0001752724-23-039223.txt : 20230224 0001752724-23-039223.hdr.sgml : 20230224 20230224125444 ACCESSION NUMBER: 0001752724-23-039223 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20221231 FILED AS OF DATE: 20230224 DATE AS OF CHANGE: 20230224 PERIOD START: 20221231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BlackRock Variable Series Funds II, Inc. CENTRAL INDEX KEY: 0001738072 IRS NUMBER: 000000000 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23346 FILM NUMBER: 23665224 BUSINESS ADDRESS: STREET 1: 100 BELLEVUE PARKWAY CITY: WILMINGTON STATE: DE ZIP: 19809 BUSINESS PHONE: 800-441-7762 MAIL ADDRESS: STREET 1: 100 BELLEVUE PARKWAY CITY: WILMINGTON STATE: DE ZIP: 19809 0001738072 S000062378 BlackRock U.S. Government Bond V.I. Fund C000202346 Class I C000202347 Class III NPORT-P 1 primary_doc.xml NPORT-P false 0001738072 XXXXXXXX S000062378 C000202347 C000202346 BlackRock Variable Series Funds II, Inc. 811-23346 0001738072 549300CYYTFFNBNORE26 100 Bellevue Parkway Wilmington 19809 800-441-7762 BlackRock U.S. Government Bond V.I. Fund S000062378 QROP7ZHEIUKVGACOOV07 2022-12-31 2022-12-31 N 49549369.78 9350681.05 40198688.73 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 428413.91000000 AUD BRL CAD COP EUR GBP JPY MXN NZD PEN PLN USD ZAR N Bloomberg U.S. Government/Mortgage Index I01262US United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZH6 214000.00000000 PA USD 211508.91000000 0.526158729755 Long DBT UST US N 2 2023-04-15 Fixed 0.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X4WD4 634.52380000 PA USD 588.11000000 0.001463007920 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WJEP9 14143.20000000 PA USD 13224.98000000 0.032899033321 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31292HAA2 3154.67000000 PA USD 3240.92000000 0.008062253029 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 8.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DWBB8 152834.90670000 PA USD 124840.70000000 0.310559134996 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WJQF8 14924.65000000 PA USD 13844.90000000 0.034441173176 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179XBQ8 126101.59560000 PA USD 109345.90000000 0.272013599086 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J7MC6 13361.47670000 PA USD 12152.60000000 0.030231334364 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N N/A N/A OIS N/A 54000.00000000 PA 50.51000000 0.000125650864 N/A DIR US N 2 Citibank E57ODZWZ7FF32TWEFA76 Y 2024-01-02 0.00000000 USD 0.00000000 USD 54000.00000000 BRL 50.51000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31410K3E2 1355.15000000 PA USD 1398.10000000 0.003477974143 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFG26 12261.09000000 PA USD 11496.92000000 0.028600236383 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DM2T1 32984.13240000 PA USD 27152.40000000 0.067545486825 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138ERA91 1185.56000000 PA USD 1062.88000000 0.002644066345 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WJC97 2358.55000000 PA USD 2205.56000000 0.005486646628 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F020612 -654800.00000000 PA USD -532653.78000000 -1.32505262442 Short ABS-MBS USGSE US N 2 2053-01-25 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179WLQ9 221092.76260000 PA USD 197930.10000000 0.492379493593 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X83B1 33761.23000000 PA USD 31362.08000000 0.078017669209 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association Variable Rate Notes, Series 2016-151 38379UV45 403152.53840000 PA USD 14621.78000000 0.036373773528 Long ABS-MBS USGA US N 2 2058-06-16 Variable 0.84681000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 21H022614 -167000.00000000 PA USD -144681.80000000 -0.35991671512 Short ABS-MBS USGA US N 2 2053-01-15 Fixed 2.50000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 472.46000000 0.001175311968 N/A DFE N/A N 2 Bank of New York WFLLPEPC7FZXENRZV188 10000.00000000 USD 1372905.00000000 JPY 2023-01-12 472.46000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFA43 27851.42140000 PA USD 23995.77000000 0.059692917252 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFFP1 40462.68120000 PA USD 33295.85000000 0.082828199257 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N N/A N/A OIS N/A 1100000.00000000 PA USD 6633.13000000 0.016500861619 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2024-09-23 0.00000000 USD 0.00000000 USD 1100000.00000000 USD 6633.13000000 N N N Federal Home Loan Bank 2549001DPIFGXC1TOL40 Federal Home Loan Bank 3130A0A26 500000.00000000 PA USD 495691.66000000 1.233104053043 Long DBT USGSE US N 2 2028-04-10 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31410G4B6 5483.82000000 PA USD 5689.02000000 0.014152252672 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KNCZ4 140059.60050000 PA USD 119776.94000000 0.297962306194 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DWCG6 11302.10500000 PA USD 8711.51000000 0.021671129768 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 1.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVMA0 556569.35030000 PA USD 494278.40000000 1.229588366227 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QNFD9 11355.46750000 PA USD 9742.70000000 0.024236362696 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179WG44 184983.27130000 PA USD 165533.83000000 0.411789128525 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 3.00000000 N N N N N N CSAIL Commercial Mortgage Trust N/A CSAIL Commercial Mortgage Trust, Series 2018-CX11, Class A5 12652UAU3 51000.00000000 PA USD 47530.99000000 0.118240150367 Long ABS-MBS CORP US N 2 2051-04-15 Variable 4.03310160 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KE3D5 11312.06000000 PA USD 10619.56000000 0.026417677629 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132ADQE1 14397.59930000 PA USD 13345.24000000 0.033198197308 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N BX Trust N/A BX Trust, Series 2021-MFM1, Class C 05608VAG1 36000.00000000 PA USD 34305.65000000 0.085340221494 Long ABS-MBS CORP US N 2 2034-01-15 Floating 5.51786040 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFG91 10216.77000000 PA USD 9773.38000000 0.024312683594 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QQFB6 14907.16540000 PA USD 13584.35000000 0.033793017705 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 3.50000000 N N N N N N N/A N/A OIS N/A 1600000.00000000 PA USD -22778.37000000 -0.05666446025 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2024-11-21 0.00000000 USD 0.00000000 USD 1600000.00000000 USD -22778.37000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFGS4 71424.61930000 PA USD 61080.83000000 0.151947319501 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N N/A N/A OIS N/A 37000.00000000 PA -176.47000000 -0.00043899441 N/A DIR US N 2 Citibank E57ODZWZ7FF32TWEFA76 Y 2025-01-02 0.00000000 USD 0.00000000 USD 37000.00000000 BRL -176.47000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KPKT4 69174.46710000 PA USD 66669.91000000 0.165850957099 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XDS49 63824.94530000 PA USD 52540.50000000 0.130702024518 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36180DSX6 6225.53000000 PA USD 5854.85000000 0.014564778566 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QNNX6 47278.55200000 PA USD 38874.76000000 0.096706537521 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202FM78 26100.63000000 PA USD 25218.77000000 0.062735305047 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 4.00000000 N N N N N N N/A N/A SOP N/A -300000.00000000 PA USD -4611.90000000 -0.01147276228 N/A DIR DE N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 Call Written N/A Swaption 1.00000000 3.12500000 USD 2023-06-14 XXXX 7245.60000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810RZ3 154000.00000000 PA USD 120126.02000000 0.298830692729 Long DBT UST US N 2 2047-11-15 Fixed 2.75000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KJVE9 40247.75000000 PA USD 35682.48000000 0.088765283464 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 10.92000000 0.000027165065 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 206000.00000000 MXN 10486.88000000 USD 2023-02-21 10.92000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810RB6 660000.00000000 PA USD 538699.22000000 1.340091522930 Long DBT UST US N 2 2043-05-15 Fixed 2.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 21H032613 -262821.00000000 PA USD -241431.37000000 -0.60059513787 Short ABS-MBS USGA US N 2 2053-01-15 Fixed 3.50000000 N N N N N N Lehman Brothers Holdings, Inc. N/A Lehman Brothers Holdings, Inc., Term Loan N/A 256889.64000000 PA USD 0.03000000 0.000000074629 Long LON CORP US N 3 2023-12-31 Variable 0.00000000 Y N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202FLN4 10362.50000000 PA USD 10012.47000000 0.024907454238 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 4.00000000 N N N N N N N/A N/A IRS N/A 21000.00000000 PA 328.28000000 0.000816643553 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2024-09-12 5.67000000 USD 0.00000000 USD 21000.00000000 EUR 328.28000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMRM9 70126.03000000 PA USD 67392.90000000 0.167649498352 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVLH6 15672.54360000 PA USD 12942.17000000 0.032195502910 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N N/A N/A OIS N/A 700000.00000000 PA USD 11747.75000000 0.029224211961 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2024-09-13 0.00000000 USD 0.00000000 USD 700000.00000000 USD 11747.75000000 N N N United Mexican States 254900EGTWEU67VP6075 United Mexican States N/A 2000.00000000 PA 9723.06000000 0.024187505381 Long DBT NUSS MX N 2 2038-11-18 Fixed 8.49999960 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J5K99 40087.76000000 PA USD 37463.92000000 0.093196870802 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QEN57 25586.08450000 PA USD 22001.52000000 0.054731934535 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.50000000 N N N N N N N/A N/A OIS N/A 1500000.00000000 PA USD -30112.22000000 -0.07490846331 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2024-11-08 0.00000000 USD 0.00000000 USD 1500000.00000000 USD -30112.22000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WHNX6 11852.78000000 PA USD 11083.84000000 0.027572640676 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138YTMU5 3847.97000000 PA USD 3599.71000000 0.008954794580 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810RD2 660000.00000000 PA USD 618595.31000000 1.538844498523 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DM7D1 70036.29560000 PA USD 57653.75000000 0.143421966789 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 314.60000000 0.000782612592 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 10396.00000000 USD 10000.00000000 EUR 2023-01-12 314.60000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QNNU2 124439.99780000 PA USD 101986.58000000 0.253706235755 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133BJEZ1 21314.12320000 PA USD 20514.38000000 0.051032460630 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31417TM62 2890.38000000 PA USD 2993.84000000 0.007447606114 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.50000000 N N N N N N Romark WM-R Ltd. N/A Romark WM-R Ltd., Series 2018-1A, Class A1 77587AAC0 494808.92000000 PA USD 485654.95000000 1.208136298330 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.27257080 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFZF6 9508.64000000 PA USD 8914.90000000 0.022177091546 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138LSK41 5260.42000000 PA USD 5051.81000000 0.012567101464 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 312942F34 6021.82000000 PA USD 5789.49000000 0.014402186197 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFGB1 54851.43500000 PA USD 46759.07000000 0.116319888725 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WJDN5 29604.60000000 PA USD 27682.97000000 0.068865355748 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179NBB3 31240.23000000 PA USD 29433.42000000 0.073219851019 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810QD3 170000.00000000 PA USD 177258.20000000 0.440955179385 Long DBT UST US N 2 2039-11-15 Fixed 4.37500000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMRF4 10462.54000000 PA USD 9654.29000000 0.024016430149 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138LTFX1 576.42000000 PA USD 539.20000000 0.001341337284 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418XDE5 133.34000000 PA USD 132.81000000 0.000330383911 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFM40 80805.35390000 PA USD 69285.15000000 0.172356741448 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3128MFCX4 5640.34690000 PA USD 5294.21000000 0.013170106208 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 3620A6DC8 10309.36000000 PA USD 10553.24000000 0.026252697123 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XGZ36 21138.48470000 PA USD 18213.36000000 0.045308343568 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 31329KW83 2412.61840000 PA USD 2237.96000000 0.005567246272 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QEQC9 13136.25070000 PA USD 12054.93000000 0.029988366239 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WHPB2 17194.42000000 PA USD 16078.94000000 0.039998667886 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J5JU4 18921.41000000 PA USD 17564.92000000 0.043695256126 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31335AAT5 16613.01000000 PA USD 16490.76000000 0.041023129164 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMRK3 168863.14000000 PA USD 162170.57000000 0.403422537210 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36213RWM5 206089.08000000 PA USD 212935.67000000 0.529707999756 Long ABS-MBS USGA US N 2 2034-01-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179W7J1 223245.00110000 PA USD 193584.13000000 0.481568270299 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EPQP2 5462.38000000 PA USD 5252.32000000 0.013065898828 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132D9DQ4 47420.59000000 PA USD 43992.80000000 0.109438395604 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140F5BJ1 3738.20290000 PA USD 3389.05000000 0.008430747636 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828J27 1330000.00000000 PA USD 1265474.23000000 3.148048530885 Long DBT UST US N 2 2025-02-15 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132XWBS9 3939.40000000 PA USD 3683.66000000 0.009163632238 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CS47 13494.64240000 PA USD 12513.49000000 0.031129099966 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140MNP75 19365.02140000 PA USD 17833.08000000 0.044362342562 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EP4Z4 7973.07000000 PA USD 7626.88000000 0.018972957180 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31307M2W5 15351.11000000 PA USD 14778.67000000 0.036764059890 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMRZ0 47767.63000000 PA USD 45754.39000000 0.113820603222 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140Q83N3 46304.84560000 PA USD 45673.99000000 0.113620596698 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N N/A N/A U.S. Treasury 2 Year Note N/A -1.00000000 NC USD 264.48000000 0.000657931908 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short N/A U.S. Treasury 2 Year Note 2023-03-31 -205000.00000000 USD 264.48000000 N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F020414 557700.00000000 PA USD 495923.19000000 1.233680017104 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFK47 8352.19000000 PA USD 7990.08000000 0.019876469239 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31307NV50 1882.75000000 PA USD 1795.87000000 0.004467484031 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 9128284S6 1260000.00000000 PA USD 1250648.43000000 3.111167228364 Long DBT UST US N 2 2023-05-31 Fixed 2.75000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association, Series 2020-32, Class PI 3136B9RB5 92435.58000000 PA USD 17682.42000000 0.043987554217 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WKLB9 9410.52000000 PA USD 8799.15000000 0.021889146830 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WJEZ7 11237.20220000 PA USD 10220.47000000 0.025424884051 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828XB1 1390000.00000000 PA USD 1320880.08000000 3.285878524227 Long DBT UST US N 2 2025-05-15 Fixed 2.12500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140KYYM0 71187.87340000 PA USD 58149.19000000 0.144654444801 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DZH8 1800.05340000 PA USD 1389.61000000 0.003456854051 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QMMP6 37325.42770000 PA USD 32975.00000000 0.082030038893 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N N/A N/A SOP N/A -300000.00000000 PA USD -13954.76000000 -0.03471446567 N/A DIR DE N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 Put Written N/A Swaption 1.00000000 3.12500000 USD 2023-06-14 XXXX -2097.26000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140EW4R3 3366.04000000 PA USD 3147.63000000 0.007830180783 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138X54U8 18204.67000000 PA USD 17883.47000000 0.044487694909 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3128MFF94 75559.13000000 PA USD 73868.38000000 0.183758182999 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WPHV9 29370.69000000 PA USD 26723.32000000 0.066478088823 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36241L7B6 17521.59000000 PA USD 17487.32000000 0.043502215003 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179TLT0 43079.20280000 PA USD 41360.21000000 0.102889450643 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DWQ1 13971.79810000 PA USD 10790.25000000 0.026842293470 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 1.50000000 N N N N N N Arbor Multifamily Mortgage Securities Trust N/A Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class XA 03882KAN2 127908.72000000 PA USD 5311.24000000 0.013212470774 Long ABS-MBS CORP US N 2 2054-10-15 Variable 0.74203200 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K105, Class X1 3137FRUL3 668559.66430000 PA USD 55433.36000000 0.137898428409 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.52261640 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KEYV1 4240.45000000 PA USD 4061.38000000 0.010103264878 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFK67 428023.45200000 PA USD 350153.07000000 0.871055949988 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFG83 9591.55000000 PA USD 9176.19000000 0.022827087872 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XDY42 18990.41160000 PA USD 15599.46000000 0.038805892661 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMY58 36473.32000000 PA USD 29914.48000000 0.074416556721 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31417F4J4 26001.84000000 PA USD 23642.73000000 0.058814679649 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KNDA8 67354.99610000 PA USD 57747.50000000 0.143655183351 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DM2S3 28305.55520000 PA USD 23251.32000000 0.057840991173 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WF4T0 525.67000000 PA USD 515.87000000 0.001283300566 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140JSAE9 17625.76300000 PA USD 14515.16000000 0.036108540996 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31416WLG5 2446.17000000 PA USD 2424.96000000 0.006032435575 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138ERRX0 991.77520000 PA USD 979.12000000 0.002435701339 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36180DVA2 20189.23000000 PA USD 18986.77000000 0.047232311798 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138XHBF7 17008.58000000 PA USD 16711.85000000 0.041573122228 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138YXK95 4153.31000000 PA USD 3968.91000000 0.009873232499 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KNQV8 12806.36000000 PA USD 10433.76000000 0.025955473498 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179VSF8 177803.70850000 PA USD 150223.68000000 0.373702935956 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J74X0 47668.40770000 PA USD 45826.46000000 0.113999887677 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMSH9 37739.01000000 PA USD 35844.14000000 0.089167435885 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810QC5 170000.00000000 PA USD 180259.77000000 0.448422014983 Long DBT UST US N 2 2039-08-15 Fixed 4.50000000 N N N N N N Lehman Brothers Holdings, Inc. N/A Lehman Brothers Holdings, Inc., Term Loan N/A 256889.63000000 PA USD 0.03000000 0.000000074629 Long LON CORP US N 3 2023-12-31 Variable 0.00000000 Y N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EQLB6 94952.74000000 PA USD 96555.83000000 0.240196466726 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36176DHP1 7682.96000000 PA USD 7437.37000000 0.018501523892 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QNEL2 112387.21750000 PA USD 92259.31000000 0.229508257395 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 9128285M8 380000.00000000 PA USD 362439.84000000 0.901621051458 Long DBT UST US N 2 2028-11-15 Fixed 3.12500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QQE84 9340.41940000 PA USD 8552.05000000 0.021274450162 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F052623 300000.00000000 PA USD 300540.76000000 0.747638217800 Long ABS-MBS USGSE US N 2 2053-02-25 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31419A4H7 2486.65000000 PA USD 2571.84000000 0.006397820628 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 6.00000000 N N N N N N 280 Park Avenue Mortgage Trust N/A 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A 90205FAA8 139000.00000000 PA USD 135495.73000000 0.337065049335 Long ABS-MBS CORP US N 2 2034-09-15 Floating 5.11700040 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140EW4P7 1605.83000000 PA USD 1501.50000000 0.003735196463 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -1.56000000 -0.00000388072 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 2666.15000000 EUR 2862.00000000 USD 2023-02-21 -1.56000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 3140FXE40 76834.70000000 PA USD 70694.93000000 0.175863771265 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31412QM89 44575.18000000 PA USD 46179.90000000 0.114879120336 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 21H030617 102100.00000000 PA USD 90887.56000000 0.226095832653 Long ABS-MBS USGA US N 2 2053-01-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QHBG9 45255.10160000 PA USD 38755.91000000 0.096410881111 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFGW5 55910.36080000 PA USD 45845.98000000 0.114048446475 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202FJQ0 1677.87000000 PA USD 1674.59000000 0.004165782648 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418NYJ3 296.07000000 PA USD 295.36000000 0.000734750334 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138XQM73 3436.42660000 PA USD 3270.81000000 0.008136608688 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828YB0 266000.00000000 PA USD 230827.74000000 0.574217088399 Long DBT UST US N 2 2029-08-15 Fixed 1.62500000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMRY3 64279.32000000 PA USD 62139.44000000 0.154580763609 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F020612 654800.00000000 PA USD 532653.78000000 1.325052624421 Long ABS-MBS USGSE US N 2 2053-01-25 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMRJ6 39424.21000000 PA USD 38353.91000000 0.095410848492 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QEBM3 87177.32270000 PA USD 74900.65000000 0.186326102582 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36230UEK1 13896.97000000 PA USD 13452.71000000 0.033465544337 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVLU7 53527.69460000 PA USD 44181.16000000 0.109906968102 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CRC0 22365.99440000 PA USD 20701.46000000 0.051497848944 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 9128282A7 1830000.00000000 PA USD 1668016.42000000 4.149429925944 Long DBT UST US N 2 2026-08-15 Fixed 1.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179MG87 3701.76000000 PA USD 3764.73000000 0.009365305483 Long ABS-MBS USGA US N 2 2042-07-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association Variable Rate Notes, Series 2017-30 38379U7F7 235127.83000000 PA USD 6530.58000000 0.016245753795 Long ABS-MBS USGA US N 2 2058-08-16 Variable 0.57907080 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMRE7 63264.54000000 PA USD 59213.61000000 0.147302342117 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XBJE1 82122.99870000 PA USD 77888.24000000 0.193758160926 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 4.00000000 N N N N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2020-B20, Class XA 08162XBJ2 1161055.55000000 PA USD 89272.86000000 0.222079034964 Long ABS-MBS CORP US N 2 2053-10-15 Variable 1.61789400 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 61.92000000 0.000154034875 N/A DFE N/A N 2 State Street Bank and Trust 571474TGEMMWANRLN572 10000.00000000 USD 13623.30000000 CAD 2023-01-12 61.92000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179VMD9 9724.70040000 PA USD 8732.58000000 0.021723544413 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31307NXU3 669.73000000 PA USD 628.72000000 0.001564031116 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138YD4N6 3138.11000000 PA USD 2935.35000000 0.007302103856 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XB2F6 8138.46860000 PA USD 7756.99000000 0.019296624454 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179TAL9 57782.70540000 PA USD 55474.60000000 0.138001018820 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179WBZ0 35849.81480000 PA USD 32299.48000000 0.080349586069 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 3.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 171.39000000 0.000426357190 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 10000.00000000 USD 198492.56000000 MXN 2023-01-12 171.39000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMR56 82660.11000000 PA USD 77077.92000000 0.191742373781 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N CSAIL Commercial Mortgage Trust N/A CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA 12596WAE4 1711389.11000000 PA USD 122600.15000000 0.304985445727 Long ABS-MBS CORP US N 2 2052-06-15 Variable 1.55124360 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828Z94 51000.00000000 PA USD 43461.56000000 0.108116859960 Long DBT UST US N 2 2030-02-15 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X83A3 68208.39000000 PA USD 60545.98000000 0.150616803465 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31402C4G4 18860.90000000 PA USD 19444.97000000 0.048372149973 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138W6SU1 22262.77000000 PA USD 20256.11000000 0.050389976986 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFUY5 7359.67000000 PA USD 6115.52000000 0.015213232553 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138XQBF7 15318.35000000 PA USD 14693.85000000 0.036553057983 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 3617XDCB7 78003.10000000 PA USD 74055.80000000 0.184224417113 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N N/A N/A SOP N/A -1600000.00000000 PA USD -3731.83000000 -0.00928346201 N/A DIR GB N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 Put Written N/A Swaption 1.00000000 4.75000000 USD 2023-04-11 XXXX 3804.17000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CWS9 483.43240000 PA USD 447.27000000 0.001112648233 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QMH80 65521.22460000 PA USD 53855.62000000 0.133973574018 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138XDTP5 3171.17000000 PA USD 3060.77000000 0.007614104083 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179MAY6 9166.97000000 PA USD 8857.27000000 0.022033728660 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140EW4N2 2075.32000000 PA USD 1940.64000000 0.004827620157 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179R7J2 190941.62380000 PA USD 178078.64000000 0.442996141481 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140L7GE6 1683.50560000 PA USD 1441.70000000 0.003586435392 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140LXMA0 1859.55970000 PA USD 1586.65000000 0.003947019293 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31412PPE5 3120.50000000 PA USD 3114.42000000 0.007747566148 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132QUZX4 2893.99000000 PA USD 2785.48000000 0.006929280750 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QMT61 15019.75090000 PA USD 12825.25000000 0.031904647651 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust, Series 2018-H3, Class B 61767YBD1 38538.00000000 PA USD 33781.47000000 0.084036248612 Long ABS-MBS CORP US N 2 2051-07-15 Variable 4.61999880 N N N N N N N/A N/A IRS N/A 532000.00000000 PA -167.65000000 -0.00041705340 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2023-09-14 0.00000000 USD 0.00000000 USD 532000.00000000 MXN -167.65000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WH3T7 17525.85870000 PA USD 16388.65000000 0.040769115903 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N N/A N/A OIS N/A 800000.00000000 PA USD 3913.44000000 0.009735242923 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2024-12-15 0.00000000 USD 0.00000000 USD 800000.00000000 USD 3913.44000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132J72F8 42976.71000000 PA USD 39149.09000000 0.097388972717 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N N/A N/A U.S. Treasury 10 Year Note N/A 12.00000000 NC USD -3649.85000000 -0.00907952501 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long N/A U.S. Treasury 10 Year Note 2023-03-22 1345687.50000000 USD -3649.85000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QMVL5 16712.00850000 PA USD 14804.45000000 0.036828191335 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138M1YD4 1438.12000000 PA USD 1346.03000000 0.003348442555 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140GNNQ2 3813.66410000 PA USD 3641.06000000 0.009057658632 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFNC6 7558.15000000 PA USD 7086.89000000 0.017629654657 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132WJTW1 14083.95000000 PA USD 12610.97000000 0.031371595438 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31292HD68 2255.90000000 PA USD 2386.25000000 0.005936138902 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 8.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202FMA1 5920.49000000 PA USD 5720.55000000 0.014230688066 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31402RDH9 86374.99000000 PA USD 89323.71000000 0.222205531628 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179VMF4 9141.33000000 PA USD 8750.86000000 0.021769018533 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 4.00000000 N N N N N N Romania 315700IASY927EDWBK92 Romania Government Bond N/A 3000.00000000 PA 2668.03000000 0.006637107040 Long DBT NUSS RO N 2 2028-03-07 Fixed 2.12500000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -255.39000000 -0.00063531923 N/A DFE N/A N 2 State Street Bank and Trust 571474TGEMMWANRLN572 1344447.00000000 JPY 10000.00000000 USD 2023-01-12 -255.39000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140LQF96 9561.18000000 PA USD 7864.67000000 0.019564493888 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Commercial Mortgage Trust N/A Commercial Mortgage Trust, Series 2017-COR2, Class AM 12595EAF2 21739.00000000 PA USD 19522.99000000 0.048566235906 Long ABS-MBS CORP US N 2 2050-09-10 Fixed 3.80300000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFYN0 7061.32000000 PA USD 6620.82000000 0.016470238729 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WJJ25 3847.13030000 PA USD 3676.99000000 0.009147039657 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138XHT76 14657.95000000 PA USD 14399.43000000 0.035820646033 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CPF5 504.53860000 PA USD 481.62000000 0.001198098781 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31410KXL3 3929.48000000 PA USD 4102.36000000 0.010205208502 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140GYJX8 10315.51580000 PA USD 9558.91000000 0.023779158728 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N N/A N/A SOP N/A -300000.00000000 PA USD -35846.13000000 -0.08917238629 N/A DIR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Put Written N/A Swaption 1.00000000 2.10000000 USD 2023-03-17 XXXX -26426.13000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -68.36000000 -0.00017005529 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 10000.00000000 GBP 12023.74000000 USD 2023-01-12 -68.36000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140LQFT2 6740.82000000 PA USD 5557.98000000 0.013826271889 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KFAJ1 3164.05000000 PA USD 3030.42000000 0.007538604108 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EQA51 11286.51000000 PA USD 10797.27000000 0.026859756726 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EPJ62 9469.45000000 PA USD 9058.89000000 0.022535287309 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132D6NY2 29274.33980000 PA USD 26113.02000000 0.064959880098 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association Variable Rate Notes, Series 2016-22 38379UGG5 1331228.43770000 PA USD 32370.42000000 0.080526059487 Long ABS-MBS USGA US N 2 2055-11-16 Variable 0.72119160 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F040610 -59000.00000000 PA USD -55321.94000000 -0.13762125518 Short ABS-MBS USGSE US N 2 2053-01-25 Fixed 4.00000000 N N N N N N N/A N/A OIS N/A 300000.00000000 PA USD 32962.29000000 0.081998420947 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2032-04-01 0.00000000 USD 0.00000000 USD 300000.00000000 USD 32962.29000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179V4U1 360999.72840000 PA USD 304395.03000000 0.757226266867 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.00000000 N N N N N N BX Trust N/A BX Trust, Series 2021-VIEW, Class A 05606GAA9 60000.00000000 PA USD 57074.99000000 0.141982218333 Long ABS-MBS CORP US N 2 2036-06-15 Floating 5.59800000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3128MAFB0 50288.68000000 PA USD 50981.46000000 0.126823689057 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 5.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31307NM68 1905.78000000 PA USD 1825.15000000 0.004540322228 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVL78 8301.65600000 PA USD 7408.88000000 0.018430650934 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138ECKY8 1334.45000000 PA USD 1249.15000000 0.003107439668 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZE3 146000.00000000 PA USD 126689.22000000 0.315157593450 Long DBT UST US N 2 2027-03-31 Fixed 0.62500000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132QSGT9 16929.17000000 PA USD 16542.25000000 0.041151217919 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DXJ6 44957.65020000 PA USD 34713.25000000 0.086354184916 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J5YR4 9089.33000000 PA USD 8682.18000000 0.021598167189 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DSH6 32305.80650000 PA USD 26433.77000000 0.065757791697 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -7.98000000 -0.00001985139 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 860.90000000 EUR 916.66000000 USD 2023-02-21 -7.98000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QNEK4 50615.93360000 PA USD 41634.81000000 0.103572557502 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418V3A8 8962.09000000 PA USD 8884.40000000 0.022101218424 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DNE25 31018.78220000 PA USD 28471.75000000 0.070827559056 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust, Series 2018-SUN, Class A 61691MAA5 145000.00000000 PA USD 142086.72000000 0.353461081664 Long ABS-MBS CORP US N 2 2035-07-15 Floating 5.21799840 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 3617XDB85 116114.41000000 PA USD 107295.30000000 0.266912437668 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K122, Class X1 3137F82T9 255147.69350000 PA USD 13260.87000000 0.032988314840 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.88157160 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138Y8EH9 13626.44230000 PA USD 13035.55000000 0.032427799044 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DTP7 44244.29820000 PA USD 34183.52000000 0.085036405614 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 1.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133B2ME6 38850.54700000 PA USD 31969.09000000 0.079527693589 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EJCD8 6129.53000000 PA USD 6109.70000000 0.015198754469 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J5EJ4 324.14250000 PA USD 303.10000000 0.000754004694 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVL60 221911.62820000 PA USD 182661.01000000 0.454395443659 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EEHB8 651.66000000 PA USD 610.01000000 0.001517487309 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QM4G6 108069.46790000 PA USD 92418.97000000 0.229905434529 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 365.88000000 0.000910178942 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 10000.00000000 USD 1358932.00000000 JPY 2023-01-12 365.88000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WKK95 11581.94000000 PA USD 10828.83000000 0.026938266749 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133A7KE8 14890.58020000 PA USD 12764.91000000 0.031754543253 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138YTRT3 1435.24000000 PA USD 1369.44000000 0.003406678285 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132GVGT3 18097.38000000 PA USD 16970.67000000 0.042216974075 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J7MK8 19804.41630000 PA USD 18013.55000000 0.044811287554 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F030611 -282069.00000000 PA USD -247478.67000000 -0.61563866339 Short ABS-MBS USGSE US N 2 2053-01-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFZG4 7753.20000000 PA USD 7269.72000000 0.018084470488 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QLN44 250468.93570000 PA USD 204253.85000000 0.508110728118 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138LQ2K9 2798.09000000 PA USD 2619.29000000 0.006515859304 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DLR1 4344.53180000 PA USD 4039.03000000 0.010047666049 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XDQE9 30760.39860000 PA USD 25345.85000000 0.063051434762 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K120, Class X1 3137F72R5 772724.02840000 PA USD 46316.61000000 0.115219206056 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 1.03780440 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X83C9 30042.26000000 PA USD 28122.58000000 0.069958948633 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N N/A N/A OIS N/A 55669.00000000 PA 105.75000000 0.000263068282 N/A DIR GB N 2 Goldman Sachs W22LROWP2IHZNBB6K528 Y 2024-01-02 0.00000000 USD 0.00000000 USD 55669.00000000 BRL 105.75000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFKC4 37464.38030000 PA USD 30817.22000000 0.076662251863 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QGJ99 42010.38000000 PA USD 38547.97000000 0.095893600557 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140Q9YZ0 7205.48000000 PA USD 7058.94000000 0.017560125026 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179V7D6 58599.42890000 PA USD 49118.56000000 0.122189458292 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138ELS87 9860.74000000 PA USD 10294.53000000 0.025609118917 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418D7E6 170808.23490000 PA USD 139258.40000000 0.346425230273 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 21H050615 90000.00000000 PA USD 89165.63000000 0.221812284970 Long ABS-MBS USGA US N 2 2053-01-15 Fixed 5.00000000 N N N N N N N/A N/A IRS N/A 12600.00000000 PA -73.73000000 -0.00018341394 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2027-09-29 0.00000000 USD 0.00000000 USD 12600.00000000 PLN -73.73000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36181GFM6 23759.99000000 PA USD 22351.49000000 0.055602535073 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XEA38 37102.20990000 PA USD 30531.07000000 0.075950412723 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36241LVF0 15105.03000000 PA USD 15458.99000000 0.038456453402 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 5.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KE6X8 12419.30000000 PA USD 11658.90000000 0.029003184850 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31335BEU6 39231.69610000 PA USD 38607.55000000 0.096041814347 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.50000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -137.10000000 -0.00034105590 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 172358.31000000 ZAR 10000.00000000 USD 2023-01-12 -137.10000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 3617XDCC5 66243.63000000 PA USD 62780.09000000 0.156174472310 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F012619 -49800.00000000 PA USD -38331.57000000 -0.09535527454 Short ABS-MBS USGSE US N 2 2053-01-25 Fixed 1.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132GEB41 7117.02000000 PA USD 7063.26000000 0.017570871645 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140E0V36 1944.78000000 PA USD 1860.35000000 0.004627887273 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140L73E0 6211.84810000 PA USD 5309.90000000 0.013209137331 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CR89 22440.63870000 PA USD 20755.33000000 0.051631858291 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DUF7 37655.11990000 PA USD 29092.53000000 0.072371838284 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 1.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3128M7CL8 12482.42000000 PA USD 12369.00000000 0.030769660381 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association, Series 2020-32 3136B9PX9 81788.31000000 PA USD 15645.65000000 0.038920796907 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 4.00000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F022410 -24700.00000000 PA USD -22597.48000000 -0.05621447045 Short ABS-MBS USGSE US N 2 2038-01-25 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QAAJ9 1024.56220000 PA USD 978.35000000 0.002433785854 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.00000000 N N N N N N JPMorgan Chase Commercial Mortgage Securities Trust N/A JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class A 46652RAA2 100000.00000000 PA USD 94682.29000000 0.235535767437 Long ABS-MBS CORP US N 2 2033-10-15 Floating 5.68800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 3622A2AE2 141830.54000000 PA USD 140936.31000000 0.350599271898 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QFNP0 57849.51760000 PA USD 50114.65000000 0.124667374940 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KYWH8 20780.67120000 PA USD 17516.55000000 0.043574928818 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KMVG7 28462.16210000 PA USD 25164.27000000 0.062599728486 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N N/A N/A OIS N/A 200000.00000000 PA USD 874.12000000 0.002174498789 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2032-09-28 395.34000000 USD 0.00000000 USD 200000.00000000 USD 874.12000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMQ73 62879.34000000 PA USD 60396.14000000 0.150244054988 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFAF3 446.74470000 PA USD 418.87000000 0.001041999162 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132G0B58 3539.87840000 PA USD 3357.21000000 0.008351541072 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31417AYD5 14213.07000000 PA USD 13649.11000000 0.033954117487 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KE4Z5 30142.57000000 PA USD 28868.34000000 0.071814133525 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3128MEK91 14506.08000000 PA USD 13867.48000000 0.034497344162 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140L6AS3 13746.53380000 PA USD 11397.25000000 0.028352292972 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X83E5 18009.66000000 PA USD 17235.71000000 0.042876299064 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CV35 910.22200000 PA USD 870.20000000 0.002164747228 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 3617XCUF0 315844.54900000 PA USD 299333.62000000 0.744635284027 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 4.00000000 N N N N N N N/A N/A CDS N/A 5000.00000000 PA USD 8.61000000 0.000021418609 N/A DCR US N 2 Bank of America B4TYDEB6GKMZO031MB27 United Mexican States United Mexican States Y Receipt of notional amount upon default event with regard to the reference instrument 2027-12-20 57.17000000 USD 0.00000000 USD 5000.00000000 USD 8.61000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association, Series 2020-115, Class IM 38382HB41 119042.88000000 PA USD 17030.18000000 0.042365013730 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140H6PA1 14173.19210000 PA USD 13132.14000000 0.032668080514 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2021-FCMT, Class A 95003EAA4 160000.00000000 PA USD 150370.58000000 0.374068370762 Long ABS-MBS CORP US N 2 2031-05-15 Floating 5.51800080 N N N N N N UBS Commercial Mortgage Trust N/A UBS Commercial Mortgage Trust, Series 2019-C17, Class XA 90278MBB2 990184.10000000 PA USD 69538.75000000 0.172987607797 Long ABS-MBS CORP US N 2 2052-10-15 Variable 1.46944080 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KEXZ3 3460.94000000 PA USD 3331.55000000 0.008287708144 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31335BAA4 838.49660000 PA USD 806.15000000 0.002005413672 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMRT4 225314.00000000 PA USD 205026.63000000 0.510033129132 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association Variable Rate Notes, Series 2017-61 38379RSQ7 179991.63480000 PA USD 6892.33000000 0.017145658770 Long ABS-MBS USGA US N 2 2059-05-16 Variable 0.74604960 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QGRN9 14962.89210000 PA USD 12851.47000000 0.031969873660 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KJUF7 60264.91040000 PA USD 53667.77000000 0.133506270218 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association, Series 2020-175, Class DI 38382LLK5 73603.19900000 PA USD 9187.16000000 0.022854377319 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KFAD4 19418.65000000 PA USD 18228.61000000 0.045346280129 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DM2Q7 11374.09430000 PA USD 9343.09000000 0.023242275544 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EGVA9 5557.52000000 PA USD 5627.71000000 0.013999735259 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202FKM7 1598.42000000 PA USD 1544.39000000 0.003841891486 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36196FZH0 8692.88000000 PA USD 8097.29000000 0.020143169480 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132M4QU2 9029.63000000 PA USD 8467.33000000 0.021063697019 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X9MV4 1969.12060000 PA USD 1867.46000000 0.004645574417 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.00000000 N N N N N N N/A N/A IRS N/A 12000.00000000 PA -364.98000000 -0.00090794006 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2032-07-14 0.00000000 USD 0.00000000 USD 12000.00000000 EUR -364.98000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QEJX1 100789.37870000 PA USD 86668.80000000 0.215601062467 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36297FRM6 2798.42000000 PA USD 2841.62000000 0.007068937046 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 5.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31307NN26 2685.73000000 PA USD 2521.34000000 0.006272194640 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KFAC6 9790.16000000 PA USD 9189.95000000 0.022861317844 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179WJS8 48330.09620000 PA USD 43248.85000000 0.107587713346 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DB68 1312.22180000 PA USD 1231.65000000 0.003063905910 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WJC71 22014.92000000 PA USD 20583.90000000 0.051205401594 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132QUZV8 3449.44000000 PA USD 3362.82000000 0.008365496751 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFUZ2 6566.44000000 PA USD 5407.68000000 0.013452379097 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QNNT5 67863.00410000 PA USD 55709.24000000 0.138584719452 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association, Series 2011-8, Class ZA 31397QJJ8 65831.28600000 PA USD 62677.74000000 0.155919862015 Long ABS-MBS USGSE US N 2 2041-02-25 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179WDR6 154996.43920000 PA USD 134993.32000000 0.335815232448 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138W5MS4 14654.45000000 PA USD 13316.50000000 0.033126702439 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N N/A N/A SOP N/A -200000.00000000 PA USD -16015.33000000 -0.03984042889 N/A DIR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Put Written N/A Swaption 1.00000000 2.59500000 USD 2023-04-12 XXXX -8385.33000000 N N N Credit Suisse Mortgage Capital Certificates N/A Credit Suisse Mortgage Capital Certificates, Series 2021-980M, Class A 12659RAA7 100000.00000000 PA USD 84045.34000000 0.209074829690 Long ABS-MBS CORP US N 2 2031-07-15 Fixed 2.38870000 N N N N N N N/A N/A IRS N/A 16000.00000000 PA 16.36000000 0.000040697844 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-03-15 0.00000000 USD 0.00000000 USD 16000.00000000 PLN 16.36000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XAY55 40586.96790000 PA USD 38550.72000000 0.095900441576 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138ERM49 4320.27430000 PA USD 4132.72000000 0.010280733353 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMX75 69807.62690000 PA USD 60429.99000000 0.150328261714 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QETF9 5448.86000000 PA USD 5113.89000000 0.012721534362 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFGV7 56116.73550000 PA USD 45984.68000000 0.114393482605 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140KA6L5 5519.93230000 PA USD 4722.72000000 0.011748442919 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N BFLD Trust N/A BFLD Trust, Series 2020-EYP, Class A 05493AAA8 143000.00000000 PA USD 135856.22000000 0.337961819880 Long ABS-MBS CORP US N 2 2035-10-15 Floating 5.46800040 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QM4E1 58994.95350000 PA USD 50579.59000000 0.125823979831 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 3617X85X8 266649.35000000 PA USD 255365.05000000 0.635257164021 Long ABS-MBS USGA US N 2 2044-07-20 Fixed 4.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 2.99000000 0.000007438053 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 10000.00000000 NZD 6352.69000000 USD 2023-01-12 2.99000000 N N N N/A N/A IRS N/A 18000.00000000 PA -122.56000000 -0.00030488556 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2027-09-30 0.00000000 USD 0.00000000 USD 18000.00000000 PLN -122.56000000 N N N Romania 315700IASY927EDWBK92 Romania Government Bond N/A 1000.00000000 PA 923.80000000 0.002298084910 Long DBT NUSS RO N 2 2028-05-26 Fixed 2.87500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DZU9 1808.83900000 PA USD 1395.54000000 0.003471605776 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 1.50000000 N N N N N N Federal Home Loan Bank 2549001DPIFGXC1TOL40 Federal Home Loan Bank 313384AN9 3800000.00000000 PA USD 3795487.84000000 9.441820019286 Long STIV USGA US N 2 2023-01-13 None 0.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFEW2 5505.63000000 PA USD 5161.86000000 0.012840866613 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DWEC3 11008.10680000 PA USD 10596.78000000 0.026361009114 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EPJ54 11610.89000000 PA USD 11164.47000000 0.027773219357 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J5GJ2 10357.98000000 PA USD 9692.61000000 0.024111756642 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XJDS9 19764.24680000 PA USD 18154.29000000 0.045161398477 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K119, Class X1 3137F6GV3 180082.50300000 PA USD 9734.94000000 0.024217058584 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 0.93057840 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31335AYP7 14929.10000000 PA USD 13390.84000000 0.033311633844 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N N/A N/A OIS N/A 26994.38000000 PA -133.76000000 -0.00033274717 N/A DIR US N 2 J.P. Morgan 7H6GLXDRUGQFU57RNE97 Y 2025-01-02 0.00000000 USD 0.00000000 USD 26994.38000000 BRL -133.76000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140Q9W74 2191.79740000 PA USD 2089.86000000 0.005198826295 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810SJ8 815000.00000000 PA USD 572919.53000000 1.425219448942 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140L73Z3 3650.52530000 PA USD 3120.62000000 0.007762989536 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140JR7K1 31403.08670000 PA USD 25802.75000000 0.064188039001 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132WJUH2 3803.27000000 PA USD 3419.80000000 0.008507242668 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828G38 367000.00000000 PA USD 352477.70000000 0.876838800308 Long DBT UST US N 2 2024-11-15 Fixed 2.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZF0 367000.00000000 PA USD 337066.56000000 0.838501380639 Long DBT UST US N 2 2025-03-31 Fixed 0.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810RK6 154000.00000000 PA USD 115939.14000000 0.288415228612 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202FGD2 47.85000000 PA USD 47.76000000 0.000118809845 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140KSBC0 9719.31310000 PA USD 7942.26000000 0.019757510135 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X9EC5 2942.32470000 PA USD 2783.45000000 0.006924230834 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202FEH5 783.41000000 PA USD 781.88000000 0.001945038568 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFYM2 8048.38000000 PA USD 7546.22000000 0.018772303869 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QNE40 16393.31700000 PA USD 14056.15000000 0.034966687830 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WKK61 6453.13000000 PA USD 6033.55000000 0.015009320429 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.50000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 United Mexican States N/A 2000.00000000 PA 9665.36000000 0.024043968361 Long DBT NUSS MX N 2 2027-06-03 Fixed 7.49999880 N N N N N N N/A N/A OIS N/A 1000000.00000000 PA USD 3015.13000000 0.007500568041 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2024-09-27 0.00000000 USD 0.00000000 USD 1000000.00000000 USD 3015.13000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFWG2 24690.67000000 PA USD 20309.55000000 0.050522916646 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F052623 -300000.00000000 PA USD -300540.76000000 -0.74763821780 Short ABS-MBS USGSE US N 2 2053-02-25 Fixed 5.50000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F032617 8000.00000000 PA USD 7266.42000000 0.018076261265 Long ABS-MBS USGSE US N 2 2053-01-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QKM96 58035.91060000 PA USD 49783.80000000 0.123844338143 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVMD4 103537.37000000 PA USD 91544.04000000 0.227728920748 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EH3N0 21080.52000000 PA USD 22122.26000000 0.055032292591 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFGT2 89071.58020000 PA USD 76057.24000000 0.189203285984 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QNE57 58321.72550000 PA USD 49943.22000000 0.124240918243 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QPYW1 13786.36500000 PA USD 12688.48000000 0.031564412673 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 312942H40 3176.04000000 PA USD 3054.02000000 0.007597312490 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810RC4 660000.00000000 PA USD 606735.94000000 1.509342615813 Long DBT UST US N 2 2043-08-15 Fixed 3.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CXN9 747.95570000 PA USD 714.68000000 0.001777868936 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810QE1 42000.00000000 PA USD 45135.23000000 0.112280353976 Long DBT UST US N 2 2040-02-15 Fixed 4.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QNEJ7 22219.33510000 PA USD 18307.77000000 0.045543201975 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F012411 198000.00000000 PA USD 171395.84000000 0.426371718617 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140GSRR5 1017.96030000 PA USD 971.57000000 0.002416919632 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36196FZJ6 5736.70000000 PA USD 5342.37000000 0.013289911110 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZL7 367000.00000000 PA USD 334944.84000000 0.833223298027 Long DBT UST US N 2 2025-04-30 Fixed 0.37500000 N N N N N N N/A N/A IRS N/A 422000.00000000 PA -112.53000000 -0.00027993450 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2023-09-18 0.00000000 USD 0.00000000 USD 422000.00000000 MXN -112.53000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3128M9ZF2 13446.25000000 PA USD 13631.47000000 0.033910235459 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WCSJ3 15926.13000000 PA USD 15315.45000000 0.038099377078 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DWBA0 50631.40900000 PA USD 39089.07000000 0.097239664364 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WJEN4 17112.29840000 PA USD 16000.92000000 0.039804581954 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMYM1 126198.17160000 PA USD 104630.36000000 0.260283017445 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KFAE2 827.83000000 PA USD 777.05000000 0.001933023251 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 114.87000000 0.000285755589 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 182570.00000000 MXN 9399.32000000 USD 2023-02-21 114.87000000 N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F022618 -1000.00000000 PA USD -846.51000000 -0.00210581495 Short ABS-MBS USGSE US N 2 2053-01-25 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31410KFF6 7535.35000000 PA USD 7854.66000000 0.019539592579 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 6.00000000 N N N N N N N/A N/A U.S. Treasury Ultra Bond N/A 4.00000000 NC USD -12959.66000000 -0.03223901179 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long N/A U.S. Treasury Ultra Bond 2023-03-22 534125.00000000 USD -12959.66000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMY33 7233.76930000 PA USD 5939.14000000 0.014774462022 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418EBJ8 159471.91680000 PA USD 134422.91000000 0.334396255815 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140JNYM6 24038.91580000 PA USD 23386.59000000 0.058177494686 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F020620 -654800.00000000 PA USD -533216.50000000 -1.32645247107 Short ABS-MBS USGSE US N 2 2053-02-25 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J8GB3 14702.36220000 PA USD 13785.14000000 0.034292511610 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CYM0 752.64880000 PA USD 716.05000000 0.001781277008 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3128M9GP1 4702.53180000 PA USD 4406.86000000 0.010962695896 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F030611 132000.00000000 PA USD 115812.74000000 0.288100790495 Long ABS-MBS USGSE US N 2 2053-01-25 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DNAY9 205667.67160000 PA USD 175342.69000000 0.436190073705 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WJF94 579.34440000 PA USD 526.93000000 0.001310813901 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 Mex Bonos Desarr Fix Rt N/A 2000.00000000 PA 9275.65000000 0.023074508878 Long DBT NUSS MX N 2 2026-03-05 Fixed 5.74999920 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CS54 4937.36380000 PA USD 4710.06000000 0.011716949355 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CCL6 2201.51750000 PA USD 2002.47000000 0.004981431144 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132A5H40 13552.72840000 PA USD 12493.59000000 0.031079595864 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3131YBQM3 49085.83060000 PA USD 47860.43000000 0.119059679586 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X8XE2 48363.58420000 PA USD 39739.11000000 0.098856732036 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 85.75000000 0.000213315415 N/A DFE N/A N 2 NATWEST MARKETS RR3QWICWWIPCS8A4S074 6725.02000000 USD 10000.00000000 AUD 2023-01-12 85.75000000 N N N N/A N/A U.S. Treasury Long Bond N/A -9.00000000 NC USD 10603.16000000 0.026376880278 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short N/A U.S. Treasury Long Bond 2023-03-22 -1122187.50000000 USD 10603.16000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31335BKV7 19815.30290000 PA USD 18617.38000000 0.046313401228 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X83Z8 10182.10730000 PA USD 9442.57000000 0.023489746303 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J76Q3 8783.75150000 PA USD 8212.76000000 0.020430417656 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X83D7 3493.19000000 PA USD 3264.72000000 0.008121458940 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K116, Class X1 3137FWHV5 106546.22000000 PA USD 8579.74000000 0.021343333006 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 1.42514640 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31410KHE7 2657.82000000 PA USD 2774.75000000 0.006902588337 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.00000000 N N N N N N N/A N/A OIS N/A 1700000.00000000 PA USD -10077.75000000 -0.02506984759 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2024-12-15 0.00000000 USD 0.00000000 USD 1700000.00000000 USD -10077.75000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association, Series 2020-185, Class MI 38382LV57 236822.05000000 PA USD 31998.92000000 0.079601899989 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31416BMP0 40544.41000000 PA USD 41825.85000000 0.104047796884 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418EE63 11702.05090000 PA USD 11264.78000000 0.028022754860 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMQ81 25050.59000000 PA USD 23005.62000000 0.057229777206 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31307MSF4 8486.92000000 PA USD 7947.79000000 0.019771266802 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F052615 595250.00000000 PA USD 596718.24000000 1.484422151199 Long ABS-MBS USGSE US N 2 2053-01-25 Fixed 5.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DWCT8 168057.71480000 PA USD 136964.19000000 0.340718054063 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N BlackRock Liquidity Funds 5493002L9DNZ83RX7V61 T-Fund, Institutional Class 09248U718 845498.56000000 NS USD 845498.56000000 2.103298855539 Long STIV RF US N 1 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EQA36 13839.90000000 PA USD 13240.49000000 0.032937616669 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F052615 -595250.00000000 PA USD -596718.24000000 -1.48442215119 Short ABS-MBS USGSE US N 2 2053-01-25 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 21H020618 189900.00000000 PA USD 159104.92000000 0.395796293428 Long ABS-MBS USGA US N 2 2053-01-15 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KLUA3 259268.33700000 PA USD 222630.06000000 0.553824184403 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DM7F6 52365.30240000 PA USD 43317.87000000 0.107759410489 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F022618 545000.00000000 PA USD 461350.30000000 1.147674997805 Long ABS-MBS USGSE US N 2 2053-01-25 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179VXX3 151450.66320000 PA USD 127800.34000000 0.317921663709 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CQB3 3956.43240000 PA USD 3776.13000000 0.009393664617 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QEUA8 5315.67000000 PA USD 4988.71000000 0.012410131169 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 3622A24Y5 13891.06250000 PA USD 12757.01000000 0.031734890870 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 3.00000000 N N N N N N N/A N/A SOP N/A -200000.00000000 PA USD -533.03000000 -0.00132598852 N/A DIR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Call Written N/A Swaption 1.00000000 2.59500000 USD 2023-04-12 XXXX 7096.97000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WPHS6 21897.94000000 PA USD 19924.44000000 0.049564900322 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418EAA8 215295.23500000 PA USD 176126.01000000 0.438138694480 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140HFE88 4809.36880000 PA USD 4443.81000000 0.011054614318 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138XTVX0 18851.68600000 PA USD 18128.27000000 0.045096669997 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KYSX8 2196.18000000 PA USD 2044.42000000 0.005085787782 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QNE65 69246.52460000 PA USD 59223.69000000 0.147327417562 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140H1WJ5 6558.60320000 PA USD 6076.19000000 0.015115393541 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140GRX74 2902.28870000 PA USD 2778.73000000 0.006912489157 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3128MEVG3 29076.23000000 PA USD 28424.22000000 0.070709321368 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVL94 667508.93490000 PA USD 570039.12000000 1.418054016211 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DV6T7 41459.88750000 PA USD 32031.30000000 0.079682449880 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138W7G40 21444.15000000 PA USD 19511.37000000 0.048537329491 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DM2W4 4695.29890000 PA USD 3879.22000000 0.009650115768 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31335BCD6 17978.33000000 PA USD 16836.00000000 0.041881963148 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179TNS0 20913.81980000 PA USD 20079.39000000 0.049950360656 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138ARZW7 13656.24000000 PA USD 13537.76000000 0.033677118402 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CET7 3019.21630000 PA USD 2746.00000000 0.006831068591 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179N2J6 33215.22750000 PA USD 31202.18000000 0.077619895040 Long ABS-MBS USGA US N 2 2044-02-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 3138EP6D1 2857.35000000 PA USD 2730.96000000 0.006793654435 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XHHS9 969518.21250000 PA USD 790149.14000000 1.965609239911 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140MGG62 4626.71000000 PA USD 3807.17000000 0.009470881066 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140MAEU4 18918.73000000 PA USD 15561.79000000 0.038712183137 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132HNDN6 1189.39000000 PA USD 1108.60000000 0.002757801398 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFKW5 7932.32000000 PA USD 7746.43000000 0.019270354941 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association Variable Rate Notes, Series 2014-107, Class WX 38379C6M3 62188.71000000 PA USD 64688.36000000 0.160921567453 Long ABS-MBS USGA US N 2 2039-07-20 Variable 6.73170120 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179WTZ1 73064.36890000 PA USD 65284.91000000 0.162405571083 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138EJXL7 13059.88000000 PA USD 12945.00000000 0.032202542941 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J7MA0 3399.82940000 PA USD 3362.44000000 0.008364551447 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138M5G37 12609.62000000 PA USD 12500.28000000 0.031096238198 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X83P0 15430.01010000 PA USD 12707.02000000 0.031610533580 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810QZ4 660000.00000000 PA USD 563062.50000000 1.400698673983 Long DBT UST US N 2 2043-02-15 Fixed 3.12500000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132GDC67 209.08000000 PA USD 201.01000000 0.000500041186 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XATV4 32256.46190000 PA USD 26564.16000000 0.066082155511 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X7CB3 20288.88450000 PA USD 19345.53000000 0.048124778720 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140J7MB8 9493.31230000 PA USD 9388.63000000 0.023355562822 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418CLH5 11086.93690000 PA USD 10631.10000000 0.026446385033 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association, Series 2020-146, Class DI 38382KWB5 151952.50800000 PA USD 19606.55000000 0.048774103383 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QM3K8 51184.93580000 PA USD 42119.31000000 0.104777820696 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 9128284V9 380000.00000000 PA USD 357838.28000000 0.890174011404 Long DBT UST US N 2 2028-08-15 Fixed 2.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179WTY4 345414.75490000 PA USD 299617.36000000 0.745341127946 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138XQL58 19790.02000000 PA USD 19031.42000000 0.047343385073 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XGHK8 109792.06000000 PA USD 103919.24000000 0.258514004518 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 4.00000000 N N N N N N N/A N/A U.S. Treasury 5 Year Note N/A 27.00000000 NC USD -5565.04000000 -0.01384383465 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long N/A U.S. Treasury 5 Year Note 2023-03-31 2911359.38000000 USD -5565.04000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMSF3 129920.42000000 PA USD 115183.66000000 0.286535863827 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVLP8 94143.12160000 PA USD 81547.10000000 0.202860099611 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202FDB9 783.15000000 PA USD 781.62000000 0.001944391781 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association, Series 2020-162, Class TI 38382KPG2 299898.86000000 PA USD 38287.55000000 0.095245768480 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133A8RR0 9795.58300000 PA USD 8045.63000000 0.020014657826 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N N/A N/A SOP N/A -300000.00000000 PA USD -92.16000000 -0.00022926120 N/A DIR US N 2 Bank of America B4TYDEB6GKMZO031MB27 Call Written N/A Swaption 1.00000000 2.10000000 USD 2023-03-17 XXXX 9327.84000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132QTAC0 3224.36000000 PA USD 3023.53000000 0.007521464245 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DNF32 12883.68750000 PA USD 11740.44000000 0.029206027288 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DNEW9 33974.35480000 PA USD 30968.04000000 0.077037438230 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFAD8 1359.09400000 PA USD 1274.22000000 0.003169804887 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140E42P1 614.70000000 PA USD 587.99000000 0.001462709403 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KFAB8 10456.47000000 PA USD 9816.05000000 0.024418831335 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31417F4H8 28832.33000000 PA USD 26233.64000000 0.065259939636 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36241KXQ6 8181.63000000 PA USD 8373.56000000 0.020830430704 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 9128282R0 1260000.00000000 PA USD 1165549.22000000 2.899470745995 Long DBT UST US N 2 2027-08-15 Fixed 2.25000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F042624 300000.00000000 PA USD 288665.17000000 0.718095985515 Long ABS-MBS USGSE US N 2 2053-02-25 Fixed 4.50000000 N N N N N N N/A N/A OIS N/A 700000.00000000 PA USD 14403.91000000 0.035831790675 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2024-06-14 0.00000000 USD 0.00000000 USD 700000.00000000 USD 14403.91000000 N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F032419 -44000.00000000 PA USD -42089.79000000 -0.10470438546 Short ABS-MBS USGSE US N 2 2038-01-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WHD25 9562.17000000 PA USD 8941.43000000 0.022243088723 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QC6E1 9092.63240000 PA USD 8586.52000000 0.021360199228 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179W5B0 63811.89840000 PA USD 55283.62000000 0.137525928697 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 2.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810SS8 85000.00000000 PA USD 50575.00000000 0.125812561548 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140E1RT2 788.71000000 PA USD 748.30000000 0.001861503505 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140X9PE9 13806.48910000 PA USD 13069.87000000 0.032513174963 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMR23 3445.02000000 PA USD 3299.85000000 0.008208849851 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QEBL5 85497.38290000 PA USD 73521.50000000 0.182895269280 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association ACES Variable Rate Notes, Series 2020-M21, Class AX 3136B9L70 255079.61890000 PA USD 34153.84000000 0.084962572360 Long ABS-MBS USGSE US N 2 2058-01-25 Variable 1.81086840 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F030413 -80000.00000000 PA USD -74923.49000000 -0.18638292035 Short ABS-MBS USGSE US N 2 2038-01-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association Variable Rate Notes, Series 2002-83 38373VT91 407620.76000000 PA USD 0.04000000 0.000000099505 Long ABS-MBS USGA US N 3 2042-10-16 Variable 0.00009000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 21H042612 90000.00000000 PA USD 87292.13000000 0.217151685186 Long ABS-MBS USGA US N 2 2053-01-15 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QMJZ8 82121.91170000 PA USD 66928.28000000 0.166493689506 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810SA7 784000.00000000 PA USD 642604.38000000 1.598570501431 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N BPR Trust N/A BPR Trust, Series 2021-TY, Class A 05592AAA8 152000.00000000 PA USD 143197.15000000 0.356223435450 Long ABS-MBS CORP US N 2 2038-09-15 Floating 5.36799960 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31292HCH5 4461.24000000 PA USD 4659.02000000 0.011589980039 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 8.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WJET1 11800.50000000 PA USD 11034.80000000 0.027450646647 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31410K3K8 3662.17000000 PA USD 3820.32000000 0.009503593576 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31410KXB5 2327.57000000 PA USD 2365.43000000 0.005884346168 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31416YVG0 1833.25000000 PA USD 1817.35000000 0.004520918610 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DKD3 2396.63440000 PA USD 2237.62000000 0.005566400473 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QQE76 2835.60430000 PA USD 2601.54000000 0.006471703635 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140L7FZ0 3067.34820000 PA USD 2621.98000000 0.006522551065 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVLW3 28035.24830000 PA USD 23087.74000000 0.057434062476 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138YGYN6 5787.05000000 PA USD 5413.83000000 0.013467678103 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36241L6V3 285144.87000000 PA USD 284587.16000000 0.707951351128 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 4.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 31329KXR0 11105.83230000 PA USD 10301.78000000 0.025627154331 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3.00000000 N N N N N N N/A N/A U.S. Treasury 5 Year Note N/A -1.00000000 NC USD -484.38000000 -0.00120496467 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Call Written N/A US Treasury 5 Year Note 100000.00000000 108.25000000 USD 2023-01-27 XXXX 529.73000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QEP89 72407.84930000 PA USD 67629.85000000 0.168238945439 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFGY6 7626.79000000 PA USD 7151.39000000 0.017790107652 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F040610 110000.00000000 PA USD 103142.59000000 0.256581976324 Long ABS-MBS USGSE US N 2 2053-01-25 Fixed 4.00000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F050619 257000.00000000 PA USD 253201.90000000 0.629876018346 Long ABS-MBS USGSE US N 2 2053-01-25 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31417FR75 125485.08000000 PA USD 114174.86000000 0.284026329233 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZD5 214000.00000000 PA USD 212369.75000000 0.528300192641 Long DBT UST US N 2 2023-03-15 Fixed 0.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36196FZG2 3347.10000000 PA USD 3117.03000000 0.007754058897 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179DEK2 28010.26000000 PA USD 26342.47000000 0.065530669860 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 3.50000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F042616 575200.00000000 PA USD 553489.82000000 1.376885260406 Long ABS-MBS USGSE US N 2 2053-01-25 Fixed 4.50000000 N N N N N N N/A N/A IRS N/A 75500.00000000 PA 161.34000000 0.000401356375 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2024-04-11 0.00000000 USD 0.00000000 USD 75500.00000000 PLN 161.34000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179SB89 102866.08080000 PA USD 96039.15000000 0.238911151169 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XBNR7 406153.03380000 PA USD 373732.70000000 0.929713659344 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810RU4 630000.00000000 PA USD 504812.11000000 1.255792479676 Long DBT UST US N 2 2046-11-15 Fixed 2.87500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140L6BB9 8198.21610000 PA USD 6781.88000000 0.016870898564 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31307NNV2 2888.12000000 PA USD 2704.95000000 0.006728950832 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XGTV1 101696.77000000 PA USD 96970.69000000 0.241228490439 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132M9MM3 2992.85070000 PA USD 2804.68000000 0.006977043502 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132XWA84 2505.67000000 PA USD 2354.18000000 0.005856360180 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WPHP2 7562.51000000 PA USD 6880.91000000 0.017117249883 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XGPR4 36206.76000000 PA USD 32294.00000000 0.080335953784 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -178.07000000 -0.00044297464 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 191415.57000000 MXN 9556.21000000 USD 2023-02-21 -178.07000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WKK79 5991.66000000 PA USD 5602.27000000 0.013936449613 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132J7RZ7 16658.55000000 PA USD 15174.80000000 0.037749490044 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36196FZE7 3911.95000000 PA USD 3643.08000000 0.009062683672 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZS2 146000.00000000 PA USD 125172.19000000 0.311383763885 Long DBT UST US N 2 2027-05-31 Fixed 0.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVLK9 35589.40510000 PA USD 30447.46000000 0.075742420864 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Hudson Yards Mortgage Trust N/A Hudson Yards Mortgage Trust, Series 2019-30HY, Class D 44421GAJ2 101000.00000000 PA USD 76199.84000000 0.189558023924 Long ABS-MBS CORP US N 2 2039-07-10 Variable 3.44312640 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F042616 -156000.00000000 PA USD -150111.98000000 -0.37342506619 Short ABS-MBS USGSE US N 2 2053-01-25 Fixed 4.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133KYSR1 17394.37670000 PA USD 16198.22000000 0.040295393983 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202FDW3 931.30000000 PA USD 929.48000000 0.002312214724 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QGKA4 47579.13000000 PA USD 43654.58000000 0.108597024876 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F032419 12000.00000000 PA USD 11479.03000000 0.028555732444 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202FPF7 20194.52000000 PA USD 19435.17000000 0.048347771069 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140L6U44 21636.39550000 PA USD 17777.76000000 0.044224726133 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QEBK7 86660.90970000 PA USD 74521.94000000 0.185384007176 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WHFF4 814.16000000 PA USD 730.50000000 0.001817223454 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QM4T8 33608.72960000 PA USD 28832.91000000 0.071725996322 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810QK7 42000.00000000 PA USD 40969.69000000 0.101917976168 Long DBT UST US N 2 2040-08-15 Fixed 3.87500000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132GD3M2 6040.33000000 PA USD 5977.33000000 0.014869465121 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31417GLT1 65193.51000000 PA USD 59278.44000000 0.147463616035 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N N/A N/A OIS N/A 100000.00000000 PA USD 7231.63000000 0.017989716153 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2032-06-02 0.00000000 USD 0.00000000 USD 100000.00000000 USD 7231.63000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418ECG3 163904.93420000 PA USD 138159.07000000 0.343690489329 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DJP8 5624.53620000 PA USD 5279.17000000 0.013132692052 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138XYBY9 4733.90000000 PA USD 4431.27000000 0.011023419270 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138YBX65 2087.61000000 PA USD 1996.98000000 0.004967773982 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132KE2B0 7361.32000000 PA USD 6910.30000000 0.017190361721 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179WQA9 182144.77560000 PA USD 158059.45000000 0.393195536953 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N N/A N/A IRS N/A 17000.00000000 PA 67.19000000 0.000167144755 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-03-15 0.00000000 USD 0.00000000 USD 17000.00000000 PLN 67.19000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 38.32000000 0.000095326492 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 10000.00000000 USD 170678.83000000 ZAR 2023-01-12 38.32000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 3617BTEQ1 15975.68740000 PA USD 15239.43000000 0.037910266432 Long ABS-MBS USGA US N 2 2048-01-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140L6BK9 17475.52620000 PA USD 14423.92000000 0.035881568418 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QEB50 50510.12210000 PA USD 43589.36000000 0.108434780777 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DWCM3 1860.31820000 PA USD 1433.62000000 0.003566335234 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 1.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140L3E49 4339.46880000 PA USD 3712.83000000 0.009236196794 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WC7G2 3867.89220000 PA USD 3719.34000000 0.009252391352 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3129414T1 2754.05000000 PA USD 2647.78000000 0.006586732263 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 21H040616 85000.00000000 PA USD 80418.28000000 0.200051998064 Long ABS-MBS USGA US N 2 2053-01-15 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DMUR4 122301.00150000 PA USD 110454.78000000 0.274772097025 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XGPU7 87573.11740000 PA USD 71473.99000000 0.177801794680 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36196FZF4 4312.36000000 PA USD 4019.29000000 0.009998559970 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3128M9WN8 51484.82000000 PA USD 53444.45000000 0.132950729709 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31418DTQ5 58271.89370000 PA USD 47771.33000000 0.118838030565 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N CSMC Trust N/A CSMC Trust, Series 2021-BHAR, Class A 12659VAA8 168000.00000000 PA USD 160163.82000000 0.398430458952 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.46800040 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QMAG9 19705.12770000 PA USD 16826.04000000 0.041857186220 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -133.89000000 -0.00033307056 N/A DFE N/A N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 24000.00000000 CAD 17601.00000000 USD 2023-03-15 -133.89000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132G5AU3 2010.47000000 PA USD 1907.81000000 0.004745950826 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 3.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -56.20000000 -0.00013980555 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 10000.00000000 EUR 10654.40000000 USD 2023-01-12 -56.20000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVL52 207456.02240000 PA USD 178395.48000000 0.443784326394 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QM4F8 71576.89750000 PA USD 61289.35000000 0.152466042889 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138YBX73 10373.14000000 PA USD 9922.80000000 0.024684387261 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36179RD71 9909.59290000 PA USD 9251.64000000 0.023014780561 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 3.50000000 N N N N N N N/A N/A OIS N/A 1300000.00000000 PA USD -20677.44000000 -0.05143809575 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2024-10-17 0.00000000 USD 0.00000000 USD 1300000.00000000 USD -20677.44000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 912828ZN3 146000.00000000 PA USD 125713.98000000 0.312731544166 Long DBT UST US N 2 2027-04-30 Fixed 0.50000000 N N N N N N N/A N/A OIS N/A 50566.00000000 PA 47.50000000 0.000118163058 N/A DIR US N 2 Citibank E57ODZWZ7FF32TWEFA76 Y 2024-01-02 0.00000000 USD 0.00000000 USD 50566.00000000 BRL 47.50000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association Variable Rate Notes, Series 2003-17 38373SB97 411422.32000000 PA USD 0.04000000 0.000000099505 Long ABS-MBS USGA US N 3 2043-03-16 Variable 0.00001080 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 312938GD9 2691.75000000 PA USD 2671.42000000 0.006645540151 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association Variable Rate Notes, Series 2003-109 38373MKM1 602616.64000000 PA USD 23.54000000 0.000058559124 Long ABS-MBS USGA US N 2 2043-11-16 Variable 0.00001080 N N N N N N N/A N/A U.S. Treasury 10 Year Ultra Note N/A 7.00000000 NC USD -10539.69000000 -0.02621898955 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long N/A U.S. Treasury 10 Year Ultra Note 2023-03-22 825234.38000000 USD -10539.69000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QELS9 82480.93740000 PA USD 70925.51000000 0.176437372065 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 21H040616 -1000.00000000 PA USD -946.10000000 -0.00235355935 Short ABS-MBS USGA US N 2 2053-01-15 Fixed 4.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132HNMK2 3046.51000000 PA USD 2854.97000000 0.007102147085 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3132DVLZ6 11258.67640000 PA USD 10026.50000000 0.024942355874 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31292LGU3 23145.46000000 PA USD 21690.41000000 0.053958003818 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WKK87 10368.15000000 PA USD 9694.75000000 0.024117080199 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138LTL63 531.26000000 PA USD 497.29000000 0.001237080152 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138LTJF6 20258.59000000 PA USD 19454.88000000 0.048396802519 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810QL5 42000.00000000 PA USD 42908.91000000 0.106742063872 Long DBT UST US N 2 2040-11-15 Fixed 4.25000000 N N N N N N Federal National Mortgage Association or Federal Home Loan Mortgage Corp. N/A Uniform Mortgage-Backed Securities 01F032617 -97729.00000000 PA USD -88767.52000000 -0.22082192928 Short ABS-MBS USGSE US N 2 2053-01-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138Y4UY3 1950.07000000 PA USD 1865.59000000 0.004640922524 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138W5M21 27529.35000000 PA USD 25047.93000000 0.062310316060 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810QB7 170000.00000000 PA USD 175086.72000000 0.435553311641 Long DBT UST US N 2 2039-05-15 Fixed 4.25000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Uniform Mortgage-Backed Securities 3133A04K7 9598.29190000 PA USD 8836.52000000 0.021982110061 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132JADY8 4224.62000000 PA USD 3950.95000000 0.009828554425 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132JQEV8 5023.04000000 PA USD 4940.07000000 0.012289132198 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132GSSE0 5587.19800000 PA USD 5235.97000000 0.013025225860 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QQFA8 11927.61920000 PA USD 10883.96000000 0.027075410526 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140XFRT0 41102.59490000 PA USD 34001.00000000 0.084582360953 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31419HCW0 11766.97000000 PA USD 11484.15000000 0.028568469178 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CEE7 54000.00000000 PA USD 49102.03000000 0.122148337548 Long DBT UST US N 2 2029-03-31 Fixed 2.37500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140KKX33 11671.51400000 PA USD 9545.98000000 0.023746993500 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140L6B45 20161.31550000 PA USD 16603.25000000 0.041302964162 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3138WFQ25 9970.00000000 PA USD 9347.56000000 0.023253395310 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N BANK N/A BANK, Series 2021-BN33, Class XA 06541CBR6 1750968.70000000 PA USD 102159.74000000 0.254136996075 Long ABS-MBS CORP US N 2 2064-05-15 Variable 1.05794280 N N N N N N N/A N/A OIS N/A 400000.00000000 PA USD 6329.10000000 0.015744543416 N/A DIR US N 2 CME Group Inc. LCZ7XYGSLJUHFXXNXD88 Y 2024-09-13 0.00000000 USD 0.00000000 USD 400000.00000000 USD 6329.10000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 31416VXQ2 18593.83000000 PA USD 17858.05000000 0.044424459016 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 3617BJRG1 11043.76850000 PA USD 10533.48000000 0.026203541291 Long ABS-MBS USGA US N 2 2047-10-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Uniform Mortgage-Backed Securities 3140QLN36 316829.28610000 PA USD 258316.25000000 0.642598697024 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -51.32000000 -0.00012766585 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 13608.95000000 CAD 10000.00000000 USD 2023-01-12 -51.32000000 N N N N/A N/A IRS N/A 49000.00000000 PA 81.51000000 0.000202767808 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-03-15 0.00000000 USD 0.00000000 USD 49000.00000000 PLN 81.51000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3128MABR9 17837.12960000 PA USD 16704.45000000 0.041554713667 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36213FZ22 4459.30000000 PA USD 4193.74000000 0.010432529349 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 3.50000000 N N N N N N 2022-12-31 BlackRock Variable Series Funds II, Inc. Ann Frechette Ann Frechette Assistant Treasurer