0001752724-21-082266.txt : 20210423
0001752724-21-082266.hdr.sgml : 20210423
20210423145602
ACCESSION NUMBER: 0001752724-21-082266
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210226
FILED AS OF DATE: 20210423
PERIOD START: 20210228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PRUDENTIAL INVESTMENT PORTFOLIOS, INC. 14
CENTRAL INDEX KEY: 0000717819
IRS NUMBER: 133165671
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0228
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03712
FILM NUMBER: 21849029
BUSINESS ADDRESS:
STREET 1: 655 BROAD STREET
STREET 2: 17TH FLOOR
CITY: NEWARK
STATE: NJ
ZIP: 07102
BUSINESS PHONE: (973) 367-8982
MAIL ADDRESS:
STREET 1: 655 BROAD STREET
STREET 2: 17TH FLOOR
CITY: NEWARK
STATE: NJ
ZIP: 07102
FORMER COMPANY:
FORMER CONFORMED NAME: PRUDENTIAL GOVERNMENT INCOME FUND, INC.
DATE OF NAME CHANGE: 20100219
FORMER COMPANY:
FORMER CONFORMED NAME: DRYDEN GOVERNMENT INCOME FUND INC
DATE OF NAME CHANGE: 20040420
FORMER COMPANY:
FORMER CONFORMED NAME: PRUDENTIAL GOVERNMENT INCOME FUND INC
DATE OF NAME CHANGE: 19951017
0000717819
S000004573
PGIM GOVERNMENT INCOME FUND
C000012502
Class A
PGVAX
C000012504
Class C
PRICX
C000012505
Class Z
PGVZX
C000012506
Class R
JDRVX
C000172929
Class R6
PGIQX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000717819
XXXXXXXX
S000004573
C000012504
C000012502
C000172929
C000012506
C000012505
Prudential Investment Portfolios, Inc. 14
811-03712
0000717819
549300KUB7SBKYFHJS11
655 Broad Street
17th Floor
Newark
07102-4077
1-800-225-1852
PGIM Government Income Fund
S000004573
JYMFBE8ZNMXHZ0R2JZ96
2021-02-28
2021-02-26
N
739958195.04
98350062.70
641608132.34
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
10737209.60000000
54391267.80000000
0.00000000
3118276.11000000
USD
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224ET29
1249.70000000
PA
USD
1301.46000000
0.000202843438
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204FEM2
1596.64000000
PA
USD
1603.84000000
0.000249971893
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834MD7
19800000.00000000
PA
USD
12259757.86000000
1.910785920884
Long
DBT
UST
US
N
2
2043-02-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203DEC0
13312.79000000
PA
USD
13480.72000000
0.002101083094
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133A6G54
1209547.23000000
PA
USD
1266837.10000000
0.197447170031
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SWY9
389509.43000000
PA
USD
423669.74000000
0.066032476623
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FJZA0
2200000.00000000
PA
USD
2569351.40000000
0.400454930430
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Variable
3.88000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204UPG0
1352.83000000
PA
USD
1358.89000000
0.000211794385
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204R2H0
1148.22000000
PA
USD
1163.27000000
0.000181305370
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DTR3
6274170.61000000
PA
USD
6510639.02000000
1.014737608804
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VDN7
4925393.03000000
PA
USD
5137413.42000000
0.800708900191
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KDFJ4
1768703.79000000
PA
USD
1853623.11000000
0.288902683206
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DGY9
39896.55000000
PA
USD
46401.84000000
0.007232115314
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204SCW4
496.76000000
PA
USD
499.01000000
0.000077774887
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203PET6
3566.14000000
PA
USD
3583.77000000
0.000558560563
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296X5V3
574823.79000000
PA
USD
665778.00000000
0.103767076263
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8DM0
843380.46000000
PA
USD
891063.88000000
0.138879767117
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203UCT7
542.47000000
PA
USD
544.90000000
0.000084927227
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203MAU4
1651.93000000
PA
USD
1659.32000000
0.000258618916
Long
ABS-MBS
USGA
US
N
2
2024-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RJD2
2589096.36000000
PA
USD
2741586.60000000
0.427299228580
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204JCZ7
3290.77000000
PA
USD
3458.38000000
0.000539017482
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UML3
1278978.28000000
PA
USD
1376276.95000000
0.214504287060
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
147352.46000000
0.022966114762
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-01-25
0.00000000
USD
0.00000000
USD
-10080000.00000000
USD
147352.46000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022634
-2500000.00000000
PA
USD
-2591796.88000000
-0.40395324643
Short
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834PZ5
665000.00000000
PA
USD
380998.24000000
0.059381766033
Long
DBT
UST
US
N
2
2046-02-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204DCH0
4463.52000000
PA
USD
4531.09000000
0.000706208318
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJZF0
1044857.20000000
PA
USD
1109103.50000000
0.172863067672
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BKGK0
900000.00000000
PA
USD
1030067.64000000
0.160544667076
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Fixed
3.51100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203GRH8
488.72000000
PA
USD
495.12000000
0.000077168597
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203KQ64
1860.60000000
PA
USD
1868.87000000
0.000291279038
Long
ABS-MBS
USGA
US
N
2
2023-06-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S5K9
668877.45000000
PA
USD
708704.85000000
0.110457585288
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204J4W3
1687.81000000
PA
USD
1696.14000000
0.000264357621
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204DNB1
249.22000000
PA
USD
250.34000000
0.000039017585
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RG5
22885000.00000000
PA
USD
28459642.97000000
4.435673666760
Long
DBT
UST
US
N
2
2044-05-15
Fixed
3.37500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FKJD9
1100000.00000000
PA
USD
1294828.26000000
0.201809826704
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Variable
4.06000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NBB3
627767.75000000
PA
USD
684358.04000000
0.106662931079
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SYS0
203749.16000000
PA
USD
218038.39000000
0.033983108849
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FEH5
185934.69000000
PA
USD
209336.22000000
0.032626802786
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224QJH0
5018.61000000
PA
USD
5299.58000000
0.000825983919
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203VW97
696.41000000
PA
USD
699.50000000
0.000109022932
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FHQ71
755000.00000000
PA
USD
907002.64000000
0.141363956328
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Variable
3.99000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203KHQ0
219.87000000
PA
USD
222.65000000
0.000034701866
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FJXW4
450000.00000000
PA
USD
529224.21000000
0.082484024644
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Variable
4.03000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204M4Q9
866.55000000
PA
USD
870.42000000
0.000135662245
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJMK1
1478320.07000000
PA
USD
1584145.60000000
0.246902356773
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834FB9
1505000.00000000
PA
USD
1009231.84000000
0.157297233175
Long
DBT
UST
US
N
2
2040-02-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204FUF9
662.15000000
PA
USD
665.12000000
0.000103664521
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203F3L7
1109.58000000
PA
USD
1122.87000000
0.000175008691
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224SMQ2
330.05000000
PA
USD
331.51000000
0.000051668609
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-30962.62000000
-0.00482578359
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-01-12
0.00000000
USD
0.00000000
USD
3360000.00000000
USD
-30962.62000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GS4K2
757650.51000000
PA
USD
836326.05000000
0.130348417958
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31372AVD1
9190.48000000
PA
USD
9311.94000000
0.001451343823
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJYD6
1001167.28000000
PA
USD
1090686.06000000
0.169992555428
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K05T1
677789.38000000
PA
USD
716129.60000000
0.111614794748
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833XY1
1585000.00000000
PA
USD
1371210.75000000
0.213714677368
Long
DBT
UST
US
N
2
2030-08-15
None
0.00000000
N
N
N
N
N
N
Trinitas CLO Ltd
54930015QLUMDPHS1H02
Trinitas CLO V Ltd
89641AAV7
2850000.00000000
PA
USD
2846885.24000000
0.443710903354
Long
ABS-CBDO
CORP
KY
N
2
2028-10-25
Floating
1.24800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHDZ5
1499850.00000000
PA
USD
1516969.77000000
0.236432441164
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204QGX2
144.31000000
PA
USD
145.02000000
0.000022602581
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203GKT9
552.45000000
PA
USD
554.91000000
0.000086487370
Long
ABS-MBS
USGA
US
N
2
2023-06-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224BEG0
542.83000000
PA
USD
545.47000000
0.000085016067
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJZQ6
353536.91000000
PA
USD
372891.56000000
0.058118272073
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGB2
745650.07000000
PA
USD
791639.26000000
0.123383607547
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203R4X4
1152.64000000
PA
USD
1207.11000000
0.000188138201
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137AYCF6
36262182.37000000
PA
USD
371545.95000000
0.057908547487
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Variable
0.79743300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPDG1
2892224.79000000
PA
USD
3129943.05000000
0.487827833257
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204TF33
1666.09000000
PA
USD
1686.48000000
0.000262852029
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405RKE5
14592.25000000
PA
USD
17538.55000000
0.002733529878
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204H5K2
750.55000000
PA
USD
760.86000000
0.000118586402
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203DJH4
540.48000000
PA
USD
547.50000000
0.000085332459
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8HG2
358546.08000000
PA
USD
395029.53000000
0.061568660072
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407XSZ5
555761.69000000
PA
USD
647811.13000000
0.100966789126
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L8WD5
218308.42000000
PA
USD
235520.98000000
0.036707916893
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ2E9
200237.90000000
PA
USD
218605.53000000
0.034071502367
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2016-C1
46645LAW7
2500000.00000000
PA
USD
2593051.50000000
0.404148789471
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Fixed
3.51470000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403FST2
63988.80000000
PA
USD
66145.59000000
0.010309344078
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
7.00000000
N
N
N
N
N
N
Wellfleet CLO Ltd
254900DLL625KV2D0Z30
Wellfleet CLO 2015-1 Ltd
949496BA0
1967786.86000000
PA
USD
1968182.98000000
0.306757798225
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
1.50400000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834DU9
590000.00000000
PA
USD
409450.78000000
0.063816332643
Long
DBT
UST
US
N
2
2038-11-15
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FG6Y6
310000.00000000
PA
USD
361626.07000000
0.056362451124
Long
ABS-MBS
USGSE
US
N
2
2028-05-25
Variable
3.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36218APM5
252.43000000
PA
USD
253.57000000
0.000039521007
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224SG22
216.72000000
PA
USD
217.68000000
0.000033927250
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224S4W9
952.61000000
PA
USD
956.89000000
0.000149139319
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BPVN6
375000.00000000
PA
USD
417191.33000000
0.065022762177
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Fixed
3.08000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BXQZ8
2100000.00000000
PA
USD
2348647.14000000
0.366056323418
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Variable
3.32700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402TFR1
61486.21000000
PA
USD
63498.61000000
0.009896790080
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204GLS9
2370.45000000
PA
USD
2380.99000000
0.000371097228
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6DU8
438410.39000000
PA
USD
458511.02000000
0.071462781858
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WPRQ2
219528.10000000
PA
USD
240993.97000000
0.037560928213
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FHQ63
2900000.00000000
PA
USD
3483943.71000000
0.543001800381
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Variable
3.99000000
N
N
N
N
N
N
Battalion CLO LTD
549300JIE0P78OIZGS60
Battalion CLO XII Ltd
07133RAQ8
4500000.00000000
PA
USD
4494196.80000000
0.700458203921
Long
ABS-CBDO
CORP
KY
N
2
2031-05-17
Floating
1.67200000
N
N
N
N
N
N
RESOLUTION FUNDING STRIP
N/A
Resolution Funding Corp Interest Strip
76116EHP8
1000000.00000000
PA
USD
852043.27000000
0.132798078305
Long
DBT
USGSE
US
N
2
2030-04-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288AD69
27554.56000000
PA
USD
28837.58000000
0.004494578317
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NY4L6
210128.18000000
PA
USD
219984.64000000
0.034286448209
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405GZ94
3739.77000000
PA
USD
4278.81000000
0.000666888367
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203YK86
840.70000000
PA
USD
844.45000000
0.000131614603
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203FXS9
501.86000000
PA
USD
508.59000000
0.000079268010
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
RFC PRINCIPAL STRIP
N/A
Resolution Funding Corp Principal Strip
76116FAC1
2280000.00000000
PA
USD
1957520.15000000
0.305095906883
Long
DBT
USGSE
US
N
2
2030-04-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203CK50
2691.49000000
PA
USD
2832.38000000
0.000441450140
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224ES53
101.44000000
PA
USD
102.84000000
0.000016028475
Long
ABS-MBS
USGA
US
N
2
2023-06-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ2C3
2850782.01000000
PA
USD
3046661.64000000
0.474847728143
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391EN31
76794.63000000
PA
USD
88597.23000000
0.013808620173
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7YF0
6675198.39000000
PA
USD
6927663.81000000
1.079734414327
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
PRIVATE EXPORT FUNDING
CYQE6SAYPFKNQJ6FMH60
Private Export Funding Corp
742651DJ8
1210000.00000000
PA
USD
1246556.31000000
0.194286239087
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204LEZ0
1165.10000000
PA
USD
1235.02000000
0.000192488208
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LCQ3
487.74000000
PA
USD
511.98000000
0.000079796370
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203XT63
2255.13000000
PA
USD
2266.16000000
0.000353200011
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834EP9
2050000.00000000
PA
USD
1393359.38000000
0.217166726817
Long
DBT
UST
US
N
2
2039-08-15
None
0.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-244.00000000
NC
USD
-278312.51000000
-0.04337733516
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2021-06-21
0.00000000
USD
100000.00000000
132.00000000
USD
2021-05-21
XXXX
-179695.41000000
N
N
N
KKR Financial CLO Ltd
549300NB16RGUJOZXI16
KKR CLO 30 Ltd
48250EAA3
4000000.00000000
PA
USD
3997181.60000000
0.622994223190
Long
ABS-CBDO
CORP
KY
N
2
2031-10-17
Floating
1.73643000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833X96
1525000.00000000
PA
USD
1146847.66000000
0.178745811063
Long
DBT
UST
US
N
2
2035-11-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LF80
268.51000000
PA
USD
279.79000000
0.000043607614
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RBX6
540917.00000000
PA
USD
581785.86000000
0.090676197927
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204LHB0
2876.47000000
PA
USD
2889.40000000
0.000450337184
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204A5C5
2824.51000000
PA
USD
2858.58000000
0.000445533629
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QL66
195894.40000000
PA
USD
216957.16000000
0.033814590100
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FVU9
527020.84000000
PA
USD
574949.30000000
0.089610662804
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224ET52
442.38000000
PA
USD
447.72000000
0.000069780911
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204VHL6
1081.79000000
PA
USD
1086.50000000
0.000169340122
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223YTY6
96.45000000
PA
USD
96.88000000
0.000015099559
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SJS7
2505606.03000000
PA
USD
2652223.10000000
0.413371178810
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833XN5
8675000.00000000
PA
USD
7783440.41000000
1.213114363375
Long
DBT
UST
US
N
2
2029-02-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203N6T0
1579.97000000
PA
USD
1650.20000000
0.000257197488
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA PRIN STRIP
B1V7KEBTPIMZEU4LTD58
Fannie Mae Principal Strip
31364EAV6
270000.00000000
PA
USD
249659.61000000
0.038911540770
Long
DBT
USGSE
US
N
2
2027-10-08
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FKSH0
2500000.00000000
PA
USD
2928529.00000000
0.456435767003
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Variable
3.85900000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834MZ8
13768000.00000000
PA
USD
8312967.78000000
1.295645638044
Long
DBT
UST
US
N
2
2043-11-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203CJR4
9915.24000000
PA
USD
10305.96000000
0.001606270164
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205XP65
2993.57000000
PA
USD
3008.19000000
0.000468851600
Long
ABS-MBS
USGA
US
N
2
2024-07-15
Fixed
7.50000000
N
N
N
N
N
N
ICG US CLO Ltd
N/A
ICG US CLO 2019-1 LTD
44932VAA0
4000000.00000000
PA
USD
4011600.80000000
0.625241576251
Long
ABS-CBDO
CORP
KY
N
2
2032-10-26
Floating
1.59525000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKW1
644592.27000000
PA
USD
689374.39000000
0.107444771232
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7T97
733293.23000000
PA
USD
813375.95000000
0.126771452698
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E2JY2
400029.21000000
PA
USD
434025.12000000
0.067646449308
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJZB9
478070.12000000
PA
USD
507797.66000000
0.079144517409
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
313959YT9
1048.79000000
PA
USD
1053.88000000
0.000164256022
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203TR31
818.84000000
PA
USD
829.05000000
0.000129214384
Long
ABS-MBS
USGA
US
N
2
2023-06-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FJEJ4
2600000.00000000
PA
USD
3049235.28000000
0.475248851488
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Variable
3.90000000
N
N
N
N
N
N
RESOLUTION FUNDING STRIP
N/A
Resolution Funding Corp Interest Strip
76116EGP9
500000.00000000
PA
USD
435526.40000000
0.067880436367
Long
DBT
USGSE
US
N
2
2029-01-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203GG98
494.83000000
PA
USD
500.98000000
0.000078081928
Long
ABS-MBS
USGA
US
N
2
2023-04-15
Fixed
7.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833RY8
695000.00000000
PA
USD
638965.63000000
0.099588143883
Long
DBT
UST
US
N
2
2028-02-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GF27
530121.44000000
PA
USD
571068.61000000
0.089005824773
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407XRB9
253919.65000000
PA
USD
287422.35000000
0.044797180009
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410CZ47
1208.65000000
PA
USD
1213.09000000
0.000189070234
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204JCE4
900.86000000
PA
USD
904.87000000
0.000141031566
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPA4
2063424.61000000
PA
USD
2216985.99000000
0.345535830712
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JACV8
2729792.16000000
PA
USD
2898197.73000000
0.451708384591
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AFFX0
1800000.00000000
PA
USD
2061667.30000000
0.321328112298
Long
DBT
USGSE
US
N
2
2028-11-16
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204NLS4
627.09000000
PA
USD
629.90000000
0.000098175189
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GV2D6
1645827.81000000
PA
USD
1795510.78000000
0.279845389965
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A32F6
629979.10000000
PA
USD
698523.84000000
0.108870789628
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKKN4
1239509.34000000
PA
USD
1352713.58000000
0.210831738535
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224M3Q6
3086.23000000
PA
USD
3099.40000000
0.000483067443
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205DP51
1575.42000000
PA
USD
1597.98000000
0.000249058563
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223WPT5
1434.06000000
PA
USD
1451.04000000
0.000226156734
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204CGL9
569.74000000
PA
USD
572.20000000
0.000089182161
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
PRIVATE EXPORT FUNDING
CYQE6SAYPFKNQJ6FMH60
Private Export Funding Corp
742651DT6
2085000.00000000
PA
USD
2263861.54000000
0.352841777697
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BZQ1
2.44000000
PA
USD
2.45000000
0.000000381853
Long
ABS-MBS
USGA
US
N
2
2021-07-20
Fixed
9.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X0NJ3
1689726.81000000
PA
USD
1805218.02000000
0.281358344604
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31372TUE9
10861.19000000
PA
USD
11016.74000000
0.001717051178
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
7.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-49210.23000000
-0.00766982641
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-01-25
0.00000000
USD
0.00000000
USD
10080000.00000000
USD
-49210.23000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408C7F7
60331.83000000
PA
USD
67813.19000000
0.010569253502
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204BDJ9
174.31000000
PA
USD
180.92000000
0.000028197896
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K1Z66
27822.62000000
PA
USD
29163.99000000
0.004545452049
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209BEN4
5794.20000000
PA
USD
5821.03000000
0.000907256268
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204QGV6
1816.49000000
PA
USD
1916.69000000
0.000298732186
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
-224.00000000
NC
USD
483004.05000000
0.075280225678
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2021-06-21
-36148004.05000000
USD
483004.05000000
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BTAD3
3860000.00000000
PA
USD
4322539.94000000
0.673704044902
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Variable
3.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292KP75
94353.76000000
PA
USD
109032.58000000
0.016993640589
Long
ABS-MBS
USGA
US
N
2
2036-02-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204R3V8
848.69000000
PA
USD
852.88000000
0.000132928489
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ2H2
596837.08000000
PA
USD
645112.26000000
0.100546147638
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224S2A9
273.70000000
PA
USD
274.88000000
0.000042842349
Long
ABS-MBS
USGA
US
N
2
2023-06-15
Fixed
7.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833XS4
10710000.00000000
PA
USD
9568715.63000000
1.491364455606
Long
DBT
UST
US
N
2
2029-05-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6AE7
230341.08000000
PA
USD
242835.57000000
0.037847956994
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ2G4
2179208.28000000
PA
USD
2321671.36000000
0.361851922221
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
1028.00000000
NC
USD
-1195262.63000000
-0.18629168954
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-06-30
128635137.63000000
USD
-1195262.63000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203N3U0
454.34000000
PA
USD
474.01000000
0.000073878427
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205QQG7
1704.65000000
PA
USD
1734.05000000
0.000270266212
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.00000000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BGH8
138547.47000000
PA
USD
140364.33000000
0.021876956186
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.54874900
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224NXA6
313.14000000
PA
USD
316.23000000
0.000049287093
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AEL9
1349266.63000000
PA
USD
1463937.70000000
0.228166948985
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
3.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833Y20
815000.00000000
PA
USD
607748.05000000
0.094722622636
Long
DBT
UST
US
N
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203DGA2
1914.09000000
PA
USD
1955.54000000
0.000304787283
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GZP4
256902.31000000
PA
USD
273357.98000000
0.042605130175
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407DMH5
158466.11000000
PA
USD
178255.08000000
0.027782546856
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373TYZ7
1942.91000000
PA
USD
2118.60000000
0.000330201550
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GZE9
527556.88000000
PA
USD
560782.33000000
0.087402621901
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203YLE2
621.98000000
PA
USD
624.77000000
0.000097375636
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DJR4
1440678.39000000
PA
USD
1507489.94000000
0.234954930278
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHRP9
404899.09000000
PA
USD
420011.54000000
0.065462315520
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGL5
2109789.38000000
PA
USD
2259954.86000000
0.352232888906
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334XEE5
4000000.92000000
PA
USD
4189889.28000000
0.653029328777
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C3E2
1803494.22000000
PA
USD
1964203.05000000
0.306137492808
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834NP9
2275000.00000000
PA
USD
1363222.66000000
0.212469666652
Long
DBT
UST
US
N
2
2044-05-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201Y3F1
15395.79000000
PA
USD
17378.07000000
0.002708517726
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
5.00000000
N
N
N
N
N
N
Trimaran Advisors CAVU 2019-1
549300IGMQ24BLOIU872
Trimaran Cavu 2019-1 Ltd
89624CAA0
4000000.00000000
PA
USD
3998368.40000000
0.623179195908
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
1.68400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E5YE2
344918.53000000
PA
USD
366566.87000000
0.057132516176
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QGD7
642297.09000000
PA
USD
707596.29000000
0.110284806930
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406N6U3
10886.48000000
PA
USD
12382.41000000
0.001929902283
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8E98
383314.07000000
PA
USD
409299.88000000
0.063792813614
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSPD8
3507804.49000000
PA
USD
3796836.28000000
0.591768727455
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
362191PV4
745.12000000
PA
USD
755.14000000
0.000117694892
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204JAL0
1198.75000000
PA
USD
1214.17000000
0.000189238561
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203KK52
464.70000000
PA
USD
487.69000000
0.000076010570
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205MLP1
2440.66000000
PA
USD
2602.05000000
0.000405551281
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203C7H9
106.06000000
PA
USD
111.11000000
0.000017317423
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RTA7
419291.11000000
PA
USD
461913.54000000
0.071993093091
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
362191PT9
413.40000000
PA
USD
415.43000000
0.000064748244
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204VEB1
657.09000000
PA
USD
672.66000000
0.000104839693
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224S2M3
235.18000000
PA
USD
236.22000000
0.000036816865
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224WE41
779.20000000
PA
USD
782.67000000
0.000121985673
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204DHF9
1664.21000000
PA
USD
1690.96000000
0.000263550275
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204CP47
3462.16000000
PA
USD
3506.03000000
0.000546444133
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204H3E8
6388.39000000
PA
USD
6419.41000000
0.001000518802
Long
ABS-MBS
USGA
US
N
2
2024-07-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31307PYV5
469479.48000000
PA
USD
501484.83000000
0.078160609992
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
3.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
41192.90000000
0.006420258398
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-01-12
0.00000000
USD
0.00000000
USD
-3360000.00000000
USD
41192.90000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297ECF1
133262.81000000
PA
USD
150074.78000000
0.023390411130
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132JBMB6
665954.17000000
PA
USD
722718.63000000
0.112641750247
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204BHK2
927.54000000
PA
USD
931.66000000
0.000145207012
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJY53
1619303.37000000
PA
USD
1685768.57000000
0.262741147599
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5HC2
572012.30000000
PA
USD
618432.28000000
0.096387849347
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FP75
543300.03000000
PA
USD
619670.00000000
0.096580758373
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296RZ35
34982.49000000
PA
USD
41065.01000000
0.006400325670
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204LAD3
609.63000000
PA
USD
612.38000000
0.000095444550
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHXU1
1660275.63000000
PA
USD
1748470.90000000
0.272513830774
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LAZ5
917.66000000
PA
USD
964.73000000
0.000150361248
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833Z60
810000.00000000
PA
USD
574245.70000000
0.089501000853
Long
DBT
UST
US
N
2
2038-02-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A94P6
757280.09000000
PA
USD
845939.58000000
0.131846767109
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LDM1
789.29000000
PA
USD
799.09000000
0.000124544867
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3128X75U4
2500000.00000000
PA
USD
1697314.45000000
0.264540669677
Long
DBT
USGSE
US
N
2
2038-11-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203FYL3
1067.31000000
PA
USD
1072.08000000
0.000167092645
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A9NB9
917711.69000000
PA
USD
959787.76000000
0.149590959282
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
549300PFVBG5704L7K74
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9
61762DAV3
772398.24000000
PA
USD
802522.31000000
0.125079822020
Long
ABS-MBS
CORP
US
N
2
2046-05-15
Fixed
2.83400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407NAD5
268017.19000000
PA
USD
309821.66000000
0.048288300036
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6SV1
65236.04000000
PA
USD
76529.80000000
0.011927810160
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K43M0
83034.25000000
PA
USD
86869.57000000
0.013539349896
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR97
437033.96000000
PA
USD
472381.62000000
0.073624631015
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224WRA3
2473.38000000
PA
USD
2522.67000000
0.000393179243
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CXP4
430140.85000000
PA
USD
467954.95000000
0.072934697428
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224J2B7
879.87000000
PA
USD
883.78000000
0.000137744513
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGK7
1346565.02000000
PA
USD
1412817.22000000
0.220199394114
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132KEZJ7
734404.44000000
PA
USD
777614.62000000
0.121197749966
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203PB51
6257.72000000
PA
USD
6636.74000000
0.001034391502
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204XM93
4073.38000000
PA
USD
4127.69000000
0.000643335050
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204TGD0
214.98000000
PA
USD
226.51000000
0.000035303480
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224J3K6
1433.08000000
PA
USD
1452.14000000
0.000226328178
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205ML89
350.88000000
PA
USD
352.47000000
0.000054935400
Long
ABS-MBS
USGA
US
N
2
2024-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203EHD3
736.11000000
PA
USD
739.41000000
0.000115243240
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLNA8
1650000.00000000
PA
USD
1898592.96000000
0.295911610888
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Fixed
3.56600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203FWR2
390.40000000
PA
USD
394.92000000
0.000061551588
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224AVV0
138.52000000
PA
USD
139.13000000
0.000021684575
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FJY60
1275000.00000000
PA
USD
1500018.63000000
0.233790464053
Long
ABS-MBS
USGSE
US
N
2
2030-12-25
Variable
3.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31294MGN5
56549.06000000
PA
USD
60311.96000000
0.009400123994
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LAX0
515.48000000
PA
USD
540.97000000
0.000084314704
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203CUF7
753.18000000
PA
USD
756.54000000
0.000117913093
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224SX80
55.09000000
PA
USD
55.33000000
0.000008623643
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203UZQ8
1335.85000000
PA
USD
1353.80000000
0.000211001066
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224TNX4
285.60000000
PA
USD
286.88000000
0.000044712650
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CUJ1
117601.69000000
PA
USD
126503.57000000
0.019716640675
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203QJW2
476.13000000
PA
USD
478.24000000
0.000074537708
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MFCN6
325399.20000000
PA
USD
337562.52000000
0.052611945358
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203CHG0
6158.84000000
PA
USD
6472.71000000
0.001008826053
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FG6Q3
1970000.00000000
PA
USD
2137370.81000000
0.333127138243
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
3.33611700
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203PDB6
1111.69000000
PA
USD
1177.77000000
0.000183565316
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204YU68
5789.57000000
PA
USD
6107.79000000
0.000951950215
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406LGA0
458.25000000
PA
USD
515.60000000
0.000080360577
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJZD5
233696.37000000
PA
USD
254280.61000000
0.039631762314
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
4.00000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31359MEU3
100000.00000000
PA
USD
137839.24000000
0.021483399765
Long
DBT
USGSE
US
N
2
2029-05-15
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205EUX2
6889.73000000
PA
USD
7048.52000000
0.001098570863
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203EPQ5
2421.66000000
PA
USD
2461.65000000
0.000383668765
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204YGK3
950.82000000
PA
USD
963.74000000
0.000150206948
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413DHM2
408.16000000
PA
USD
416.48000000
0.000064911895
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FKUQ7
400000.00000000
PA
USD
464777.56000000
0.072439474590
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Variable
3.83200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CJL0
662505.98000000
PA
USD
718940.44000000
0.112052887699
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225ADU1
55515.14000000
PA
USD
60808.26000000
0.009477476505
Long
ABS-MBS
USGA
US
N
2
2025-04-15
Fixed
8.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31307FFM8
799002.94000000
PA
USD
867456.14000000
0.135200303156
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204R6T0
2021.15000000
PA
USD
2031.09000000
0.000316562384
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CDL5
1926761.92000000
PA
USD
2045356.97000000
0.318786010791
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205TUD3
462.40000000
PA
USD
464.49000000
0.000072394655
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373MW68
5155.96000000
PA
USD
5181.07000000
0.000807513143
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
9.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404XUT9
60277.52000000
PA
USD
66732.04000000
0.010400747221
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W2WH4
350602.54000000
PA
USD
380803.26000000
0.059351376768
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204HQZ6
3867.91000000
PA
USD
3885.27000000
0.000605551863
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LDQ2
122.45000000
PA
USD
122.99000000
0.000019169021
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204NMU8
317.84000000
PA
USD
319.27000000
0.000049760902
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WKB49
271302.72000000
PA
USD
296997.74000000
0.046289584721
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQX8
396463.22000000
PA
USD
434244.58000000
0.067680653986
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJJ82
277112.53000000
PA
USD
293314.71000000
0.045715553655
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LR87
122.23000000
PA
USD
123.87000000
0.000019306176
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CNE0
618868.35000000
PA
USD
670483.03000000
0.104500394587
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7VM6
196667.97000000
PA
USD
212483.92000000
0.033117398188
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137AUPF0
14268301.46000000
PA
USD
180742.28000000
0.028170197802
Long
ABS-MBS
USGSE
US
N
2
2022-06-25
Variable
1.40075300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KB4A9
1560951.08000000
PA
USD
1619782.06000000
0.252456597470
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
-358.00000000
NC
USD
706621.06000000
0.110132809168
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2021-06-21
-68390996.06000000
USD
706621.06000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224HMP8
200.38000000
PA
USD
201.25000000
0.000031366497
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407JZB1
237153.78000000
PA
USD
268393.32000000
0.041831346342
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204FWN0
445.97000000
PA
USD
448.16000000
0.000069849488
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292K4D6
431324.19000000
PA
USD
473994.13000000
0.073875954201
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
AGL CLO LTD.
549300EIBQDZ5WXOZ105
AGL Core CLO 2 Ltd
001200AA2
2000000.00000000
PA
USD
2004453.40000000
0.312410846896
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
1.61400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204QAC4
257.27000000
PA
USD
270.02000000
0.000042084878
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DP71
989112.97000000
PA
USD
1005833.88000000
0.156767632656
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LLM2
4173.59000000
PA
USD
4192.06000000
0.000653367653
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ39
1061451.77000000
PA
USD
1107020.31000000
0.172538385067
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184HLS1
1168141.76000000
PA
USD
1226150.56000000
0.191105832079
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203XHQ2
393.09000000
PA
USD
408.13000000
0.000063610478
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSG1
2887880.53000000
PA
USD
3095142.04000000
0.482403804439
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36218KUT2
1344.50000000
PA
USD
1350.24000000
0.000210446210
Long
ABS-MBS
USGA
US
N
2
2023-03-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203L6N7
208.15000000
PA
USD
209.01000000
0.000032575958
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPAG9
201094.67000000
PA
USD
225978.49000000
0.035220639921
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204AEF8
2639.93000000
PA
USD
2685.85000000
0.000418612212
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204YUM3
1017.38000000
PA
USD
1021.98000000
0.000159284140
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404EDM5
286274.06000000
PA
USD
333443.67000000
0.051969988095
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WCUT8
660309.86000000
PA
USD
725079.56000000
0.113009720957
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A7UW9
74071.01000000
PA
USD
77467.08000000
0.012073893096
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204VE21
4693.46000000
PA
USD
4772.71000000
0.000743866818
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MC4Y8
167251.02000000
PA
USD
178515.95000000
0.027823205630
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBF6
638777.49000000
PA
USD
665298.00000000
0.103692264244
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224YQB8
780.24000000
PA
USD
807.07000000
0.000125788617
Long
ABS-MBS
USGA
US
N
2
2023-03-15
Fixed
7.00000000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591DM1
1170000.00000000
PA
USD
1739700.93000000
0.271146957513
Long
DBT
USGA
US
N
2
2030-05-01
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9KG4
724422.58000000
PA
USD
765915.40000000
0.119374328565
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373WLZ4
1605.50000000
PA
USD
1613.29000000
0.000251444755
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
9.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203PCR2
579.14000000
PA
USD
611.03000000
0.000095234142
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
9128337P9
1100000.00000000
PA
USD
933023.44000000
0.145419515896
Long
DBT
UST
US
N
2
2031-05-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204WC62
139.16000000
PA
USD
139.69000000
0.000021771856
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204PQP0
5899.53000000
PA
USD
5928.56000000
0.000924015719
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203AU95
598.13000000
PA
USD
605.41000000
0.000094358217
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203GD42
1234.88000000
PA
USD
1253.39000000
0.000195351326
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833WQ9
345000.00000000
PA
USD
315432.42000000
0.049162783964
Long
DBT
UST
US
N
2
2028-05-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5JR7
150636.67000000
PA
USD
161762.53000000
0.025212044836
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CU77
3361286.07000000
PA
USD
3578307.54000000
0.557709193452
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205GES6
101.97000000
PA
USD
102.28000000
0.000015941194
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FP67
305848.85000000
PA
USD
339520.84000000
0.052917165928
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022630
8500000.00000000
PA
USD
8825390.63000000
1.375511030044
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834JB5
2200000.00000000
PA
USD
1457156.25000000
0.227110003217
Long
DBT
UST
US
N
2
2040-08-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204DKP3
565.67000000
PA
USD
568.45000000
0.000088597692
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TJY2
441459.88000000
PA
USD
479842.51000000
0.074787473196
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205LF21
2591.40000000
PA
USD
2603.13000000
0.000405719608
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204KKJ1
1355.15000000
PA
USD
1361.29000000
0.000212168445
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205JQG3
252.08000000
PA
USD
252.73000000
0.000039390086
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204VET2
4063.01000000
PA
USD
4083.05000000
0.000636377532
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224LH91
303.28000000
PA
USD
304.35000000
0.000047435496
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CQB3
1755059.19000000
PA
USD
1895679.55000000
0.295457531544
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9G21
65253.44000000
PA
USD
70371.24000000
0.010967947015
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203R2T5
109.99000000
PA
USD
114.80000000
0.000017892541
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834PB8
5050000.00000000
PA
USD
2983642.57000000
0.465025678386
Long
DBT
UST
US
N
2
2044-11-15
None
0.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBL4
110000.00000000
PA
USD
107335.94000000
0.016729205038
Long
DBT
UST
US
N
2
2031-02-15
Fixed
1.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203NZ68
1394.91000000
PA
USD
1453.88000000
0.000226599372
Long
ABS-MBS
USGA
US
N
2
2023-04-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407RSY1
94371.13000000
PA
USD
105161.93000000
0.016390367375
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CU67
260858.92000000
PA
USD
301421.67000000
0.046979091256
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
MLCC Mortgage Investors Inc
N/A
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E
589929Y36
32220.65000000
PA
USD
32613.45000000
0.005083079274
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
0.42763000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834PT9
590000.00000000
PA
USD
340701.95000000
0.053101251811
Long
DBT
UST
US
N
2
2045-11-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MRS4
351325.70000000
PA
USD
412529.06000000
0.064296108357
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292R7M8
936850.80000000
PA
USD
1016949.58000000
0.158500107579
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373QFL5
617.58000000
PA
USD
628.10000000
0.000097894644
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
9.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834AU2
11255000.00000000
PA
USD
7762872.43000000
1.209908671464
Long
DBT
UST
US
N
2
2039-02-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UST0
1242723.24000000
PA
USD
1317151.34000000
0.205289065647
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390LP26
75197.59000000
PA
USD
86346.75000000
0.013457864021
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296YBG7
48463.75000000
PA
USD
56402.53000000
0.008790806593
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FKWD4
1100000.00000000
PA
USD
1185825.19000000
0.184820785496
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Fixed
3.49900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202TBU9
189165.45000000
PA
USD
210596.17000000
0.032823176544
Long
ABS-MBS
USGA
US
N
2
2034-02-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204EGX9
2098.62000000
PA
USD
2202.62000000
0.000343296770
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300XO83D3BDYP0P62
Wells Fargo Commercial Mortgage Trust 2015-LC22
94989TAY0
2066669.03000000
PA
USD
2269435.30000000
0.353710494865
Long
ABS-MBS
CORP
US
N
2
2058-09-15
Fixed
3.57200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204YPV9
443.93000000
PA
USD
445.92000000
0.000069500365
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224J4B5
17323.73000000
PA
USD
18082.55000000
0.002818316833
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WGYK7
543776.86000000
PA
USD
572778.26000000
0.089272288041
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
RESOLUTION FUNDING STRIP
N/A
Resolution Funding Corp Interest Strip
76116EGR5
280000.00000000
PA
USD
237688.39000000
0.037045725890
Long
DBT
USGSE
US
N
2
2030-01-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDG1
555.60000000
PA
USD
667.66000000
0.000104060401
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV4H5
1564689.73000000
PA
USD
1636659.61000000
0.255087104964
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203PAA1
5295.68000000
PA
USD
5600.16000000
0.000872831829
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205UHQ6
225.34000000
PA
USD
238.40000000
0.000037156636
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834DV7
1505000.00000000
PA
USD
1031571.68000000
0.160779084304
Long
DBT
UST
US
N
2
2039-05-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205CWP1
172.49000000
PA
USD
173.87000000
0.000027099095
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204RTJ7
1523.99000000
PA
USD
1530.82000000
0.000238591115
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834LX4
475000.00000000
PA
USD
295891.60000000
0.046117183540
Long
DBT
UST
US
N
2
2042-11-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31287XXH4
75984.81000000
PA
USD
85340.02000000
0.013300956720
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SS8
1110000.00000000
PA
USD
988246.88000000
0.154026551439
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391EFH9
472225.07000000
PA
USD
560995.89000000
0.087435907016
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.50000000
N
N
N
N
N
N
RFC PRINCIPAL STRIP
N/A
Resolution Funding Corp Principal Strip
76116FAB3
1540000.00000000
PA
USD
1333454.01000000
0.207829973279
Long
DBT
USGSE
US
N
2
2030-01-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MMQT3
1127138.21000000
PA
USD
1179047.16000000
0.183764372764
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV3M5
83286.24000000
PA
USD
87102.07000000
0.013575586968
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204U7H8
899.09000000
PA
USD
926.17000000
0.000144351349
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SYU5
1069923.45000000
PA
USD
1178259.23000000
0.183641567276
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204BHU0
5035.50000000
PA
USD
5170.46000000
0.000805859486
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224JZ70
237.09000000
PA
USD
239.95000000
0.000037398216
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M5KA7
75104.31000000
PA
USD
87925.12000000
0.013703866202
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834MT2
350000.00000000
PA
USD
213773.44000000
0.033318380678
Long
DBT
UST
US
N
2
2043-08-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEX2
322873.62000000
PA
USD
337885.19000000
0.052662236179
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591EU2
335000.00000000
PA
USD
371656.44000000
0.057925768279
Long
DBT
USGA
US
N
2
2027-02-01
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFW30
492505.42000000
PA
USD
554995.09000000
0.086500632087
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CXN9
219994.64000000
PA
USD
237246.18000000
0.036976803759
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A7UY5
117537.56000000
PA
USD
122926.53000000
0.019159129039
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
2.50000000
N
N
N
N
N
N
Race Point CLO Ltd
549300C3570PBQ31OI09
Race Point IX CLO Ltd
74981HCC2
1989453.12000000
PA
USD
1988106.66000000
0.309863070586
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.45125000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
244.00000000
NC
USD
503250.00000000
0.078435726518
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2021-06-21
0.00000000
USD
100000.00000000
134.00000000
USD
2021-05-21
XXXX
266893.71000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203NYZ5
1244.65000000
PA
USD
1249.96000000
0.000194816732
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224LS24
837.11000000
PA
USD
846.94000000
0.000132002690
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGG65
870401.21000000
PA
USD
933077.16000000
0.145427888608
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQJZ7
5217000.00000000
PA
USD
5733858.10000000
0.893669797963
Long
ABS-MBS
USGSE
US
N
2
2034-10-25
Fixed
2.85900000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833XU9
1145000.00000000
PA
USD
999191.41000000
0.155732348085
Long
DBT
UST
US
N
2
2030-05-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203BKR4
57.27000000
PA
USD
57.84000000
0.000009014848
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179Q6P1
984580.81000000
PA
USD
1059027.61000000
0.165058320900
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834KV9
2445000.00000000
PA
USD
1561934.78000000
0.243440614492
Long
DBT
UST
US
N
2
2041-11-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MAX8
231894.29000000
PA
USD
252461.62000000
0.039348257491
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJQY7
957394.16000000
PA
USD
996923.65000000
0.155378898700
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T4P7
1007056.86000000
PA
USD
1086949.46000000
0.169410175029
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020634
7000000.00000000
PA
USD
7104726.58000000
1.107331129686
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F012635
5000000.00000000
PA
USD
4912304.70000000
0.765623821207
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224RL51
375.62000000
PA
USD
377.27000000
0.000058800688
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3134A4KX1
40000.00000000
PA
USD
59400.66000000
0.009258090258
Long
DBT
USGSE
US
N
2
2032-07-15
Fixed
6.25000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
9128337T1
820000.00000000
PA
USD
662278.13000000
0.103221592217
Long
DBT
UST
US
N
2
2033-05-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203DJY7
3374.45000000
PA
USD
3419.66000000
0.000532982645
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FQ74
274544.34000000
PA
USD
309105.80000000
0.048176727260
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XJ84
931404.40000000
PA
USD
1023305.39000000
0.159490713789
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HMY6
6606.05000000
PA
USD
7711.00000000
0.001201823918
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDZH0
921036.50000000
PA
USD
955871.34000000
0.148980552430
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132KETW5
385271.10000000
PA
USD
411231.37000000
0.064093852504
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLMW1
1450000.00000000
PA
USD
1653453.27000000
0.257704537498
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Variable
3.49200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRA4
2192735.22000000
PA
USD
2361229.60000000
0.368017405170
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FEZV5
750000.00000000
PA
USD
865920.45000000
0.134960953010
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022642
2500000.00000000
PA
USD
2586474.60000000
0.403123724533
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRC0
3546362.74000000
PA
USD
3772532.95000000
0.587980849968
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
AGL Core 4 CLO Ltd
549300HS2AZ4GZPCZ864
AGL Core CLO 4 LTD
001199AA6
6000000.00000000
PA
USD
5994708.60000000
0.934325532648
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
2.43400000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FGR49
925000.00000000
PA
USD
1080219.26000000
0.168361217003
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
3.92000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RH3
8300000.00000000
PA
USD
9932765.63000000
1.548104696518
Long
DBT
UST
US
N
2
2044-08-15
Fixed
3.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203GSW4
1203.36000000
PA
USD
1218.37000000
0.000189893166
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404JF75
249.48000000
PA
USD
280.73000000
0.000043754121
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136A4TX7
91962.38000000
PA
USD
93252.08000000
0.014534117524
Long
ABS-MBS
USGSE
US
N
2
2022-02-25
Fixed
2.71700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204LKP5
1533.80000000
PA
USD
1554.12000000
0.000242222615
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137ATRX2
12788100.21000000
PA
USD
167008.75000000
0.026029712153
Long
ABS-MBS
USGSE
US
N
2
2022-05-25
Variable
1.34114100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224XQ20
401.76000000
PA
USD
405.91000000
0.000063264472
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
7.00000000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591CS9
170000.00000000
PA
USD
251606.15000000
0.039214925328
Long
DBT
USGA
US
N
2
2036-04-01
Fixed
5.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405WWX9
27335.94000000
PA
USD
31488.35000000
0.004907723018
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203CHH8
527.37000000
PA
USD
533.99000000
0.000083226812
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Canyon Capital CLO Ltd
549300IVUME0ILZ1W208
Canyon CLO 2020-1 Ltd
13876LAA5
3537635.26000000
PA
USD
3538347.03000000
0.551481013355
Long
ABS-CBDO
CORP
KY
N
2
2028-07-15
Floating
2.16125000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204HQQ6
186.21000000
PA
USD
186.99000000
0.000029143957
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK5
06541WAV4
3600000.00000000
PA
USD
3792134.88000000
0.591035974897
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Fixed
3.02000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204T2L7
4294.91000000
PA
USD
4314.33000000
0.000672424457
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020638
7500000.00000000
PA
USD
7575878.93000000
1.180764168678
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203MDZ0
141.11000000
PA
USD
142.76000000
0.000022250341
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RE0
7315000.00000000
PA
USD
9439778.91000000
1.471268588129
Long
DBT
UST
US
N
2
2044-02-15
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022630
-8500000.00000000
PA
USD
-8825390.63000000
-1.37551103004
Short
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205CL57
1146.95000000
PA
USD
1152.10000000
0.000179564432
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS47
1290566.47000000
PA
USD
1368989.96000000
0.213368548650
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MX47
1388607.26000000
PA
USD
1513614.41000000
0.235909480211
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204HE55
329.44000000
PA
USD
330.83000000
0.000051562625
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TE35
196849.74000000
PA
USD
215420.79000000
0.033575133970
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203UX23
416.05000000
PA
USD
421.41000000
0.000065680277
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834LR7
180000.00000000
PA
USD
112767.19000000
0.017575710829
Long
DBT
UST
US
N
2
2042-08-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204GHA3
215.34000000
PA
USD
216.25000000
0.000033704373
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417ECN9
1088597.71000000
PA
USD
1162989.73000000
0.181261687840
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137ASNK6
21828980.22000000
PA
USD
224386.64000000
0.034972536769
Long
ABS-MBS
USGSE
US
N
2
2022-03-25
Variable
1.58490700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GSW7
421793.96000000
PA
USD
442141.92000000
0.068911520554
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E4ES6
413489.13000000
PA
USD
448762.83000000
0.069943444819
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31307EZF4
127047.35000000
PA
USD
135392.67000000
0.021102081344
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LBQ4
329.72000000
PA
USD
331.19000000
0.000051618734
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203QHD6
333.99000000
PA
USD
337.85000000
0.000052656751
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406GMM8
387157.83000000
PA
USD
445859.82000000
0.069490986402
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022648
8500000.00000000
PA
USD
8806796.88000000
1.372613038410
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R4G1
195192.56000000
PA
USD
218131.54000000
0.033997627056
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204G5D0
512.11000000
PA
USD
514.40000000
0.000080173547
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ2S8
191214.51000000
PA
USD
203825.44000000
0.031767901578
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204M5Y1
276.79000000
PA
USD
278.03000000
0.000043333303
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KEK80
622789.64000000
PA
USD
646262.08000000
0.100725356713
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJFK9
1784701.33000000
PA
USD
1880395.75000000
0.293075423333
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204H5Q9
754.89000000
PA
USD
775.60000000
0.000120883754
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31287YG24
36586.40000000
PA
USD
41836.82000000
0.006520618722
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.50000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
9128335B2
480000.00000000
PA
USD
360281.25000000
0.056152849666
Long
DBT
UST
US
N
2
2036-02-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224NN25
4710.48000000
PA
USD
4956.59000000
0.000772526056
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224LNW3
768.58000000
PA
USD
772.01000000
0.000120324223
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223YTH3
203.01000000
PA
USD
203.95000000
0.000031787315
Long
ABS-MBS
USGA
US
N
2
2023-03-15
Fixed
7.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
Barclays Commercial Mortgage Trust 2019-C4
07335CAE4
6000000.00000000
PA
USD
6310091.40000000
0.983480582920
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
2.66100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DW65
6920119.09000000
PA
USD
7097408.80000000
1.106190592397
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FGZU2
1225000.00000000
PA
USD
1426492.29000000
0.222330768283
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
3.93000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RJ9
14705000.00000000
PA
USD
17257696.09000000
2.689756444803
Long
DBT
UST
US
N
2
2044-11-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LEN8
79.12000000
PA
USD
79.47000000
0.000012386064
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403JQX7
408.46000000
PA
USD
459.64000000
0.000071638742
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203GR54
245.11000000
PA
USD
248.87000000
0.000038788473
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404V2D9
125.70000000
PA
USD
141.35000000
0.000022030581
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203MPE4
2524.36000000
PA
USD
2656.76000000
0.000414078292
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203RY78
517.63000000
PA
USD
541.86000000
0.000084453418
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022634
4400000.00000000
PA
USD
4561562.50000000
0.710957712359
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205DD39
139.28000000
PA
USD
141.18000000
0.000022004085
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
362198TM5
332.84000000
PA
USD
337.17000000
0.000052550767
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810ST6
7370000.00000000
PA
USD
6603059.38000000
1.029142095802
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LTKF4
1892363.28000000
PA
USD
2053545.93000000
0.320062328778
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388QP78
1070.81000000
PA
USD
1070.81000000
0.000166894705
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406KM49
55778.04000000
PA
USD
62136.53000000
0.009684498507
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
148239.39000000
0.023104350230
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-02-02
0.00000000
USD
0.00000000
USD
-10080000.00000000
USD
148239.39000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412RKU0
711048.63000000
PA
USD
784859.24000000
0.122326884657
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SE9
6600000.00000000
PA
USD
8390250.00000000
1.307690719162
Long
DBT
UST
US
N
2
2048-11-15
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224YNT2
21.43000000
PA
USD
21.71000000
0.000003383685
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SSN8
327772.99000000
PA
USD
342509.34000000
0.053382948677
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224YSX8
6329.21000000
PA
USD
6455.48000000
0.001006140613
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FHPK3
3300000.00000000
PA
USD
3868995.90000000
0.603015408468
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Variable
3.98600000
N
N
N
N
N
N
Atlas Senior Loan Fund LTD
5493004PDQETMPM6YK04
Atlas Senior Loan Fund V Ltd
04941MAK1
3449952.72000000
PA
USD
3446201.59000000
0.537119374941
Long
ABS-CBDO
CORP
KY
N
2
2029-07-16
Floating
1.48338000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJS35
1292663.81000000
PA
USD
1381402.71000000
0.215303179677
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LC83
148.13000000
PA
USD
151.96000000
0.000023684238
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNS0
315102.65000000
PA
USD
341058.98000000
0.053156897927
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MDML4
1317120.69000000
PA
USD
1388870.42000000
0.216467084813
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2.50000000
N
N
N
N
N
N
AID-ISRAEL
213800T8ZHTFZIBYPE21
Israel Government AID Bond
46513EFG2
500000.00000000
PA
USD
707222.24000000
0.110226508105
Long
DBT
NUSS
IL
N
2
2033-09-18
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223YPZ7
65.40000000
PA
USD
66.21000000
0.000010319382
Long
ABS-MBS
USGA
US
N
2
2023-06-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQUX8
964794.57000000
PA
USD
1009029.34000000
0.157265671854
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WCN82
90634.00000000
PA
USD
95299.07000000
0.014853158056
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31365EF99
904.99000000
PA
USD
909.38000000
0.000141734487
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
9.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BU38
236594.27000000
PA
USD
264917.22000000
0.041289567049
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203KJH8
1885.54000000
PA
USD
1893.99000000
0.000295194201
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407KL64
62185.00000000
PA
USD
72325.10000000
0.011272472457
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203FPN9
94.15000000
PA
USD
95.21000000
0.000014839275
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284N7
11400000.00000000
PA
USD
12784031.25000000
1.992498318775
Long
DBT
UST
US
N
2
2028-05-15
Fixed
2.87500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31359MGK3
580000.00000000
PA
USD
847143.35000000
0.132034384743
Long
DBT
USGSE
US
N
2
2030-11-15
Fixed
6.62500000
N
N
N
N
N
N
York CLO Ltd
2549002O2LJ1LE1W2D54
York CLO-8 Ltd
98626LAC5
1500000.00000000
PA
USD
1499227.50000000
0.233667159817
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
1.66892000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834NF1
620000.00000000
PA
USD
373816.41000000
0.058262417690
Long
DBT
UST
US
N
2
2044-02-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203MJF8
6767.76000000
PA
USD
7099.39000000
0.001106499379
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
362194M25
632.37000000
PA
USD
653.76000000
0.000101893970
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RC4
18395000.00000000
PA
USD
23700807.81000000
3.693969358455
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6PU9
1924272.50000000
PA
USD
2042312.07000000
0.318311437629
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 Year US Treasury Note
000000000
344.00000000
NC
USD
-54551.88000000
-0.00850236729
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-06-30
75997927.23000000
USD
-54551.88000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CAE7
102026.31000000
PA
USD
118707.22000000
0.018501514244
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5AY1
1849881.73000000
PA
USD
2012643.07000000
0.313687275543
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJMN7
992419.49000000
PA
USD
1114895.87000000
0.173765857040
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204JC95
167.30000000
PA
USD
169.52000000
0.000026421111
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ2J8
694963.96000000
PA
USD
763004.95000000
0.118920710561
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203RND7
2834.67000000
PA
USD
2847.22000000
0.000443763078
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31307R4X0
466361.12000000
PA
USD
487874.93000000
0.076039393113
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.50000000
N
N
N
N
N
N
Battalion CLO LTD
549300CJP8HGT746II19
Battalion Clo XV Ltd
07131AAA2
2250000.00000000
PA
USD
2244705.30000000
0.349856117286
Long
ABS-CBDO
CORP
KY
N
2
2033-01-17
Floating
1.57338000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203WQN1
2659.90000000
PA
USD
2734.79000000
0.000426239921
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WH5N1
507029.82000000
PA
USD
534718.84000000
0.083340408739
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FKSJ6
350000.00000000
PA
USD
410162.73000000
0.063927296012
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Variable
3.91900000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBJ9
17100000.00000000
PA
USD
16696546.88000000
2.602296641581
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030637
9000000.00000000
PA
USD
9419062.50000000
1.468039762159
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SUV7
446991.23000000
PA
USD
477633.86000000
0.074443236599
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410B7L2
376997.16000000
PA
USD
452769.54000000
0.070567924123
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LBT8
77.80000000
PA
USD
81.21000000
0.000012657258
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204G5C2
7141.02000000
PA
USD
7230.48000000
0.001126930853
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRD8
2079987.86000000
PA
USD
2247918.68000000
0.350356949467
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834JP4
150000.00000000
PA
USD
97910.16000000
0.015260118297
Long
DBT
UST
US
N
2
2041-02-15
None
0.00000000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591CJ9
1300000.00000000
PA
USD
1652143.31000000
0.257500369263
Long
DBT
USGA
US
N
2
2025-11-01
Fixed
6.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LAY8
1280.30000000
PA
USD
1340.42000000
0.000208915681
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417EY21
520656.15000000
PA
USD
556238.83000000
0.086694479381
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833PE4
920000.00000000
PA
USD
855204.69000000
0.133290812085
Long
DBT
UST
US
N
2
2027-08-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030637
-9000000.00000000
PA
USD
-9419062.50000000
-1.46803976215
Short
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DQA3
580932.85000000
PA
USD
609173.92000000
0.094944856415
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNQ4
259650.50000000
PA
USD
273193.78000000
0.042579538230
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296WBJ5
59783.29000000
PA
USD
69390.72000000
0.010815124762
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FVVQ6
2535241.76000000
PA
USD
2747664.65000000
0.428246543568
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204S2W5
109.96000000
PA
USD
110.17000000
0.000017170917
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSJ5
1076195.73000000
PA
USD
1164204.51000000
0.181451021475
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-80844.22000000
-0.01260024864
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-01-13
0.00000000
USD
0.00000000
USD
6720000.00000000
USD
-80844.22000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405QK23
504365.20000000
PA
USD
588958.96000000
0.091794185627
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371EVX0
40976.82000000
PA
USD
44020.20000000
0.006860916777
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EWWY7
672442.82000000
PA
USD
710474.43000000
0.110733389149
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
585.00000000
NC
USD
-846615.36000000
-0.13195209308
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-06-21
78487084.11000000
USD
-846615.36000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224VLY9
11563.37000000
PA
USD
11614.80000000
0.001810263837
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203QBD2
135.58000000
PA
USD
136.18000000
0.000021224793
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204MMB2
4625.56000000
PA
USD
4646.35000000
0.000724172554
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
PGIM Core Ultra Short Bond Fund
1VRLPVAWKZCB406TIT84
PGIM Core Ultra Short Bond Fund
000000000
24369365.83000000
NS
USD
24369365.83000000
3.798169724115
Long
STIV
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390PAB3
190380.76000000
PA
USD
217464.32000000
0.033893635232
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205BFS6
70.53000000
PA
USD
70.85000000
0.000011042565
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A8XR5
546863.72000000
PA
USD
578597.79000000
0.090179310522
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
2.50000000
N
N
N
N
N
N
Octagon Investment Partners 45
N/A
Octagon Investment Partners 45 Ltd
67577MAA1
6000000.00000000
PA
USD
5998383.00000000
0.934898218656
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
1.57125000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBBY1
3200000.00000000
PA
USD
3588428.16000000
0.559286576825
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Fixed
3.31500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L5A29
1137132.88000000
PA
USD
1223296.28000000
0.190660968641
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834MM7
4550000.00000000
PA
USD
2799138.66000000
0.436269199050
Long
DBT
UST
US
N
2
2043-05-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AVW5
436465.96000000
PA
USD
456477.44000000
0.071145831387
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020638
-9000000.00000000
PA
USD
-9091054.71000000
-1.41691700147
Short
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
78120.51000000
0.012175735634
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-01-13
0.00000000
USD
0.00000000
USD
-6720000.00000000
USD
78120.51000000
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
9128335A4
320000.00000000
PA
USD
243237.50000000
0.037910601150
Long
DBT
UST
US
N
2
2035-08-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205BLX8
62.23000000
PA
USD
62.51000000
0.000009742706
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413NU29
268406.24000000
PA
USD
320209.56000000
0.049907341235
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UUJ9
2845280.38000000
PA
USD
3015613.15000000
0.470008560989
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
3.50000000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591EW8
1485000.00000000
PA
USD
1487260.27000000
0.231801966813
Long
DBT
USGA
US
N
2
2025-05-15
Fixed
0.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204UJG7
2392.96000000
PA
USD
2424.42000000
0.000377866158
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203RZZ5
3365.30000000
PA
USD
3515.40000000
0.000547904526
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-42132.83000000
-0.00656675435
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-02-02
0.00000000
USD
0.00000000
USD
10080000.00000000
USD
-42132.83000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEV30
3045944.34000000
PA
USD
3282510.41000000
0.511606733853
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8R30
264991.35000000
PA
USD
293610.61000000
0.045761672148
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SWW3
3481359.36000000
PA
USD
3681236.21000000
0.573751488556
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ADPD4
298616.87000000
PA
USD
320508.58000000
0.049953946006
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QGE5
403074.55000000
PA
USD
453839.31000000
0.070734656735
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMK5
4186909.87000000
PA
USD
4458368.34000000
0.694874038416
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203JUJ4
8293.03000000
PA
USD
8371.09000000
0.001304704472
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
UNITED STATES 10 YEAR TREASURY NOTE/BOND
000000000
-668.00000000
NC
USD
1421040.10000000
0.221480998817
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2021-06-21
-99846665.10000000
USD
1421040.10000000
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FL6F6
880000.00000000
PA
USD
1024222.76000000
0.159633693585
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Variable
3.76100000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B27K2
1480121.96000000
PA
USD
1641399.60000000
0.255825872096
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Variable
3.57781000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CW26
221511.36000000
PA
USD
237447.36000000
0.037008159347
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203PCA9
842.78000000
PA
USD
888.67000000
0.000138506660
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4DE3
3844157.23000000
PA
USD
4053561.89000000
0.631781563493
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DTQ5
7513776.44000000
PA
USD
7595242.38000000
1.183782124503
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203XTR7
1262.49000000
PA
USD
1268.09000000
0.000197642444
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SNU7
200879.46000000
PA
USD
212404.06000000
0.033104951339
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390NZK1
398709.14000000
PA
USD
468257.79000000
0.072981897578
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TCX1
1279491.71000000
PA
USD
1367023.09000000
0.213061995491
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203DJG6
931.31000000
PA
USD
935.48000000
0.000145802391
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204CZE4
1041.54000000
PA
USD
1046.23000000
0.000163063706
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
7.00000000
N
N
N
N
N
N
RESOLUTION FUNDING STRIP
N/A
Resolution Funding Corp Interest Strip
76116EHK9
900000.00000000
PA
USD
818112.64000000
0.127509705498
Long
DBT
USGSE
US
N
2
2028-04-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TQR9
161938.32000000
PA
USD
177322.21000000
0.027637151255
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388LGD6
238048.13000000
PA
USD
277358.53000000
0.043228649392
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409BG68
160431.97000000
PA
USD
180930.60000000
0.028199549051
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410PWB5
1318.59000000
PA
USD
1329.61000000
0.000207230852
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410BEH3
70999.20000000
PA
USD
84776.94000000
0.013213195987
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405KBU4
193.00000000
PA
USD
217.98000000
0.000033974008
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290SHW4
496501.42000000
PA
USD
578446.36000000
0.090155708888
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJ97
6500000.00000000
PA
USD
7101573.05000000
1.106839625629
Long
ABS-MBS
USGSE
US
N
2
2034-08-25
Fixed
2.79700000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G05Q2
970000.00000000
PA
USD
916784.07000000
0.142888474099
Long
DBT
USGSE
US
N
2
2030-08-05
Fixed
0.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407YGD5
70119.94000000
PA
USD
81427.24000000
0.012691117193
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FPG5
111744.92000000
PA
USD
127452.27000000
0.019864503514
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RZV4
38555.68000000
PA
USD
43311.73000000
0.006750495795
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31372GUP2
5888.71000000
PA
USD
5966.12000000
0.000929869759
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203YFN9
1787.06000000
PA
USD
1794.95000000
0.000279757987
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203YDN1
1544.45000000
PA
USD
1573.53000000
0.000245247826
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405NSG1
20301.90000000
PA
USD
22997.41000000
0.003584338919
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205QQK8
2064.16000000
PA
USD
2073.51000000
0.000323173896
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204QBR0
632.09000000
PA
USD
665.06000000
0.000103655169
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
27745000.00000000
PA
USD
36415312.50000000
5.675631380666
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203QG88
293.28000000
PA
USD
297.30000000
0.000046336694
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204TF25
1442.21000000
PA
USD
1448.65000000
0.000225784232
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K8RB9
374308.02000000
PA
USD
388415.39000000
0.060537790969
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203N3K2
758.32000000
PA
USD
793.00000000
0.000123595690
Long
ABS-MBS
USGA
US
N
2
2023-06-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296JTZ9
555699.45000000
PA
USD
638986.59000000
0.099591410674
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402TL86
506.18000000
PA
USD
568.97000000
0.000088678738
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204D5S4
1298.58000000
PA
USD
1303.93000000
0.000203228409
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
2021-04-22
Prudential Investment Portfolios, Inc. 14
Christian J. Kelly
Christian J. Kelly
Treasurer and Principal Financial and Accounting Officer