| US 2YR NOTE (CBT) Sep24 | 13.12 | 24 |
| US LONG BOND(CBT) Sep24 | 7.40 | 23 |
| US 5YR NOTE (CBT) Sep24 | 6.89 | 24 |
| US Dollar | 4.21 | 1,582,203 |
| Fannie Mae FN BF0207, 4.50%, due 04/01/2047 | 3.58 | 1,377,779 |
| Fannie Mae FN AS7738, 3%, due 08/01/2046 | 3.40 | 1,445,722 |
| GNMA Series 2015-123, Class ZA, 3.50%, due 09/20/2045 | 3.32 | 1,361,677 |
| Freddie Mac FR SD7509, 3%, due 11/01/2049 | 3.07 | 1,290,974 |
| Fannie Mae Series 2024-6, Class AL, 2%, due 04/01/2040 | 2.99 | 1,500,000 |
| Freddie Mac Series 4316, Class BZ, 3%, due 03/15/2044 | 2.93 | 1,226,608 |
| Freddie Mac Series 4213, Class GZ, 3.50%, due 06/15/2043 | 2.92 | 1,178,460 |
| Fannie Mae Series 2012-134, Class ZC, 2.50%, due 12/25/2042 | 2.88 | 1,405,163 |
| Freddie Mac Series 4741, Class GY, 3%, due 12/15/2047 | 2.84 | 1,250,000 |
| Fannie Mae Series 2014-12, Class ZB, 3%, due 03/25/2039 | 2.80 | 1,127,202 |
| Fannie Mae Series 2024-26, Class PO, 0%, due 05/25/2054 | 2.80 | 1,366,350 |
| Fannie Mae Series 2016-94, Class MB, 2.50%, due 12/25/2046 | 2.79 | 1,350,000 |
| Fannie Mae or Freddie Mac TBA, 3.50%, due 04/01/2052 | 2.78 | 1,149,000 |
| FHLMC Multifamily Structured Pass Through Certs. Series KJ47, Class A2, 5.43%, due 06/25/2031 | 2.77 | 1,000,000 |
| Freddie Mac Series 4798, Class GZ, 4%, due 06/15/2048 | 2.72 | 1,080,838 |
| Freddie Mac Series 5256, Class FC, Variable rate, due 09/25/2052 | 2.69 | 1,039,851 |
| FHLMC Multifamily Structured Pass Through Certs. Series KJ24, Class A2, 2.821%, due 09/25/2027 | 2.66 | 1,036,582 |
| Freddie Mac Series 4929, Class FB, Variable rate, due 09/25/2049 | 2.61 | 996,218 |
| Fannie Mae FN AS7749, 3.50%, due 08/01/2046 | 2.58 | 1,046,886 |
| FHLMC Multifamily Structured Pass Through Certs. Series K158, Class A3, Variable rate, due 10/25/2033 | 2.54 | 1,000,000 |
| U.S. Treasury Bond, 4.125%, due 08/15/2053 | 2.50 | 975,000 |
| Freddie Mac - SCRT Series 2019-2, Class MA, 3.50%, due 08/25/2058 | 2.42 | 963,553 |
| Fannie Mae FN FS3541, 3.50%, due 08/01/2052 | 2.35 | 971,846 |
| Freddie Mac FR ZS9776, 3.50%, due 08/01/2046 | 2.27 | 920,667 |
| Fannie Mae or Freddie Mac TBA, 3%, due 03/01/2052 | 2.01 | 869,000 |
| U.S. Treasury Bond, 3%, due 02/15/2047 | 1.92 | 910,000 |
| Fannie Mae FN 310208, 3%, due 03/01/2048 | 1.57 | 674,016 |
| US 10YR NOTE (CBT)Sep24 | 1.49 | 5 |
| FHLMC Multifamily Structured Pass Through Certs. Series K129, Class XAM, Variable rate, due 05/25/2031 | 1.46 | 8,000,000 |
| FHLMC Multifamily Structured Pass Through Certs. Series KG04, Class X1, Variable rate, due 11/25/2030 | 1.46 | 13,254,481 |
| Freddie Mac - SLST Series 2021-1, Class A1D, 2%, due 05/26/2031 | 1.41 | 582,881 |
| FREMF Mortgage Trust Series 2019-KL4F, Class BA, Variable rate, due 10/25/2025 | 1.30 | 500,000 |
| Fannie Mae FN BM7079, 4%, due 10/01/2048 | 1.18 | 467,218 |
| Fannie Mae FN 310211, 3.50%, due 07/01/2048 | 1.17 | 485,944 |
| Fannie Mae FN BM7129, 3%, due 01/01/2047 | 1.15 | 476,890 |
| Freddie Mac FR ZL8982, 3.50%, due 01/01/2045 | 1.15 | 462,012 |
| Freddie Mac FR ZS9446, 3.50%, due 08/01/2045 | 1.15 | 462,594 |
| Freddie Mac FR SD4005, 4%, due 12/01/2049 | 1.13 | 440,510 |
| Fannie Mae FN BM6732, 4%, due 11/01/2048 | 1.13 | 445,116 |
| Fannie Mae Series 2015-89, Class CZ, 4%, due 08/25/2045 | 1.04 | 424,059 |
| Freddie Mac - SLST Series 2019-3, Class A1C, 2.75%, due 11/25/2029 | 1.00 | 401,461 |
| FHLMC Multifamily Structured Pass Through Certs. Series KG05, Class X1, Variable rate, due 01/25/2031 | 0.99 | 22,252,827 |
| FHLMC Multifamily Structured Pass Through Certs. Series K-1512, Class X1, Variable rate, due 04/25/2034 | 0.96 | 6,268,699 |
| Freddie Mac Multiclass Certificates Series 2020-RR06, Class BX, Variable rate, due 05/27/2033 | 0.93 | 3,500,000 |
| FREDDIE MAC Series 4316, Class XZ, 4.50%, due 03/15/2044 | 0.87 | 330,622 |
| Freddie Mac Series 4945, Class LB, 3%, due 03/25/2040 | 0.82 | 350,000 |
| GNMA Series 2024-32, Class IO, Variable rate, due 06/16/2063 | 0.67 | 5,051,737 |
| FHLMC Multifamily Structured Pass Through Certs. Series K110, Class X1, Variable rate, due 04/25/2030 | 0.65 | 3,243,704 |
| FHLMC Multifamily Structured Pass Through Certs. Series K740, Class XAM, 1.11174%, due 10/25/2027 | 0.62 | 7,700,000 |
| U.S. Treasury Bond, 3.375%, due 08/15/2042 | 0.42 | 180,000 |
| Freddie Mac FG U90690, 3.50%, due 06/01/2042 | 0.35 | 139,677 |
| iShares 20+ Year Treasury Bond ETF | 0.33 | 1,300 |
| FHLMC Multifamily Structured Pass Through Certs. Series KSW4, Class A, Variable rate, due 10/25/2028 | 0.32 | 120,372 |
| Fannie Mae or Freddie Mac TBA, 3.50%, due 04/01/2052 | 0.29 | 119,000 |
| U.S. Treasury Bond, 3%, due 11/15/2045 | 0.29 | 135,000 |
| Fannie Mae or Freddie Mac TBA, 4%, due 05/01/2052 | 0.28 | 114,000 |
| Fannie Mae or Freddie Mac TBA, 5%, due 03/01/2054 | 0.09 | 34,000 |
| 2024-08-23 US 2YR NOTE (CBT) Sep24 P 102.50 | 0.00 | -6 |
| 2024-08-23 US LONG BOND(CBT) Sep24 C 126 | 0.00 | -5 |
| 2024-08-23 US LONG BOND(CBT) Sep24 P 106 | 0.00 | -1 |
| 2024-11-22 US 5YR NOTE (CBT) Dec24 P 105 | 0.00 | -3 |
| 2024-11-22 US LONG BOND(CBT) Dec24 P 106 | 0.00 | -1 |
| 2025-03-14 SOFR 1yr MidCurve Mar26 P 94.50 | 0.00 | -3 |
