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
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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