| Security | Rate | Maturity
Date | Par Value | Book Value | Market Value | Yield |
|---|
|
| ACCREDITED MTG LN TR | 3.24 | 1/25/2034 | 78,001.47 | 78,086.56 | 71,901.13 | 3.52 |
| ACCREDITED MTG LN TR | 4.46 | 1/25/2034 | 3,480,687.50 | 3,316,594.81 | 2,393,599.18 | 6.49 |
| ADJUSTABLE RATE MTG TR | 5.32 | 9/25/2035 | 849,804.69 | 849,804.69 | 782,489.96 | 5.78 |
| ADJUSTABLE RATE MTG TR | 5.34 | 2/25/2036 | 3,329,383.17 | 3,324,567.84 | 2,860,678.60 | 6.21 |
| ADJUSTABLE RATE MTG TR | 6.60 | 4/25/2035 | 714,430.48 | 709,673.69 | 621,851.65 | 7.58 |
| AFC MTG LN TR | 2.75 | 4/25/2028 | 326,947.47 | 326,990.65 | 226,564.46 | 3.97 |
| ALASKA AIRLS INC | 9.50 | 4/12/2012 | 2,335,907.79 | 1,960,964.10 | 2,556,839.36 | 8.68 |
| ALTERNATIVE LN TR | 2.69 | 6/25/2046 | 3,152,476.27 | 3,154,113.79 | 2,690,831.43 | 3.15 |
| ALTERNATIVE LN TR | 6.25 | 8/25/2037 | 434,886.58 | 317,511.30 | 327,433.19 | 8.30 |
| AMERICAN HOME MTG ASSET TR | 3.10 | 10/25/2046 | 501,976.58 | 501,976.58 | 323,335.66 | 4.82 |
| AMERICAN HOME MTG ASSETS TR | 7.31 | 11/25/2035 | 663,729.60 | 665,464.59 | 657,692.05 | 7.38 |
| AMERIQUEST MTG SECS INC | 3.83 | 3/25/2033 | 808,264.08 | 812,780.47 | 640,165.68 | 4.84 |
| ARGENT SECS INC | 3.17 | 3/25/2034 | 729,300.93 | 733,328.96 | 470,980.35 | 4.91 |
| ARGENT SECS INC | 3.18 | 10/25/2033 | 400,000.00 | 403,641.98 | 343,658.12 | 3.70 |
| ASSET BACKED FDG CORP | 3.61 | 5/25/2032 | 276,578.55 | 276,952.76 | 243,302.83 | 4.10 |
| ASSET SECURITIZATION CORP | 7.31 | 2/14/2029 | 1,398,722.57 | 1,402,516.47 | 1,432,392.34 | 7.13 |
| BANC AMER COML MTG INC | 5.18 | 10/10/2045 | 3,084,000.00 | 2,986,977.14 | 2,807,308.76 | 5.69 |
| BANC AMER COML MTG INC | 5.35 | 9/10/2047 | 2,833,000.00 | 2,756,266.76 | 2,569,985.27 | 5.90 |
| BANC AMER COML MTG TR | 5.49 | 2/10/2051 | 6,300,000.00 | 6,334,222.00 | 5,858,001.51 | 5.91 |
| BANC AMER COML MTG TR | 5.89 | 7/10/2044 | 1,732,000.00 | 1,763,945.09 | 1,691,749.00 | 6.03 |
| BANC AMER FDG CORP | 6.00 | 5/20/2033 | 4,026,346.19 | 4,054,820.72 | 3,724,684.68 | 6.49 |
| BANC AMER FDG CORP | 6.79 | 12/20/2034 | 590,194.81 | 595,438.92 | 439,211.06 | 9.12 |
| BANC AMER MTG SECS INC | 5.00 | 12/25/2019 | 1,637,892.32 | 1,594,839.52 | 1,550,047.57 | 5.28 |
| BANC OF AMERICA COMMERCIAL MTG | 5.61 | 5/10/2045 | 1,325,930.45 | 1,338,039.33 | 1,339,876.41 | 5.55 |
| BANC OF AMERICA COMMERCIAL MTG | 5.93 | 5/10/2045 | 1,783,000.00 | 1,818,360.80 | 1,730,501.33 | 6.11 |
