0001752724-22-053399.txt : 20220301
0001752724-22-053399.hdr.sgml : 20220301
20220301122757
ACCESSION NUMBER: 0001752724-22-053399
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220301
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: AIM GROWTH SERIES (INVESCO GROWTH SERIES)
CENTRAL INDEX KEY: 0000202032
IRS NUMBER: 942362417
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02699
FILM NUMBER: 22695591
BUSINESS ADDRESS:
STREET 1: 11 GREENWAY PLAZA
STREET 2: SUITE 1000
CITY: HOUSTON
STATE: TX
ZIP: 77046
BUSINESS PHONE: 7136261919
MAIL ADDRESS:
STREET 1: 11 GREENWAY PLAZA
STREET 2: SUITE 1000
CITY: HOUSTON
STATE: TX
ZIP: 77046
FORMER COMPANY:
FORMER CONFORMED NAME: AIM GROWTH SERIES
DATE OF NAME CHANGE: 19980601
FORMER COMPANY:
FORMER CONFORMED NAME: G T GLOBAL GROWTH SERIES
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: G T GLOBAL GROWTH FUNDS
DATE OF NAME CHANGE: 19870617
0000202032
S000027862
Invesco Quality Income Fund
C000084602
CLASS A
VKMGX
C000084604
CLASS C
VUSCX
C000084605
CLASS Y
VUSIX
C000084606
CLASS R5
VUSJX
C000188964
Class R6
C000217950
Class R
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000202032
XXXXXXXX
S000027862
C000084606
C000217950
C000188964
C000084605
C000084602
C000084604
AIM Growth Series (Invesco Growth Series)
811-02699
0000202032
EHBZ0YMC2UFRMDIU6731
11 Greenway Plaza
Suite 1000
Houston
77046-1173
800-959-4246
Invesco Quality Income Fund
S000027862
Z5XM6FHQ2ZGIRVHR7B13
2021-12-31
2021-12-31
N
1315127572.30
421913740.74
893213831.56
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
406511840.46000000
0.00000000
0.00000000
585701.65000000
USD
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36201DUR1
2517.08000000
PA
USD
2771.84000000
0.000310322109
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36203EPA0
320.19000000
PA
USD
323.49000000
0.000036216411
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DVKM6
8229843.82000000
PA
USD
9070189.80000000
1.015455591877
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
U.S. Treasury Floating Rate Notes
254900HROIFWPRGM1V77
U.S. Treasury Floating Rate Notes
91282CCQ2
11000000.00000000
PA
USD
11002469.94000000
1.231784546012
Long
DBT
UST
US
N
2
2023-07-31
Floating
0.11401800
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2005-AR, Class 6A1
362341FR5
150048.11000000
PA
USD
155657.36000000
0.017426662519
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.02156400
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133A1E65
3641633.55000000
PA
USD
3858316.68000000
0.431958904315
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392EQ29
20701.61000000
PA
USD
21175.24000000
0.002370679813
Long
ABS-APCP
USGSE
US
N
2
2032-04-25
Floating
1.10188000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31403K5Y5
7964.87000000
PA
USD
7992.09000000
0.000894756632
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31403GDU3
2015.83000000
PA
USD
2224.56000000
0.000249051226
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31409TRM2
1770.05000000
PA
USD
2010.14000000
0.000225045776
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128KL3H8
84912.25000000
PA
USD
96008.02000000
0.010748604265
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31403JTM8
1362.25000000
PA
USD
1520.59000000
0.000170238071
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137AGSJ0
179826.89000000
PA
USD
184836.54000000
0.020693425635
Long
ABS-APCP
USGSE
US
N
2
2026-10-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140K2VW1
1289314.64000000
PA
USD
1390507.48000000
0.155674647085
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36206NU52
1047.83000000
PA
USD
1152.49000000
0.000129027334
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QKQQ4
9540488.70000000
PA
USD
9720712.44000000
1.088285032826
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138YEQK6
5062820.84000000
PA
USD
5456630.49000000
0.610898566188
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31416KAX6
5079.39000000
PA
USD
5739.54000000
0.000642571778
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392DPX4
148418.04000000
PA
USD
30314.64000000
0.003393883852
Long
ABS-APCP
USGSE
US
N
2
2032-03-18
Floating
7.89612000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3137B26D7
323383.90000000
PA
USD
16575.01000000
0.001855659799
Long
ABS-APCP
USGSE
US
N
2
2028-05-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31397NP41
829685.90000000
PA
USD
835926.47000000
0.093586377691
Long
ABS-APCP
USGSE
US
N
2
2037-06-25
Floating
1.04188000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392JY29
6026.23000000
PA
USD
6048.12000000
0.000677118936
Long
ABS-APCP
USGSE
US
N
2
2033-03-25
Floating
0.50188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31410GCC5
69.31000000
PA
USD
69.47000000
0.000007777532
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31370VSV1
1626.60000000
PA
USD
1807.66000000
0.000202377072
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31416BL63
389041.61000000
PA
USD
443840.26000000
0.049690258291
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31394YF74
28160.57000000
PA
USD
2377.43000000
0.000266165829
Long
ABS-APCP
USGSE
US
N
2
2026-07-15
Floating
7.54025000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380HQY1
830569.36000000
PA
USD
138981.58000000
0.015559720986
Long
ABS-APCP
USGA
US
N
2
2047-10-16
Floating
6.09250000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140H0AP7
3915855.69000000
PA
USD
4204992.49000000
0.470771089903
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405VZ26
1146.93000000
PA
USD
1259.11000000
0.000140964006
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FAKM1
751347.80000000
PA
USD
126811.83000000
0.014197253280
Long
ABS-APCP
USGSE
US
N
2
2032-04-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS
3136FART9
51322.15000000
PA
USD
47903.17000000
0.005363012562
Long
ABS-APCP
USGSE
US
N
2
2032-09-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FANL0
102365.06000000
PA
USD
12240.54000000
0.001370393019
Long
ABS-APCP
USGSE
US
N
2
2032-01-25
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140XCYX0
10845971.18000000
PA
USD
10853405.23000000
1.215095965435
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31385XQT7
125024.46000000
PA
USD
143100.07000000
0.016020807665
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
7.50000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36207KTT7
4661.05000000
PA
USD
4678.42000000
0.000523773796
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136A1DN2
444881.90000000
PA
USD
14199.56000000
0.001589715642
Long
ABS-APCP
USGSE
US
N
2
2026-10-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31411JUZ7
88.73000000
PA
USD
88.82000000
0.000009943867
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140L0D95
10389514.85000000
PA
USD
10369975.81000000
1.160973491855
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M9H70
3634057.16000000
PA
USD
4020358.93000000
0.450100388949
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31381CV61
2626.04000000
PA
USD
2888.78000000
0.000323414158
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31370BFK3
276.28000000
PA
USD
278.91000000
0.000031225445
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31406CGC6
30186.26000000
PA
USD
34018.52000000
0.003808552756
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2005-A3, Class 6A5
466247QM8
309259.44000000
PA
USD
318130.24000000
0.035616358452
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
2.73116500
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392F7G6
197980.33000000
PA
USD
39316.52000000
0.004401691802
Long
ABS-APCP
USGSE
US
N
2
2032-12-18
Floating
7.99612000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31415QDG8
912.97000000
PA
USD
1005.46000000
0.000112566550
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3128M5F54
16879.93000000
PA
USD
19707.04000000
0.002206307079
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31419AB71
863.27000000
PA
USD
1001.91000000
0.000112169109
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FCQG4
98221.64000000
PA
USD
16382.72000000
0.001834131920
Long
ABS-APCP
USGSE
US
N
2
2035-02-25
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140X8MF1
11356225.40000000
PA
USD
11640310.92000000
1.303194208230
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31403C5V9
711714.54000000
PA
USD
811289.66000000
0.090828156857
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
7.50000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2006-A, Class 1A1
058927AA2
274878.19000000
PA
USD
276996.13000000
0.031011177862
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Variable
2.60293100
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31412SB53
11873.57000000
PA
USD
13563.12000000
0.001518462827
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31376J5M7
17630.89000000
PA
USD
19845.47000000
0.002221805048
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association, Series BJ7346
3140H9EU3
2085108.84000000
PA
USD
2267421.50000000
0.253849797202
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392FP84
103365.00000000
PA
USD
105784.59000000
0.011843142846
Long
ABS-APCP
USGSE
US
N
2
2032-12-25
Floating
1.10188000
N
N
N
N
N
N
Fannie Mae ACES
B1V7KEBTPIMZEU4LTD58
Fannie Mae ACES
3136AAR56
54474754.23000000
PA
USD
57007.83000000
0.006382327275
Long
ABS-APCP
USGSE
US
N
2
2022-12-25
Variable
0.19952800
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133994L8
106957.82000000
PA
USD
109524.52000000
0.012261847737
Long
ABS-APCP
USGSE
US
N
2
2031-08-15
Floating
1.05975000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust, Series 2005-7, Class 2A21
007036MT0
194283.87000000
PA
USD
178742.15000000
0.020011126528
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
0.76613000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307TDS7
367257.50000000
PA
USD
387555.98000000
0.043388936255
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31395MTC3
151687.82000000
PA
USD
20434.99000000
0.002287804921
Long
ABS-APCP
USGSE
US
N
2
2035-02-15
Floating
6.64025000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31404J6J9
19170.01000000
PA
USD
21027.90000000
0.002354184323
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31374TWX3
7212.62000000
PA
USD
7965.41000000
0.000891769665
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140JKBW5
2367085.13000000
PA
USD
2562587.52000000
0.286895190094
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133A47H3
3624331.44000000
PA
USD
3836257.33000000
0.429489243723
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36211JLK1
14254.64000000
PA
USD
14798.24000000
0.001656741026
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS
31325UPL4
349871.58000000
PA
USD
22410.60000000
0.002508984882
Long
ABS-APCP
USGSE
US
N
2
2027-12-15
Fixed
3.00000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2
863579BM9
283712.65000000
PA
USD
272620.65000000
0.030521319796
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
0.40188000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31385WX20
7842.83000000
PA
USD
8663.94000000
0.000969973783
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31411APZ2
7786.40000000
PA
USD
8841.07000000
0.000989804421
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31396J4X0
1581079.00000000
PA
USD
1589869.80000000
0.177994310413
Long
ABS-APCP
USGSE
US
N
2
2036-03-15
Floating
0.40975000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QCNM4
11113664.56000000
PA
USD
11904528.04000000
1.332774708516
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36290W3B6
29245.69000000
PA
USD
32171.05000000
0.003601718744
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31359NUK5
189361.94000000
PA
USD
205247.44000000
0.022978533554
Long
ABS-APCP
USGSE
US
N
2
2027-03-18
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31374GB89
110133.06000000
PA
USD
121484.69000000
0.013600851857
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
7.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DM2Y0
9000000.00000000
PA
USD
8995248.18000000
1.007065482213
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133TTX30
128955.15000000
PA
USD
146349.73000000
0.016384624244
Long
ABS-APCP
USGSE
US
N
2
2031-06-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36207KAH3
408.44000000
PA
USD
448.28000000
0.000050187310
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31294F2K1
51585.58000000
PA
USD
56950.99000000
0.006375963737
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392AZY7
93676.39000000
PA
USD
17710.66000000
0.001982801807
Long
ABS-APCP
USGSE
US
N
2
2031-11-25
Floating
7.79812000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 2002-3, Class IO
911760SQ0
8469504.21000000
PA
USD
65553.96000000
0.007339111608
Long
ABS-APCP
USGSE
US
N
2
2032-08-15
Variable
0.31314400
N
N
N
N
N
N
Chase Mortgage Finance Corp.
N/A
Chase Mortgage Finance Corp., Series 2016-2, Class M4
16164AAE5
1846142.08000000
PA
USD
1858170.99000000
0.208032043878
Long
ABS-MBS
CORP
US
N
2
2045-12-25
Variable
3.75000000
N
N
N
N
N
N
U.S. Treasury Notes
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAU5
14000000.00000000
PA
USD
13326250.00000000
1.491943981288
Long
DBT
UST
US
N
2
2027-10-31
Fixed
0.50000000
N
N
N
N
N
N
BINOM Securitization Trust
N/A
BINOM Securitization Trust, Series 2021-INV1, Class A1
05552UAA2
4285000.00000000
PA
USD
4300351.01000000
0.481446979217
Long
ABS-MBS
CORP
US
N
2
2056-06-25
Variable
2.03400000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36209TLA5
14068.50000000
PA
USD
14125.83000000
0.001581461179
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136B1BQ6
111610.42000000
PA
USD
5112.51000000
0.000572372462
Long
ABS-APCP
USGSE
US
N
2
2044-12-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202V7K1
3927.25000000
PA
USD
4325.04000000
0.000484211041
Long
ABS-MBS
USGA
US
N
2
2034-03-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31335BUD6
5036399.52000000
PA
USD
5747790.55000000
0.643495470727
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36207MK88
8619.95000000
PA
USD
9344.89000000
0.001046209728
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
7.00000000
N
N
N
N
N
N
Dell Equipment Finance Trust
N/A
Dell Equipment Finance Trust, Series 2019-2, Class D
24703KAF2
875000.00000000
PA
USD
880319.30000000
0.098556389175
Long
ABS-O
CORP
US
N
2
2025-04-22
Fixed
2.48000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31413FU67
88.43000000
PA
USD
88.94000000
0.000009957302
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138ETJ23
121978.78000000
PA
USD
125010.08000000
0.013995537863
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31402QSA0
152995.25000000
PA
USD
169002.53000000
0.018920724694
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36200NAA9
444.39000000
PA
USD
502.41000000
0.000056247449
Long
ABS-MBS
USGA
US
N
2
2034-01-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133TMBG0
253127.54000000
PA
USD
282752.73000000
0.031655659597
Long
ABS-APCP
USGSE
US
N
2
2029-10-15
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31384VTE2
131.94000000
PA
USD
148.19000000
0.000016590652
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31293R2U4
1821.66000000
PA
USD
2010.94000000
0.000225135340
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31379PFN7
34624.12000000
PA
USD
35474.89000000
0.003971601059
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Ctfs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Ctfs.
3137FARM2
482150.00000000
PA
USD
481798.03000000
0.053939830864
Long
ABS-APCP
USGSE
US
N
2
2044-05-25
Floating
0.82203000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31391BB71
5747.20000000
PA
USD
6343.57000000
0.000710196122
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137AUGD5
5999344.09000000
PA
USD
6003198.07000000
0.672089689824
Long
ABS-APCP
USGSE
US
N
2
2027-08-15
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140HFN54
6129442.89000000
PA
USD
6396311.23000000
0.716100781693
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138W5S33
492164.33000000
PA
USD
504476.23000000
0.056478774978
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137A3NL9
13962.99000000
PA
USD
13962.91000000
0.001563221426
Long
ABS-APCP
USGSE
US
N
2
2025-05-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
3136A1DA0
109394.16000000
PA
USD
111379.99000000
0.012469577391
Long
ABS-APCP
USGSE
US
N
2
2026-10-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371Q2B3
12602.03000000
PA
USD
13907.08000000
0.001556970963
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36208GL63
1649.71000000
PA
USD
1670.65000000
0.000187038079
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36224JNF5
212.39000000
PA
USD
214.42000000
0.000024005450
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405FSZ6
1684.58000000
PA
USD
1824.76000000
0.000204291507
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
7.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31298EAD7
9595.84000000
PA
USD
10594.58000000
0.001186119115
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
6.50000000
N
N
N
N
N
N
U.S. Treasury Notes
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZB9
2000000.00000000
PA
USD
1984687.50000000
0.222196234526
Long
DBT
UST
US
N
2
2027-02-28
Fixed
1.12500000
N
N
N
N
N
N
Residential Accredit Loans, Inc. Trust
N/A
Residential Accredit Loans, Inc. Trust, Series 2006-QS13, Class 1A8
75115DAH8
37717.62000000
PA
USD
35899.17000000
0.004019101443
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31382VVW1
45400.90000000
PA
USD
50100.79000000
0.005609047713
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140EUBG3
5014069.50000000
PA
USD
5274562.59000000
0.590515104405
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140M9XT9
6665048.00000000
PA
USD
6662561.94000000
0.745908953107
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DMKN4
8195167.50000000
PA
USD
8611202.39000000
0.964069530244
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJQX2
9785386.75000000
PA
USD
10551834.51000000
1.181333532595
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QKBR8
9612615.60000000
PA
USD
10224255.08000000
1.144659287479
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36290SU66
13653.09000000
PA
USD
15285.97000000
0.001711344972
Long
ABS-MBS
USGA
US
N
2
2034-03-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS
31282YCV9
19763.27000000
PA
USD
3441.29000000
0.000385270567
Long
ABS-APCP
USGSE
US
N
2
2029-12-15
Fixed
7.50000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2005-A, Class A1
59020UTB1
345746.33000000
PA
USD
336617.76000000
0.037686133835
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
0.56188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31416BBY3
904.97000000
PA
USD
996.86000000
0.000111603735
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392F6J1
86324.30000000
PA
USD
12497.05000000
0.001399110667
Long
ABS-APCP
USGSE
US
N
2
2032-12-18
Floating
7.99612000
N
N
N
N
N
N
Uniform Mortgage-Backed Securities
N/A
Uniform Mortgage-Backed Securities, TBA
01F020414
14650000.00000000
PA
USD
15001660.80000000
1.679515057866
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31374GWP8
1665.72000000
PA
USD
1839.13000000
0.000205900304
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
6.50000000
N
N
N
N
N
N
Invesco Government & Agency Portfolio
5493007T1J7WZ5QI1A47
Invesco Government & Agency Portfolio, Institutional Class
825252885
9273850.74000000
NS
USD
9273850.74000000
1.038256508388
Long
STIV
RF
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140HRXC2
10962000.00000000
PA
USD
12374954.22000000
1.385441400788
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.79000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138EGCJ1
75053.31000000
PA
USD
78072.36000000
0.008740612520
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
5.63000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31397L5D7
2921.86000000
PA
USD
327.42000000
0.000036656396
Long
ABS-APCP
USGSE
US
N
2
2038-07-25
Floating
5.94812000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136ABFE8
520750.86000000
PA
USD
50643.75000000
0.005669834949
Long
ABS-APCP
USGSE
US
N
2
2042-08-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202SWM6
80314.18000000
PA
USD
91746.38000000
0.010271491188
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31397NL45
419033.24000000
PA
USD
487128.74000000
0.054536631967
Long
ABS-APCP
USGSE
US
N
2
2039-06-25
Variable
6.60775300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138ETA22
190378.72000000
PA
USD
193701.21000000
0.021685872201
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36225A5Z9
159.25000000
PA
USD
176.51000000
0.000019761225
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31410VD80
3417.14000000
PA
USD
3799.73000000
0.000425399816
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31383E2P5
1578.14000000
PA
USD
1741.39000000
0.000194957796
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31392MW99
60647.06000000
PA
USD
62023.34000000
0.006943840075
Long
ABS-APCP
USGSE
US
N
2
2032-02-15
Floating
1.10975000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36290SEP2
1937.88000000
PA
USD
2160.61000000
0.000241891686
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31394V7G9
156767.31000000
PA
USD
240848.11000000
0.026964216348
Long
ABS-APCP
USGSE
US
N
2
2036-03-25
Floating
24.19311000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31403DDN6
81926.06000000
PA
USD
90690.91000000
0.010153325754
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
Federal National Mortgage Association
01F030629
26700000.00000000
PA
USD
27621629.27000000
3.092387096352
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
31364HM61
23787.79000000
PA
USD
1071.23000000
0.000119929849
Long
ABS-APCP
USGSE
US
N
2
2024-10-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FAZ94
264435.48000000
PA
USD
44052.07000000
0.004931861603
Long
ABS-APCP
USGSE
US
N
2
2033-11-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31376CBH6
7447.66000000
PA
USD
8190.27000000
0.000916943928
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
312940ZC6
809831.27000000
PA
USD
919536.72000000
0.102946986209
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31394EG51
282829.65000000
PA
USD
284065.62000000
0.031802644558
Long
ABS-APCP
USGSE
US
N
2
2035-08-25
Floating
0.45188000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31393FGJ9
93324.93000000
PA
USD
93586.31000000
0.010477481056
Long
ABS-APCP
USGSE
US
N
2
2029-06-15
Floating
0.50975000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31402U5D0
30083.73000000
PA
USD
33946.61000000
0.003800502052
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31414SVL4
161016.92000000
PA
USD
167277.50000000
0.018727598486
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31386DC81
10522.40000000
PA
USD
11600.83000000
0.001298774110
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association, TBA
21H022614
23848000.00000000
PA
USD
24423679.27000000
2.734359725189
Long
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405NDC6
8189.82000000
PA
USD
9323.91000000
0.001043860906
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371NMF9
15931.14000000
PA
USD
18243.31000000
0.002042434784
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133TJC43
137133.00000000
PA
USD
134353.33000000
0.015041563985
Long
ABS-APCP
USGSE
US
N
2
2029-02-15
Floating
0.45975000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31339LHR4
25390.90000000
PA
USD
25587.30000000
0.002864633203
Long
ABS-APCP
USGSE
US
N
2
2029-01-15
Floating
0.70975000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36200NYP0
563.34000000
PA
USD
644.42000000
0.000072146218
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31283HTM7
73339.75000000
PA
USD
81027.91000000
0.009071501933
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3137AUC31
3036043.87000000
PA
USD
167744.76000000
0.018779910708
Long
ABS-APCP
USGSE
US
N
2
2027-09-15
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA
17326FAF4
19437853.83000000
PA
USD
853411.20000000
0.095543885444
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Variable
1.08151200
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31286PAA2
511753.71000000
PA
USD
577333.42000000
0.064635521708
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G0Q22
5358000.00000000
PA
USD
5507883.35000000
0.616636594216
Long
DBT
USGSE
US
N
2
2026-09-24
Fixed
1.87500000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FCYY6
161355.11000000
PA
USD
24300.75000000
0.002720597144
Long
ABS-APCP
USGSE
US
N
2
2035-09-25
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31380MBN5
1704.61000000
PA
USD
1881.94000000
0.000210693109
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FCQE9
196728.77000000
PA
USD
30893.16000000
0.003458652218
Long
ABS-APCP
USGSE
US
N
2
2035-06-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31394FD93
651942.65000000
PA
USD
656686.45000000
0.073519511991
Long
ABS-APCP
USGSE
US
N
2
2035-10-25
Floating
0.45188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31416VNU4
23960.33000000
PA
USD
24054.11000000
0.002692984495
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31419AGW1
166155.92000000
PA
USD
182047.84000000
0.020381215960
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392BMY9
63836.19000000
PA
USD
11447.78000000
0.001281639356
Long
ABS-APCP
USGSE
US
N
2
2032-01-25
Floating
7.84812000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392GDR3
40831.76000000
PA
USD
41116.12000000
0.004603166514
Long
ABS-APCP
USGSE
US
N
2
2032-09-25
Floating
0.60188000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617BTGK2
2784062.39000000
PA
USD
2976306.63000000
0.333213226759
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36209BA24
1045.21000000
PA
USD
1123.25000000
0.000125753762
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Ctfs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Ctfs.
3137FMCT7
13246174.29000000
PA
USD
817270.41000000
0.091497733367
Long
ABS-APCP
USGSE
US
N
2
2029-05-25
Variable
0.95171700
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS
3128CVVZ4
200597.60000000
PA
USD
188995.73000000
0.021159068895
Long
ABS-APCP
USGSE
US
N
2
2032-03-01
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31283GHD2
4.89000000
PA
USD
4.90000000
0.000000548580
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
9.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
PPB2AV789
25000000.00000000
PA
USD
24998924.50000000
2.798761463012
Long
DBT
CORP
GB
N
2
2022-11-16
Floating
0.27979000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133TKCT5
153746.78000000
PA
USD
170158.36000000
0.019050125959
Long
ABS-APCP
USGSE
US
N
2
2029-04-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31380D3V6
3412.35000000
PA
USD
3766.53000000
0.000421682901
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31365DWY7
78.26000000
PA
USD
86.37000000
0.000009669577
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2014-1, Class 1A17
46641CAR2
876718.56000000
PA
USD
883707.15000000
0.098935676853
Long
ABS-MBS
CORP
US
N
2
2044-01-25
Variable
0.78613000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36203MHU7
43.88000000
PA
USD
44.37000000
0.000004967455
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31403C6L0
364645.80000000
PA
USD
412603.02000000
0.046193084502
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31385XEE3
529.43000000
PA
USD
598.43000000
0.000066997395
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
6.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Loan Trust
N/A
Credit Suisse Mortgage Loan Trust, Series 2015-1, Class A9
12592UAQ5
412463.55000000
PA
USD
414262.39000000
0.046378859726
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31393BKD6
19453.30000000
PA
USD
3770.21000000
0.000422094896
Long
ABS-APCP
USGSE
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2020-SFR1, Class C
74331CAC2
2500000.00000000
PA
USD
2486249.25000000
0.278348718095
Long
ABS-MBS
CORP
US
N
2
2037-04-17
Fixed
2.18300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31411CB59
63.19000000
PA
USD
63.12000000
0.000007066616
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3133A0TY0
4325712.57000000
PA
USD
4562312.74000000
0.510774976696
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31335HS95
4618.49000000
PA
USD
5097.34000000
0.000570674100
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
313615R81
541.29000000
PA
USD
597.38000000
0.000066879842
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KGPY8
1864848.16000000
PA
USD
1956186.35000000
0.219005380445
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36209CVX1
7163.48000000
PA
USD
7192.74000000
0.000805265183
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31397SYD0
550343.45000000
PA
USD
567031.62000000
0.063482180858
Long
ABS-APCP
USGSE
US
N
2
2024-07-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31410GLY7
286196.45000000
PA
USD
331521.61000000
0.037115592961
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137ADPN1
139916.94000000
PA
USD
143560.80000000
0.016072388819
Long
ABS-APCP
USGSE
US
N
2
2026-07-15
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31292GY34
1545.69000000
PA
USD
1732.66000000
0.000193980426
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36203FHJ7
59.50000000
PA
USD
59.57000000
0.000006669175
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31371KS51
7077.25000000
PA
USD
7773.80000000
0.000870317915
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31393EJT7
116559.90000000
PA
USD
136976.72000000
0.015335266333
Long
ABS-APCP
USGSE
US
N
2
2032-09-25
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31385XQX8
335898.32000000
PA
USD
379571.75000000
0.042495059591
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140J9C25
2850806.90000000
PA
USD
3090224.59000000
0.345966943279
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
Uniform Mortgage-Backed Securities
N/A
Uniform Mortgage-Backed Securities, TBA
01F020612
100199000.00000000
PA
USD
99898103.40000000
11.18411962178
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371KEX5
3192.80000000
PA
USD
3639.68000000
0.000407481374
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371KF97
165.31000000
PA
USD
189.12000000
0.000021172981
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
31364JN82
328003.98000000
PA
USD
73669.33000000
0.008247670087
Long
ABS-APCP
USGSE
US
N
2
2030-05-25
Fixed
8.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140JWPE4
2504032.22000000
PA
USD
2661717.49000000
0.297993313129
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392DPW6
152925.11000000
PA
USD
155797.47000000
0.017442348572
Long
ABS-APCP
USGSE
US
N
2
2032-03-18
Floating
1.10388000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31417DVZ3
867756.36000000
PA
USD
940312.12000000
0.105272901826
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31396XCE2
366126.00000000
PA
USD
371003.90000000
0.041535843589
Long
ABS-APCP
USGSE
US
N
2
2037-08-25
Floating
0.55188000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31410LSH6
2279658.90000000
PA
USD
2519028.49000000
0.282018526918
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36206DFD4
2654.52000000
PA
USD
2664.38000000
0.000298291395
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36210GAF1
32846.10000000
PA
USD
36113.57000000
0.004043104654
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31394YVA9
364460.13000000
PA
USD
18525.11000000
0.002073983781
Long
ABS-APCP
USGSE
US
N
2
2024-03-15
Floating
5.89025000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2006-3, Class 5A5
058931BH8
32963.50000000
PA
USD
32612.31000000
0.003651120129
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36202DFF3
9377.41000000
PA
USD
10596.97000000
0.001186386688
Long
ABS-MBS
USGA
US
N
2
2030-01-20
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202WX95
997.10000000
PA
USD
1101.52000000
0.000123320974
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31404MUP1
45442.36000000
PA
USD
49394.75000000
0.005530002811
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Ctfs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Ctfs.
3137FKWE2
22114077.91000000
PA
USD
263139.84000000
0.029459893107
Long
ABS-APCP
USGSE
US
N
2
2024-11-25
Variable
0.63221000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133T4TC0
87462.53000000
PA
USD
88515.09000000
0.009909731228
Long
ABS-APCP
USGSE
US
N
2
2024-03-15
Floating
1.59500000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392HRF2
128443.07000000
PA
USD
27452.91000000
0.003073498084
Long
ABS-APCP
USGSE
US
N
2
2033-02-25
Floating
8.14812000
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS
31325UP26
238085.36000000
PA
USD
11601.02000000
0.001298795382
Long
ABS-APCP
USGSE
US
N
2
2027-12-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31371K5Y3
718.27000000
PA
USD
788.96000000
0.000088328233
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36200MPE7
31286.77000000
PA
USD
35787.06000000
0.004006550137
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137B6RG8
357467.95000000
PA
USD
361351.62000000
0.040455219929
Long
ABS-APCP
USGSE
US
N
2
2023-12-15
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36204CN64
6622.16000000
PA
USD
7268.02000000
0.000813693176
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31413BH95
94.43000000
PA
USD
97.32000000
0.000010895487
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
CSFB Mortgage-Backed Pass-Through Ctfs.
N/A
CSFB Mortgage-Backed Pass-Through Ctfs.
22541SJD1
457601.61000000
PA
USD
475394.90000000
0.053222966685
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
2.73891000
N
N
N
N
N
N
Structured Asset Securities Corp
N/A
Structured Asset Securities Corp, Series 2002-21A, Class B1II
86359ACC5
80238.64000000
PA
USD
80661.90000000
0.009030525183
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Variable
2.16101300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31413BG62
326.48000000
PA
USD
327.03000000
0.000036612733
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust, Series 2019-2, Class C
12510FAD6
405000.00000000
PA
USD
410602.45000000
0.045969110138
Long
ABS-O
CORP
US
N
2
2027-03-15
Fixed
2.89000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392EXR6
41166.34000000
PA
USD
41433.25000000
0.004638670891
Long
ABS-APCP
USGSE
US
N
2
2032-10-18
Floating
0.60388000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137BERD8
6.85000000
PA
USD
6.85000000
0.000000766893
Long
ABS-APCP
USGSE
US
N
2
2024-07-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36204LX30
1948.13000000
PA
USD
1954.92000000
0.000218863605
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31392UVK7
93625.45000000
PA
USD
94270.81000000
0.010554114442
Long
ABS-APCP
USGSE
US
N
2
2032-03-15
Floating
0.60975000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31395U5B3
241917.07000000
PA
USD
32260.32000000
0.003611712991
Long
ABS-APCP
USGSE
US
N
2
2035-05-15
Floating
6.61025000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371EVW2
4320.79000000
PA
USD
4769.02000000
0.000533916944
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31392RNB3
62046.93000000
PA
USD
63455.01000000
0.007104123084
Long
ABS-APCP
USGSE
US
N
2
2032-02-15
Floating
1.10975000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31397QSU3
342716.10000000
PA
USD
358736.40000000
0.040162432255
Long
ABS-APCP
USGSE
US
N
2
2040-04-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140X5U76
6993535.70000000
PA
USD
7472481.21000000
0.836583687575
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31410TM69
2738.98000000
PA
USD
2748.06000000
0.000307659812
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA
95001GAG8
9261347.37000000
PA
USD
422360.04000000
0.047285434358
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.87506100
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31283H3D5
258538.17000000
PA
USD
287396.58000000
0.032175563100
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31397T4E9
36881.38000000
PA
USD
5560.08000000
0.000622480284
Long
ABS-APCP
USGSE
US
N
2
2038-04-15
Floating
5.89025000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371M5N3
154082.11000000
PA
USD
177480.67000000
0.019869897188
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A1
07387AAB1
955725.33000000
PA
USD
958862.79000000
0.107349747184
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
2.89357000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371MLC9
108596.66000000
PA
USD
124969.53000000
0.013990998077
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36209TJ67
22202.02000000
PA
USD
22292.69000000
0.002495784235
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31411SQV1
27.75000000
PA
USD
27.78000000
0.000003110117
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140L85E6
8410110.48000000
PA
USD
8769871.96000000
0.981833425562
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31283G7M3
2.68000000
PA
USD
2.69000000
0.000000301159
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
9.00000000
N
N
N
N
N
N
Commonbond Student Loan Trust
549300O1CSZVJJTIR319
Commonbond Student Loan Trust, Series 2018-CGS, Class A1
20267XAA1
1209297.15000000
PA
USD
1239753.90000000
0.138796988604
Long
ABS-O
CORP
US
N
2
2046-02-25
Fixed
3.87000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XCSE6
3060150.40000000
PA
USD
3341746.60000000
0.374126159036
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136ASXP6
402077.52000000
PA
USD
65956.43000000
0.007384170247
Long
ABS-APCP
USGSE
US
N
2
2046-07-25
Fixed
5.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M4AH6
95046.10000000
PA
USD
108647.13000000
0.012163619299
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36208FZZ6
3646.34000000
PA
USD
3659.90000000
0.000409745110
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
7.00000000
N
N
N
N
N
N
U.S. Treasury Bills
254900HROIFWPRGM1V77
U.S. Treasury Bills
912796L80
2652000.00000000
PA
USD
2651839.00000000
0.296887364066
Long
DBT
UST
US
N
2
2022-02-17
None
0.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Long Bonds Future
N/A
14.00000000
NC
USD
-24937.50000000
-0.00279188466
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Long
United States Treasury Note/Bond
U.S. Treasury Bond
2022-03-22
2271062.50000000
USD
-24937.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31405MGF8
6130.24000000
PA
USD
6738.57000000
0.000754418456
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
7.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133AY4D9
6926572.00000000
PA
USD
6926349.93000000
0.775441410026
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 2003-1, Class IO
911760SZ0
13499826.91000000
PA
USD
38404.31000000
0.004299565080
Long
ABS-APCP
USGSE
US
N
2
2032-11-15
Variable
0.11329400
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392AT65
145406.78000000
PA
USD
147906.09000000
0.016558866955
Long
ABS-APCP
USGSE
US
N
2
2031-12-25
Floating
1.10188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138ENSA8
300798.75000000
PA
USD
305273.99000000
0.034177033450
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31412L5X4
27580.88000000
PA
USD
27914.56000000
0.003125182236
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31389UVE6
18472.94000000
PA
USD
20387.39000000
0.002282475850
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
3136A4HF9
166492.17000000
PA
USD
168079.44000000
0.018817379899
Long
ABS-APCP
USGSE
US
N
2
2042-03-25
Floating
0.50188000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
31364JZP1
106655.69000000
PA
USD
13696.20000000
0.001533361835
Long
ABS-APCP
USGSE
US
N
2
2029-04-25
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418XE53
52956.44000000
PA
USD
59937.24000000
0.006710290177
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2019-INV3, Class A2
92537MAD2
1955301.08000000
PA
USD
1996693.04000000
0.223540318057
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.94700000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140KEMQ8
8739120.41000000
PA
USD
8981907.42000000
1.005571913761
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617MKMA4
3231408.40000000
PA
USD
3432574.56000000
0.384294828261
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138AWEM1
1582065.08000000
PA
USD
1750608.31000000
0.195989834476
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31411NYT8
3.89000000
PA
USD
3.89000000
0.000000435506
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137AAGA5
469304.96000000
PA
USD
477542.29000000
0.053463378322
Long
ABS-APCP
USGSE
US
N
2
2040-05-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36208HVK9
2300.82000000
PA
USD
2541.61000000
0.000284546646
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
31364HVU8
44848.95000000
PA
USD
1522.11000000
0.000170408243
Long
ABS-APCP
USGSE
US
N
2
2023-05-25
Fixed
7.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31286N7M5
77876.90000000
PA
USD
85628.29000000
0.009586538740
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31390ABQ2
11568.42000000
PA
USD
12843.51000000
0.001437898691
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31384WAH3
9872.88000000
PA
USD
10738.48000000
0.001202229479
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
9.50000000
N
N
N
N
N
N
Norinchukin Bank
549300KQZJBM38M51L16
Norinchukin Bank
65602YSP6
25000000.00000000
PA
USD
25001389.00000000
2.799037376787
Long
DBT
CORP
US
N
2
2022-06-16
Floating
0.26947400
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392CE67
67172.90000000
PA
USD
68709.75000000
0.007692418945
Long
ABS-APCP
USGSE
US
N
2
2032-04-25
Floating
1.10188000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
3136AR6E3
391090.26000000
PA
USD
395818.78000000
0.044314000300
Long
ABS-APCP
USGSE
US
N
2
2046-06-25
Floating
0.60188000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
3617LEZF4
3031939.03000000
PA
USD
3153447.62000000
0.353045094979
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36207VWA0
207.99000000
PA
USD
225.79000000
0.000025278381
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36210QZJ4
5476.34000000
PA
USD
6028.16000000
0.000674884309
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31378CTK8
756.56000000
PA
USD
835.40000000
0.000093527436
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138WEC56
1840300.05000000
PA
USD
2020875.96000000
0.226247723512
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335ALZ9
4391319.15000000
PA
USD
4835774.88000000
0.541390505737
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31395DUN7
34555.04000000
PA
USD
52216.23000000
0.005845882380
Long
ABS-APCP
USGSE
US
N
2
2036-06-25
Floating
23.82644000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371HHT8
13710.21000000
PA
USD
15278.67000000
0.001710527698
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371LM48
617.31000000
PA
USD
700.37000000
0.000078410115
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138EP5G5
48446.73000000
PA
USD
49710.76000000
0.005565381798
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FCHX7
283323.70000000
PA
USD
47761.24000000
0.005347122750
Long
ABS-APCP
USGSE
US
N
2
2034-04-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136ACAP6
2588040.22000000
PA
USD
143403.57000000
0.016054786091
Long
ABS-APCP
USGSE
US
N
2
2028-02-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405UAS8
11897.79000000
PA
USD
13045.43000000
0.001460504701
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392EF88
112621.80000000
PA
USD
115229.17000000
0.012900513396
Long
ABS-APCP
USGSE
US
N
2
2032-07-25
Floating
1.10188000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36203LXA5
2511.51000000
PA
USD
2533.50000000
0.000283638688
Long
ABS-MBS
USGA
US
N
2
2023-06-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GM79
787906.92000000
PA
USD
815537.00000000
0.091303668974
Long
ABS-APCP
USGA
US
N
2
2041-09-20
Floating
1.92037000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M7S49
88567.50000000
PA
USD
101083.68000000
0.011316851175
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
8.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31383EAP6
1042.42000000
PA
USD
1127.81000000
0.000126264278
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31392R6E6
88067.75000000
PA
USD
90058.22000000
0.010082492771
Long
ABS-APCP
USGSE
US
N
2
2032-03-15
Floating
1.10975000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31296LLP4
23932.50000000
PA
USD
26425.34000000
0.002958456202
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133TRLY9
442188.50000000
PA
USD
487068.24000000
0.054529858673
Long
ABS-APCP
USGSE
US
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405X2U6
3610.54000000
PA
USD
3958.36000000
0.000443159281
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2019-INV2, Class A15
46651DAR7
235805.66000000
PA
USD
238330.15000000
0.026682317445
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209FEU9
71.86000000
PA
USD
78.93000000
0.000008836629
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QFBD0
7573068.72000000
PA
USD
7757569.20000000
0.868500791848
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Ctfs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Ctfs.
3137FHQ30
251827410.03000000
PA
USD
1693917.07000000
0.189642951121
Long
ABS-APCP
USGSE
US
N
2
2024-03-25
Variable
1.90613000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133TDBK1
163210.88000000
PA
USD
181052.18000000
0.020269746571
Long
ABS-APCP
USGSE
US
N
2
2028-03-15
Fixed
6.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31385XNR4
1056.08000000
PA
USD
1193.40000000
0.000133607424
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Ctfs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Ctfs., Series K735, Class X1
3137FMU83
15826676.49000000
PA
USD
585520.56000000
0.065552115217
Long
ABS-APCP
USGSE
US
N
2
2026-05-25
Variable
1.10250000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138ERBU3
84772.59000000
PA
USD
87444.84000000
0.009789911095
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380HHZ8
886880.68000000
PA
USD
129007.61000000
0.014443082433
Long
ABS-APCP
USGA
US
N
2
2047-09-16
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371HHS0
608.17000000
PA
USD
680.30000000
0.000076163173
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133B1ST9
3000000.00000000
PA
USD
2998880.97000000
0.335740543198
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31385JK49
96416.37000000
PA
USD
109922.23000000
0.012306373470
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WQG6
1401914.50000000
PA
USD
1579647.12000000
0.176849827464
Long
ABS-APCP
USGA
US
N
2
2033-11-20
Variable
7.12928000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36291FWL8
1094.05000000
PA
USD
1251.52000000
0.000140114265
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36204M3T4
194.87000000
PA
USD
196.92000000
0.000022046232
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405VDZ7
1559.06000000
PA
USD
1710.56000000
0.000191506214
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
BENCHMARK Mortgage Trust, Series 2018-B1, Class XA
08162PAY7
17444192.03000000
PA
USD
429027.69000000
0.048031912946
Long
ABS-MBS
CORP
US
N
2
2051-01-15
Variable
0.49721300
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31403JPN0
15473.53000000
PA
USD
17139.56000000
0.001918864150
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.50000000
N
N
N
N
N
N
CHL Mortgage Pass Through Trust
N/A
CHL Mortgage Pass Through Trust, Series 2004-29, Class 1A1
12669GHY0
210712.99000000
PA
USD
207236.94000000
0.023201268573
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
0.64188000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M7S56
120584.99000000
PA
USD
140007.57000000
0.015674585978
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
8.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31403BHS5
19792.74000000
PA
USD
22384.88000000
0.002506105392
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31402DPF1
1048650.34000000
PA
USD
1158019.90000000
0.129646436170
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36208DUE3
446.65000000
PA
USD
448.32000000
0.000050191788
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371MMH7
140197.38000000
PA
USD
162502.54000000
0.018193016527
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138WD4F5
2377376.53000000
PA
USD
2611250.87000000
0.292343308817
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405RAQ9
226993.58000000
PA
USD
258129.32000000
0.028898938963
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3133TENT7
19510.43000000
PA
USD
976.02000000
0.000109270587
Long
ABS-APCP
USGSE
US
N
2
2028-07-17
Floating
8.59137000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138EGQ31
253754.74000000
PA
USD
269462.40000000
0.030167737050
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36210BBL8
2379.46000000
PA
USD
2619.64000000
0.000293282516
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392F6Z5
234271.50000000
PA
USD
239536.75000000
0.026817402679
Long
ABS-APCP
USGSE
US
N
2
2032-12-18
Floating
1.10388000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31391AKD0
5676.12000000
PA
USD
5694.96000000
0.000637580811
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392EWW6
177589.28000000
PA
USD
27698.01000000
0.003100938321
Long
ABS-APCP
USGSE
US
N
2
2032-08-25
Floating
6.89812000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371GVE7
525.37000000
PA
USD
582.96000000
0.000065265447
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136AXQT5
321541.41000000
PA
USD
39469.88000000
0.004418861263
Long
ABS-APCP
USGSE
US
N
2
2047-08-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31283GY84
668.53000000
PA
USD
676.10000000
0.000075692961
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
3136AXEG6
7536211.20000000
PA
USD
7710204.23000000
0.863198033614
Long
ABS-APCP
USGSE
US
N
2
2045-07-25
Fixed
3.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates Trust
N/A
WAMU Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Class A7
92922FEB0
162710.78000000
PA
USD
164806.80000000
0.018450990588
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
2.49279000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FAXP0
392935.56000000
PA
USD
64924.68000000
0.007268660393
Long
ABS-APCP
USGSE
US
N
2
2033-02-25
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209MGF5
16183.45000000
PA
USD
17560.65000000
0.001966007397
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36210A5W3
146.30000000
PA
USD
161.05000000
0.000018030397
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31387V3B3
62.15000000
PA
USD
69.86000000
0.000007821195
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31394EGR3
4354.47000000
PA
USD
81.85000000
0.000009163539
Long
ABS-APCP
USGSE
US
N
2
2031-10-25
Fixed
0.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31374GBJ5
20853.99000000
PA
USD
23022.27000000
0.002577464565
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36200WP21
457.70000000
PA
USD
504.19000000
0.000056446730
Long
ABS-MBS
USGA
US
N
2
2034-03-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31411YXF5
13701.51000000
PA
USD
15678.45000000
0.001755285178
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31385HQN5
343836.80000000
PA
USD
384627.78000000
0.043061108819
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405QPC6
4158.09000000
PA
USD
4694.24000000
0.000525544929
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31397TEH1
1112357.45000000
PA
USD
183691.15000000
0.020565193183
Long
ABS-APCP
USGSE
US
N
2
2038-05-15
Floating
5.96025000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VGZ3
1551236.62000000
PA
USD
221296.78000000
0.024775341825
Long
ABS-APCP
USGA
US
N
2
2041-04-16
Floating
6.54250000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31385JNG9
16028.78000000
PA
USD
17910.94000000
0.002005224210
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31402YFQ2
11358.14000000
PA
USD
12539.25000000
0.001403835179
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136A1QW8
190533.55000000
PA
USD
30055.05000000
0.003364821382
Long
ABS-APCP
USGSE
US
N
2
2041-10-25
Floating
6.44812000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377RQ81
204442.80000000
PA
USD
211479.72000000
0.023676270174
Long
ABS-APCP
USGA
US
N
2
2025-12-16
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140X55Y5
6297238.22000000
PA
USD
6757937.81000000
0.756586784846
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31397QWP9
346319.04000000
PA
USD
370461.70000000
0.041475141439
Long
ABS-APCP
USGSE
US
N
2
2041-03-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36224NDL4
2528.63000000
PA
USD
2537.30000000
0.000284064118
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31384WJ84
1319.20000000
PA
USD
1455.64000000
0.000162966576
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31283HK95
15375.96000000
PA
USD
16042.86000000
0.001796082800
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392EGP9
127487.91000000
PA
USD
25872.77000000
0.002896593076
Long
ABS-APCP
USGSE
US
N
2
2032-09-25
Floating
7.89812000
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS
31325UP42
143899.35000000
PA
USD
7419.63000000
0.000830666715
Long
ABS-APCP
USGSE
US
N
2
2027-12-15
Variable
3.27014200
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31382NGZ9
19710.92000000
PA
USD
21769.04000000
0.002437158856
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31380EJH8
5804.35000000
PA
USD
6409.85000000
0.000717616518
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31404JWD3
10311.15000000
PA
USD
11310.17000000
0.001266233190
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31403DLW7
317250.08000000
PA
USD
364342.86000000
0.040790105025
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
7.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA
61691NAF2
6686757.86000000
PA
USD
254573.56000000
0.028500852875
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.77916200
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335PMW2
696148.13000000
PA
USD
764597.61000000
0.085600735566
Long
ABS-MBS
USGSE
US
N
2
2038-10-17
Fixed
5.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371GN63
5164.75000000
PA
USD
5703.96000000
0.000638588409
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KH5S1
8569048.32000000
PA
USD
9164025.37000000
1.025960978906
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138ENSC4
2783.91000000
PA
USD
2790.18000000
0.000312375368
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31414GS34
3440.57000000
PA
USD
3904.06000000
0.000437080110
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31398NPF5
685801.75000000
PA
USD
689386.37000000
0.077180440521
Long
ABS-APCP
USGSE
US
N
2
2039-01-25
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31419AKZ9
401016.67000000
PA
USD
432601.32000000
0.048431999675
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36207YPK0
670.75000000
PA
USD
673.24000000
0.000075372769
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418TZ67
45777.30000000
PA
USD
50434.93000000
0.005646456449
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209BE20
1048.16000000
PA
USD
1156.26000000
0.000129449406
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31370SEX9
2032.47000000
PA
USD
2257.96000000
0.000252790532
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31394CXB3
1069136.55000000
PA
USD
159444.29000000
0.017850629308
Long
ABS-APCP
USGSE
US
N
2
2035-03-25
Floating
5.94812000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31393JAZ1
98962.36000000
PA
USD
99885.62000000
0.011182722039
Long
ABS-APCP
USGSE
US
N
2
2033-01-15
Floating
0.50975000
N
N
N
N
N
N
Chase Mortgage Finance Corp.
N/A
Chase Mortgage Finance Corp., Series 2016-SH1, Class M3
16163YAD6
1680570.24000000
PA
USD
1693407.95000000
0.189585952452
Long
ABS-MBS
CORP
US
N
2
2045-04-25
Variable
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36210SFZ6
3338.69000000
PA
USD
3668.75000000
0.000410735914
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31393VKX8
609465.91000000
PA
USD
641322.33000000
0.071799417713
Long
ABS-APCP
USGSE
US
N
2
2032-05-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QCT22
4570438.82000000
PA
USD
4826078.96000000
0.540304996349
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31293MJF0
32964.52000000
PA
USD
36396.04000000
0.004074728661
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Notes Future
N/A
-81.00000000
NC
USD
10125.00000000
0.001133547157
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Short
United States Treasury Note/Bond
U.S. Treasury Notes
2022-03-31
17682046.96000000
USD
10125.00000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209XTH3
3370.92000000
PA
USD
3699.25000000
0.000414150550
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31392RT84
74974.86000000
PA
USD
10996.14000000
0.001231075875
Long
ABS-APCP
USGSE
US
N
2
2029-09-15
Floating
7.99025000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Trust
N/A
WaMu Mortgage Pass-Through Trust, Series 2007-HY2, Class 2A1
92926UAC5
50199.45000000
PA
USD
47584.11000000
0.005327292112
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
2.80905000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31382D6W9
672.61000000
PA
USD
725.11000000
0.000081179889
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31411UGM7
13411.51000000
PA
USD
15326.89000000
0.001715926182
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
Onslow Bay Mortgage Loan Trust
N/A
Onslow Bay Mortgage Loan Trust, Series 2021-NQM4, Class A1
67115DAA0
7758812.37000000
PA
USD
7736917.00000000
0.866188669121
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Variable
1.95700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31416B4J4
21232.30000000
PA
USD
24646.41000000
0.002759295605
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31406AWK4
9479.60000000
PA
USD
10506.77000000
0.001176288322
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31393BGX7
244873.79000000
PA
USD
57795.80000000
0.006470544673
Long
ABS-APCP
USGSE
US
N
2
2033-05-25
Floating
8.14812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31419AP68
4970.91000000
PA
USD
4989.39000000
0.000558588528
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31404EGK6
13529.33000000
PA
USD
14941.14000000
0.001672739435
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS
31282YCU1
282558.03000000
PA
USD
45716.20000000
0.005118169735
Long
ABS-APCP
USGSE
US
N
2
2029-09-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31415QNN2
189.49000000
PA
USD
208.62000000
0.000023356109
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3137APRH5
165962.79000000
PA
USD
6487.95000000
0.000726360225
Long
ABS-APCP
USGSE
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133A0BR4
1693460.71000000
PA
USD
1868604.83000000
0.209200167303
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Structured Pass-Through Ctfs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Ctfs.
31393LFK4
1361624.66000000
PA
USD
1598548.44000000
0.178965929939
Long
ABS-APCP
USGSE
US
N
2
2043-02-25
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS, IO
31282YC80
505659.50000000
PA
USD
109431.65000000
0.012251450451
Long
ABS-APCP
USGSE
US
N
2
2031-06-15
Fixed
8.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405SXH2
48428.46000000
PA
USD
54853.53000000
0.006141142026
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Capital Trust
N/A
Credit Suisse Mortgage Capital Trust, Series 2013-7, Class B1
12647PAR9
1740422.49000000
PA
USD
1755876.40000000
0.196579624940
Long
ABS-MBS
CORP
US
N
2
2043-08-25
Variable
3.52915600
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31370UM56
19240.12000000
PA
USD
21233.52000000
0.002377204567
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140EU6V6
12052604.48000000
PA
USD
12989718.46000000
1.454267500237
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS
31282YCE7
37971.01000000
PA
USD
4817.70000000
0.000539366927
Long
ABS-APCP
USGSE
US
N
2
2028-02-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36295PTS1
361790.26000000
PA
USD
388796.44000000
0.043527812295
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS
31282YW70
103326.37000000
PA
USD
15205.34000000
0.001702318018
Long
ABS-APCP
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31292GNA0
4209.89000000
PA
USD
4518.92000000
0.000505916930
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
9.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31298LML0
30021.78000000
PA
USD
33141.15000000
0.003710326556
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31293TWX1
1698.20000000
PA
USD
1895.76000000
0.000212240331
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36208QRS7
55840.38000000
PA
USD
57514.15000000
0.006439012470
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KGGA0
842662.04000000
PA
USD
900501.38000000
0.100815879488
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31410KQD9
371541.17000000
PA
USD
414450.57000000
0.046399927470
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36203F3L7
699.62000000
PA
USD
706.25000000
0.000079068412
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133TNPR9
72001.42000000
PA
USD
84187.66000000
0.009425252613
Long
ABS-APCP
USGSE
US
N
2
2030-03-15
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36224VAA3
59.95000000
PA
USD
60.34000000
0.000006755381
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31412MPQ5
867.37000000
PA
USD
955.44000000
0.000106966547
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31393G5Y6
11959.97000000
PA
USD
12171.61000000
0.001362675942
Long
ABS-APCP
USGSE
US
N
2
2032-12-15
Floating
0.70975000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
3136A0ML8
563.39000000
PA
USD
569.72000000
0.000063783159
Long
ABS-APCP
USGSE
US
N
2
2026-08-25
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36208YJ75
2333.99000000
PA
USD
2343.51000000
0.000262368306
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31412MXD5
508.26000000
PA
USD
560.06000000
0.000062701671
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31339W2H8
30894.80000000
PA
USD
35596.24000000
0.003985186832
Long
ABS-APCP
USGSE
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A4
17307GLB2
65132.66000000
PA
USD
64027.20000000
0.007168182773
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
1.85203600
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31411J3H7
9956.77000000
PA
USD
11376.45000000
0.001273653586
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
GMACM Mortgage Loan Trust
N/A
GMACM Mortgage Loan Trust, Series 2005-AR3, Class 2A1
36185N6Z8
685165.77000000
PA
USD
697689.92000000
0.078110066744
Long
ABS-MBS
CORP
US
N
2
2035-06-19
Variable
2.95920500
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31395D7F0
111182.13000000
PA
USD
172461.02000000
0.019307920892
Long
ABS-APCP
USGSE
US
N
2
2036-06-25
Floating
23.82563600
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617MKLS6
10246231.65000000
PA
USD
10778578.71000000
1.206718741824
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31359UB53
27068.96000000
PA
USD
30365.29000000
0.003399554387
Long
ABS-APCP
USGSE
US
N
2
2028-10-25
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378CE94
954114.40000000
PA
USD
1045364.18000000
0.117034034076
Long
ABS-APCP
USGA
US
N
2
2041-07-20
Variable
4.51192000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405WVG7
6562.92000000
PA
USD
7428.97000000
0.000831712378
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
Luminent Mortgage Trust
N/A
Luminent Mortgage Trust, Series 2006-1, Class A1
550279AM5
33813.47000000
PA
USD
30889.71000000
0.003458265972
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.82188000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QSYT9
3351605.84000000
PA
USD
3598092.52000000
0.402825436963
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
N/A
Citigroup Mortgage Loan Trust, Inc., Series 2005-11, Class A2A
17307GW79
609401.56000000
PA
USD
621901.73000000
0.069625179103
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.47000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140J9WH0
9515636.00000000
PA
USD
10390785.14000000
1.163303206114
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31404G2G5
301667.86000000
PA
USD
334506.05000000
0.037449716762
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust, Series 2019-1, Class C
12510GAD4
340000.00000000
PA
USD
347004.75000000
0.038849012155
Long
ABS-O
CORP
US
N
2
2026-09-14
Fixed
3.57000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3133KHFY7
4669171.60000000
PA
USD
4867590.99000000
0.544952487076
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31409EGT2
55836.54000000
PA
USD
63643.61000000
0.007125237849
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371HNN4
1594.98000000
PA
USD
1772.90000000
0.000198485506
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31334XD97
1963725.64000000
PA
USD
2100913.63000000
0.235208362854
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392ERQ5
149918.11000000
PA
USD
31912.15000000
0.003572733523
Long
ABS-APCP
USGSE
US
N
2
2032-07-25
Floating
7.89812000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371LWT2
18260.64000000
PA
USD
20778.51000000
0.002326263797
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31413GGA2
304.96000000
PA
USD
314.30000000
0.000035187542
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31402RDK2
10045.91000000
PA
USD
11449.80000000
0.001281865505
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
7.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31292GZZ2
23941.09000000
PA
USD
26758.14000000
0.002995714917
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FA2H2
133786.03000000
PA
USD
23283.67000000
0.002606729674
Long
ABS-APCP
USGSE
US
N
2
2033-10-25
Variable
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31283GLF2
1.18000000
PA
USD
1.18000000
0.000000132107
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31394DR28
1006834.58000000
PA
USD
1013288.39000000
0.113442980191
Long
ABS-APCP
USGSE
US
N
2
2035-06-25
Floating
0.44188000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36205NJP2
983.47000000
PA
USD
1086.55000000
0.000121645003
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31415V3K9
657.52000000
PA
USD
728.53000000
0.000081562776
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36208WEG4
1694.47000000
PA
USD
1845.70000000
0.000206635850
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31406UHF8
1306.63000000
PA
USD
1438.42000000
0.000161038706
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, Series 2021-11, Class MI, IO
3136BFCF8
6820303.74000000
PA
USD
942279.52000000
0.105493162634
Long
ABS-APCP
USGSE
US
N
2
2051-03-25
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36290RRG0
212.87000000
PA
USD
242.76000000
0.000027178262
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36290REU3
528.14000000
PA
USD
580.84000000
0.000065028101
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133TT4B4
614420.25000000
PA
USD
682713.74000000
0.076433404396
Long
ABS-APCP
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association, Series 2020-137, Class A
38380P4N1
8738804.45000000
PA
USD
8548237.34000000
0.957020260766
Long
ABS-APCP
USGA
US
N
2
2062-04-16
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209HDN2
2524.81000000
PA
USD
2771.04000000
0.000310232544
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405WDP7
21672.92000000
PA
USD
24642.23000000
0.002758827632
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31403DQG7
405353.22000000
PA
USD
457466.16000000
0.051215749671
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371G7E4
41971.29000000
PA
USD
46710.56000000
0.005229493582
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.50000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust, Series 2017-C5, Class XA
90276TAH7
12744010.32000000
PA
USD
515421.30000000
0.057704133298
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
0.98553200
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36209ASX9
3142.94000000
PA
USD
3383.86000000
0.000378840976
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209ER87
36855.14000000
PA
USD
38332.39000000
0.004291513257
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Future
N/A
-60.00000000
NC
USD
-107968.75000000
-0.01208767107
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Short
United States Treasury Note/Bond
U.S. Treasury Notes
2022-03-22
8678281.25000000
USD
-107968.75000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140EX5Y5
1417936.63000000
PA
USD
1510076.22000000
0.169060998234
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31398KDY3
179039.28000000
PA
USD
182384.70000000
0.020418929214
Long
ABS-APCP
USGSE
US
N
2
2024-10-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140XDTX4
5161637.30000000
PA
USD
5299213.41000000
0.593274893733
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Uniform Mortgage-Backed Securities
N/A
Uniform Mortgage-Backed Securities, TBA
01F012411
17200000.00000000
PA
USD
17247371.38000000
1.930934203053
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202X4F1
90216.06000000
PA
USD
103298.68000000
0.011564832109
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31414CK72
3522.40000000
PA
USD
3896.97000000
0.000436286347
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405V4M6
756.46000000
PA
USD
850.83000000
0.000095254906
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140K9ND7
7662191.64000000
PA
USD
8051084.80000000
0.901361411515
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31403DA33
629993.70000000
PA
USD
702318.21000000
0.078628228223
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31379PZT2
5689.38000000
PA
USD
6262.97000000
0.000701172527
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36211C4C3
38294.32000000
PA
USD
41997.64000000
0.004701857328
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36207KBG4
56.62000000
PA
USD
62.19000000
0.000006962498
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335PM36
1141386.87000000
PA
USD
1266865.71000000
0.141832298743
Long
ABS-MBS
USGSE
US
N
2
2038-11-25
Fixed
5.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405V6H5
68462.94000000
PA
USD
75194.40000000
0.008418409718
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2018-BIOA, Class C
056057AJ1
6291319.38000000
PA
USD
6279530.08000000
0.703026515950
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
1.23105000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137AEH57
210166.64000000
PA
USD
225916.61000000
0.025292556162
Long
ABS-APCP
USGSE
US
N
2
2038-06-15
Fixed
4.00000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust, Series 2007-7, Class A4
36249BAD2
33811.47000000
PA
USD
33712.28000000
0.003774267572
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.64188000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31374T2L2
2882.31000000
PA
USD
3192.33000000
0.000357398182
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31417GAT3
1265079.85000000
PA
USD
1337094.89000000
0.149694825892
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140E0EK7
1625670.37000000
PA
USD
1719680.47000000
0.192527299649
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36201U4B7
521.46000000
PA
USD
597.19000000
0.000066858570
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31413YRR4
146.24000000
PA
USD
169.43000000
0.000018968582
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36210SFX1
1898.17000000
PA
USD
2089.65000000
0.000233947340
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3128MCC60
39479.03000000
PA
USD
40069.06000000
0.004485942624
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31410GYN7
291645.52000000
PA
USD
328973.88000000
0.036830361149
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31394EGT9
367845.66000000
PA
USD
55020.51000000
0.006159836318
Long
ABS-APCP
USGSE
US
N
2
2031-10-25
Floating
6.59812000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Ctfs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Ctfs.
3137BM7D2
58955994.18000000
PA
USD
999416.12000000
0.111889906390
Long
ABS-APCP
USGSE
US
N
2
2025-09-25
Variable
0.52226700
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Notes Future
N/A
-437.00000000
NC
USD
-203836.14000000
-0.02282053107
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Short
United States Treasury Note/Bond
U.S. Treasury Notes
2022-03-31
52662921.89000000
USD
-203836.14000000
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31397BZ79
506060.40000000
PA
USD
514702.49000000
0.057623658726
Long
ABS-APCP
USGSE
US
N
2
2036-10-15
Floating
0.65975000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class XA
17321RAF3
5020712.25000000
PA
USD
75330.26000000
0.008433619961
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
1.00378200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31368HKY8
70640.06000000
PA
USD
79033.20000000
0.008848183627
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138X3XR8
7779417.62000000
PA
USD
8557066.88000000
0.958008774344
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392DW40
110382.30000000
PA
USD
23504.14000000
0.002631412453
Long
ABS-APCP
USGSE
US
N
2
2032-07-25
Floating
7.89812000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31398SRE5
818025.00000000
PA
USD
839502.57000000
0.093986740950
Long
ABS-APCP
USGSE
US
N
2
2025-12-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138AUFS1
1557160.08000000
PA
USD
1710601.59000000
0.191510871144
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36291FVT2
669.50000000
PA
USD
736.65000000
0.000082471853
Long
ABS-MBS
USGA
US
N
2
2034-03-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31397PM49
20827.97000000
PA
USD
4162.40000000
0.000466002635
Long
ABS-APCP
USGSE
US
N
2
2037-12-15
Floating
6.89025000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31394DQF0
429987.38000000
PA
USD
71359.76000000
0.007989101543
Long
ABS-APCP
USGSE
US
N
2
2035-05-25
Floating
6.59812000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36224PRH3
225.45000000
PA
USD
227.30000000
0.000025447433
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31359QJV7
230244.06000000
PA
USD
30091.95000000
0.003368952532
Long
ABS-APCP
USGSE
US
N
2
2027-09-18
Fixed
8.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138XPWS8
1315049.81000000
PA
USD
1388852.40000000
0.155489352149
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140M0BG0
9361840.14000000
PA
USD
9569693.68000000
1.071377686044
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36208X3S8
13802.73000000
PA
USD
15161.57000000
0.001697417736
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31389STY0
37133.36000000
PA
USD
40973.00000000
0.004587143475
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31394AZZ2
718562.56000000
PA
USD
728304.26000000
0.081537503592
Long
ABS-APCP
USGSE
US
N
2
2034-09-25
Floating
0.60188000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36208XVH1
3738.97000000
PA
USD
4102.59000000
0.000459306590
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS
3128CVRE6
70574.75000000
PA
USD
65820.57000000
0.007368960004
Long
ABS-APCP
USGSE
US
N
2
2031-12-01
None
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
Federal National Mortgage Association
01F030611
10000000.00000000
PA
USD
10360413.90000000
1.159902985593
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31297BTP7
34130.31000000
PA
USD
36870.95000000
0.004127897340
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31412XFC3
28973.03000000
PA
USD
32759.90000000
0.003667643608
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209FBN8
15400.09000000
PA
USD
17022.50000000
0.001905758665
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31390MJW5
62693.71000000
PA
USD
65609.07000000
0.007345281463
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31419BPA7
192207.03000000
PA
USD
199862.08000000
0.022375614095
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31415VNS0
1500.70000000
PA
USD
1701.72000000
0.000190516530
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31403BZH9
28558.24000000
PA
USD
32367.52000000
0.003623714597
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31410FV77
464091.75000000
PA
USD
526604.63000000
0.058956166081
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36209THA0
5169.13000000
PA
USD
5189.91000000
0.000581037800
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2017-5, Class A1
46590YAA2
1093121.10000000
PA
USD
1119994.61000000
0.125389304377
Long
ABS-MBS
CORP
US
N
2
2048-10-26
Variable
3.06321500
N
N
N
N
N
N
SGR Residential Mortgage Trust
N/A
SGR Residential Mortgage Trust, Series 2021-2, Class A1
78432YAA7
8449100.14000000
PA
USD
8390953.43000000
0.939411497395
Long
ABS-MBS
CORP
US
N
2
2061-12-25
Variable
1.73700000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M66Y9
733843.05000000
PA
USD
830415.40000000
0.092969384335
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3133TEPR9
54064.39000000
PA
USD
3810.82000000
0.000426641400
Long
ABS-APCP
USGSE
US
N
2
2028-07-17
Floating
8.59137000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371HLU0
2280.71000000
PA
USD
2553.49000000
0.000285876674
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31293RTY7
4442.85000000
PA
USD
4905.61000000
0.000549208915
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31391RHT2
6889.35000000
PA
USD
7559.85000000
0.000846365084
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36194M3Q2
2065531.79000000
PA
USD
2172108.67000000
0.243179023124
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140X5FH1
9655723.20000000
PA
USD
10121540.78000000
1.133159879793
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31283HV85
13301.65000000
PA
USD
14694.19000000
0.001645092079
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31394JMS3
77156.49000000
PA
USD
79008.34000000
0.008845400419
Long
ABS-APCP
USGSE
US
N
2
2023-09-15
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31383HYG3
17141.10000000
PA
USD
17548.69000000
0.001964668411
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
7.00000000
N
N
N
N
N
N
Chase Mortgage Finance Trust
N/A
Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1
16163LAD4
277248.84000000
PA
USD
281873.99000000
0.031557280019
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
2.35972500
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31382WW57
10323.89000000
PA
USD
10738.48000000
0.001202229479
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31359XCD9
118830.50000000
PA
USD
132447.31000000
0.014828174992
Long
ABS-APCP
USGSE
US
N
2
2029-11-25
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36290WG55
48474.91000000
PA
USD
55185.27000000
0.006178282069
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335PMX0
525818.84000000
PA
USD
583676.37000000
0.065345648418
Long
ABS-MBS
USGSE
US
N
2
2039-01-20
Fixed
5.80000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FAXK1
420630.00000000
PA
USD
64692.89000000
0.007242710279
Long
ABS-APCP
USGSE
US
N
2
2033-02-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36210BEC5
1279.60000000
PA
USD
1408.73000000
0.000157714754
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31383LTC9
17440.98000000
PA
USD
19248.78000000
0.002155002455
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GTZ75
2785940.04000000
PA
USD
3061780.67000000
0.342782496398
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136A5AX4
76300.55000000
PA
USD
6996.46000000
0.000783290602
Long
ABS-APCP
USGSE
US
N
2
2041-04-25
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140F5PA5
1043670.45000000
PA
USD
1129879.46000000
0.126495965476
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133T5UZ4
80321.21000000
PA
USD
83686.42000000
0.009369136151
Long
ABS-APCP
USGSE
US
N
2
2024-10-17
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133THTM9
94508.48000000
PA
USD
105016.48000000
0.011757148880
Long
ABS-APCP
USGSE
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes Trust, Series 2018-SFR3, Class B
46187VAC3
1250940.80000000
PA
USD
1251617.06000000
0.140125131942
Long
ABS-MBS
CORP
US
N
2
2037-07-17
Floating
1.25900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31413E2B0
678.65000000
PA
USD
681.03000000
0.000076244900
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
6.00000000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust, Series 2019-1, Class B
12510GAC6
1400000.00000000
PA
USD
1424380.44000000
0.159466903631
Long
ABS-O
CORP
US
N
2
2026-09-14
Fixed
3.22000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31411N4J3
8.36000000
PA
USD
8.36000000
0.000000935946
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31395XLV5
28665.30000000
PA
USD
45228.25000000
0.005063541159
Long
ABS-APCP
USGSE
US
N
2
2035-08-15
Floating
24.34757300
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MMUL5
1451553.31000000
PA
USD
1504189.55000000
0.168401954476
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209NAT9
3912.11000000
PA
USD
4324.42000000
0.000484141629
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31403C7D7
1056118.41000000
PA
USD
1199994.54000000
0.134345718527
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31410FV85
167614.63000000
PA
USD
188914.68000000
0.021149994920
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31359QNY6
24772.69000000
PA
USD
3248.78000000
0.000363718057
Long
ABS-APCP
USGSE
US
N
2
2027-08-18
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31335H5M1
9952.58000000
PA
USD
10935.93000000
0.001224335048
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association, TBA
21H020618
30284000.00000000
PA
USD
30559777.91000000
3.421328334854
Long
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31379HCB4
680.12000000
PA
USD
750.41000000
0.000084012357
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31412TVH3
26144.43000000
PA
USD
29839.21000000
0.003340656956
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31415TSZ4
537.86000000
PA
USD
607.48000000
0.000068010590
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Grantor Trust
N/A
Fannie Mae Grantor Trust
31359VYH0
142689.27000000
PA
USD
152604.38000000
0.017084865304
Long
ABS-APCP
USGSE
US
N
2
2039-01-19
Variable
7.49999000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374CW64
78266.82000000
PA
USD
79557.41000000
0.008906871701
Long
ABS-APCP
USGA
US
N
2
2033-07-17
Fixed
4.77122700
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137A8QF8
11.42000000
PA
USD
11.46000000
0.000001283007
Long
ABS-APCP
USGSE
US
N
2
2026-04-15
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36209JEL1
31120.89000000
PA
USD
32079.10000000
0.003591424457
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138EQKK7
3658410.25000000
PA
USD
3924324.07000000
0.439348779804
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GRHJ3
1011540.61000000
PA
USD
1108600.46000000
0.124113669183
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
Federal National Mortgage Association
01F022618
112675000.00000000
PA
USD
114964254.03000000
12.87085465629
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405QS90
2314.76000000
PA
USD
2632.06000000
0.000294673000
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202XEG8
558.37000000
PA
USD
639.37000000
0.000071580844
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31386TWY7
2094.59000000
PA
USD
2122.73000000
0.000237650820
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31411JLM6
160.09000000
PA
USD
159.91000000
0.000017902767
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31416VN42
2178.17000000
PA
USD
2180.19000000
0.000244083770
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31397S6Z2
17386.71000000
PA
USD
17390.84000000
0.001946996271
Long
ABS-APCP
USGSE
US
N
2
2040-12-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138ETA97
189588.94000000
PA
USD
196800.26000000
0.022032827196
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138E4MG3
1418688.87000000
PA
USD
1557904.41000000
0.174415616390
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36205EK21
195.00000000
PA
USD
197.44000000
0.000022104449
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.00000000
N
N
N
N
N
N
Toronto-Dominion Bank (The)
N/A
Toronto-Dominion Bank (The)
89120DTW9
25000000.00000000
PA
USD
25003286.25000000
2.799249783932
Long
DBT
CORP
CA
N
2
2022-11-15
Floating
0.24000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36209W3E0
862.69000000
PA
USD
866.11000000
0.000096965583
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31384VPW6
184.97000000
PA
USD
204.09000000
0.000022848952
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36208QSB3
159.66000000
PA
USD
175.72000000
0.000019672780
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36210PWH3
2945.62000000
PA
USD
3250.89000000
0.000363954283
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31386NCA4
1745.16000000
PA
USD
1927.18000000
0.000215757966
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
6.50000000
N
N
N
N
N
N
Zaxby's Funding LLC
N/A
Zaxby's Funding LLC, Series 2021-1A, Class A2
98920MAA0
2892750.00000000
PA
USD
2951467.04000000
0.330432303633
Long
ABS-O
CORP
US
N
2
2051-07-30
Fixed
3.23800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G06G3
17000000.00000000
PA
USD
16592788.80000000
1.857650230406
Long
DBT
USGSE
US
N
2
2025-11-07
Fixed
0.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KHDE3
2380617.24000000
PA
USD
2501228.21000000
0.280025691679
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392EHB9
75300.47000000
PA
USD
15239.38000000
0.001706128976
Long
ABS-APCP
USGSE
US
N
2
2032-09-25
Floating
7.89812000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140KDA75
6213353.26000000
PA
USD
6591863.91000000
0.737993935728
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133G8DC2
4464901.46000000
PA
USD
4735653.80000000
0.530181422709
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405U3N7
26198.72000000
PA
USD
29837.06000000
0.003340416252
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Seasoned Loans Structured Transaction
N/A
Freddie Mac Seasoned Loans Structured Transaction, Series 2019-1, Class A2
35564CBC0
2000000.00000000
PA
USD
2118531.20000000
0.237180742745
Long
ABS-O
USGSE
US
N
2
2029-05-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405V4N4
11375.68000000
PA
USD
12505.93000000
0.001400104830
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 2001-3, Class IO
911760RC2
2521819.96000000
PA
USD
2.52000000
0.000000282127
Long
ABS-APCP
USGSE
US
N
2
2031-10-15
Variable
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371HQX9
68249.36000000
PA
USD
76347.45000000
0.008547499747
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3137B93W3
343741.39000000
PA
USD
37533.26000000
0.004202046438
Long
ABS-APCP
USGSE
US
N
2
2044-01-15
Floating
5.99025000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31393F7B6
120919.58000000
PA
USD
121749.52000000
0.013630500972
Long
ABS-APCP
USGSE
US
N
2
2032-02-15
Floating
0.60975000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202SUB2
333.26000000
PA
USD
380.74000000
0.000042625851
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31403DDL0
454.02000000
PA
USD
498.70000000
0.000055832095
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405YVE8
139756.15000000
PA
USD
154436.03000000
0.017289928183
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
313637V80
9586000.00000000
PA
USD
10713279.09000000
1.199408104920
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
3.59000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31415SNB4
138.45000000
PA
USD
152.91000000
0.000017119081
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31382NLT7
92191.10000000
PA
USD
101811.56000000
0.011398341181
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M7SU1
150061.46000000
PA
USD
172240.31000000
0.019283211243
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3137AQBA5
2810683.87000000
PA
USD
168101.10000000
0.018819804850
Long
ABS-APCP
USGSE
US
N
2
2039-02-15
Variable
1.74805400
N
N
N
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust, Series 2021-6, Class A1
85573RAA6
5000000.00000000
PA
USD
4997974.00000000
0.559549552795
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
1.92000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust, Series 2015-SC02, Class 1A
3137G1AK3
312465.88000000
PA
USD
312650.67000000
0.035002891687
Long
ABS-O
USGSE
US
N
2
2045-09-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31380RHF5
39121.30000000
PA
USD
43209.58000000
0.004837540404
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36210JDE5
1114.97000000
PA
USD
1118.97000000
0.000125274593
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
7.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31293LRR7
2981.66000000
PA
USD
3327.93000000
0.000372579317
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
6.50000000
N
N
N
N
N
N
CD Mortgage Trust
N/A
CD Mortgage Trust
125039AG2
7297643.74000000
PA
USD
264722.03000000
0.029637027623
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Variable
0.91774700
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bonds Future
N/A
-7.00000000
NC
USD
-13414.06000000
-0.00150177477
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Short
United States Treasury Note/Bond
U.S. Treasury Bonds
2022-03-22
1366460.94000000
USD
-13414.06000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31405D3R6
4245.29000000
PA
USD
4370.05000000
0.000489250148
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
7.00000000
N
N
N
N
N
N
Galton Funding Mortgage Trust
N/A
Galton Funding Mortgage Trust, Series 2018-1, Class A33
36417JAS8
568541.87000000
PA
USD
571848.05000000
0.064021405602
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Variable
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
313615MW3
2913.94000000
PA
USD
3215.90000000
0.000360036968
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3128LXJQ4
180120.52000000
PA
USD
202047.16000000
0.022620245327
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31379JSQ0
5673.51000000
PA
USD
6327.99000000
0.000708451859
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
6.50000000
N
N
N
N
N
N
Structured Asset Mortgage Investments, II Trust
N/A
Structured Asset Mortgage Investments, II Trust, Series 2005-AR2, Class 2A1
86359LJA8
610834.03000000
PA
USD
593970.31000000
0.066498109300
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Floating
0.56188000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392GDQ5
42464.99000000
PA
USD
41658.36000000
0.004663873143
Long
ABS-APCP
USGSE
US
N
2
2032-09-25
Floating
0.60188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31405D2K2
7497.63000000
PA
USD
8444.00000000
0.000945350340
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31404L5R7
1844.80000000
PA
USD
2033.05000000
0.000227610671
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136A9XT0
450550.24000000
PA
USD
24220.91000000
0.002711658635
Long
ABS-APCP
USGSE
US
N
2
2027-11-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31402DGM6
139333.99000000
PA
USD
157553.63000000
0.017638959948
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36208VSX4
7526.48000000
PA
USD
7554.54000000
0.000845770601
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31335HUG6
22667.71000000
PA
USD
24907.37000000
0.002788511453
Long
ABS-MBS
USGSE
US
N
2
2022-10-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QGHB6
2068441.87000000
PA
USD
2191615.95000000
0.245362966018
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2015-3, Class A3
46644MAS5
873298.90000000
PA
USD
882530.02000000
0.098803890940
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Variable
3.50000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-12, Class 3A6
36242DLF8
261605.10000000
PA
USD
265094.81000000
0.029678762311
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
1.45613000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GZ42
574352.09000000
PA
USD
577815.43000000
0.064689485270
Long
ABS-APCP
USGA
US
N
2
2044-07-20
Floating
0.54925000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3133G7K36
2968375.04000000
PA
USD
3120064.14000000
0.349307638300
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FAA67
165376.58000000
PA
USD
28038.90000000
0.003139102755
Long
ABS-APCP
USGSE
US
N
2
2033-02-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31283HB20
22193.50000000
PA
USD
24515.98000000
0.002744693278
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
6.50000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A2
576433WE2
136961.48000000
PA
USD
139642.53000000
0.015633717825
Long
ABS-MBS
CORP
US
N
2
2034-04-21
Variable
2.62012200
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31384HQQ9
5672.67000000
PA
USD
5736.59000000
0.000642241510
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31397JST2
91714.27000000
PA
USD
92940.01000000
0.010405124362
Long
ABS-APCP
USGSE
US
N
2
2037-07-15
Floating
0.55975000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FAXJ4
413646.90000000
PA
USD
68522.79000000
0.007671487787
Long
ABS-APCP
USGSE
US
N
2
2033-02-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392DCP5
138316.39000000
PA
USD
23035.49000000
0.002578944613
Long
ABS-APCP
USGSE
US
N
2
2032-04-25
Floating
6.89812000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31411UPJ4
10465.48000000
PA
USD
11978.83000000
0.001341093204
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3128MCPZ2
9874.71000000
PA
USD
9959.18000000
0.001114982734
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31390MJR6
12713.02000000
PA
USD
14264.90000000
0.001597030800
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140K3DN9
5661485.88000000
PA
USD
6180649.63000000
0.691956327994
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209DE91
2066.60000000
PA
USD
2268.19000000
0.000253935834
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31412LJ92
7835.82000000
PA
USD
8959.50000000
0.001003063284
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
31364HG27
97031.51000000
PA
USD
4765.47000000
0.000533519503
Long
ABS-APCP
USGSE
US
N
2
2024-01-25
Fixed
7.50000000
N
N
N
N
N
N
Chase Mortgage Finance Trust
N/A
Chase Mortgage Finance Trust, Series 2005-A1, Class 3A1
16162WPJ2
16027.11000000
PA
USD
15446.78000000
0.001729348500
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
2.89703900
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31389VQ26
8317.68000000
PA
USD
9187.17000000
0.001028552142
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31388AKT0
10695.14000000
PA
USD
10787.69000000
0.001207738798
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209VJ70
1260.68000000
PA
USD
1383.43000000
0.000154882285
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
3136A9B31
98232.85000000
PA
USD
99552.14000000
0.011145387194
Long
ABS-APCP
USGSE
US
N
2
2027-11-25
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418MJP8
222945.26000000
PA
USD
262619.87000000
0.029401679723
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31391BEG8
27926.25000000
PA
USD
30963.58000000
0.003466536108
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209BNT1
3961.45000000
PA
USD
3975.71000000
0.000445101705
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36209LD37
7422.65000000
PA
USD
7638.71000000
0.000855193877
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137BHBM8
1271440.82000000
PA
USD
1307124.57000000
0.146339490479
Long
ABS-APCP
USGSE
US
N
2
2038-07-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QCG59
8151268.64000000
PA
USD
8659053.88000000
0.969426756958
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418MJT0
193510.19000000
PA
USD
231250.12000000
0.025889670740
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
8.50000000
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36208YL49
4112.24000000
PA
USD
4128.68000000
0.000462227504
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136AB5N9
442735.97000000
PA
USD
70334.94000000
0.007874367538
Long
ABS-APCP
USGSE
US
N
2
2043-02-25
Fixed
4.50000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86959RVG2
25000000.00000000
PA
USD
24992820.75000000
2.798078116003
Long
DBT
CORP
SE
N
2
2022-11-30
Floating
0.28000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G05X7
4000000.00000000
PA
USD
3892058.76000000
0.435736508155
Long
DBT
USGSE
US
N
2
2025-08-25
Fixed
0.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405VC39
3223.16000000
PA
USD
3538.05000000
0.000396103360
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31339MRQ3
35321.83000000
PA
USD
35635.82000000
0.003989618022
Long
ABS-APCP
USGSE
US
N
2
2029-07-15
Floating
0.75975000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136AYAT0
2193452.70000000
PA
USD
387251.00000000
0.043354792135
Long
ABS-APCP
USGSE
US
N
2
2047-09-25
Floating
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140M1AL8
2990919.87000000
PA
USD
2991774.14000000
0.334944896092
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
36205XC36
578.85000000
PA
USD
660.83000000
0.000073983404
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.50000000
N
N
N
N
N
N
U.S. Treasury Floating Rate Notes
254900HROIFWPRGM1V77
U.S. Treasury Floating Rate Notes
91282CBY6
16000000.00000000
PA
USD
16001659.36000000
1.791470171487
Long
DBT
UST
US
N
2
2023-04-30
Floating
0.11901800
N
N
N
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
36205YBQ4
6943.91000000
PA
USD
7465.83000000
0.000835839049
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31412Q2T5
639008.96000000
PA
USD
707330.74000000
0.079189407396
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31395LMA6
893754.34000000
PA
USD
121784.04000000
0.013634365668
Long
ABS-APCP
USGSE
US
N
2
2035-01-15
Floating
6.59025000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405KRH6
48145.08000000
PA
USD
53930.36000000
0.006037788275
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31390VG32
8355.12000000
PA
USD
8582.82000000
0.000960891971
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31404XRP1
58809.37000000
PA
USD
66642.57000000
0.007460987240
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36210XUH8
8339.35000000
PA
USD
9180.53000000
0.001027808759
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31412LMG2
932.30000000
PA
USD
935.07000000
0.000104686018
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 1999-3, Class IO
911760NG7
5516135.20000000
PA
USD
5.52000000
0.000000617993
Long
ABS-APCP
USGSE
US
N
2
2029-10-15
Variable
0.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M7DF0
288185.81000000
PA
USD
317814.06000000
0.035580960434
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31393FG91
128939.79000000
PA
USD
19776.26000000
0.002214056623
Long
ABS-APCP
USGSE
US
N
2
2029-06-15
Floating
7.99025000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209AEY2
2751.92000000
PA
USD
3020.42000000
0.000338151951
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-CR24, Class XA
12593JBG0
39498556.76000000
PA
USD
926580.84000000
0.103735612600
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
0.75393200
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M7V29
445582.67000000
PA
USD
506031.61000000
0.056652907973
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31412FK51
11699.19000000
PA
USD
12914.75000000
0.001445874385
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31393BZV0
281850.81000000
PA
USD
42957.22000000
0.004809287371
Long
ABS-APCP
USGSE
US
N
2
2033-05-25
Fixed
7.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KKAL3
7694809.56000000
PA
USD
7875589.72000000
0.881713811601
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2005-A1, Class 3A1
466247LP6
516194.97000000
PA
USD
510589.66000000
0.057163205713
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
2.59417800
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405YDX6
24988.72000000
PA
USD
28212.43000000
0.003158530354
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KHQ66
1175508.33000000
PA
USD
1269599.17000000
0.142138324009
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128ME5M9
5010014.56000000
PA
USD
5282658.80000000
0.591421517821
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138A5BX9
1361952.41000000
PA
USD
1542580.42000000
0.172700014878
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3131Y7TD9
1223413.85000000
PA
USD
1302240.07000000
0.145792644939
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31392TMM6
51439.60000000
PA
USD
51875.77000000
0.005807766087
Long
ABS-APCP
USGSE
US
N
2
2032-03-15
Floating
0.65975000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137A3JW0
254623.69000000
PA
USD
264998.64000000
0.029667995572
Long
ABS-APCP
USGSE
US
N
2
2025-11-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31392UKB9
100132.22000000
PA
USD
100816.68000000
0.011286959117
Long
ABS-APCP
USGSE
US
N
2
2032-03-15
Floating
0.60975000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392BJ98
114749.49000000
PA
USD
23504.17000000
0.002631415812
Long
ABS-APCP
USGSE
US
N
2
2032-03-25
Floating
7.99812000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133TG5U9
80683.92000000
PA
USD
89264.86000000
0.009993671934
Long
ABS-APCP
USGSE
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78012UY74
25000000.00000000
PA
USD
24989329.75000000
2.797687280139
Long
DBT
CORP
CA
N
2
2022-11-10
Floating
0.24981100
N
N
N
N
N
N
Fannie Mae Connecticut Avenue Securities
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities, Series 2015-C03, Class 2M2
30711XBD5
239412.67000000
PA
USD
240274.36000000
0.026899982009
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Floating
5.10275000
N
N
N
N
N
N
Freddie Mac STRIPS
S6XOOCT0IEG5ABCC6L87
Freddie Mac STRIPS
3128HVJ75
704710.80000000
PA
USD
714903.71000000
0.080037241334
Long
ABS-APCP
USGSE
US
N
2
2036-05-15
Floating
0.60975000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31382NP48
30812.73000000
PA
USD
34029.34000000
0.003809764112
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31375VVQ3
26642.10000000
PA
USD
29406.83000000
0.003292249734
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FAXH8
273775.03000000
PA
USD
41048.50000000
0.004595596099
Long
ABS-APCP
USGSE
US
N
2
2033-02-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36208VVZ5
4457.02000000
PA
USD
4482.26000000
0.000501812650
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392EHP8
86598.69000000
PA
USD
17791.30000000
0.001991829881
Long
ABS-APCP
USGSE
US
N
2
2032-04-25
Floating
7.99812000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SB89
1696222.46000000
PA
USD
1786250.60000000
0.199980176849
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Ctfs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Ctfs.
3137FLN59
16865798.09000000
PA
USD
390928.96000000
0.043766559158
Long
ABS-APCP
USGSE
US
N
2
2026-02-25
Variable
0.64669300
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3128M6FN3
176760.65000000
PA
USD
200747.36000000
0.022474725861
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31394CKG6
64525.04000000
PA
USD
9880.55000000
0.001106179690
Long
ABS-APCP
USGSE
US
N
2
2035-03-25
Floating
6.64812000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
3136APK43
573970.86000000
PA
USD
577065.71000000
0.064605550161
Long
ABS-APCP
USGSE
US
N
2
2044-05-25
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31394DXZ8
232095.62000000
PA
USD
32392.31000000
0.003626489968
Long
ABS-APCP
USGSE
US
N
2
2035-05-25
Floating
6.49812000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3128LXNJ5
821665.40000000
PA
USD
936953.49000000
0.104896885481
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202XLH8
475.63000000
PA
USD
526.85000000
0.000058983636
Long
ABS-MBS
USGA
US
N
2
2034-01-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405X3Q4
11348.38000000
PA
USD
12587.85000000
0.001409276206
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31371LQC6
77402.75000000
PA
USD
84703.48000000
0.009483001383
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418BQM1
2879742.84000000
PA
USD
3023275.79000000
0.338471671975
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392EJM3
73843.09000000
PA
USD
74415.96000000
0.008331259254
Long
ABS-APCP
USGSE
US
N
2
2032-08-25
Floating
0.60188000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3128K7XS2
165862.95000000
PA
USD
183234.81000000
0.020514103513
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KMVP7
12771276.03000000
PA
USD
13149499.03000000
1.472155777865
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392ATX6
87294.97000000
PA
USD
14241.90000000
0.001594455828
Long
ABS-APCP
USGSE
US
N
2
2031-12-18
Floating
7.79612000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31387KFT5
1269.99000000
PA
USD
1401.81000000
0.000156940023
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3137AXEJ8
440733.10000000
PA
USD
23971.52000000
0.002683738109
Long
ABS-APCP
USGSE
US
N
2
2027-12-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31401NXS3
23049.27000000
PA
USD
25507.73000000
0.002855724922
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3137ARKB1
1052046.67000000
PA
USD
57556.95000000
0.006443804155
Long
ABS-APCP
USGSE
US
N
2
2027-06-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
31339LK33
70350.00000000
PA
USD
71294.73000000
0.007981821091
Long
ABS-APCP
USGSE
US
N
2
2031-12-15
Floating
0.70975000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418M2C5
206239.39000000
PA
USD
224462.99000000
0.025129815736
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405LAT6
11502.78000000
PA
USD
12617.33000000
0.001412576647
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes Trust, Series 2018-SFR4, Class C
46187XAE5
4228804.87000000
PA
USD
4238353.51000000
0.474506032065
Long
ABS-MBS
CORP
US
N
2
2038-01-17
Floating
1.50900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138XTAS4
1108435.00000000
PA
USD
1217545.23000000
0.136310610850
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36207V3M6
436.08000000
PA
USD
480.63000000
0.000053809063
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31410FY90
34840.83000000
PA
USD
39729.81000000
0.004447961797
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418MJQ6
206758.73000000
PA
USD
244804.19000000
0.027407120372
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31296XJA4
30749.46000000
PA
USD
34407.24000000
0.003852072010
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31403DCQ0
611796.91000000
PA
USD
688115.66000000
0.077038177834
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
7.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
38150ULA7
25000000.00000000
PA
USD
24895115.25000000
2.787139469898
Long
DBT
CORP
GB
N
2
2022-11-10
Fixed
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
313615TB2
313.82000000
PA
USD
346.35000000
0.000038775709
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136ARBA5
6626547.56000000
PA
USD
399581.48000000
0.044735254412
Long
ABS-APCP
USGSE
US
N
2
2056-02-25
Variable
1.50812400
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405ND51
12730.41000000
PA
USD
14348.99000000
0.001606445119
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MJQD5
451604.88000000
PA
USD
498393.01000000
0.055797726411
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FCWD4
285157.67000000
PA
USD
53507.63000000
0.005990461422
Long
ABS-APCP
USGSE
US
N
2
2035-08-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31395DUU1
78086.98000000
PA
USD
116640.58000000
0.013058528190
Long
ABS-APCP
USGSE
US
N
2
2036-06-25
Floating
23.82644000
N
N
N
N
N
N
Deutsche Mortgage Securities Inc Re-REMIC Trust Certificates
N/A
Deutsche Mortgage Securities Inc Re-REMIC Trust Certificates, Series 2007-WM1, Class A1
25157TAA2
1764074.07000000
PA
USD
1783485.59000000
0.199670619395
Long
ABS-MBS
CORP
US
N
2
2037-06-27
Variable
3.09809000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36291N4H1
18052.13000000
PA
USD
19875.58000000
0.002225176021
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31394UZH8
465904.67000000
PA
USD
480081.12000000
0.053747613733
Long
ABS-APCP
USGSE
US
N
2
2025-12-25
Fixed
5.50000000
N
N
N
N
N
N
Shellpoint Asset Funding Trust
N/A
Shellpoint Asset Funding Trust, Series 2013-1, Class A3
822804AK6
491715.39000000
PA
USD
492687.61000000
0.055158976786
Long
ABS-MBS
CORP
US
N
2
2043-07-25
Variable
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31403RFD5
23371.72000000
PA
USD
26346.13000000
0.002949588225
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138YTNJ9
2280824.34000000
PA
USD
2456272.44000000
0.274992656093
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31415PFB9
359828.69000000
PA
USD
398576.82000000
0.044622777426
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
3136A04J3
19512.79000000
PA
USD
19763.97000000
0.002212680693
Long
ABS-APCP
USGSE
US
N
2
2023-09-25
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Notes Future
N/A
-258.00000000
NC
USD
-319562.50000000
-0.03577670751
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Short
United States Treasury Note/Bond
U.S. Treasury Notes
2022-03-22
33341375.00000000
USD
-319562.50000000
N
N
N
RALI Trust
N/A
RALI Trust, Series 2006-QO2, Class A2
761118VZ8
41843.21000000
PA
USD
11842.51000000
0.001325831461
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
0.64188000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31412XLG7
29536.69000000
PA
USD
33461.01000000
0.003746136570
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31390HJF3
579.22000000
PA
USD
639.27000000
0.000071569648
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36290VYD0
13536.18000000
PA
USD
14907.01000000
0.001668918401
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31385HQ88
14524.93000000
PA
USD
16328.45000000
0.001828056107
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31411AJS5
16578.57000000
PA
USD
18861.58000000
0.002111653372
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3137FGV77
235173.44000000
PA
USD
10984.48000000
0.001229770477
Long
ABS-APCP
USGSE
US
N
2
2045-03-15
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
N/A
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A2
17307G6L7
17437.69000000
PA
USD
16912.64000000
0.001893459259
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
2.55654000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31411EFN2
10961.97000000
PA
USD
12491.65000000
0.001398506108
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3137AUFY0
764288.32000000
PA
USD
34058.60000000
0.003813039923
Long
ABS-APCP
USGSE
US
N
2
2027-09-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
313615R99
4728.11000000
PA
USD
5218.08000000
0.000584191580
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31374GUA3
1370.87000000
PA
USD
1513.78000000
0.000169475655
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31393BFR1
22639.80000000
PA
USD
4505.29000000
0.000504390980
Long
ABS-APCP
USGSE
US
N
2
2033-05-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136A1EV3
1499296.75000000
PA
USD
65799.04000000
0.007366549607
Long
ABS-APCP
USGSE
US
N
2
2039-03-25
Floating
6.54812000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136A8QA1
2229629.72000000
PA
USD
79825.20000000
0.008936852204
Long
ABS-APCP
USGSE
US
N
2
2027-06-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36200KA49
3076.69000000
PA
USD
3512.45000000
0.000393237305
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
31398LPG7
278821.86000000
PA
USD
44157.10000000
0.004943620266
Long
ABS-APCP
USGSE
US
N
2
2039-12-15
Floating
6.14025000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209AE89
4177.61000000
PA
USD
4585.09000000
0.000513325011
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31397M4E4
744.59000000
PA
USD
14.30000000
0.000001600960
Long
ABS-APCP
USGSE
US
N
2
2024-02-25
Floating
6.59812000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31400EAV2
35907.64000000
PA
USD
39652.48000000
0.004439304296
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36209WQP0
429.74000000
PA
USD
473.25000000
0.000052982833
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136APZR6
1392559.78000000
PA
USD
172138.77000000
0.019271843305
Long
ABS-APCP
USGSE
US
N
2
2035-08-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140K7HQ9
3705760.68000000
PA
USD
3934356.94000000
0.440472012522
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
Agate Bay Mortgage Trust
N/A
Agate Bay Mortgage Trust, Series 2015-2, Class B1
00841XBH2
1832523.72000000
PA
USD
1847235.40000000
0.206807746894
Long
ABS-MBS
CORP
US
N
2
2045-03-25
Variable
3.65900200
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36291CL94
801.99000000
PA
USD
914.76000000
0.000102412207
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
5.50000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1
863579HD3
70999.24000000
PA
USD
72097.97000000
0.008071748046
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
2.94392800
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
3136FANS5
245236.69000000
PA
USD
37669.05000000
0.004217248845
Long
ABS-APCP
USGSE
US
N
2
2032-07-25
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3137BNCR3
142173.14000000
PA
USD
144472.76000000
0.016174487552
Long
ABS-APCP
USGSE
US
N
2
2042-03-15
Floating
0.58638000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31393T4V5
72941.06000000
PA
USD
73334.62000000
0.008210197537
Long
ABS-APCP
USGSE
US
N
2
2033-11-25
Floating
0.50188000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 3A
59020UL52
262959.48000000
PA
USD
264582.15000000
0.029621367320
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
2.15222200
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31371KDL2
6650.30000000
PA
USD
7552.19000000
0.000845507507
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31382NPU0
69533.06000000
PA
USD
76788.37000000
0.008596863067
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs, IO
3137AWK87
1385872.56000000
PA
USD
77574.91000000
0.008684920369
Long
ABS-APCP
USGSE
US
N
2
2027-11-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31410G5Q2
76187.19000000
PA
USD
78520.04000000
0.008790732658
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36200KEY9
3803.63000000
PA
USD
4304.57000000
0.000481919317
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617LKPS3
2629435.38000000
PA
USD
2826141.02000000
0.316401394620
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.00000000
N
N
N
N
N
N
Chase Mortgage Finance Trust
N/A
Chase Mortgage Finance Trust, Series 2007-A2, Class 2A4
16163LBT8
256119.02000000
PA
USD
258716.63000000
0.028964691416
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
2.35972500
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM Trust, Series 2021-AFC2, Class A1
69361JAA4
8909928.74000000
PA
USD
8893439.13000000
0.995667422040
Long
ABS-MBS
CORP
US
N
2
2056-11-25
Variable
2.07100000
N
N
N
N
N
N
Fannie Mae Interest STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest STRIPS, IO
31364HS24
297068.41000000
PA
USD
33991.60000000
0.003805538920
Long
ABS-APCP
USGSE
US
N
2
2028-02-25
Fixed
7.00000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust, Series 2002-2, Class IO
911760RZ1
6823932.69000000
PA
USD
4696.23000000
0.000525767720
Long
ABS-APCP
USGSE
US
N
2
2032-01-15
Variable
0.01531800
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31414UJU3
275515.28000000
PA
USD
315587.28000000
0.035331660667
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Sapphire Aviation Finance II Ltd.
N/A
Sapphire Aviation Finance II Ltd.
80307AAB5
5610803.06000000
PA
USD
4986670.79000000
0.558284098813
Long
ABS-O
CORP
US
N
2
2040-03-15
Fixed
4.33500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31408FQ28
2402.92000000
PA
USD
2619.25000000
0.000293238853
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs
31392EGN4
127487.91000000
PA
USD
129258.88000000
0.014471213435
Long
ABS-APCP
USGSE
US
N
2
2032-09-25
Floating
0.60188000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31296LPB1
34762.01000000
PA
USD
38370.77000000
0.004295810101
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICs
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICs
3133TJUT8
154546.63000000
PA
USD
157090.78000000
0.017587141449
Long
ABS-APCP
USGSE
US
N
2
2029-03-15
Floating
0.99925000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
31402RHV4
447661.03000000
PA
USD
494316.16000000
0.055341301548
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
6.50000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2013-LC13, Class XA, IO
12626GAG8
19476290.49000000
PA
USD
259539.10000000
0.029056771271
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
0.99730200
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31287PHP1
21912.80000000
PA
USD
25634.95000000
0.002869967872
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31386FPL3
2236.86000000
PA
USD
2326.59000000
0.000260474022
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31416BSR0
304182.84000000
PA
USD
359204.20000000
0.040214804933
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202DBH3
52305.52000000
PA
USD
58284.45000000
0.006525251618
Long
ABS-MBS
USGA
US
N
2
2029-04-20
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31293TU39
6801.46000000
PA
USD
7507.18000000
0.000840468400
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377YX47
948091.60000000
PA
USD
1086116.39000000
0.121596458946
Long
ABS-APCP
USGA
US
N
2
2039-01-20
Variable
5.90003000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
31392DAG7
72111.48000000
PA
USD
14185.30000000
0.001588119160
Long
ABS-APCP
USGSE
US
N
2
2032-04-25
Floating
7.69812000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac
31298EX67
91449.67000000
PA
USD
101798.85000000
0.011396918229
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICs
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICs, IO
3136AAQJ7
502166.57000000
PA
USD
99939.63000000
0.011188768743
Long
ABS-APCP
USGSE
US
N
2
2042-12-25
Floating
6.04812000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31405RLZ7
110808.42000000
PA
USD
121550.77000000
0.013608249861
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
2022-01-30
AIM Growth Series (Invesco Growth Series)
Sheri Morris
Sheri Morris
President