER 4.14% 02/27 | 0.10 | 890,050 |
| AUXILIOR TERM 6.18% 12/28 | 0.10 | 890,983 |
| ENTERPRISE 3.03% 01/28 | 0.10 | 857,191 |
| FNMA REMICS 2.5% 01/42 | 0.10 | 908,771 |
| FNMA REMICS 3% 11/47 | 0.10 | 957,298 |
| FHLMC VAR 10/47 | 0.10 | 887,500 |
| BRE GRAND 3.28% 09/33 | 0.10 | 874,440 |
| FNMA REMICS FLT 10/54 | 0.10 | 857,205 |
| NEW RESIDENTIAL FLT 01/48 | 0.10 | 921,352 |
| GALAXY XV CLO FLT 10/30 | 0.09 | 810,332 |
| LP LMS 8.181% 10/33 | 0.08 | 702,994 |
| FNMA REMICS 2% 09/41 | 0.08 | 719,193 |
| UMBS MORTPASS 3% 02/33 | 0.08 | 719,158 |
| UMBS MORTPASS 5% 12/39 | 0.07 | 597,270 |
| FNMA REMICS 2.5% 05/33 | 0.07 | 584,925 |
| FHLMCGLD 3% 08/28 | 0.07 | 580,172 |
| CARVANA AUTO 0.61% 10/26 | 0.07 | 597,215 |
| BXG 3.77% 02/34 | 0.07 | 595,171 |
| PALMER SQUARE FLT 07/29 | 0.07 | 635,373 |
| FHLMC VAR 02/43 | 0.07 | 646,953 |
| FNMA REMICS FLT 02/43 | 0.07 | 579,615 |
| HILTON GRAND 2.74% 02/39 | 0.07 | 581,024 |
| HERO FUNDING 3.95% 09/48 | 0.07 | 691,503 |
| LENDINGPOINT 4.77% 10/29 | 0.07 | 589,543 |
| VOLT XCIX LLC STEP 04/51 | 0.07 | 625,691 |
| US AUTO 3.98% 04/25 | 0.07 | 587,627 |
| UPSTART 6.59% 02/33 | 0.06 | 552,841 |
| GNMA 2012-H21 FLT 07/62 | 0.06 | 504,403 |
| MORGAN STANLEY VAR 04/34 | 0.06 | 501,791 |
| BBCMS TRUST 2.466% 03/36 | 0.06 | 496,954 |
| FIRST FRANKLIN FLT 02/33 | 0.06 | 578,174 |
| DT AUTO OWNER 5.48% 04/27 | 0.06 | 506,822 |
| FNMA REMICS FLT 01/37 | 0.06 | 487,349 |
| UMBS MORTPASS 4.5% 10/48 | 0.06 | 551,388 |
| CASH | 0.05 | 464,022 |
| BEAR STEARNS FLT 12/33 | 0.05 | 389,777 |
| COREVEST 3.376% 05/52 | 0.05 | 472,307 |
| METLIFE VAR 04/55 | 0.05 | 486,714 |
| RASC SERIES STEP 06/33 | 0.05 | 522,587 |
| FNMA REMICS VAR 08/46 | 0.05 | 5,975,467 |
| VOLT XCII LLC STEP 02/51 | 0.05 | 454,634 |
| SOFI 3.34% 08/47 | 0.05 | 421,667 |
| SIERRA 1.33% 07/37 | 0.04 | 342,421 |
| FNMA REMIC VAR 12/42 | 0.04 | 344,790 |
| GNMA 2012-H29 FLT 10/62 | 0.04 | 381,250 |
| GSAA TRUST 5.5% 04/34 | 0.04 | 341,318 |
| MORGAN STANLEY VAR 07/34 | 0.04 | 342,875 |
| NAAC FLT 02/35 | 0.04 | 470,899 |
| BAYVIEW FLT 08/35 | 0.04 | 332,166 |
| DIAMOND 1.51% 11/33 | 0.04 | 352,117 |
| FNMA GRANTOR VAR 03/41 | 0.04 | 327,514 |
| FHLMC REMICS FLT 01/39 | 0.04 | 319,943 |
| UMBS MORTPASS 3% 04/33 | 0.03 | 281,549 |
| FNMA MORTPASS 4% 11/48 | 0.03 | 256,015 |
| BAYVIEW FLT 07/37 | 0.03 | 309,788 |
| BEAR STEARNS FLT 01/35 | 0.03 | 267,756 |
| RFMSI SERIES VAR 06/35 | 0.03 | 279,879 |
| STRUCTURED VAR 07/33 | 0.03 | 230,607 |
| HILTON GRAND 3.54% 02/32 | 0.03 | 242,598 |
| IMPAC CMB TRUST FLT 08/35 | 0.03 | 258,284 |
| FNMA REMIC VAR 10/42 | 0.03 | 304,798 |
| INDYMAC INDA VAR 03/37 | 0.02 | 191,303 |
| LENDINGPOINT 6.56% 02/30 | 0.02 | 159,409 |
| PRIME MORTGAGE VAR 10/32 | 0.02 | 155,290 |
| MORGAN STANLEY FLT 01/35 | 0.02 | 156,815 |
| MASTR FLT 11/34 | 0.02 | 152,678 |
| MARINER 2.19% 08/34 | 0.02 | 134,294 |
| FHLMC FLT 01/51 | 0.02 | 143,087 |
| COUNTRYWIDE FLT 06/33 | 0.02 | 150,651 |
| CREDIT SUISSE 6% 09/34 | 0.02 | 211,160 |
| UMBS MORTPASS 5.5% 08/40 | 0.02 | 164,228 |
| UMBS MORTPASS 6% 04/39 | 0.02 | 123,914 |
| FHLMC STRIPS FLT 02/38 | 0.02 | 2,849,219 |
| FIRST FRANKLIN FLT 09/33 | 0.02 | 227,629 |
| FIRST FRANKLIN FLT 10/34 | 0.02 | 208,729 |
| SEQUOIA FLT 12/34 | 0.02 | 222,165 |
| WAMU MORTGAGE VAR 06/34 | 0.02 | 209,132 |
| WAMU MORTGAGE VAR 10/34 | 0.01 | 100,363 |
| CENTEX HOME FLT 01/32 | 0.01 | 68,034 |
| FIRST FRANKLIN FLT 04/32 | 0.01 | 41,439 |
| FIRST HORIZON VAR 12/34 | 0.01 | 73,823 |
| FHLMC REMICS FLT 12/35 | 0.01 | 86,386 |
| FHLMC REMICS FLT 08/35 | 0.01 | 91,338 |
| FNMA GRANTOR 7.5% 07/41 | 0.01 | 108,553 |
| FNMA REMICS 5.5% 03/36 | 0.01 | 97,195 |
| FNMA REMICS FLT 01/34 | 0.01 | 58,240 |
| CSFB VAR 10/33 | 0.01 | 115,383 |
| ALTERNATIVE VAR 12/34 | 0.01 | 99,891 |
| BEAR STEARNS FLT 11/34 | 0.01 | 119,809 |
| BANC OF AMERICA VAR 05/34 | 0.01 | 58,499 |
| BAYVIEW FLT 08/35 | 0.01 | 66,340 |
| BANC OF 5.5% 01/36 | 0.01 | 77,682 |
| MERRILL LYNCH VAR 12/34 | 0.01 | 51,461 |
| MASTR VAR 04/34 | 0.01 | 46,971 |
| NOMURA ASSET STEP 08/33 | 0.01 | 117,140 |
| NEW CENTURY FLT 11/33 | 0.01 | 94,476 |
| MORGAN STANLEY VAR 07/34 | 0.01 | 60,842 |
| STRUCTURED FLT 07/32 | 0.01 | 96,801 |
| STRUCTURED VAR 01/34 | 0.01 | 98,088 |
| RFMSI SERIES VAR 11/36 | 0.01 | 134,089 |
| GSR MORTGAGE 5.5% 09/34 | 0.01 | 60,488 |
| FNMA REMIC VAR 12/42 | 0.01 | 101,004 |
| FNMA REMIC TRUST 6% 12/49 | 0.01 | 98,338 |
| FNMA TRUST VAR 02/44 | 0.01 | 89,844 |
| FNMA REMICS FLT 08/44 | 0.01 | 92,639 |
| GNMA 2010-166 GP 3% 04/39 | 0.01 | 75,775 |
| GNMA I 4.5% 10/24 | 0.00 | 889 |
| FHLMC ZERO 09/42 | 0.00 | 38,032 |
| FNMA REMICS FLT 07/35 | 0.00 | 36,244 |
| GREENPOINT FLT 09/30 | 0.00 | 4,122 |
| JP MORGAN VAR 10/33 | 0.00 | 10,729 |
| IMPAC CMB TRUST FLT 10/34 | 0.00 | 20,619 |
| STRUCTURED FLT 04/33 | 0.00 | 2,938 |
| STRUCTURED FLT 03/34 | 0.00 | 21,986 |
| MASTR SEASONED FLT 02/33 | 0.00 | 32,031 |
| MELLON FLT 09/30 | 0.00 | 6,866 |
| MELLON FLT 09/30 | 0.00 | 994 |
| MELLON FLT 11/31 | 0.00 | 44,106 |
| MRFC MORTGAGE FLT 08/32 | 0.00 | 21,743 |
| MORGAN STANLEY VAR 03/33 | 0.00 | 28,899 |
| MORGAN STANLEY VAR 03/33 | 0.00 | 31,575 |
| MERRILL LYNCH FLT 09/29 | 0.00 | 11,584 |
| CREDIT SUISSE 5% 07/20 | 0.00 | 892 |
| DEUTSCHE ALT-A VAR 02/20 | 0.00 | 18,838 |
| ALTERNATIVE STEP 06/34 | 0.00 | 167 |
| COUNTRYWIDE STEP 02/35 | 0.00 | 14,789 |
| UMBS MORTPASS 4% 02/25 | 0.00 | 23,126 |
| FHLMC REMICS 3% 10/32 | 0.00 | 563,982 |
| FHLMC REMICS 5% 10/30 | 0.00 | 31,360 |
| FHLMC REMICS 7% 07/27 | 0.00 | 6,125 |
| SEQUOIA FLT 07/33 | 0.00 | 39,124 |
| SEQUOIA FLT 12/32 | 0.00 | 6,195 |
| UBS-BAMLL 3.663% 06/30 | 0.00 | 36,602 |
