Putnam Mortgage Securities Fund

Fund Profile

Fund profile

Tickers

PGSIX, PGSBX, PGVCX, PGVRX, PUSYX

Fund manager

Putnam Mortgage Securities Fund

Total assets

$1.31 bn

Liabilities

$872.86 mm

Net assets

$434.22 mm

Number of holdings

440.00

Top 200 of 440 Holdings

As of Sep 2024

Security	$Holding	Balance	% of Fund	Category	Position	Country
FNMA TBA	103.20 mm	102.00 mm principal	23.77	ABS-mortgage backed security	Long	USA
FNMA TBA	96.95 mm	97.00 mm principal	22.33	ABS-mortgage backed security	Long	USA
FNMA TBA	85.17 mm	103.00 mm principal	19.61	ABS-mortgage backed security	Long	USA
GOVERNMENT FUTURES	79.76 mm	383.00 contracts	18.37	Interest rate derivative	N/A	USA
GNMA TBA	73.13 mm	73.00 mm principal	16.84	ABS-mortgage backed security	Long	USA
FNMA TBA	72.58 mm	71.00 mm principal	16.71	ABS-mortgage backed security	Long	USA
FNMA TBA	67.97 mm	68.00 mm principal	15.65	ABS-mortgage backed security	Short	USA
SHORT TERM INV FUND	64.76 mm	64.76 mm shares	14.92	Short-term investment vehicle	Long	USA
FNMA TBA	61.30 mm	71.00 mm principal	14.12	ABS-mortgage backed security	Long	USA
FNMA TBA	30.73 mm	33.00 mm principal	7.08	ABS-mortgage backed security	Long	USA
FNMA TBA	29.62 mm	33.00 mm principal	6.82	ABS-mortgage backed security	Long	USA
FNMA TBA	28.33 mm	28.00 mm principal	6.52	ABS-mortgage backed security	Short	USA
FNMA TBA	25.56 mm	26.00 mm principal	5.89	ABS-mortgage backed security	Long	USA
GNMA TBA	21.15 mm	24.00 mm principal	4.87	ABS-mortgage backed security	Long	USA
GNMA TBA	19.51 mm	23.00 mm principal	4.49	ABS-mortgage backed security	Long	USA
FNMA TBA	19.21 mm	20.00 mm principal	4.42	ABS-mortgage backed security	Long	USA
GNMA TBA	17.33 mm	19.00 mm principal	3.99	ABS-mortgage backed security	Long	USA
FNMA TBA	16.47 mm	18.00 mm principal	3.79	ABS-mortgage backed security	Long	USA
GNMA TBA	16.44 mm	17.00 mm principal	3.79	ABS-mortgage backed security	Long	USA
GNMA TBA	13.15 mm	14.00 mm principal	3.03	ABS-mortgage backed security	Long	USA
GNMA TBA	12.12 mm	12.00 mm principal	2.79	ABS-mortgage backed security	Long	USA
GNMA TBA	11.85 mm	12.00 mm principal	2.73	ABS-mortgage backed security	Long	USA
FNMA TBA	9.82 mm	11.00 mm principal	2.26	ABS-mortgage backed security	Long	USA
FNMA TBA	8.44 mm	9.00 mm principal	1.94	ABS-mortgage backed security	Long	USA
FNMA TBA	7.77 mm	9.00 mm principal	1.79	ABS-mortgage backed security	Short	USA
CORP CMO	5.64 mm	4.52 mm principal	1.30	ABS-collateralized bond/debt obligation	Long	USA
Interest Rate Swap	5.56 mm	534.37 mm contracts	1.28	Interest rate derivative	N/A	USA
FNMA CMO IO	5.09 mm	26.72 mm principal	1.17	ABS-mortgage backed security	Long	USA
FNMA TBA	3.84 mm	4.00 mm principal	0.88	ABS-mortgage backed security	Long	USA
GNMA CMO IO	3.81 mm	25.27 mm principal	0.88	ABS-mortgage backed security	Long	USA
CORP CMO	3.75 mm	3.46 mm principal	0.86	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	3.60 mm	2.65 mm principal	0.83	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	3.54 mm	3.10 mm principal	0.82	ABS-collateralized bond/debt obligation	Long	USA
FNMA CMO IO	3.42 mm	20.11 mm principal	0.79	ABS-mortgage backed security	Long	USA
FHLMC CMO IO	3.35 mm	17.59 mm principal	0.77	ABS-mortgage backed security	Long	USA
CORP CMO	3.27 mm	3.26 mm principal	0.75	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	3.24 mm	2.81 mm principal	0.75	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	3.20 mm	2.68 mm principal	0.74	ABS-collateralized bond/debt obligation	Long	USA
ASSET BACKED SECURITY	3.18 mm	3.31 mm principal	0.73	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	3.17 mm	3.15 mm principal	0.73	ABS-mortgage backed security	Long	USA
CORP CMO	3.13 mm	3.05 mm principal	0.72	ABS-collateralized bond/debt obligation	Long	USA
GNMA CMO IO	3.10 mm	24.55 mm principal	0.71	ABS-mortgage backed security	Long	USA
GNMA TBA	3.05 mm	3.00 mm principal	0.70	ABS-mortgage backed security	Long	USA
Interest Rate Swap	3.02 mm	24.83 mm contracts	0.69	Interest rate derivative	N/A	USA
GNMA CMO IO	2.92 mm	2.67 mm principal	0.67	ABS-mortgage backed security	Long	USA
CORP CMO	2.84 mm	4.97 mm principal	0.65	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	2.80 mm	2.71 mm principal	0.65	ABS-collateralized bond/debt obligation	Long	USA
FNMA CMO IO	2.76 mm	33.86 mm principal	0.64	ABS-mortgage backed security	Long	USA
CORP CMO	2.69 mm	2.11 mm principal	0.62	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	2.65 mm	2.61 mm principal	0.61	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	2.64 mm	2.58 mm principal	0.61	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	2.55 mm	2.53 mm principal	0.59	ABS-collateralized bond/debt obligation	Long	USA
GNMA CMO IO	2.55 mm	38.71 mm principal	0.59	ABS-mortgage backed security	Long	USA
GNMA CMO IO	2.48 mm	34.43 mm principal	0.57	ABS-mortgage backed security	Long	USA
U.S. T BILLS	2.39 mm	2.40 mm principal	0.55	Debt	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	2.33 mm	2.38 mm principal	0.54	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	2.33 mm	2.29 mm principal	0.54	ABS-mortgage backed security	Long	USA
ASSET BACKED SECURITY	2.31 mm	2.37 mm principal	0.53	ABS-mortgage backed security	Long	USA
ASSET BACKED SECURITY	2.30 mm	2.38 mm principal	0.53	ABS-mortgage backed security	Long	USA
CORP CMO	2.24 mm	2.24 mm principal	0.52	ABS-collateralized bond/debt obligation	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	2.19 mm	2.55 mm principal	0.50	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	2.18 mm	2.43 mm principal	0.50	ABS-mortgage backed security	Long	USA
GNMA CMO IO	2.15 mm	16.23 mm principal	0.50	ABS-mortgage backed security	Long	USA
GNMA CMO IO	2.11 mm	14.14 mm principal	0.49	ABS-mortgage backed security	Long	USA
GNMA CMO IO	2.11 mm	34.92 mm principal	0.49	ABS-mortgage backed security	Long	USA
FNMA TBA	2.06 mm	2.00 mm principal	0.47	ABS-mortgage backed security	Long	USA
GNMA CMO IO	2.03 mm	14.54 mm principal	0.47	ABS-mortgage backed security	Long	USA
CORP CMO	2.00 mm	1.89 mm principal	0.46	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	1.99 mm	1.88 mm principal	0.46	ABS-collateralized bond/debt obligation	Long	USA
ASSET BACKED SECURITY	1.96 mm	2.09 mm principal	0.45	ABS-mortgage backed security	Long	USA
FNMA TBA	1.96 mm	2.00 mm principal	0.45	ABS-mortgage backed security	Long	USA
CORP CMO	1.91 mm	1.87 mm principal	0.44	ABS-collateralized bond/debt obligation	Long	USA
GNMA CMO IO	1.89 mm	9.37 mm principal	0.44	ABS-mortgage backed security	Long	USA
CORP CMO	1.89 mm	1.86 mm principal	0.44	ABS-collateralized bond/debt obligation	Long	USA
GNMA CMO IO	1.88 mm	10.37 mm principal	0.43	ABS-mortgage backed security	Long	USA
FHLMC CMO IO	1.87 mm	9.76 mm principal	0.43	ABS-mortgage backed security	Long	USA
FNMA CMO IO	1.87 mm	13.80 mm principal	0.43	ABS-mortgage backed security	Long	USA
CORP CMO	1.85 mm	1.85 mm principal	0.43	ABS-collateralized bond/debt obligation	Long	USA
Interest Rate Swap	1.84 mm	36.72 mm contracts	0.42	Interest rate derivative	N/A	USA
GNMA CMO IO	1.81 mm	12.29 mm principal	0.42	ABS-mortgage backed security	Long	USA
CORP CMO	1.80 mm	1.78 mm principal	0.42	ABS-collateralized bond/debt obligation	Long	USA
GNMA CMO IO	1.79 mm	38.65 mm principal	0.41	ABS-mortgage backed security	Long	USA
CORP CMO	1.78 mm	1.77 mm principal	0.41	ABS-collateralized bond/debt obligation	Long	USA
FNMA CMO IO	1.76 mm	9.45 mm principal	0.41	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.72 mm	10.27 mm principal	0.40	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.71 mm	1.88 mm principal	0.39	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.70 mm	2.31 mm principal	0.39	ABS-mortgage backed security	Long	USA
CORP CMO	1.69 mm	1.94 mm principal	0.39	ABS-collateralized bond/debt obligation	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.69 mm	1.82 mm principal	0.39	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.69 mm	1.82 mm principal	0.39	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.66 mm	1.73 mm principal	0.38	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.63 mm	1.88 mm principal	0.37	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.63 mm	1.74 mm principal	0.37	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.56 mm	1.96 mm principal	0.36	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.56 mm	1.78 mm principal	0.36	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.56 mm	11.52 mm principal	0.36	ABS-mortgage backed security	Long	USA
CORP CMO	1.56 mm	1.51 mm principal	0.36	ABS-collateralized bond/debt obligation	Long	USA
FHLMC CMO IO	1.55 mm	6.77 mm principal	0.36	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.54 mm	6.83 mm principal	0.36	ABS-mortgage backed security	Long	USA
CORP CMO	1.51 mm	1.51 mm principal	0.35	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	1.51 mm	1.50 mm principal	0.35	ABS-collateralized bond/debt obligation	Long	USA
CORP CMO	1.46 mm	1.46 mm principal	0.34	ABS-collateralized bond/debt obligation	Long	USA
Interest Rate Swap	1.46 mm	70.36 mm contracts	0.34	Interest rate derivative	N/A	USA
CORP CMO	1.43 mm	1.33 mm principal	0.33	ABS-collateralized bond/debt obligation	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.42 mm	1.62 mm principal	0.33	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.41 mm	22.57 mm principal	0.32	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.39 mm	10.69 mm principal	0.32	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.39 mm	40.32 mm principal	0.32	ABS-mortgage backed security	Long	USA
SHORT TERM INV FUND	1.38 mm	1.38 mm shares	0.32	Short-term investment vehicle	Long	USA
CORP CMO	1.38 mm	1.72 mm principal	0.32	ABS-collateralized bond/debt obligation	Long	USA
GNMA CMO IO	1.37 mm	8.65 mm principal	0.32	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.33 mm	32.92 mm principal	0.31	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.33 mm	8.52 mm principal	0.31	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.32 mm	1.85 mm principal	0.30	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.32 mm	1.55 mm principal	0.30	ABS-mortgage backed security	Long	USA
Mortgage Backed Swap Basket Index	1.32 mm	3.89 mm contracts	0.30	Credit derivative	N/A	USA
COMMERCIAL MORT BACKED SEC IO	1.32 mm	19.38 mm principal	0.30	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.31 mm	1.44 mm principal	0.30	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.31 mm	1.37 mm principal	0.30	ABS-mortgage backed security	Long	USA
CORP CMO	1.29 mm	1.33 mm principal	0.30	ABS-collateralized bond/debt obligation	Long	USA
FNMA CMO IO	1.28 mm	7.66 mm principal	0.29	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.27 mm	17.99 mm principal	0.29	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.27 mm	1.41 mm principal	0.29	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.26 mm	1.39 mm principal	0.29	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.26 mm	1.50 mm principal	0.29	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.26 mm	1.36 mm principal	0.29	ABS-mortgage backed security	Long	USA
CORP CMO	1.24 mm	916.00 k principal	0.29	ABS-collateralized bond/debt obligation	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.24 mm	1.44 mm principal	0.28	ABS-mortgage backed security	Long	USA
Interest Rate Swap	1.23 mm	64.16 mm contracts	0.28	Interest rate derivative	N/A	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.21 mm	1.29 mm principal	0.28	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.21 mm	2.31 mm principal	0.28	ABS-mortgage backed security	Long	USA
CORP CMO	1.20 mm	1.00 mm principal	0.28	ABS-collateralized bond/debt obligation	Long	USA
GNMA CMO IO	1.19 mm	18.04 mm principal	0.27	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.19 mm	1.15 mm principal	0.27	ABS-mortgage backed security	Long	USA
CORP CMO	1.19 mm	1.07 mm principal	0.27	ABS-collateralized bond/debt obligation	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.19 mm	1.31 mm principal	0.27	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.19 mm	7.76 mm principal	0.27	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.17 mm	1.91 mm principal	0.27	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.14 mm	1.41 mm principal	0.26	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.14 mm	5.33 mm principal	0.26	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.13 mm	18.36 mm principal	0.26	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.12 mm	9.82 mm principal	0.26	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.12 mm	1.24 mm principal	0.26	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.11 mm	7.53 mm principal	0.26	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.11 mm	1.17 mm principal	0.26	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.11 mm	1.44 mm principal	0.25	ABS-mortgage backed security	Long	USA
FNMA CMO IO	1.11 mm	8.70 mm principal	0.25	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.10 mm	25.08 mm principal	0.25	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.10 mm	1.55 mm principal	0.25	ABS-mortgage backed security	Long	USA
FNMA CMO IO	1.10 mm	6.88 mm principal	0.25	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.09 mm	5.61 mm principal	0.25	ABS-mortgage backed security	Long	USA
CORP CMO	1.09 mm	1.07 mm principal	0.25	ABS-collateralized bond/debt obligation	Long	USA
GNMA CMO IO	1.08 mm	7.23 mm principal	0.25	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.08 mm	1.94 mm principal	0.25	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.07 mm	1.05 mm principal	0.25	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.07 mm	1.13 mm principal	0.25	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.06 mm	2.33 mm principal	0.24	ABS-mortgage backed security	Long	USA
CORP CMO	1.06 mm	1.06 mm principal	0.24	ABS-collateralized bond/debt obligation	Long	USA
GOVT CMO	1.05 mm	966.92 k principal	0.24	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.05 mm	1.11 mm principal	0.24	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.04 mm	29.66 mm principal	0.24	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.04 mm	1.06 mm principal	0.24	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.03 mm	2.33 mm principal	0.24	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	1.03 mm	1.35 mm principal	0.24	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.03 mm	7.59 mm principal	0.24	ABS-mortgage backed security	Long	USA
CORP CMO	1.02 mm	1.00 mm principal	0.23	ABS-collateralized bond/debt obligation	Long	Bermuda
GNMA CMO IO	1.01 mm	1.00 mm principal	0.23	ABS-mortgage backed security	Long	USA
GNMA CMO IO	1.00 mm	8.45 mm principal	0.23	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	999.75 k	1.12 mm principal	0.23	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	996.00 k	1.07 mm principal	0.23	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	995.79 k	1.74 mm principal	0.23	ABS-mortgage backed security	Long	USA
FHLMC CMO IO	985.72 k	6.66 mm principal	0.23	ABS-mortgage backed security	Long	USA
GNMA CMO IO	985.47 k	7.39 mm principal	0.23	ABS-mortgage backed security	Long	USA
FNMA CMO IO	983.89 k	5.93 mm principal	0.23	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	962.14 k	1.12 mm principal	0.22	ABS-mortgage backed security	Long	USA
GNMA CMO IO	954.48 k	14.10 mm principal	0.22	ABS-mortgage backed security	Long	USA
GNMA CMO IO	951.73 k	5.01 mm principal	0.22	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	940.41 k	1.70 mm principal	0.22	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	939.43 k	2.03 mm principal	0.22	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	938.77 k	1.02 mm principal	0.22	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	936.71 k	1.17 mm principal	0.22	ABS-mortgage backed security	Long	USA
GNMA CMO IO	936.33 k	24.04 mm principal	0.22	ABS-mortgage backed security	Long	USA
FHLMC CMO IO	931.72 k	8.13 mm principal	0.21	ABS-mortgage backed security	Long	USA
GNMA CMO IO	930.84 k	19.20 mm principal	0.21	ABS-mortgage backed security	Long	USA
CORP CMO	930.74 k	1.09 mm principal	0.21	ABS-collateralized bond/debt obligation	Long	USA
Interest Rate Swap	927.89 k	19.17 mm contracts	0.21	Interest rate derivative	N/A	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	925.99 k	1.07 mm principal	0.21	ABS-mortgage backed security	Long	USA
GNMA CMO IO	925.70 k	16.95 mm principal	0.21	ABS-mortgage backed security	Long	USA
FHLMC CMO IO	925.48 k	8.00 mm principal	0.21	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	921.40 k	973.00 k principal	0.21	ABS-mortgage backed security	Long	USA
FHLMC CMO IO	919.83 k	4.64 mm principal	0.21	ABS-mortgage backed security	Long	USA
GNMA CMO IO	919.25 k	12.73 mm principal	0.21	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	912.07 k	1.23 mm principal	0.21	ABS-mortgage backed security	Long	USA
GNMA CMO IO	905.23 k	5.06 mm principal	0.21	ABS-mortgage backed security	Long	USA
COMMERCIAL MORTGAGE BACKED SECURITIES	903.71 k	971.35 k principal	0.21	ABS-mortgage backed security	Long	USA
FNMA CMO IO	895.57 k	6.35 mm principal	0.21	ABS-mortgage backed security	Long	USA
FNMA CMO IO	892.82 k	6.87 mm principal	0.21	ABS-mortgage backed security	Long	USA
CORP CMO	888.39 k	778.64 k principal	0.20	ABS-collateralized bond/debt obligation	Long	USA
Mortgage Backed Swap Basket Index	882.64 k	4.53 mm contracts	0.20	Credit derivative	N/A	USA
COMMERCIAL MORT BACKED SEC IO	877.73 k	9.78 mm principal	0.20	ABS-mortgage backed security	Long	USA