0001752724-24-071927.txt : 20240327
0001752724-24-071927.hdr.sgml : 20240327
20240327162156
ACCESSION NUMBER: 0001752724-24-071927
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240131
FILED AS OF DATE: 20240327
DATE AS OF CHANGE: 20240327
PERIOD START: 20240731
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY INCOME FUND /MA/
CENTRAL INDEX KEY: 0000751199
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0731
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04085
FILM NUMBER: 24790974
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY MORTGAGE SECURITIES FUND
DATE OF NAME CHANGE: 19851103
0000751199
S000007068
Fidelity GNMA Fund
C000019282
Fidelity GNMA Fund
FGMNX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000751199
XXXXXXXX
S000007068
C000019282
Fidelity Income Fund
811-04085
0000751199
D66RCKM57LC8ELZCAY58
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity GNMA Fund
S000007068
775WA6SKHRP1TXGPSK08
2024-07-31
2024-01-31
N
3534784288.70
1362920073.43
2171864215.27
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
923035321.79000000
0.00000000
0.00000000
3657.50000000
USD
N
Bloomberg GNMA Index
19808150
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 06/01/2051#
3132DWBV4
70872.98200000
PA
USD
62468.60000000
0.002876266368
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2032#AS8602
3138WJRY6
912355.22900000
PA
USD
861429.93000000
0.039663157758
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 02/20/2050#BQ4127
3617LNSQ8
2965115.68000000
PA
USD
2639449.32000000
0.121529205253
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/15/2038#758921
36230T4E9
1174246.06600000
PA
USD
1085355.29000000
0.049973441358
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #705917
36297AG23
81926.66950000
PA
USD
79308.80000000
0.003651646334
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/40#753312
36230MVD6
311793.03290000
PA
USD
301881.48000000
0.013899647955
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745127
3620C0YY8
406383.88570000
PA
USD
401758.63000000
0.018498330935
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #748314
3620C4K33
91688.46270000
PA
USD
88707.05000000
0.004084373662
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 04/15/2043#AD9012
36180NAM7
232392.30570000
PA
USD
225102.51000000
0.010364483581
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/24 #355060
36203PMH3
78.92530000
PA
USD
78.76000000
0.000003626377
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/29 #499688
36210RCZ1
2373.17700000
PA
USD
2416.49000000
0.000111263401
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/29 #499435
36210QY89
2398.79900000
PA
USD
2467.24000000
0.000113600103
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/29 #510988
36211EUM8
2486.52540000
PA
USD
2521.47000000
0.000116097036
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 03/20/2047#784299
3622A2X49
363929.25500000
PA
USD
352401.18000000
0.016225746412
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.75% 10/20/2045#AK8794
36183SXX4
2428715.43230000
PA
USD
2296069.92000000
0.105718852212
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #447622
36208DG74
2202.57490000
PA
USD
2241.69000000
0.000103215016
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/29 #503984
36210V2R1
2595.44630000
PA
USD
2704.89000000
0.000124542316
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/29 #502361
36210UB69
97.02300000
PA
USD
99.29000000
0.000004571648
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 11/39 #718029
3620A3VW1
4818.05240000
PA
USD
4763.75000000
0.000219339218
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/27 #002394
36202CUT8
3462.31520000
PA
USD
3560.56000000
0.000163940267
Long
ABS-MBS
USGA
US
N
2
2027-03-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/26 #429471
36207ECG7
996.92950000
PA
USD
1019.42000000
0.000046937556
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #567123
36213XAY0
628.99540000
PA
USD
657.02000000
0.000030251430
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #443839
36207WBG8
455.35010000
PA
USD
458.04000000
0.000021089716
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 1/40 #723715
3620AAAQ1
161060.09400000
PA
USD
156049.42000000
0.007185044944
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 08/20/2043#MA1223
36179NLC0
791033.58690000
PA
USD
725224.89000000
0.033391815422
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 1/34 #562355
36213RWQ6
34968.36470000
PA
USD
36186.26000000
0.001666138230
Long
ABS-MBS
USGA
US
N
2
2034-01-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #433627
36207JVU4
115.55520000
PA
USD
117.53000000
0.000005411480
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 8/38 #691940
36296HV97
126782.32970000
PA
USD
134569.14000000
0.006196019947
Long
ABS-MBS
USGA
US
N
2
2038-08-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 10/15/2043#711811
36297GYG9
101639.94400000
PA
USD
92566.66000000
0.004262083207
Long
ABS-MBS
USGA
US
N
2
2043-10-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/28 #464704
36208YGM5
499.32360000
PA
USD
517.20000000
0.000023813643
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.25% 9/27 #453325
36208KSN0
3624.76360000
PA
USD
3698.89000000
0.000170309450
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/26 #422490
36206VKB2
4.91020000
PA
USD
4.94000000
0.000000227454
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 11/01/2031#ZS8629
3132A9SS7
770988.55300000
PA
USD
728234.39000000
0.033530383017
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #438420
36207QAV9
6252.74850000
PA
USD
6391.73000000
0.000294296943
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 9/31 #003133
36202DPS4
6661.79960000
PA
USD
6876.97000000
0.000316639039
Long
ABS-MBS
USGA
US
N
2
2031-09-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/24 #780467
36225AQU7
409.03460000
PA
USD
408.54000000
0.000018810568
Long
ABS-MBS
USGA
US
N
2
2024-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/40 #723731
3620AAA81
556333.36650000
PA
USD
539278.63000000
0.024830218491
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 04/20/2043#AD9075
36180NCL7
1374965.06710000
PA
USD
1284694.49000000
0.059151694703
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NATL MTG AS GTD RE PTT
B1V7KEBTPIMZEU4LTD58
FEDERAL NATL MTG AS GTD RE PTT 3.5% 11/25/2046
3136AUEL1
3979344.93400000
PA
USD
637235.98000000
0.029340507363
Long
ABS-CBDO
USGSE
US
N
2
2046-11-25
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #773113
36176QVE1
9677.41460000
PA
USD
9395.07000000
0.000432580910
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.50% 11/29 #002837
36202DEJ6
2679.63760000
PA
USD
2742.84000000
0.000126289663
Long
ABS-MBS
USGA
US
N
2
2029-11-20
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 03/01/2042#SC0295
3132D9KG8
4131436.05900000
PA
USD
3891755.75000000
0.179189643746
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479607
36209RYC1
216594.59560000
PA
USD
209781.94000000
0.009659072538
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2047#MA4322
36179SYT8
2658338.45900000
PA
USD
2574131.07000000
0.118521731326
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #475200
36209L3H7
1341.17030000
PA
USD
1373.60000000
0.000063245206
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/26 #415054
36206MBX4
106.27900000
PA
USD
106.91000000
0.000004922499
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 12/32 #003323
36202DVQ1
50302.88420000
PA
USD
52644.86000000
0.002423948036
Long
ABS-MBS
USGA
US
N
2
2032-12-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #443658
36207VZX7
3679.40930000
PA
USD
3761.19000000
0.000173177953
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/25 #410082
36206FRB0
756.17540000
PA
USD
757.68000000
0.000034886158
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 2/20/43 #MA0782
36179M2P4
10723529.42880000
PA
USD
9847388.12000000
0.453407172085
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/27 #353908
36203NDM7
2586.27990000
PA
USD
2650.44000000
0.000122035253
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #462816
36208WDV2
1048.04740000
PA
USD
1071.34000000
0.000049328129
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/36 #663332
36294X4R4
89172.31240000
PA
USD
94272.34000000
0.004340618503
Long
ABS-MBS
USGA
US
N
2
2036-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005203
36202FX84
4077851.71380000
PA
USD
3962783.30000000
0.182459993223
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/34 #616414
36290SYK1
737.27420000
PA
USD
741.83000000
0.000034156371
Long
ABS-MBS
USGA
US
N
2
2034-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/28 #454951
36208ML86
10890.13940000
PA
USD
11128.28000000
0.000512383781
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 2/34 #628858
36291HTP9
4181.99880000
PA
USD
4289.43000000
0.000197499915
Long
ABS-MBS
USGA
US
N
2
2034-02-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 4/31 #529900
36212CUZ2
1693.11260000
PA
USD
1742.14000000
0.000080214038
Long
ABS-MBS
USGA
US
N
2
2031-04-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/31 #566254
36213WBX3
1817.90660000
PA
USD
1898.04000000
0.000087392203
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/30 #540606
36212QR36
71843.39060000
PA
USD
74880.05000000
0.003447731652
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/33 #003485
36202D2S9
51573.93090000
PA
USD
50366.34000000
0.002319037242
Long
ABS-MBS
USGA
US
N
2
2033-11-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
3106259.26050000
PA
USD
3005994.80000000
0.138406203245
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.87% 1/35 #735833
31402RPS2
9979.63900000
PA
USD
10117.27000000
0.000465833449
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.04085000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 3/31 #529843
36212CS85
26675.42950000
PA
USD
28214.98000000
0.001299113443
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 11/20/2039#726716
3620ADK50
134053.59700000
PA
USD
138603.60000000
0.006381780178
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/42#767581
36176JRA0
228859.30380000
PA
USD
221584.12000000
0.010202484963
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-32 SG TSFR1M+638.552 3/33
38374GYV8
2054291.21220000
PA
USD
108562.51000000
0.004998586432
Long
ABS-CBDO
USGA
US
N
2
2033-03-20
Variable
0.01048860
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/25 #780204
36225AGM6
7.26650000
PA
USD
7.26000000
0.000000334275
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 3/30 #472153
36209HQE8
944.99690000
PA
USD
992.52000000
0.000045698989
Long
ABS-MBS
USGA
US
N
2
2030-03-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.0% 10/20/2034#003623
36202EAY5
3482.66230000
PA
USD
3515.06000000
0.000161845292
Long
ABS-MBS
USGA
US
N
2
2034-10-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 07/20/2048#MA5332
36179T4R3
1948550.49100000
PA
USD
1961028.03000000
0.090292386430
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/27 #453705
36208LAE7
3590.59530000
PA
USD
3645.44000000
0.000167848430
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/34 #605443
36200NS85
11584.39390000
PA
USD
11665.48000000
0.000537118293
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 7.395% 2/27 #444343
36207WS88
23939.45850000
PA
USD
24337.02000000
0.001120559003
Long
ABS-MBS
USGA
US
N
2
2027-02-20
Fixed
0.07395000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/41 #765881
36176GUE4
97694.48180000
PA
USD
96587.94000000
0.004447236586
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 7/42 #AA5451
36178DBU4
9034046.83070000
PA
USD
8510377.47000000
0.391846663809
Long
ABS-MBS
USGA
US
N
2
2042-07-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 02/20/2042#005317
36202F4A1
76028.82000000
PA
USD
78252.91000000
0.003603029574
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/27 #458343
36208REQ3
949.22860000
PA
USD
962.57000000
0.000044319989
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 06/15/2033#614485
36290QUJ2
3884.95950000
PA
USD
3894.08000000
0.000179296660
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #426700
36207A7M8
2255.26310000
PA
USD
2312.76000000
0.000106487320
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.25% MAC 03/20/31
N/A
-70631000.00000000
NC
USD
-1057582.68000000
-0.04869469613
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2031-03-20
0.00000000
USD
0.00000000
USD
-72620055.84000000
USD
-1057582.68000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 8/27 #455436
36208M4V4
829.18000000
PA
USD
847.88000000
0.000039039272
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2015-24 PI 3.5% 2/45
38379JUM1
8055251.59170000
PA
USD
1239075.72000000
0.057051251698
Long
ABS-CBDO
USGA
US
N
2
2045-02-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 7/28 #450938
36208G4X3
583.60380000
PA
USD
596.77000000
0.000027477316
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 6/34 #003568
36202D6D8
48661.12780000
PA
USD
49096.90000000
0.002260587915
Long
ABS-MBS
USGA
US
N
2
2034-06-20
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 343 16 5.5% 5/34
3136FA6N5
98876.66260000
PA
USD
15625.37000000
0.000719445068
Long
ABS-CBDO
USGSE
US
N
2
2034-05-25
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #757631
36230SPQ1
23109.64350000
PA
USD
22360.02000000
0.001029531212
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #773499
36176RDC3
76517.19770000
PA
USD
74097.56000000
0.003411703157
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #458926
36208RYX6
5836.17930000
PA
USD
5973.49000000
0.000275039754
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 04/45#777596
36176VUV3
1018469.97360000
PA
USD
929166.15000000
0.042781963230
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/41 #764818
36176FPB8
247927.03050000
PA
USD
245143.65000000
0.011287245688
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 9/28 #457818
36208QSF4
952.35770000
PA
USD
973.84000000
0.000044838898
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/26 #002184
36202CM91
792.51000000
PA
USD
815.00000000
0.000037525366
Long
ABS-MBS
USGA
US
N
2
2026-03-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/25 #406452
36206BQD6
1824.33840000
PA
USD
1836.31000000
0.000084549945
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #780717
36225AYN4
2202.27920000
PA
USD
2244.17000000
0.000103329203
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.75% 05/46#AS8102
36193UAB0
847736.97120000
PA
USD
800907.56000000
0.036876502424
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #404537
36205YLS9
9455.57580000
PA
USD
9696.64000000
0.000446466216
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM
38375BPJ5
1195978.34810000
PA
USD
1194525.83000000
0.055000023555
Long
ABS-CBDO
USGA
US
N
2
2062-01-20
Variable
0.06160350
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 9/28 #002645
36202C5E9
24075.21230000
PA
USD
24758.36000000
0.001139958926
Long
ABS-MBS
USGA
US
N
2
2028-09-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 3/39 #701745
36296UTA8
70466.31510000
PA
USD
73964.90000000
0.003405595040
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 1/30 #526737
36211YEJ9
148574.93680000
PA
USD
149309.67000000
0.006874723979
Long
ABS-MBS
USGA
US
N
2
2030-01-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7% 2/32 #003202
36202DRX1
102285.49790000
PA
USD
106900.12000000
0.004922044354
Long
ABS-MBS
USGA
US
N
2
2032-02-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #477488
36209PND5
2546.95720000
PA
USD
2613.57000000
0.000120337633
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #481352
36209TWM7
699.31870000
PA
USD
703.01000000
0.000032368966
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.0% 02/20/2032#003212
36202DR94
2929.90870000
PA
USD
2918.01000000
0.000134355084
Long
ABS-MBS
USGA
US
N
2
2032-02-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 06/15/2042#799330
36177ULL6
31858.81310000
PA
USD
30796.05000000
0.001417954666
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 07/15/2042#799350
36177UL85
243709.96120000
PA
USD
235709.26000000
0.010852854351
Long
ABS-MBS
USGA
US
N
2
2042-07-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H12 FA TSFR1M+60.448 5/61
38375BLS9
1985811.09580000
PA
USD
1977205.19000000
0.091037237783
Long
ABS-CBDO
USGA
US
N
2
2061-02-20
Variable
0.05950350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #751249
36230KL66
7929.54100000
PA
USD
7687.55000000
0.000353960894
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/32 #581931
36201FPQ4
1640.95890000
PA
USD
1724.07000000
0.000079382034
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 5/24 #390664
36205G5Z0
508.81570000
PA
USD
507.73000000
0.000023377612
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 10/39 #726380
3620AC6R0
231833.92500000
PA
USD
229156.89000000
0.010551160997
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044
38378Y2R9
1218463.06530000
PA
USD
1114559.60000000
0.051318106913
Long
ABS-CBDO
USGA
US
N
2
2044-02-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/29 #519495
36211QC82
6852.87770000
PA
USD
7164.03000000
0.000329856256
Long
ABS-MBS
USGA
US
N
2
2029-10-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-32 GS 650-1ML 5/34
38374GZM7
174276.69400000
PA
USD
12409.04000000
0.000571354319
Long
ABS-CBDO
USGA
US
N
2
2034-05-16
Variable
0.01047540
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #464933
36208YPS2
5685.39530000
PA
USD
5789.93000000
0.000266588028
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H27 FA TSFR1M+38 12/60
38375BJK9
1976822.47500000
PA
USD
1966641.64000000
0.090550856088
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Variable
0.05840350
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 4/39 #004422
36202E4F3
3338.90620000
PA
USD
3249.53000000
0.000149619390
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#SC0210
3132D9GT5
7741579.88000000
PA
USD
6852602.65000000
0.315517084439
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #717148
3620A2WH5
244783.41040000
PA
USD
241944.78000000
0.011139958856
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2016-146 AL VAR 5/20/40
38380AT31
1958912.12890000
PA
USD
1992418.34000000
0.091737702844
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Variable
0.05669940
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/39 #720106
3620A6AF4
35693.55190000
PA
USD
35274.82000000
0.001624172439
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/34 #627354
36291F5P9
473.20120000
PA
USD
476.38000000
0.000021934152
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AD0757
36180BZW4
45043.02770000
PA
USD
41084.17000000
0.001891654630
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.25% 9/27 #455538
36208NBF9
13011.00000000
PA
USD
13224.24000000
0.000608888894
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/33 #611957
36202WZW2
5477.47680000
PA
USD
5676.46000000
0.000261363484
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2041#755959
36230QTQ1
160559.39620000
PA
USD
155632.04000000
0.007165827352
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 05/15/2044#AE8414
36181CK31
301166.36350000
PA
USD
290969.23000000
0.013397210928
Long
ABS-MBS
USGA
US
N
2
2044-05-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/29 #495849
36210LZN6
3242.75070000
PA
USD
3304.43000000
0.000152147172
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #517828
36211NHD3
767.22150000
PA
USD
797.86000000
0.000036736182
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 07/46#MA3873
36179SJS7
13184771.18800000
PA
USD
12004469.15000000
0.552726504060
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#FM9902
3140XEAC8
353796.74900000
PA
USD
311289.41000000
0.014332820984
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 9/28 #002643
36202C5C3
5772.21410000
PA
USD
5861.27000000
0.000269872764
Long
ABS-MBS
USGA
US
N
2
2028-09-20
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 04/20/2049
38381TH99
5128760.49100000
PA
USD
5031931.03000000
0.231687183509
Long
ABS-CBDO
USGA
US
N
2
2049-04-20
Variable
0.05901140
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #698329
36296QY29
121964.48000000
PA
USD
120548.68000000
0.005550470381
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #723745
3620AABN7
309748.72560000
PA
USD
306218.18000000
0.014099324342
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 02/01/2054 #TBA
01F052623
-11150000.00000000
PA
USD
-11191376.54000000
-0.51528896057
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #464145
36208XTA9
211.42690000
PA
USD
211.09000000
0.000009719300
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 03/20/2043#AA6143
36178DZG9
798071.63800000
PA
USD
745563.31000000
0.034328265310
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/30 #515340
36211KPZ1
19872.23710000
PA
USD
20700.70000000
0.000953130488
Long
ABS-MBS
USGA
US
N
2
2030-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2043#AC9441
36179KP24
99618.32340000
PA
USD
96355.68000000
0.004436542548
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 08/15/43#AF5070
36181LT32
8302.84120000
PA
USD
8028.36000000
0.000369652943
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 5% 10/20/2044
38379GXL6
4276389.39600000
PA
USD
865815.33000000
0.039865076458
Long
ABS-CBDO
USGA
US
N
2
2044-10-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 3/27 #447462
36208DB79
1834.91500000
PA
USD
1876.30000000
0.000086391220
Long
ABS-MBS
USGA
US
N
2
2027-03-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 9/36 #003897
36202EKJ7
5720.27770000
PA
USD
5790.26000000
0.000266603223
Long
ABS-MBS
USGA
US
N
2
2036-09-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.19% 9/33 #748643
31403GWC2
119155.70980000
PA
USD
120268.23000000
0.005537557511
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
0.07290000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.00% 10/42 #AB8351
36178VH46
1573123.59630000
PA
USD
1438882.98000000
0.066251056114
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #467828
36209CVV5
4919.81570000
PA
USD
5025.98000000
0.000231413177
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 3/40 #706790
36297BF71
300521.95060000
PA
USD
291340.07000000
0.013414285660
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.64% 4/36 #1J0058
3128LUB39
47949.75470000
PA
USD
49222.33000000
0.002266363138
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Variable
0.05239000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 09/20/2049#BN2661
3617K55W0
1778104.89900000
PA
USD
1640094.26000000
0.075515506377
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/26 #423861
36206WZ24
218.98590000
PA
USD
220.72000000
0.000010162697
Long
ABS-MBS
USGA
US
N
2
2026-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/33 #616014
36290SK34
5808.09140000
PA
USD
5841.81000000
0.000268976760
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/32 #583559
36201HJC8
3919.23170000
PA
USD
4134.32000000
0.000190358125
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/25 #414843
36206LZG7
185.39560000
PA
USD
186.58000000
0.000008590776
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 12/30 #545651
36212WEY9
41570.23100000
PA
USD
41961.66000000
0.001932057248
Long
ABS-MBS
USGA
US
N
2
2030-12-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 3/39 #782604
36241K3M8
32124.17460000
PA
USD
33184.00000000
0.001527903989
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 03/20/2043#AA6149
36178DZN4
1872174.57200000
PA
USD
1703734.46000000
0.078445717187
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 9/29 #518835
36211PLQ4
107193.17800000
PA
USD
107609.39000000
0.004954701552
Long
ABS-MBS
USGA
US
N
2
2029-09-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 07/20/2040#742057
3620AWME7
144982.71000000
PA
USD
150778.83000000
0.006942369091
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/30 #503169
36210U6E8
2399.04130000
PA
USD
2450.81000000
0.000112843610
Long
ABS-MBS
USGA
US
N
2
2030-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #487317
36210BK61
9650.65550000
PA
USD
9928.66000000
0.000457149205
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/31 #435050
36207LH35
514.83710000
PA
USD
530.92000000
0.000024445358
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 04/20/2050#MA6598
36179VKK5
96625156.12000000
PA
USD
84093076.28000000
3.871930652420
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/32 #582957
36201GTN5
74377.27540000
PA
USD
78022.88000000
0.003592438212
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #472039
36209HLU7
1590.43800000
PA
USD
1630.98000000
0.000075095854
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/30 #532610
36212FVB7
3878.11060000
PA
USD
4086.72000000
0.000188166459
Long
ABS-MBS
USGA
US
N
2
2030-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #582098
36201FUX3
58.48860000
PA
USD
60.41000000
0.000002781481
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-46 BZ 6% 6/34
38374G7H9
909124.85000000
PA
USD
922731.18000000
0.042485675371
Long
ABS-CBDO
USGA
US
N
2
2034-06-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#738104
3620ASAD1
1388811.23660000
PA
USD
1345246.31000000
0.061939706015
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/24 #353311
36203MN48
9.54430000
PA
USD
9.53000000
0.000000438793
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #481803
36209UGL4
4587.69880000
PA
USD
4660.59000000
0.000214589382
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 6/34 #602419
36200JG46
18662.87420000
PA
USD
19135.30000000
0.000881054159
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 09/15/2042#AB2871
36178NFL8
97533.40830000
PA
USD
89423.61000000
0.004117366517
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #732919
3620ALG40
118260.21460000
PA
USD
114424.13000000
0.005268475312
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #782902
36241LGK6
45694.83880000
PA
USD
45168.37000000
0.002079705060
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #509366
36211CZ70
6820.08790000
PA
USD
7092.48000000
0.000326561851
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/27 #463299
36208WUY7
17199.68110000
PA
USD
17587.63000000
0.000809794179
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/25 #403707
36205XNY6
116.16060000
PA
USD
116.63000000
0.000005370041
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 4/35 #618234
36290UY75
3566.88640000
PA
USD
3666.30000000
0.000168808895
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 4/30 #528715
36212BK44
3396.46490000
PA
USD
3571.28000000
0.000164433852
Long
ABS-MBS
USGA
US
N
2
2030-04-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/40 #737433
3620ARHJ3
34540.06330000
PA
USD
33474.56000000
0.001541282358
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/29 #500146
36210RTB6
3022.66670000
PA
USD
3104.39000000
0.000142936652
Long
ABS-MBS
USGA
US
N
2
2029-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 06/20/2051#MA7418
36179WG36
9397531.72800000
PA
USD
8152261.04000000
0.375357767888
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#796180
36177Q2N2
37617.05560000
PA
USD
36379.24000000
0.001675023684
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 10/28 #002659
36202C5U3
13774.12500000
PA
USD
14164.97000000
0.000652203296
Long
ABS-MBS
USGA
US
N
2
2028-10-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 1/35 #636095
36291RUU4
135.10370000
PA
USD
135.91000000
0.000006257757
Long
ABS-MBS
USGA
US
N
2
2035-01-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #513706
36211HU74
1392.27980000
PA
USD
1446.25000000
0.000066590258
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/29 #186965
362169TW4
15336.27220000
PA
USD
16032.61000000
0.000738195780
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #781176
36225BJV1
4906.22370000
PA
USD
5012.10000000
0.000230774095
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 2/31 #529813
36212CSA0
26916.46810000
PA
USD
28395.01000000
0.001307402635
Long
ABS-MBS
USGA
US
N
2
2031-02-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 5/32 #003238
36202DS36
155228.24130000
PA
USD
160230.95000000
0.007377576778
Long
ABS-MBS
USGA
US
N
2
2032-05-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.75% 11/20/2045#AK8795
36183SXY2
1037938.61960000
PA
USD
981251.08000000
0.045180130189
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #723354
3620A9TK7
10397.37230000
PA
USD
10518.74000000
0.000484318491
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 7/34 #003582
36202D6T3
90345.85130000
PA
USD
91163.90000000
0.004197495375
Long
ABS-MBS
USGA
US
N
2
2034-07-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #567088
36213W6Z4
1826.10920000
PA
USD
1908.31000000
0.000087865069
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.0% MAC 03/20/44
N/A
-4597000.00000000
NC
USD
-102356.44000000
-0.00471283790
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2044-03-20
0.00000000
USD
0.00000000
USD
-4732691.62000000
USD
-102356.44000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/26 #433299
36207JKL6
319.80010000
PA
USD
325.65000000
0.000014994031
Long
ABS-MBS
USGA
US
N
2
2026-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 9/27 #002483
36202CXL2
6916.70170000
PA
USD
7112.97000000
0.000327505280
Long
ABS-MBS
USGA
US
N
2
2027-09-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 8/33 #003428
36202DYZ8
1503985.53940000
PA
USD
1515685.04000000
0.069787283631
Long
ABS-MBS
USGA
US
N
2
2033-08-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/29 #517957
36211NME5
154.09850000
PA
USD
160.47000000
0.000007388583
Long
ABS-MBS
USGA
US
N
2
2029-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #581761
36201FJE8
293.84160000
PA
USD
305.53000000
0.000014067638
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 01/20/2050#BR8999
3617M77L6
103018.76100000
PA
USD
92347.81000000
0.004252006610
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/39 #707956
36297CQH5
1556.46110000
PA
USD
1571.11000000
0.000072339236
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 2.5% 11/15/2042#776954
36176U5P6
251577.93720000
PA
USD
222767.89000000
0.010256989752
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/27 #353763
36203M5Y2
5401.11920000
PA
USD
5542.84000000
0.000255211166
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/31 #532647
36212FWG5
1496.86310000
PA
USD
1557.86000000
0.000071729161
Long
ABS-MBS
USGA
US
N
2
2031-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/40 #004616
36202FDV5
97654.77060000
PA
USD
95004.13000000
0.004374312598
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 4/41 #783307
36241LU87
2530255.20630000
PA
USD
2451537.45000000
0.112877104966
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/29 #470024
36209FD55
42.42570000
PA
USD
42.64000000
0.000001963290
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 1/28 #460689
36208TXS4
5147.31670000
PA
USD
5263.42000000
0.000242345721
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/40 #737442
3620ARHT1
14529.99270000
PA
USD
14085.55000000
0.000648546529
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 4.04 11/16/2028
N/A
-38000000.00000000
NC
USD
-1931899.10000000
-0.08895119162
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 11/20/33 4.04%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-11-20
0.00000000
USD
0.00000000
USD
-38000000.00000000
USD
1.00000000
4.04000000
USD
2028-11-16
XXXX
-323549.10000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2042#794559
36177PB53
29755.97380000
PA
USD
28807.60000000
0.001326399679
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 01/20/2049#BJ9832
3617HX4R5
832753.58100000
PA
USD
796745.98000000
0.036684889156
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4.5% 02/01/2054 #TBA
01F042624
2825000.00000000
PA
USD
2734622.04000000
0.125911280308
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #433883
36207J6U2
6857.92780000
PA
USD
7001.50000000
0.000322372823
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 1/33 #600018
36200FSF6
139.59910000
PA
USD
144.50000000
0.000006653270
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 10/29 #002823
36202DD40
519.05180000
PA
USD
530.75000000
0.000024437531
Long
ABS-MBS
USGA
US
N
2
2029-10-20
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2015-79 IC 5% 05/20/2045
38379L3U8
3187955.16800000
PA
USD
623777.62000000
0.028720838789
Long
ABS-CBDO
USGA
US
N
2
2045-05-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 03/15/2042#773367
36176Q6C3
180811.44390000
PA
USD
174989.71000000
0.008057120181
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 07/20/2043#MA1156
36179NH92
774050.51660000
PA
USD
709828.32000000
0.032682905082
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #739233
3620ATHJ9
47141.80860000
PA
USD
47722.06000000
0.002197285615
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 2/28 #430591
36207FKC4
2004.64420000
PA
USD
2049.86000000
0.000094382511
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/29 #513541
36211HP21
44.70470000
PA
USD
46.52000000
0.000002141938
Long
ABS-MBS
USGA
US
N
2
2029-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/31 #554277
36213GXE6
4148.27760000
PA
USD
4317.32000000
0.000198784066
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 12/20/2050#MA7053
36179VZS2
552180.69500000
PA
USD
498478.64000000
0.022951648473
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 04/01/2036#FM9743
3140XDZH2
923302.03500000
PA
USD
872106.69000000
0.040154752026
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 01/15/2045#AL3861
36184AJE0
205047.95080000
PA
USD
197720.81000000
0.009103737177
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.2% 07/15/2036#662818
36294XK70
46768.15040000
PA
USD
47304.21000000
0.002178046383
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.05200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/28 #469699
36209EX49
109.97070000
PA
USD
112.63000000
0.000005185867
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2044#AK2638
36183K4X3
785950.35460000
PA
USD
734084.15000000
0.033799725822
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #733733
3620AMEE8
2905.92680000
PA
USD
2943.27000000
0.000135518140
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #553437
36213FZA4
376.87800000
PA
USD
392.96000000
0.000018093212
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 06/20/2050#BV5270
3617NJ2B6
4887896.09900000
PA
USD
4358683.10000000
0.200688563739
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 11/15/2040#741444
3620AVWD0
27810.64770000
PA
USD
26945.44000000
0.001240659513
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 2/29 #409592
36206E7D1
912.16120000
PA
USD
932.74000000
0.000042946515
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #483831
36209WPQ9
3842.97930000
PA
USD
3904.04000000
0.000179755252
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 4/35 #003701
36202EDE6
1067.59700000
PA
USD
1078.26000000
0.000049646750
Long
ABS-MBS
USGA
US
N
2
2035-04-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/31 #553949
36213GL66
26036.13510000
PA
USD
27608.91000000
0.001271207923
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #474250
36209KZP6
2950.43610000
PA
USD
3019.85000000
0.000139044143
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 8/33 #581557
36201FB22
778.07180000
PA
USD
790.08000000
0.000036377964
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #480455
36209SWQ0
463.87430000
PA
USD
472.11000000
0.000021737546
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 12/33 #562287
36213RUL9
999.47230000
PA
USD
1032.36000000
0.000047533358
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/26 #423906
36206W3P8
2140.50210000
PA
USD
2165.72000000
0.000099717099
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.0% 05/15/43 #AD9099
36180NDC6
168149.38780000
PA
USD
162860.50000000
0.007498650185
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2014-154 IO 5% 10/20/2044
38379GH34
986422.05100000
PA
USD
197043.92000000
0.009072570863
Long
ABS-CBDO
USGA
US
N
2
2044-10-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0806
3133KT3P3
103410.63000000
PA
USD
91051.09000000
0.004192301220
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 06/15/2042#757523
36230SLC6
919571.30650000
PA
USD
865449.94000000
0.039848252663
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779843
36176YEQ6
103429.39170000
PA
USD
100132.93000000
0.004610459958
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 11/41 #772088
36176PRH1
155848.35570000
PA
USD
146861.55000000
0.006762004225
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/20/2043#MA0850
36179M5K2
619811.85960000
PA
USD
548619.59000000
0.025260307994
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.02500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.5% MAC 03/20/27
N/A
-18112000.00000000
NC
USD
-156878.54000000
-0.00722322044
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-03-20
0.00000000
USD
0.00000000
USD
-18353682.00000000
USD
-156878.54000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/29 #457155
36208PZU5
5881.63400000
PA
USD
6071.43000000
0.000279549244
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 12/15/2042#614308
36290QNZ4
256538.00010000
PA
USD
242185.98000000
0.011151064523
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 11/34 #619249
36290V5J9
11018.73880000
PA
USD
11101.86000000
0.000511167315
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2045#AN1605
36185GYA7
759013.61460000
PA
USD
730942.41000000
0.033655069449
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-H03 FA TSFR1M+66.448 3/60
38376XNT6
4088275.01220000
PA
USD
4075923.92000000
0.187669371378
Long
ABS-CBDO
USGA
US
N
2
2060-03-20
Variable
0.06019840
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 08/15/2033#615865
36290SFE6
157242.17500000
PA
USD
158024.17000000
0.007275969136
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 08/15/2042#705952
36297AH55
16207.77760000
PA
USD
14739.31000000
0.000678647859
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #773473
36176RCJ9
83324.96960000
PA
USD
80732.68000000
0.003717206602
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 09/41#738705
3620ASU64
350706.71600000
PA
USD
339888.01000000
0.015649597595
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 01/15/2042#778130
36176WHF1
155737.98280000
PA
USD
151098.24000000
0.006957075812
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/39 #723433
3620A9V24
14486.79420000
PA
USD
14661.68000000
0.000675073510
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 3.00% 11/42 #MA0533
36179MSW1
34450.83830000
PA
USD
31654.80000000
0.001457494431
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/31 #003054
36202DMB4
22952.65610000
PA
USD
23908.57000000
0.001100831710
Long
ABS-MBS
USGA
US
N
2
2031-03-20
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 03/15/2026
91282CGR6
12590000.00000000
PA
USD
12698687.08000000
0.584690653804
Long
DBT
UST
US
N
2
2026-03-15
Fixed
0.04625000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2017-134 BA 2.5% 11/46
38380GF25
407378.01600000
PA
USD
372495.95000000
0.017150977827
Long
ABS-CBDO
USGA
US
N
2
2046-11-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 05/15/2036#653234
36292MV33
67512.71600000
PA
USD
67959.35000000
0.003129079134
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/39 #004557
36202FB21
24692.60750000
PA
USD
24028.82000000
0.001106368429
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048
3137H5BQ9
7250718.11700000
PA
USD
6380475.33000000
0.293778740178
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNCL 535081 8.5% 12/27
31384VM66
6503.10000000
PA
USD
6649.62000000
0.000306171074
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.08500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #778882
36176XCT4
2582475.67280000
PA
USD
2435547.27000000
0.112140862806
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #796175
36177Q2H5
318483.79480000
PA
USD
299739.43000000
0.013801020703
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/33 #621780
36290YXH6
45229.32100000
PA
USD
45411.74000000
0.002090910641
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #583647
36201HL43
32094.03830000
PA
USD
33568.43000000
0.001545604451
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 6/32 #003251
36202DTG6
326794.49360000
PA
USD
342016.71000000
0.015747610168
Long
ABS-MBS
USGA
US
N
2
2032-06-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 1/30 #522577
36211TQ65
3861.01310000
PA
USD
4045.86000000
0.000186285126
Long
ABS-MBS
USGA
US
N
2
2030-01-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/33 #604639
36200MV83
7145.99050000
PA
USD
7188.13000000
0.000330965902
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 15YR 2.5% 04/15/2028#AA6257
36178D5S6
2026303.13500000
PA
USD
1948855.60000000
0.089731926438
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/28 #780910
36225BAK4
4992.43060000
PA
USD
5155.32000000
0.000237368430
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/25 #398253
36205RMA2
212.62970000
PA
USD
213.84000000
0.000009845919
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 11/45#AQ6547
36189XHY3
167499.00100000
PA
USD
160884.60000000
0.007407673042
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #491644
36210GER1
26880.65260000
PA
USD
27922.56000000
0.001285649434
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #495301
36210LGJ6
3731.40810000
PA
USD
3867.13000000
0.000178055790
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/29 #781024
36225BD54
10820.10500000
PA
USD
11025.34000000
0.000507644074
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #514496
36211JRR0
3366.24290000
PA
USD
3498.71000000
0.000161092483
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/29 #516086
36211LJ78
3611.59770000
PA
USD
3782.30000000
0.000174149929
Long
ABS-MBS
USGA
US
N
2
2029-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #464920
36208YPD5
2378.15070000
PA
USD
2429.47000000
0.000111861044
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.39% 05/15/2036#656597
36294QNN7
43583.81250000
PA
USD
44458.87000000
0.002047037272
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
0.05390000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #468597
36209DRS5
63.64760000
PA
USD
63.55000000
0.000002926057
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 1/35 #627846
36291GP75
9136.97800000
PA
USD
9385.10000000
0.000432121857
Long
ABS-MBS
USGA
US
N
2
2035-01-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/27 #461177
36208UJW8
1016.26940000
PA
USD
1034.32000000
0.000047623603
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 5/24 #384112
36204YVD2
114.68360000
PA
USD
114.44000000
0.000005269206
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 10/15/2040#751247
36230KL41
239650.43860000
PA
USD
232194.77000000
0.010691035303
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2042#769734
36176L4T9
124493.47550000
PA
USD
113781.66000000
0.005238893812
Long
ABS-MBS
USGA
US
N
2
2042-07-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2041#792596
36177L3E2
8088.34770000
PA
USD
7828.58000000
0.000360454394
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/26 #398662
36205RZ34
638.27900000
PA
USD
644.23000000
0.000029662535
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 01/15/2036#651222
36292KPF7
3452.56000000
PA
USD
3484.15000000
0.000160422091
Long
ABS-MBS
USGA
US
N
2
2036-01-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 9/34 #003609
36202EAJ8
1682.09890000
PA
USD
1697.02000000
0.000078136560
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/31 #553594
36213F7F4
157.31930000
PA
USD
164.69000000
0.000007582886
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.5% 07/24#616497
36290S3E9
694.42550000
PA
USD
692.07000000
0.000031865251
Long
ABS-MBS
USGA
US
N
2
2024-07-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/27 #447160
36208CWV5
3219.43100000
PA
USD
3237.73000000
0.000149076078
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #473534
36209KBB3
7334.89820000
PA
USD
7512.26000000
0.000345889947
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #566345
36213WES1
18476.80390000
PA
USD
19359.36000000
0.000891370642
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 4/33 #003374
36202DXB2
19257.44800000
PA
USD
19406.43000000
0.000893537904
Long
ABS-MBS
USGA
US
N
2
2033-04-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #462904
36208WGM9
661.68590000
PA
USD
675.54000000
0.000031104154
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2005-57 PB 5.5% 7/35
38374LZE4
2412959.54000000
PA
USD
2488984.90000000
0.114601312664
Long
ABS-CBDO
USGA
US
N
2
2035-07-20
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.05% 7/34 #801635
31405WSY2
4074.91880000
PA
USD
4139.20000000
0.000190582816
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
0.05730000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 06/15/2033#781623
36225BYU6
10514.41350000
PA
USD
10571.56000000
0.000486750503
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 8/28 #457694
36208QNK8
1959.64420000
PA
USD
2003.84000000
0.000092263594
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2042#AC3746
36179DET3
374004.82410000
PA
USD
362241.06000000
0.016678807885
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/29 #510989
36211EUN6
17.88350000
PA
USD
17.84000000
0.000000821414
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 4/26 #002202
36202CNT6
171.23180000
PA
USD
176.09000000
0.000008107781
Long
ABS-MBS
USGA
US
N
2
2026-04-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/27 #457566
36208QJK3
4974.03870000
PA
USD
5108.53000000
0.000235214060
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/28 #002564
36202CZ55
1075.49140000
PA
USD
1106.01000000
0.000050924454
Long
ABS-MBS
USGA
US
N
2
2028-03-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 1/40 #711066
36297F6B3
5678613.97300000
PA
USD
5753558.62000000
0.264913367030
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 1/40 #711483
36297GM80
75965.11200000
PA
USD
73636.36000000
0.003390467943
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/29 #513703
36211HU41
66.96530000
PA
USD
68.15000000
0.000003137857
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/26 #412571
36206JJQ8
188.03810000
PA
USD
189.27000000
0.000008714633
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 04/15/2035#643572
36292A6H6
2622.55290000
PA
USD
2642.10000000
0.000121651251
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/24 #780742
36225AZF0
39.66360000
PA
USD
39.59000000
0.000001822857
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #510300
36211D3H1
411.46120000
PA
USD
426.67000000
0.000019645334
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 10/37 #617743
36290UHU3
464120.84560000
PA
USD
490873.33000000
0.022601474187
Long
ABS-MBS
USGA
US
N
2
2037-10-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 12/15/2042#AA5897
36178DRS2
1801147.90970000
PA
USD
1637019.75000000
0.075373945502
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.50% 1/28 #002536
36202CY98
37415.95000000
PA
USD
38182.20000000
0.001758038082
Long
ABS-MBS
USGA
US
N
2
2028-01-20
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 3/39 #697946
36296QL31
2898.43890000
PA
USD
2930.86000000
0.000134946742
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/29 #518035
36211NPU6
554.37370000
PA
USD
577.81000000
0.000026604333
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #723526
3620A9YX3
1617974.44570000
PA
USD
1599333.11000000
0.073638724684
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #726019
3620ACSG0
114988.60000000
PA
USD
113674.83000000
0.005233974997
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #738017
3620AR4A6
90537.00380000
PA
USD
87712.52000000
0.004038582126
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #723740
3620AABH0
393209.26680000
PA
USD
388742.72000000
0.017899034261
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 10/15/2041#775540
36176TLV8
69030.66080000
PA
USD
66769.81000000
0.003074308675
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/29 #491192
36210FUR5
449.98980000
PA
USD
461.17000000
0.000021233832
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 8/34 #003595
36202D7G0
718.53750000
PA
USD
725.14000000
0.000033387906
Long
ABS-MBS
USGA
US
N
2
2034-08-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 08/20/2040#742163
3620AWQQ6
375355.41700000
PA
USD
390010.23000000
0.017957394723
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/26 #426171
36207AMU3
467.80730000
PA
USD
473.93000000
0.000021821345
Long
ABS-MBS
USGA
US
N
2
2026-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#711754
36297GWP1
85127.80940000
PA
USD
77222.87000000
0.003555603037
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H13 FA TSFR1M+61.448 4/61
38375BLW0
1520106.99700000
PA
USD
1514482.30000000
0.069731905399
Long
ABS-CBDO
USGA
US
N
2
2061-04-20
Variable
0.05960350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/32 #471314
36209GSB4
1172.95230000
PA
USD
1226.30000000
0.000056463014
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #449039
36208EZC0
226.51980000
PA
USD
232.15000000
0.000010688973
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2043#AD5682
36180HJ33
21904.76830000
PA
USD
21149.17000000
0.000973779569
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 6/29 #002766
36202DCB5
1862.73910000
PA
USD
1897.71000000
0.000087377009
Long
ABS-MBS
USGA
US
N
2
2029-06-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #489861
36210EFA2
15427.27660000
PA
USD
14920.82000000
0.000687005195
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 2/32 #554070
36213GQX2
31172.82940000
PA
USD
32189.68000000
0.001482122122
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/29 #510959
36211ETQ1
353.43560000
PA
USD
362.47000000
0.000016689349
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #783532
36241L4R4
891070.79240000
PA
USD
840513.04000000
0.038700073148
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.74% 08/20/2042#AB1604
36178LX99
91850.91000000
PA
USD
86514.55000000
0.003983423521
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03740000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045
38380T6K7
6222174.77000000
PA
USD
5662645.08000000
0.260727399078
Long
ABS-CBDO
USGA
US
N
2
2045-11-16
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 05/15/2042#779221
36176XPE3
5855734.00080000
PA
USD
5525334.16000000
0.254405138274
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/26 #422293
36206VC62
22.56270000
PA
USD
22.71000000
0.000001045645
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 5/34 #003555
36202D5Q0
43361.23760000
PA
USD
43740.34000000
0.002013953712
Long
ABS-MBS
USGA
US
N
2
2034-05-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/39 #723436
3620A9V57
13887.27550000
PA
USD
14059.30000000
0.000647337890
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #465292
36208Y2Z1
316.12870000
PA
USD
321.94000000
0.000014823210
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 09/15/2042#AA5648
36178DHZ7
16221.95370000
PA
USD
14845.43000000
0.000683533984
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 01/15/2042#748353
3620C4MA5
63554.12120000
PA
USD
61599.21000000
0.002836236702
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #733812
3620AMGV8
1615684.32750000
PA
USD
1521786.89000000
0.070068233515
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #732281
3620AKRA6
40828.90000000
PA
USD
40358.49000000
0.001858241860
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 10/28 #481578
36209T6P9
9106.23550000
PA
USD
9314.92000000
0.000428890532
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 09/15/2035#636591
36291SF88
11713.97190000
PA
USD
11825.27000000
0.000544475566
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/25 #409955
36206FMC3
6368.46770000
PA
USD
6413.70000000
0.000295308516
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/29 #491154
36210FTK2
1440.41070000
PA
USD
1483.91000000
0.000068324252
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 4/33 #554116
36213GSD4
25917.49170000
PA
USD
26528.83000000
0.001221477374
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 07/15/2043#AC0663
36178YWY7
10144.17680000
PA
USD
9524.39000000
0.000438535242
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 9/37 #004026
36202EPK9
4744.39010000
PA
USD
4804.56000000
0.000221218249
Long
ABS-MBS
USGA
US
N
2
2037-09-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 03/15/2042#794583
36177PCV5
1050339.78340000
PA
USD
990581.33000000
0.045609726567
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/24 #364959
36204BMG5
2.30980000
PA
USD
2.30000000
0.000000105899
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #730156
3620AHE58
103522.97100000
PA
USD
102321.25000000
0.004711217638
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #733726
3620AMD74
4310673.45190000
PA
USD
4364741.80000000
0.200967526851
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 04/20/2040#728882
3620AFXK8
225489.98100000
PA
USD
234504.62000000
0.010797388637
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 4/24 #340594
36224WKF9
45.99960000
PA
USD
45.94000000
0.000002115233
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 01/15/2045#AK6719
36183QPC3
325030.22670000
PA
USD
305233.84000000
0.014054001988
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/30 #493505
36210JGN2
4845.47390000
PA
USD
5072.27000000
0.000233544526
Long
ABS-MBS
USGA
US
N
2
2030-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/24 #354832
36203PED1
3.77030000
PA
USD
3.76000000
0.000000173123
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/32 #593193
36201T7E1
1137.72840000
PA
USD
1158.65000000
0.000053348178
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 5/39 #004445
36202E5E5
1219.59620000
PA
USD
1186.80000000
0.000054644300
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/24 #388325
36205ELE4
17.90240000
PA
USD
17.86000000
0.000000822335
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/40 #737085
3620AQ2S1
266950.86930000
PA
USD
258785.43000000
0.011915359541
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046
38379WN73
975617.82700000
PA
USD
895976.39000000
0.041253794030
Long
ABS-CBDO
USGA
US
N
2
2046-02-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 9/40 #733315
3620ALVG6
349768.72140000
PA
USD
345782.69000000
0.015921008669
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2012-48 FA TSFR1M+46.448 4/42
38375CRD4
269821.72400000
PA
USD
264905.87000000
0.012197165372
Long
ABS-CBDO
USGA
US
N
2
2042-04-16
Variable
0.05802460
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #768137
36176KEJ2
94717.57500000
PA
USD
91730.36000000
0.004223577116
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/26 #424611
36206XVC4
1659.74070000
PA
USD
1694.04000000
0.000077999351
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 12/15/2042#614307
36290QNY7
482427.00050000
PA
USD
440804.31000000
0.020296126567
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/25 #414167
36206LCC1
4160.36600000
PA
USD
4172.66000000
0.000192123428
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 3/28 #002562
36202CZ30
1152.64140000
PA
USD
1170.42000000
0.000053890109
Long
ABS-MBS
USGA
US
N
2
2028-03-20
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2015-14 IO 5% 10/20/2044
38379H6V2
6637735.81000000
PA
USD
1298896.04000000
0.059805582267
Long
ABS-CBDO
USGA
US
N
2
2044-10-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/41 #005175
36202FXC5
22555.69000000
PA
USD
22397.66000000
0.001031264286
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/26 #426165
36207AMN9
1184.37260000
PA
USD
1195.42000000
0.000055041194
Long
ABS-MBS
USGA
US
N
2
2026-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/27 #412362
36206JB78
8035.80530000
PA
USD
8278.76000000
0.000381182209
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2204 N 7.5% 12/29
3133TMXS0
380985.31000000
PA
USD
393727.06000000
0.018128530192
Long
ABS-CBDO
USGSE
US
N
2
2029-12-20
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 3/30 #781145
36225BHW1
2686.62200000
PA
USD
2806.92000000
0.000129240123
Long
ABS-MBS
USGA
US
N
2
2030-03-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/31 #554247
36213GWG2
5852.61440000
PA
USD
6116.07000000
0.000281604621
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/35 #544115
36212UN80
5768.42030000
PA
USD
5809.85000000
0.000267505213
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/32 #576461
36200YMJ3
6712.85500000
PA
USD
6965.07000000
0.000320695462
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2047#784303
3622A2X80
3859176.73260000
PA
USD
3699544.97000000
0.170339607052
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #484269
36209W6E7
3144.95270000
PA
USD
3196.87000000
0.000147194745
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 08/15/2043#AF3826
36181KHB9
164849.39230000
PA
USD
150743.02000000
0.006940720278
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 06/01/2042#BU8712
3140MAVE1
1131427.93700000
PA
USD
1058718.08000000
0.048746973800
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/29 #487413
36210BN68
1313.58130000
PA
USD
1353.25000000
0.000062308223
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 01/15/2026
91282CGE5
10640000.00000000
PA
USD
10568512.50000000
0.486610186110
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.03875000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2006-50 JC 5% 6/36
38374NSL2
350633.98860000
PA
USD
349198.11000000
0.016078266198
Long
ABS-CBDO
USGA
US
N
2
2036-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #387136
36205DBD9
2662.14270000
PA
USD
2685.02000000
0.000123627434
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/29 #513653
36211HTJ0
39.34890000
PA
USD
40.62000000
0.000001870282
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 11/28 #477544
36209PP50
31428.08690000
PA
USD
32136.96000000
0.001479694714
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #445941
36207YLW8
11589.99690000
PA
USD
11893.11000000
0.000547599150
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL3862
36184AJF7
78412.75460000
PA
USD
71537.19000000
0.003293815032
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #433904
36207KAD2
59.49000000
PA
USD
60.89000000
0.000002803582
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/26 #416576
36206NXD2
94.42300000
PA
USD
95.11000000
0.000004379187
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 07/20/2040#742144
3620AWP53
189012.69300000
PA
USD
196642.72000000
0.009054098254
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 5/29 #002753
36202DBW0
88844.25920000
PA
USD
90398.42000000
0.004162250078
Long
ABS-MBS
USGA
US
N
2
2029-05-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779846
36176YET0
58362.37890000
PA
USD
56546.69000000
0.002603601532
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #503975
36210V2G5
3197.18510000
PA
USD
3293.21000000
0.000151630565
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 09/20/2051#MA7589
36179WNE4
18859147.88900000
PA
USD
16329174.34000000
0.751850609499
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 12/41 #770117
36176MK69
259235.03280000
PA
USD
244015.68000000
0.011235310121
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 10/20/2042#MA0460
36179MQM5
1349581.56570000
PA
USD
1195951.95000000
0.055065686961
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/25 #410089
36206FRJ3
121.81230000
PA
USD
122.38000000
0.000005634790
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/30 #515360
36211KQM9
22087.23490000
PA
USD
22889.62000000
0.001053915794
Long
ABS-MBS
USGA
US
N
2
2030-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/27 #780499
36225ARU6
23382.43830000
PA
USD
23628.15000000
0.001087920222
Long
ABS-MBS
USGA
US
N
2
2027-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #486467
36210AMQ7
1937.82690000
PA
USD
1985.96000000
0.000091440338
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/27 #460983
36208UCU9
313.69310000
PA
USD
322.17000000
0.000014833800
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #705923
36297AG80
280867.79740000
PA
USD
271690.81000000
0.012509567038
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/30 #532719
36212FYQ1
268.88840000
PA
USD
281.60000000
0.000012965819
Long
ABS-MBS
USGA
US
N
2
2030-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 01/15/2045#AK8150
36183SBT7
385353.40200000
PA
USD
371583.26000000
0.017108954481
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #447984
36208DUH6
750.16420000
PA
USD
767.81000000
0.000035352578
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/25 #414124
36206LAZ2
2611.62840000
PA
USD
2630.30000000
0.000121107939
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 10/28 #002658
36202C5T6
2360.02100000
PA
USD
2413.23000000
0.000111113299
Long
ABS-MBS
USGA
US
N
2
2028-10-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#AE1857
36180UB24
1092217.37200000
PA
USD
997474.61000000
0.045927116575
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/28 #477549
36209PQA8
80.04690000
PA
USD
79.90000000
0.000003678867
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.75% 11/20/2046#AS8118
36193UAT1
3340234.85170000
PA
USD
3153630.96000000
0.145203873143
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 12/27 #002522
36202CYT4
2608.27240000
PA
USD
2682.28000000
0.000123501275
Long
ABS-MBS
USGA
US
N
2
2027-12-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.25% 07/46#AS8108
36193UAH7
126034.16600000
PA
USD
115860.11000000
0.005334592705
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/25 #415865
36206M6A0
255.37310000
PA
USD
255.63000000
0.000011770072
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H21 FA TSFR1M+71.448 10/61
38375BNE8
2249668.32230000
PA
USD
2244724.68000000
0.103354743092
Long
ABS-CBDO
USGA
US
N
2
2061-10-20
Variable
0.06060350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/26 #372376
36204KT94
933.67700000
PA
USD
949.28000000
0.000043708073
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/31 #550984
36213DCV8
2495.06770000
PA
USD
2624.11000000
0.000120822930
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 10/15/2040#747834
3620C3Y71
60996.88560000
PA
USD
59078.32000000
0.002720166370
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/26 #340854
36224WTK9
13952.76030000
PA
USD
14094.45000000
0.000648956316
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #427798
36207CGF9
670.67430000
PA
USD
680.51000000
0.000031332990
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/32 #587023
36201MD41
4642.39510000
PA
USD
4899.57000000
0.000225592832
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.07500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.875% 10/31/2030
91282CJG7
1400000.00000000
PA
USD
1477875.00000000
0.068046381058
Long
DBT
UST
US
N
2
2030-10-31
Fixed
0.04875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/40 #746823
3620C2VQ4
10310.79890000
PA
USD
10004.87000000
0.000460658172
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 03/20/2043#AD8884
36180M2R7
1319367.46750000
PA
USD
1234052.81000000
0.056819979873
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 01/20/2040#729168
3620AGCD5
74999.81300000
PA
USD
77779.15000000
0.003581216056
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
0.05750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.24% 6/33 #847147
3128HD5G0
140880.07110000
PA
USD
142395.12000000
0.006556354628
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
0.05231000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2012-103 IL 3% 8/20/27
38375GVA6
5089665.24920000
PA
USD
164293.38000000
0.007564624843
Long
ABS-CBDO
USGA
US
N
2
2027-08-20
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 2016-17A 3% 2/46
38379T5X3
13086192.56480000
PA
USD
12060021.76000000
0.555284334775
Long
ABS-CBDO
USGA
US
N
2
2046-02-16
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 12/34 #003651
36202EBU2
81238.43330000
PA
USD
82026.93000000
0.003776798264
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.08% 6/33 #1B0891
31336SRL4
77208.80000000
PA
USD
78828.46000000
0.003629529850
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
0.05711000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #469624
36209EVR0
13461.35220000
PA
USD
13831.23000000
0.000636836773
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #768127
36176KD87
35860.04740000
PA
USD
34765.67000000
0.001600729445
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 05/01/2036#BT0887
3140LN6Z5
1032748.87300000
PA
USD
930282.32000000
0.042833355486
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 04/40#728862
3620AFWX1
91066.20700000
PA
USD
94571.45000000
0.004354390543
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #467670
36209CQX7
3479.47350000
PA
USD
3556.81000000
0.000163767604
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 06/15/2033#572049
36200TQA9
3701.16560000
PA
USD
3725.38000000
0.000171529139
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #769606
36176LYB5
12338.75880000
PA
USD
11933.69000000
0.000549467591
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 07/41#738540
3620ASPZ6
114377.13770000
PA
USD
110848.80000000
0.005103854984
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 10/01/2041#RB5132
3133KYVZ9
1034646.25300000
PA
USD
915836.27000000
0.042168210312
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/27 #458709
36208RR63
860.60300000
PA
USD
878.79000000
0.000040462474
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2005-47 ZY 6% 6/35
38374LQV6
4947477.74000000
PA
USD
5139267.21000000
0.236629305546
Long
ABS-CBDO
USGA
US
N
2
2035-06-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 4/28 #002576
36202C2H5
3261.11330000
PA
USD
3311.42000000
0.000152469016
Long
ABS-MBS
USGA
US
N
2
2028-04-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/39 #702873
36296V2E7
88919.17760000
PA
USD
86190.36000000
0.003968496713
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 8/29 #513254
36211HE31
77418.53830000
PA
USD
77611.85000000
0.003573512996
Long
ABS-MBS
USGA
US
N
2
2029-08-20
Fixed
0.05350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 11/01/2035#QN4156
3133GATM8
2332280.81900000
PA
USD
2052390.79000000
0.094499037995
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/29 #503025
36210UYW7
3999.76460000
PA
USD
4086.08000000
0.000188136991
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 1/40 #711074
36297F6K3
3282743.12150000
PA
USD
3245053.29000000
0.149413267513
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/25 #413552
36206KL90
2162.08240000
PA
USD
2175.88000000
0.000100184900
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 12/33 #613945
36290QBN4
2205.30360000
PA
USD
2287.34000000
0.000105316897
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 02/01/2054 #TBA
21H062628
21425000.00000000
PA
USD
21906040.53000000
1.008628457340
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 1/42 #792907
36177MGR7
1603740.16860000
PA
USD
1512496.33000000
0.069640464600
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/33 #604580
36200MUD3
884.12140000
PA
USD
889.17000000
0.000040940404
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/26 #412209
36206H3S5
83.10000000
PA
USD
83.35000000
0.000003837716
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/24 #381808
36204WDM6
42.00610000
PA
USD
41.92000000
0.000001930139
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.26% 01/25/2029
3137H5YC5
5200000.00000000
PA
USD
4713866.04000000
0.217042391824
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
0.02260000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #458836
36208RV50
1034.03680000
PA
USD
1057.69000000
0.000048699637
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #724220
3620AASH2
423717.79140000
PA
USD
418799.15000000
0.019282934313
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #449506
36208FKT6
1854.13300000
PA
USD
1889.40000000
0.000086994388
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #471992
36209HKD6
1536.35970000
PA
USD
1576.54000000
0.000072589252
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/28 #471627
36209G4L8
198.45750000
PA
USD
203.01000000
0.000009347269
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 03/15/2045#AL6733
36184DPS6
282197.09140000
PA
USD
272113.12000000
0.012529011624
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #710849
36297FWJ7
1389180.99500000
PA
USD
1405171.72000000
0.064698875285
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 5/28 #002591
36202C2Y8
37868.54890000
PA
USD
38943.09000000
0.001793072040
Long
ABS-MBS
USGA
US
N
2
2028-05-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 1/41 #759125
36230UD63
254652.32640000
PA
USD
246729.94000000
0.011360283864
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.4% 10/25/2030
3137HB2L7
6765000.00000000
PA
USD
6735222.50000000
0.310112503933
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Fixed
0.04400000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 5/42 #766751
36176HTG9
1056026.67340000
PA
USD
996442.16000000
0.045879579072
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 3/31 #003053
36202DMA6
42912.17930000
PA
USD
44201.42000000
0.002035183400
Long
ABS-MBS
USGA
US
N
2
2031-03-20
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 5.5% 08/20/2033
38374BRW5
2347221.51800000
PA
USD
2390337.86000000
0.110059268125
Long
ABS-CBDO
USGA
US
N
2
2033-08-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/26 #398477
36205RUA3
386.33370000
PA
USD
389.39000000
0.000017928837
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 09/20/2040#748801
3620C43J7
319201.40900000
PA
USD
331835.91000000
0.015278851581
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #454044
36208LLZ8
762.70580000
PA
USD
781.65000000
0.000035989818
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/26 #438999
36207QUY1
1051.32680000
PA
USD
1063.22000000
0.000048954257
Long
ABS-MBS
USGA
US
N
2
2026-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 7/30 #469233
36209EHJ4
152780.11240000
PA
USD
153779.46000000
0.007080528281
Long
ABS-MBS
USGA
US
N
2
2030-07-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #456968
36208PTZ1
2805.68740000
PA
USD
2852.00000000
0.000131315759
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/26 #439010
36207QVB0
5.37300000
PA
USD
5.36000000
0.000000246792
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #502123
36210TYU4
2665.16810000
PA
USD
2773.17000000
0.000127686159
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #436262
36207MTT3
445.38570000
PA
USD
455.00000000
0.000020949744
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/28 #780936
36225BBD9
798.50190000
PA
USD
814.80000000
0.000037516157
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/29 #487112
36210BDR3
997.51260000
PA
USD
1017.87000000
0.000046866189
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 2/28 #002546
36202CZK2
247.17450000
PA
USD
250.99000000
0.000011556431
Long
ABS-MBS
USGA
US
N
2
2028-02-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.75% 01/46#AK8798
36183SX30
1994675.31330000
PA
USD
1885735.12000000
0.086825645302
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/39 #711469
36297GMS6
2231716.80300000
PA
USD
2163069.64000000
0.099595067904
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 7/28 #002616
36202C3Z4
2006.40250000
PA
USD
2063.34000000
0.000095003176
Long
ABS-MBS
USGA
US
N
2
2028-07-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 3/26 #407972
36206DFM4
1022.90940000
PA
USD
1045.98000000
0.000048160469
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/20/2047#MA4319
36179SYQ4
7264563.67400000
PA
USD
6366065.73000000
0.293115273286
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.49% 9/34 #849925
31408FHA0
21951.51010000
PA
USD
22299.78000000
0.001026757558
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Variable
0.06585000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/26 #375706
36204PKT8
593.15430000
PA
USD
596.66000000
0.000027472251
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/39 #702999
36296V7L6
762078.31570000
PA
USD
753308.17000000
0.034684864951
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.75% 04/46#AS8099
36193T7L5
618495.03220000
PA
USD
584329.06000000
0.026904493194
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #738889
3620AS2W8
995897.16270000
PA
USD
964238.69000000
0.044396822012
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 11/41 #005232
36202FY59
194466.40500000
PA
USD
183142.94000000
0.008432522563
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047
3137H3SE3
894231.89500000
PA
USD
767203.39000000
0.035324648042
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.45% 6/32 #586009
36201LAJ3
39309.47900000
PA
USD
41037.80000000
0.001889519598
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.06450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/25 #410853
36206GMA5
174.46240000
PA
USD
175.96000000
0.000008101795
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 1/40 #725848
3620ACL51
367165.12760000
PA
USD
362970.19000000
0.016712379505
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 11/30 #002998
36202DKK6
84678.61460000
PA
USD
87855.41000000
0.004045161266
Long
ABS-MBS
USGA
US
N
2
2030-11-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 10/49#BQ0779
3617LJ2L6
11299512.19800000
PA
USD
10227507.14000000
0.470909141929
Long
ABS-MBS
USGA
US
N
2
2049-10-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 2.5% 12/15/2042#AB8391
36178VKC4
2201787.69460000
PA
USD
1950376.35000000
0.089801946930
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 03/15/2038#758865
36230TZ62
1250801.04410000
PA
USD
1154913.01000000
0.053176114873
Long
ABS-MBS
USGA
US
N
2
2038-03-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2036#MA4360
31418DZ21
1616056.98000000
PA
USD
1455716.17000000
0.067026113316
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/24 #394308
36205MAH1
146.53020000
PA
USD
146.29000000
0.000006735688
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 05/15/2042#779222
36176XPF0
1863292.89360000
PA
USD
1756417.39000000
0.080871418095
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2013-182 IQ MTGE 4.5% 12/16/2043
38378PGF9
2650072.31140000
PA
USD
449672.75000000
0.020704459645
Long
ABS-CBDO
USGA
US
N
2
2043-12-16
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 1/29 #487383
36210BM85
9624.54440000
PA
USD
9804.43000000
0.000451429234
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2044#AJ9708
36183FYD5
1291233.01510000
PA
USD
1205215.33000000
0.055492204417
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 5/42 #779244
36176XP52
144888.81000000
PA
USD
140467.11000000
0.006467582504
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #481350
36209TWK1
1250.12150000
PA
USD
1278.72000000
0.000058876608
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.344% 7/35 #834917
31407MSE6
5715.62340000
PA
USD
5784.00000000
0.000266314991
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.07277000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 10/40#737523
3620ARLC3
498200.27950000
PA
USD
483263.09000000
0.022251072907
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 10/20/2044#AK0798
36183H3F0
1905805.54740000
PA
USD
1780038.20000000
0.081959000359
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/39 #678635
36295R4U9
89112.97530000
PA
USD
88105.25000000
0.004056664748
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.5% 02/15/2038#683957
36295XZW8
2826.99800000
PA
USD
2920.70000000
0.000134478941
Long
ABS-MBS
USGA
US
N
2
2038-02-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #717153
3620A2WN2
966781.69790000
PA
USD
955593.81000000
0.043998782395
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061
38375BWC2
22929.58820000
PA
USD
22776.54000000
0.001048709207
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.04870100
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/27 #443943
36207WEQ3
11174.39660000
PA
USD
11426.44000000
0.000526112080
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 11/01/2052#CB5139
3140QQV93
8974912.14600000
PA
USD
9026401.22000000
0.415606148696
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#
3132DWDF7
90168.75600000
PA
USD
82486.26000000
0.003797947377
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/31 #554732
36213HHH5
72.20190000
PA
USD
74.86000000
0.000003446808
Long
ABS-MBS
USGA
US
N
2
2031-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 7/31 #003108
36202DNZ0
704723.16150000
PA
USD
734420.48000000
0.033815211597
Long
ABS-MBS
USGA
US
N
2
2031-07-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2042#754537
36230PBE9
349693.50510000
PA
USD
338434.14000000
0.015582656485
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHMS K068 A2 3.244% 08/25/2027
3137FBBX3
5000000.00000000
PA
USD
4810700.50000000
0.221500979028
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Fixed
0.03244000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.45% 8/32 #596259
36200BMG9
5203.44080000
PA
USD
5200.13000000
0.000239431634
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
0.06450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 2/39 #707545
36297CBN8
101725.49220000
PA
USD
105096.47000000
0.004838998186
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/24 #365120
36204BSH7
1564.76470000
PA
USD
1565.32000000
0.000072072645
Long
ABS-MBS
USGA
US
N
2
2024-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #593188
36201T6Z5
3632.54250000
PA
USD
3806.05000000
0.000175243460
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/30 #540045
36212P5E8
7255.27580000
PA
USD
7536.49000000
0.000347005579
Long
ABS-MBS
USGA
US
N
2
2030-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/25 #419847
36206SL44
528.77170000
PA
USD
530.27000000
0.000024415430
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 10/34 #572134
36200TSX7
100174.20600000
PA
USD
102894.48000000
0.004737611093
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/41 #004922
36202FPF7
4893860.99800000
PA
USD
4759479.00000000
0.219142567317
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/25 #415983
36206NCU7
41.57220000
PA
USD
41.54000000
0.000001912642
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.80% 7/34 #849923
31408FG86
122821.51500000
PA
USD
124864.81000000
0.005749199656
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
0.05994000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1862
3132DPB72
1323992.31600000
PA
USD
1327975.28000000
0.061144489174
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #476246
36209NBP6
10754.91170000
PA
USD
11029.70000000
0.000507844823
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/26 #373480
36204L2M2
1451.61740000
PA
USD
1462.11000000
0.000067320506
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2043#MA1157
36179NJA7
13607.47200000
PA
USD
12766.04000000
0.000587791810
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 5% 10/20/2044
38379GTZ0
4881831.18500000
PA
USD
988496.12000000
0.045513716421
Long
ABS-CBDO
USGA
US
N
2
2044-10-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #415760
36206MZZ3
17.02460000
PA
USD
16.98000000
0.000000781816
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 8/31 #003121
36202DPE5
217507.61860000
PA
USD
226894.31000000
0.010446984134
Long
ABS-MBS
USGA
US
N
2
2031-08-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/31 #448352
36208EBV4
2525.22070000
PA
USD
2631.76000000
0.000121175162
Long
ABS-MBS
USGA
US
N
2
2031-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 01/20/2050#BR8989
3617M77A0
876505.58200000
PA
USD
837236.64000000
0.038549216572
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.0% 06/20/2029#003036
36202DLR0
669.71700000
PA
USD
670.70000000
0.000030881304
Long
ABS-MBS
USGA
US
N
2
2029-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.15% 02/15/2036#652932
36292MLM2
92438.07870000
PA
USD
93422.89000000
0.004301506942
Long
ABS-MBS
USGA
US
N
2
2036-02-15
Fixed
0.05150000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #722096
3620A8GD9
854833.11330000
PA
USD
845042.28000000
0.038908614731
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 5/41 #705915
36297AGY3
247028.66350000
PA
USD
239015.62000000
0.011005090388
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/26 #432052
36207G5M7
246.20640000
PA
USD
248.78000000
0.000011454675
Long
ABS-MBS
USGA
US
N
2
2026-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 02/20/2043#MA0781
36179M2N9
405565.06830000
PA
USD
358999.47000000
0.016529554079
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #467775
36209CT89
1217.98610000
PA
USD
1243.49000000
0.000057254500
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/28 #467401
36209CGJ9
2672.74310000
PA
USD
2733.03000000
0.000125837977
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772063
36176PQQ2
278876.44200000
PA
USD
269988.20000000
0.012431173095
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 12/20/2039#729151
3620AGBU8
86365.87100000
PA
USD
89653.79000000
0.004127964785
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/26 #279100
36220H7M6
513.87340000
PA
USD
524.49000000
0.000024149299
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 12/32 #586520
36201LSH8
47053.86220000
PA
USD
48730.49000000
0.002243717155
Long
ABS-MBS
USGA
US
N
2
2032-12-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 02/01/2051#MA4254
31418DWQ1
4471611.62700000
PA
USD
3457978.65000000
0.159217073778
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K065 A2 3.243% 04/25/2027
3137F1G44
14200000.00000000
PA
USD
13711754.30000000
0.631335707066
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Fixed
0.03243000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 11/27 #437464
36207N5Z3
154.79030000
PA
USD
154.67000000
0.000007121531
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #772031
36176PPQ3
5045.74720000
PA
USD
4885.35000000
0.000224938095
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 02/20/2046#AK8801
36183SX63
805996.80370000
PA
USD
774168.63000000
0.035645351332
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/26 #437536
36207PBD0
325.23550000
PA
USD
331.70000000
0.000015272593
Long
ABS-MBS
USGA
US
N
2
2026-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 04/15/2045#AM0745
36184KZJ9
345434.51840000
PA
USD
332659.04000000
0.015316751280
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 10/32 #583368
36201HCD3
114663.60760000
PA
USD
117209.24000000
0.005396711229
Long
ABS-MBS
USGA
US
N
2
2032-10-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #436261
36207MTS5
3718.06230000
PA
USD
3777.14000000
0.000173912345
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H010 FA TSFR1M+44.448 5/60
38375BBV3
3242214.49260000
PA
USD
3225480.13000000
0.148512052794
Long
ABS-CBDO
USGA
US
N
2
2060-05-20
Variable
0.05799840
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG3507
3617GM3Q3
1160154.46900000
PA
USD
1110352.87000000
0.051124414785
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 1/32 #556310
36213KAK8
1903.07450000
PA
USD
1965.15000000
0.000090482175
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #462218
36208VPB5
6798.11280000
PA
USD
6962.50000000
0.000320577131
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/32 #552576
36213E2H8
94056.46030000
PA
USD
97934.66000000
0.004509244146
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.5% 8/31 #003122
36202DPF2
87493.16720000
PA
USD
91437.50000000
0.004210092848
Long
ABS-MBS
USGA
US
N
2
2031-08-20
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 06/01/2042#BU8713
3140MAVF8
1414798.51600000
PA
USD
1323878.19000000
0.060955845245
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 6/36#656734
36294QSX0
292379.37160000
PA
USD
294652.53000000
0.013566802561
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #764871
36176FQY7
53875.60030000
PA
USD
52176.47000000
0.002402381771
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.25% 04/15/2037#667071
36295DCG2
17993.09800000
PA
USD
18093.47000000
0.000833084769
Long
ABS-MBS
USGA
US
N
2
2037-04-15
Fixed
0.05250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/33 #615944
36290SHV6
150869.56750000
PA
USD
151801.04000000
0.006989435109
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8226
3138WJD88
894454.11500000
PA
USD
844908.60000000
0.038902459650
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-59 H 2% 06/25/2048
3136BGB34
985904.32400000
PA
USD
803911.61000000
0.037014819082
Long
ABS-CBDO
USGSE
US
N
2
2048-06-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/29 #507988
36211BJ96
4556.93090000
PA
USD
4586.02000000
0.000211155926
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #721063
3620A7B87
115121.63030000
PA
USD
113770.11000000
0.005238362011
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 09/01/2053#QH0277
3133CCJW7
271049.40300000
PA
USD
283397.98000000
0.013048604880
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552552
36213EZR0
1011216.14290000
PA
USD
978821.23000000
0.045068251648
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 01/15/2043#AA6006
36178DU74
151596.39340000
PA
USD
138624.09000000
0.006382723607
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 8/32 #583311
36201HAL7
54649.35650000
PA
USD
56523.04000000
0.002602512606
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/26 #436582
36207M6T8
3399.08900000
PA
USD
3455.90000000
0.000159121365
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/26 #431235
36207GBC2
1429.61830000
PA
USD
1455.76000000
0.000067028131
Long
ABS-MBS
USGA
US
N
2
2026-08-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 06/01/2051#MA4354
31418DZU9
901574.80700000
PA
USD
695795.50000000
0.032036786420
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/39 #724688
3620ABCZ7
315675.92360000
PA
USD
305988.24000000
0.014088737124
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #465314
36208Y3X5
1348.10070000
PA
USD
1378.06000000
0.000063450559
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 11/30 #545451
36212V5L9
57873.92650000
PA
USD
58293.25000000
0.002684019083
Long
ABS-MBS
USGA
US
N
2
2030-11-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/25 #410088
36206FRH7
181.17090000
PA
USD
181.44000000
0.000008354113
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2044#MA1677
36179N2J6
4919.19800000
PA
USD
4611.81000000
0.000212343385
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.85% 01/15/2037#662885
36294XNA0
28634.44800000
PA
USD
29148.97000000
0.001342117513
Long
ABS-MBS
USGA
US
N
2
2037-01-15
Fixed
0.05850000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 1/33 #601476
36200HFR0
27725.67570000
PA
USD
28713.60000000
0.001322071600
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 12/36 #638718
36291USF3
60494.25090000
PA
USD
62568.33000000
0.002880858276
Long
ABS-MBS
USGA
US
N
2
2036-12-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 1/26 #410575
36206GCL2
2052.46180000
PA
USD
2098.76000000
0.000096634033
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 2/24 #364494
36204A3B9
61.17600000
PA
USD
61.03000000
0.000002810028
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3.5% 08/25/2047
3136AYWR0
1089720.73900000
PA
USD
1067318.15000000
0.049142950212
Long
ABS-CBDO
USGSE
US
N
2
2047-08-25
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 331 12 IO 6.5 2/33
3136FAXR6
78801.41300000
PA
USD
12760.87000000
0.000587553766
Long
ABS-CBDO
USGSE
US
N
2
2033-02-25
Variable
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/32 #781419
36225BSG4
38310.59130000
PA
USD
40125.07000000
0.001847494411
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #457741
36208QP26
2161.26230000
PA
USD
2207.90000000
0.000101659209
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/29 #500161
36210RTS9
981.14400000
PA
USD
1022.61000000
0.000047084435
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 8/41 #005139
36202FV86
2961.09970000
PA
USD
2877.65000000
0.000132496773
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/27 #427749
36207CEW4
349.62430000
PA
USD
360.19000000
0.000016584370
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 05/15/2034#781746
36225B5F1
689794.28290000
PA
USD
694053.07000000
0.031956559029
Long
ABS-MBS
USGA
US
N
2
2034-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG7744
3617GSS91
1247794.33400000
PA
USD
1194230.64000000
0.054986432006
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 08/15/2040#733271
3620ALT46
36347.01900000
PA
USD
35236.50000000
0.001622408056
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#CB5128
3140QQVW2
2279814.08100000
PA
USD
2285960.00000000
0.105253357181
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #583622
36201HLB7
1177.24000000
PA
USD
1235.96000000
0.000056907793
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/25 #414840
36206LZD4
1427.68250000
PA
USD
1437.82000000
0.000066202112
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/25 #410211
36206FVC3
314.92840000
PA
USD
316.59000000
0.000014576878
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #462559
36208VZY4
10804.02750000
PA
USD
11002.67000000
0.000506600270
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 02/20/2043#AD1744
36180C5D7
2665224.61000000
PA
USD
2425625.18000000
0.111684016106
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #738885
3620AS2S7
340949.03610000
PA
USD
330253.98000000
0.015206014154
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.889% 3/33 #847126
3128HD4K2
805.56660000
PA
USD
815.30000000
0.000037539179
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
0.06158000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 4/34 #574567
36200WJL6
40675.01910000
PA
USD
41665.98000000
0.001918443137
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2043#AE0545
36180STA2
2033299.86910000
PA
USD
1859307.76000000
0.085608839950
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 09/15/2041#770662
36176M5X7
2750279.65890000
PA
USD
2662623.85000000
0.122596239271
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4% 7/41#769090
36176LF75
58982.28430000
PA
USD
57097.58000000
0.002628966378
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 5/28 #474632
36209LHH2
3299.24450000
PA
USD
3373.66000000
0.000155334756
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 9/39 #704697
36296X3E2
355466.62510000
PA
USD
351357.50000000
0.016177691843
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 12/29 #526603
36211YAC8
516939.57630000
PA
USD
519844.93000000
0.023935424983
Long
ABS-MBS
USGA
US
N
2
2029-12-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #724217
3620AASE9
15715.06240000
PA
USD
15532.28000000
0.000715158889
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 05/15/2036#652573
36292L6J8
7168.37220000
PA
USD
7215.27000000
0.000332215520
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #780773
36225A2E9
655.81070000
PA
USD
664.63000000
0.000030601821
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 10/33 #615667
36290R6C2
887022.41280000
PA
USD
915453.43000000
0.042150583059
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 1/40 #725850
3620ACL77
73530.06860000
PA
USD
72698.76000000
0.003347297657
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.25% 01/20/2046#AK8799
36183SX48
291054.05000000
PA
USD
283302.38000000
0.013044203132
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/41 #733451
3620ALZQ0
19396.51600000
PA
USD
19168.97000000
0.000882604440
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/26 #421710
36206UN39
517.01180000
PA
USD
521.10000000
0.000023993212
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 2/31 #529917
36212CVJ7
29904.21980000
PA
USD
31846.62000000
0.001466326475
Long
ABS-MBS
USGA
US
N
2
2031-02-15
Fixed
0.08500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 06-13 DS -1.5XTSFR1M+1092.828 3/36
38374MB40
1843094.54000000
PA
USD
1852365.12000000
0.085289177241
Long
ABS-CBDO
USGA
US
N
2
2036-03-20
Variable
0.02923290
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/29 #502958
36210UWT6
3250.99770000
PA
USD
3369.25000000
0.000155131705
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/25 #416769
36206N6E0
144.35650000
PA
USD
144.12000000
0.000006635773
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2042#AA7854
36178FWP7
69715.86060000
PA
USD
67385.09000000
0.003102638255
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.625% 05/20/2050#BQ7080
3617LR2M6
3716982.11400000
PA
USD
3218735.90000000
0.148201525554
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.02625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#AC6043
36179FWC5
289997.15010000
PA
USD
265389.27000000
0.012219422749
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/26 #432756
36207HWR4
375.09990000
PA
USD
380.69000000
0.000017528259
Long
ABS-MBS
USGA
US
N
2
2026-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #735356
3620AN5R7
127409.46410000
PA
USD
125950.18000000
0.005799173774
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/31 #529896
36212CUV1
71792.60470000
PA
USD
75072.56000000
0.003456595466
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #740801
3620AVAA0
1291879.47520000
PA
USD
1215845.91000000
0.055981672401
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/24 #403544
36205XHV9
132.78290000
PA
USD
132.99000000
0.000006123310
Long
ABS-MBS
USGA
US
N
2
2024-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 9/39 #710839
36297FV82
1087307.43610000
PA
USD
1074738.38000000
0.049484602787
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/35 #781905
36241KDJ4
89503.35040000
PA
USD
90113.48000000
0.004149130473
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 3/35 #618224
36290UYV2
37648.15440000
PA
USD
38697.41000000
0.001781760099
Long
ABS-MBS
USGA
US
N
2
2035-03-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 05/15/2043#AD5638
36180HHP6
164224.83660000
PA
USD
158605.05000000
0.007302714823
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 1/26 #417221
36206PPE4
563.83060000
PA
USD
569.25000000
0.000026210202
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/31 #549703
36213BU42
189.58780000
PA
USD
189.63000000
0.000008731208
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/30 #781199
36225BKL1
16446.76070000
PA
USD
17132.42000000
0.000788834765
Long
ABS-MBS
USGA
US
N
2
2030-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 09/15/2040#733312
3620ALVD3
161918.80880000
PA
USD
156977.39000000
0.007227771832
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/26 #780399
36225ANQ9
2519.38080000
PA
USD
2544.97000000
0.000117179056
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 5/35 #003710
36202EDP1
108784.55170000
PA
USD
109872.63000000
0.005058908804
Long
ABS-MBS
USGA
US
N
2
2035-05-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/39 #692706
36296JR31
648305.55430000
PA
USD
640737.04000000
0.029501708048
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #436199
36207MRU2
1161.19660000
PA
USD
1178.93000000
0.000054281938
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1% 08/15/2038
3137FFWL7
4280968.11400000
PA
USD
4009154.89000000
0.184595098616
Long
ABS-CBDO
USGSE
US
N
2
2038-08-15
Fixed
0.01000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #426720
36207BAV2
1149.39220000
PA
USD
1183.93000000
0.000054512155
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 12/27 #002520
36202CYR8
2642.50090000
PA
USD
2683.27000000
0.000123546858
Long
ABS-MBS
USGA
US
N
2
2027-12-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 2/29 #002714
36202DAP6
2402.16050000
PA
USD
2456.32000000
0.000113097309
Long
ABS-MBS
USGA
US
N
2
2029-02-20
Fixed
0.06500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 02/01/2054 #TBA
01F020620
8400000.00000000
PA
USD
6783115.08000000
0.312317640868
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/28 #780990
36225BC30
690.44320000
PA
USD
707.06000000
0.000032555442
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 11/20/2039#729048
3620AF5H6
245879.59900000
PA
USD
255445.74000000
0.011761588878
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 3/40 #004656
36202FE51
474749.11940000
PA
USD
461871.36000000
0.021266125052
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 12/33 #562286
36213RUK1
1908.42520000
PA
USD
1977.93000000
0.000091070610
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.91% 3/36 #865849
31409A5J4
35888.45960000
PA
USD
36479.92000000
0.001679659333
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.03940000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/24 #354857
36203PE66
10.19800000
PA
USD
10.19000000
0.000000469182
Long
ABS-MBS
USGA
US
N
2
2024-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/28 #464767
36208YJL4
355.14390000
PA
USD
366.34000000
0.000016867536
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.75% 08/20/2045#AK8792
36183SXV8
1614090.89500000
PA
USD
1526945.32000000
0.070305745141
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 05/20/2042#MA0087
36179MCY4
94819.99740000
PA
USD
87255.75000000
0.004017550884
Long
ABS-MBS
USGA
US
N
2
2042-05-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 3/30 #526987
36211YNC4
59197.13610000
PA
USD
59344.95000000
0.002732442920
Long
ABS-MBS
USGA
US
N
2
2030-03-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #465899
36209ARU6
1625.45590000
PA
USD
1659.49000000
0.000076408552
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/26 #417389
36206PUN8
66.02720000
PA
USD
66.64000000
0.000003068331
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#CB4893
3140QQNK7
505711.18200000
PA
USD
506600.37000000
0.023325600488
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 6.50% 8/32 #781609
36225BYE2
4338.81210000
PA
USD
4482.82000000
0.000206404247
Long
ABS-MBS
USGA
US
N
2
2032-08-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 04/20/2053#MA8799
36179XX43
11599862.95500000
PA
USD
11312272.19000000
0.520855406634
Long
ABS-MBS
USGA
US
N
2
2053-04-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#QC0226
3133AJHB2
475465.34700000
PA
USD
367091.67000000
0.016902146433
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2052#FS0957
3140XGB32
339771.87100000
PA
USD
298631.04000000
0.013749986665
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 5/30 #479341
36209RP23
1560.27630000
PA
USD
1641.50000000
0.000075580231
Long
ABS-MBS
USGA
US
N
2
2030-05-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #480424
36209SVR9
1038.25850000
PA
USD
1059.33000000
0.000048775148
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 2/36 #003817
36202EG29
56401.78480000
PA
USD
57023.11000000
0.002625537526
Long
ABS-MBS
USGA
US
N
2
2036-02-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 7/31 #548512
36213AKZ6
86253.39570000
PA
USD
88750.98000000
0.004086396349
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/26 #423863
36206WZ40
6373.45860000
PA
USD
6443.31000000
0.000296671861
Long
ABS-MBS
USGA
US
N
2
2026-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/26 #436443
36207MZG4
333.93020000
PA
USD
338.60000000
0.000015590293
Long
ABS-MBS
USGA
US
N
2
2026-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 4/29 #501737
36210TLS3
110298.82450000
PA
USD
110844.27000000
0.005103646407
Long
ABS-MBS
USGA
US
N
2
2029-04-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/24 #380476
36204UT92
430.69260000
PA
USD
429.89000000
0.000019793594
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/25 #409777
36206FFS6
2675.02850000
PA
USD
2700.72000000
0.000124350315
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H17 FA TSFR1M+64.448 6/61
38375BML3
1994688.48040000
PA
USD
1988593.31000000
0.091561585481
Long
ABS-CBDO
USGA
US
N
2
2061-06-20
Variable
0.05990350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/32 #569424
36200QSM7
28359.57280000
PA
USD
29607.07000000
0.001363209992
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 3/34 #003529
36202D4N8
2862.48300000
PA
USD
2886.69000000
0.000132913005
Long
ABS-MBS
USGA
US
N
2
2034-03-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/26 #417390
36206PUP3
361.37680000
PA
USD
364.24000000
0.000016770845
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/25 #780220
36225AG53
4721.68220000
PA
USD
4742.17000000
0.000218345602
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #445159
36207XQL9
2432.69040000
PA
USD
2451.94000000
0.000112895639
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 1/40 #725849
3620ACL69
199035.93940000
PA
USD
196776.56000000
0.009060260702
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 11/31 #003161
36202DQN4
91665.53110000
PA
USD
94748.21000000
0.004362529173
Long
ABS-MBS
USGA
US
N
2
2031-11-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 5/29 #493929
36210JVW5
4428.75990000
PA
USD
4544.33000000
0.000209236377
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #433571
36207JT45
933.72440000
PA
USD
953.87000000
0.000043919412
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/26 #377243
36204RBL1
1344.09940000
PA
USD
1367.62000000
0.000062969866
Long
ABS-MBS
USGA
US
N
2
2026-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/33 #615891
36290SF89
1396.94300000
PA
USD
1404.28000000
0.000064657817
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 12/15/2041#793259
36177MTR3
104829.33840000
PA
USD
101428.92000000
0.004670131736
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 9/28 #457089
36208PXS2
2916.65640000
PA
USD
2982.44000000
0.000137321660
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 12/29 #002850
36202DEX5
19079.56490000
PA
USD
19511.65000000
0.000898382590
Long
ABS-MBS
USGA
US
N
2
2029-12-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 9/34 #574764
36200WQR5
258.58850000
PA
USD
270.32000000
0.000012446450
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/27 #449475
36208FJU5
4432.58010000
PA
USD
4506.67000000
0.000207502382
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #443694
36207V3B0
522.69620000
PA
USD
535.68000000
0.000024664525
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2045#670007
36295GKU5
541330.84190000
PA
USD
493864.63000000
0.022739203792
Long
ABS-MBS
USGA
US
N
2
2045-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #567093
36213W7E0
1067.52980000
PA
USD
1114.59000000
0.000051319506
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #471977
36209HJW6
6407.78850000
PA
USD
6575.37000000
0.000302752352
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/27 #436800
36207NGH1
457.43660000
PA
USD
469.44000000
0.000021614610
Long
ABS-MBS
USGA
US
N
2
2027-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/20/2050#MA6540
36179VHR4
20359364.05000000
PA
USD
17718797.29000000
0.815833566639
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 06/15/2043#740830
3620AVA77
115502.87990000
PA
USD
108589.05000000
0.004999808424
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.25% 10/25/2040
3137FXBY3
2622036.20700000
PA
USD
2421737.81000000
0.111505028397
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/29 #520075
36211QXC0
946.55530000
PA
USD
979.99000000
0.000045122065
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #737007
3620AQYC1
533207.55350000
PA
USD
526999.74000000
0.024264856720
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H13 FL TSFR1M+39.448 05/63
38376RCN4
25620.53210000
PA
USD
25097.58000000
0.001155577766
Long
ABS-CBDO
USGA
US
N
2
2063-05-20
Variable
0.05740350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 07/15/2036#656870
36294QW72
110975.92690000
PA
USD
112002.50000000
0.005156975247
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #454571
36208L6G7
1860.45800000
PA
USD
1906.67000000
0.000087789558
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/39 #706778
36297BFT3
528766.33880000
PA
USD
512893.51000000
0.023615358013
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 05/15/2043#AD9105
36180NDJ1
304918.66520000
PA
USD
295175.36000000
0.013590875429
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/25 #386805
36205CU65
1856.04720000
PA
USD
1861.53000000
0.000085711159
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/27 #455273
36208MXA8
12488.05790000
PA
USD
12761.14000000
0.000587566198
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/41 #762162
36176CQP3
2506.83290000
PA
USD
2478.69000000
0.000114127300
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 8/29 #002796
36202DC90
39014.03690000
PA
USD
40239.53000000
0.001852764538
Long
ABS-MBS
USGA
US
N
2
2029-08-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #387180
36205DCR7
3394.84320000
PA
USD
3414.14000000
0.000157198593
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/41 #748278
3620C4JX9
73808.15100000
PA
USD
71425.76000000
0.003288684416
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/39 #698386
36296Q2T5
86317.86940000
PA
USD
85317.92000000
0.003928326614
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050
3137H4N30
5520801.41000000
PA
USD
4853533.61000000
0.223473160793
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 11/28 #416628
36206NYZ2
15159.62240000
PA
USD
15507.04000000
0.000713996754
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 01/01/2042#RB5142
3133KYWB1
2097514.03900000
PA
USD
1849443.15000000
0.085154639824
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/33 #611489
36202WKA6
12880.98950000
PA
USD
12951.00000000
0.000596307997
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 1/39 #698037
36296QPW3
13500.73500000
PA
USD
14234.82000000
0.000655419427
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #436067
36207MMQ6
2695.12410000
PA
USD
2741.29000000
0.000126218295
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 7/40 #004745
36202FHW9
1155660.68510000
PA
USD
1124104.21000000
0.051757573152
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #482668
36209VFH2
2983.56530000
PA
USD
3049.88000000
0.000140426826
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/26 #431000
36207FX55
223.30970000
PA
USD
226.64000000
0.000010435274
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 11/33 #613931
36290QA88
9040.36860000
PA
USD
9362.50000000
0.000431081277
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 03/15/2035#631185
36291LF26
56019.06480000
PA
USD
56472.02000000
0.002600163472
Long
ABS-MBS
USGA
US
N
2
2035-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #722095
3620A8GC1
643621.61990000
PA
USD
636249.90000000
0.029295104893
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/25 #377616
36204RN95
384.54310000
PA
USD
386.69000000
0.000017804520
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/33 #604514
36200MSB0
3293.20750000
PA
USD
3304.60000000
0.000152155000
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/39 #714174
36297KMX6
69243.31000000
PA
USD
67267.33000000
0.003097216185
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #748670
3620C4W71
10763.06090000
PA
USD
10433.84000000
0.000480409407
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 1/31 #529816
36212CSD4
36404.06070000
PA
USD
38888.43000000
0.001790555308
Long
ABS-MBS
USGA
US
N
2
2031-01-15
Fixed
0.08500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.87% 9/39 #721174
3620A7FP5
705715.40430000
PA
USD
704740.46000000
0.032448642739
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.898% 5/35 #995272
31416BT57
68000.59110000
PA
USD
69211.13000000
0.003186715334
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
0.05864000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/27 #439588
36207RJ97
7391.70070000
PA
USD
7558.75000000
0.000348030505
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 07/20/2046#MA3802
36179SGK7
8034635.29800000
PA
USD
7315373.94000000
0.336824645323
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 11/30 #545534
36212WBB2
34946.39480000
PA
USD
35301.28000000
0.001625390747
Long
ABS-MBS
USGA
US
N
2
2030-11-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 08/15/2033#603089
36200J7A2
111029.78420000
PA
USD
111653.80000000
0.005140919916
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/25 #409925
36206FLE0
326.24510000
PA
USD
327.21000000
0.000015065858
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 11/15/2042#614309
36290QN27
673191.54180000
PA
USD
650936.97000000
0.029971347445
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/36 #651859
36292LE83
48525.02780000
PA
USD
48947.64000000
0.002253715478
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 09/20/2051#785619
3622ABDY5
6042629.48600000
PA
USD
5176298.91000000
0.238334370703
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #456341
36208N5A7
13967.92040000
PA
USD
14287.45000000
0.000657842691
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H05 FA TSFR1M+61.448 12/60
38375BKD3
1628975.21290000
PA
USD
1623292.70000000
0.074741905529
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Variable
0.05960350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.25% 04/15/2036#653227
36292MVU3
45449.77530000
PA
USD
46107.62000000
0.002122951318
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
0.05250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 11/01/2036#SB0572
3132CWT53
1763426.83700000
PA
USD
1591219.74000000
0.073265157591
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/26 #411365
36206G6A3
31.78080000
PA
USD
31.86000000
0.000001466942
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 3/24 #352870
36203L6F4
15.39670000
PA
USD
15.36000000
0.000000707226
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 11/31 #003160
36202DQM6
50401.90950000
PA
USD
51895.11000000
0.002389427001
Long
ABS-MBS
USGA
US
N
2
2031-11-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/39 #710434
36297FHK1
637522.45260000
PA
USD
618687.62000000
0.028486477913
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #509403
36211C3L4
8846.92560000
PA
USD
9139.30000000
0.000420804391
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 11/29 #522377
36211TJW6
341690.34750000
PA
USD
343533.32000000
0.015817440039
Long
ABS-MBS
USGA
US
N
2
2029-11-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 7/26 #431007
36207FYC9
216.83950000
PA
USD
216.61000000
0.000009973459
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/32 #582197
36201FX28
11666.86890000
PA
USD
12213.54000000
0.000562352835
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/40 #724707
3620ABDL7
21483.59430000
PA
USD
20845.28000000
0.000959787442
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 4/30 #518228
36211NVV7
1444.32310000
PA
USD
1518.66000000
0.000069924260
Long
ABS-MBS
USGA
US
N
2
2030-04-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 07/15/2042#AA5452
36178DBV2
1089738.81220000
PA
USD
1026244.64000000
0.047251786404
Long
ABS-MBS
USGA
US
N
2
2042-07-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/24 #376895
36204QUU2
1097.57840000
PA
USD
1095.24000000
0.000050428566
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #486531
36210APQ4
3905.48040000
PA
USD
4007.62000000
0.000184524427
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 5/28 #002590
36202C2X0
34.15190000
PA
USD
34.92000000
0.000001607835
Long
ABS-MBS
USGA
US
N
2
2028-05-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #449544
36208FLZ1
365.02020000
PA
USD
372.43000000
0.000017147941
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2052#
31418EAQ3
551338.27900000
PA
USD
503648.51000000
0.023189686834
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 10/28 #002657
36202C5S8
290.52250000
PA
USD
295.00000000
0.000013582801
Long
ABS-MBS
USGA
US
N
2
2028-10-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 12/29 #002852
36202DEZ0
4239.54270000
PA
USD
4384.94000000
0.000201897520
Long
ABS-MBS
USGA
US
N
2
2029-12-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #474811
36209LN44
1395.74660000
PA
USD
1425.87000000
0.000065651894
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 02/01/2054 #TBA
21H050623
-45700000.00000000
PA
USD
-45464900.92000000
-2.09335835087
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.45% 02/15/2037#662965
36294XQS8
125559.46880000
PA
USD
128198.08000000
0.005902674720
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
0.05450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 01/20/2048#784850
3622AAH31
1393346.51900000
PA
USD
1299655.53000000
0.059840551764
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #691685
36296HNA3
1092177.40050000
PA
USD
1079686.39000000
0.049712425961
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/31 #530480
36212DJZ3
5185.75940000
PA
USD
5397.08000000
0.000248499881
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/27 #449180
36208E6R9
843.50470000
PA
USD
861.16000000
0.000039650729
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.07000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT MAR24 USH4
N/A
96.00000000
NC
USD
182636.82000000
0.008409219080
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-03-19
11562363.18000000
USD
182636.82000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/26 #416192
36206NKD6
496.18950000
PA
USD
507.38000000
0.000023361497
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #734392
3620AM2Z4
313153.34180000
PA
USD
317420.09000000
0.014615098299
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 11/15/2042#AB9437
36178WPW3
55527.22060000
PA
USD
52180.16000000
0.002402551671
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #472620
36209JAV3
1895.69340000
PA
USD
1942.78000000
0.000089452185
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/30 #529718
36212CPB1
7990.81900000
PA
USD
8324.14000000
0.000383271658
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 07/15/2035#643292
36292AUR7
251970.33450000
PA
USD
253917.08000000
0.011691204183
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#MA4475
31418D6M9
1412297.08600000
PA
USD
1250120.89000000
0.057559808813
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/25 #405514
36206AN74
661.50010000
PA
USD
667.85000000
0.000030750080
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2042#AB9201
36178WGJ2
28248.40430000
PA
USD
27359.89000000
0.001259742197
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 4.5% 04/25/2046
3136AVT90
478994.57900000
PA
USD
472028.42000000
0.021733790569
Long
ABS-CBDO
USGSE
US
N
2
2046-04-25
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 2/31 #003039
36202DLU3
9849.03500000
PA
USD
10140.45000000
0.000466900735
Long
ABS-MBS
USGA
US
N
2
2031-02-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/40 #743133
3620AXSW9
12341.64470000
PA
USD
12509.26000000
0.000575968788
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 5/28 #002589
36202C2W2
3800.52000000
PA
USD
3859.15000000
0.000177688364
Long
ABS-MBS
USGA
US
N
2
2028-05-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 10/15/2040#705890
36297AF73
173900.74780000
PA
USD
168551.60000000
0.007760687745
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/25 #419897
36206SNN0
124.30220000
PA
USD
125.71000000
0.000005788115
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #769597
36176LX26
21882.41560000
PA
USD
21165.74000000
0.000974542508
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #678655
36295R5Q7
722439.88760000
PA
USD
714177.49000000
0.032883155630
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048
3136BG6Y2
1133532.37000000
PA
USD
928390.44000000
0.042746246909
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/29 #515956
36211LE57
2503.92330000
PA
USD
2622.27000000
0.000120738211
Long
ABS-MBS
USGA
US
N
2
2029-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/33 #003357
36202DWS6
553.77040000
PA
USD
541.12000000
0.000024915001
Long
ABS-MBS
USGA
US
N
2
2033-02-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 4/28 #002578
36202C2K8
15002.41000000
PA
USD
15428.11000000
0.000710362548
Long
ABS-MBS
USGA
US
N
2
2028-04-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 09/15/2036#660831
36294VEC0
157964.15580000
PA
USD
159411.91000000
0.007339865396
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 8/28 #002629
36202C4N0
62.84820000
PA
USD
63.82000000
0.000002938489
Long
ABS-MBS
USGA
US
N
2
2028-08-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 12/15/2042#AA5898
36178DRT0
296152.68550000
PA
USD
271165.31000000
0.012485371235
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 6/38 #004168
36202ETZ2
135162.27570000
PA
USD
136987.76000000
0.006307381420
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #444023
36207WG81
1385.52460000
PA
USD
1383.65000000
0.000063707942
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#794258
36177NWU0
68510.34070000
PA
USD
66373.02000000
0.003056039117
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/32 #577424
36201APH5
2134.71080000
PA
USD
2213.33000000
0.000101909225
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/39 #724682
3620ABCT1
198990.61770000
PA
USD
192903.93000000
0.008881951672
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #480055
36209SH87
1448.42310000
PA
USD
1462.81000000
0.000067352737
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H07 FA TSFR1M+74.448 3/20/62
38375BQA3
1196760.10270000
PA
USD
1193085.45000000
0.054933703571
Long
ABS-CBDO
USGA
US
N
2
2062-03-20
Variable
0.06090350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/35 #538719
36212NPC5
955.12780000
PA
USD
962.42000000
0.000044313083
Long
ABS-MBS
USGA
US
N
2
2035-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 04/48#784805
3622AAGN8
2519100.56000000
PA
USD
2561997.06000000
0.117963040322
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H18 AF TSFR1M+41.448 9/60
38375BER9
5011004.55200000
PA
USD
4977046.98000000
0.229160135564
Long
ABS-CBDO
USGA
US
N
2
2060-09-20
Variable
0.05760350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/31 #555999
36213JUY9
6227.27110000
PA
USD
6507.59000000
0.000299631531
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/32 #586559
36201LTQ7
5701.12190000
PA
USD
6016.95000000
0.000277040800
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.50% 10/39 #004560
36202FB54
106251.81010000
PA
USD
109696.97000000
0.005050820821
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 11/39 #678648
36295R5H7
941961.19580000
PA
USD
931362.53000000
0.042883092020
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 4% 02/25/2046
3136ARFE3
15092740.73800000
PA
USD
2785252.11000000
0.128242460574
Long
ABS-CBDO
USGSE
US
N
2
2046-02-25
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/41 #005202
36202FX76
25176.53600000
PA
USD
23707.37000000
0.001091567780
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 2/31 #529877
36212CUA7
27923.31090000
PA
USD
28677.03000000
0.001320387793
Long
ABS-MBS
USGA
US
N
2
2031-02-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #591551
36201SEY1
6686.09220000
PA
USD
7011.48000000
0.000322832336
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 04/01/2036#FM6957
3140XAWT5
2353851.49500000
PA
USD
2120308.71000000
0.097626209552
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 3/40 #691690
36296HNF2
395560.71080000
PA
USD
383745.35000000
0.017668938384
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #768084
36176KCV7
431744.20520000
PA
USD
418019.53000000
0.019247037962
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/40 #004635
36202FEG7
596586.54840000
PA
USD
580427.58000000
0.026724855813
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #480386
36209SUK5
3236.09130000
PA
USD
3316.46000000
0.000152701074
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2044#MA1838
36179QBF7
11734.03400000
PA
USD
11051.36000000
0.000508842123
Long
ABS-MBS
USGA
US
N
2
2044-04-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 339 5 5.5% 8/33
3136FAZ78
105786.95760000
PA
USD
16528.80000000
0.000761042052
Long
ABS-CBDO
USGSE
US
N
2
2033-07-25
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #434110
36207KGT1
831.43310000
PA
USD
854.83000000
0.000039359274
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 10/20/2050#MA6930
36179VVX5
24529190.93100000
PA
USD
20458120.36000000
0.941961298324
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 5/24 #380473
36204UT68
4.84690000
PA
USD
4.84000000
0.000000222850
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 2/30 #525624
36211W4H8
1930.93770000
PA
USD
2026.89000000
0.000093324895
Long
ABS-MBS
USGA
US
N
2
2030-02-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.75% 08/25/2044
3137H7FZ1
2423188.18300000
PA
USD
2314935.16000000
0.106587471892
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #703011
36296WAL0
110254.27600000
PA
USD
108975.71000000
0.005017611563
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3295
3140XJUV3
1130662.88800000
PA
USD
1130177.61000000
0.052037213102
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/32 #586541
36201LS62
5877.02230000
PA
USD
6205.62000000
0.000285727807
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #477485
36209PNA1
1698.30400000
PA
USD
1733.86000000
0.000079832799
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/25 #363972
36204AJR7
834.50300000
PA
USD
839.98000000
0.000038675530
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 11/41 #739348
3620ATL54
1283521.29350000
PA
USD
1211508.95000000
0.055781984043
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/15/2045#AN1600
36185GX59
6628.77970000
PA
USD
6047.54000000
0.000278449267
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 01/20/2050#BR8995
3617M77G7
49273.96100000
PA
USD
45483.35000000
0.002094207809
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 08/20/2040#742211
3620AWR85
610587.57500000
PA
USD
634673.97000000
0.029222543727
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
0.05750000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.7675 09/20/2028
N/A
-26700000.00000000
NC
USD
-1175857.59000000
-0.05414047442
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 09/22/33 3.7675%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-09-22
0.00000000
USD
0.00000000
USD
-26700000.00000000
USD
1.00000000
3.76750000
USD
2028-09-20
XXXX
-59797.59000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/28 #780728
36225AYZ7
433.83140000
PA
USD
441.75000000
0.000020339669
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 1/31 #003026
36202DLF6
12130.85310000
PA
USD
12617.53000000
0.000580953906
Long
ABS-MBS
USGA
US
N
2
2031-01-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 6/29 #399061
36205SJE6
2781.86320000
PA
USD
2855.78000000
0.000131489804
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #465908
36209AR51
824.08720000
PA
USD
840.28000000
0.000038689343
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #446761
36208CJE8
5356.86300000
PA
USD
5507.61000000
0.000253589057
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM6733
3140XAPT3
523799.41100000
PA
USD
494986.36000000
0.022790852048
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2043#AD7475
36180KJU6
31528.05580000
PA
USD
30528.43000000
0.001405632533
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#738107
3620ASAG4
27076.75620000
PA
USD
26241.48000000
0.001208246805
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AC2222
36179BPF5
160871.34730000
PA
USD
147029.46000000
0.006769735371
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 07/20/2041#783591
36241L7C4
65672.73600000
PA
USD
65211.10000000
0.003002540377
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #780933
36225BBA5
1504.60590000
PA
USD
1537.08000000
0.000070772380
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/27 #459474
36208SMX7
5594.46930000
PA
USD
5708.66000000
0.000262846082
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/24 #371912
36204KDR1
48.05470000
PA
USD
47.94000000
0.000002207320
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/46#AS9198
36193VGF3
2214346.97530000
PA
USD
2061921.52000000
0.094937865153
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/27 #780632
36225AVQ0
35714.87370000
PA
USD
36090.17000000
0.001661713920
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3174
3140QNQ47
1172760.54300000
PA
USD
1073206.31000000
0.049414061084
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #568809
36213Y3S9
42245.54410000
PA
USD
44166.79000000
0.002033588918
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/30 #535548
36212J5H5
20666.96660000
PA
USD
21645.80000000
0.000996646100
Long
ABS-MBS
USGA
US
N
2
2030-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 12/31 #554040
36213GPZ8
9996.48550000
PA
USD
10316.89000000
0.000475024632
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 2/24 #375189
36204NXS1
31.35150000
PA
USD
31.27000000
0.000001439776
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5176 AG 2% 01/25/2047
3137H4DC1
4163984.16200000
PA
USD
3623634.76000000
0.166844443336
Long
ABS-CBDO
USGSE
US
N
2
2047-01-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/31 #553859
36213GJC6
5238.73640000
PA
USD
5472.12000000
0.000251954977
Long
ABS-MBS
USGA
US
N
2
2031-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/25 #417133
36206PLN8
62.12910000
PA
USD
62.27000000
0.000002867122
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2009-42 AY 5% 6/37
38374UXE6
1070292.18180000
PA
USD
1076384.50000000
0.049560395738
Long
ABS-CBDO
USGA
US
N
2
2037-06-16
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 07/15/2042#736746
3620AQP72
209203.78010000
PA
USD
191552.57000000
0.008819730471
Long
ABS-MBS
USGA
US
N
2
2042-07-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/29 #002730
36202DA76
763.81600000
PA
USD
785.49000000
0.000036166625
Long
ABS-MBS
USGA
US
N
2
2029-03-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/34 #586344
36201LLZ5
337.12500000
PA
USD
353.58000000
0.000016280023
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #463389
36208WXS7
329.49910000
PA
USD
336.61000000
0.000015498666
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 2.5% 12/15/2042#AA5947
36178DTC5
186889.21110000
PA
USD
165425.30000000
0.007616742282
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 07/15/2036#660706
36294VAF7
205539.84910000
PA
USD
207246.14000000
0.009542315700
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/25 #377614
36204RN79
165.59860000
PA
USD
166.54000000
0.000007668066
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 06/20/2040#742314
3620AWVF4
107622.35500000
PA
USD
111824.20000000
0.005148765710
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2028#FS3867
3140XKJM3
783990.91800000
PA
USD
756910.62000000
0.034850733976
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 06/36#656609
36294QN23
222226.80030000
PA
USD
223934.92000000
0.010310723774
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 01/20/2050#BR8994
3617M77F9
41615.73600000
PA
USD
38414.27000000
0.001768723372
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #778681
36176W2N0
166217.45400000
PA
USD
160838.96000000
0.007405571622
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/34 #615466
36290RW33
2248.54050000
PA
USD
2264.28000000
0.000104255136
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 2/34 #003513
36202D3W9
1476.54000000
PA
USD
1489.02000000
0.000068559534
Long
ABS-MBS
USGA
US
N
2
2034-02-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 15YR 2.5% 03/15/2028#AA6170
36178D2B6
1262973.26700000
PA
USD
1215811.95000000
0.055980108767
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/41 #769505
36176LU60
139812.17580000
PA
USD
138214.79000000
0.006363878046
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 2/26 #410920
36206GPD6
1317.72070000
PA
USD
1336.15000000
0.000061520881
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#BQ6318
3140KSAU1
2406644.16000000
PA
USD
2117830.01000000
0.097512081791
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #773365
36176Q6A7
41411.93500000
PA
USD
39011.44000000
0.001796219106
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.108% 01/25/2031
3137FXZ35
4000000.00000000
PA
USD
3443761.60000000
0.158562472542
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Fixed
0.02108000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 03/20/2042#005330
36202F4P8
7986.93190000
PA
USD
7351.04000000
0.000338466831
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2005-13 SA TSFR1M+668.552 2/35
38374KUB7
1731271.22500000
PA
USD
150523.65000000
0.006930619738
Long
ABS-CBDO
USGA
US
N
2
2035-02-20
Variable
0.01348860
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #413572
36206KMV0
60.10300000
PA
USD
60.67000000
0.000002793452
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/26 #415139
36206MEL7
4258.89760000
PA
USD
4298.79000000
0.000197930882
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/27 #412318
36206JAT1
2520.16800000
PA
USD
2594.35000000
0.000119452679
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #454480
36208L2M8
755.04240000
PA
USD
766.57000000
0.000035295484
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #780551
36225ATG5
5148.46570000
PA
USD
5246.12000000
0.000241549170
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #794569
36177PCF0
758810.53660000
PA
USD
716603.98000000
0.032994879466
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 8/35 #647763
36292FTU1
4822.40110000
PA
USD
4964.20000000
0.000228568617
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 2/33 #597877
36200DFS7
38342.57850000
PA
USD
39729.05000000
0.001829260306
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 08/15/2042#AB1299
36178LNQ2
54192.69840000
PA
USD
49454.37000000
0.002277047047
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.38% 8/34 #1B1936
3128JMBE6
42133.25720000
PA
USD
42901.85000000
0.001975346787
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Variable
0.06110000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 02/01/2054 #TBA
01F022626
37200000.00000000
PA
USD
31352625.00000000
1.443581269011
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 02/01/2054 #TBA
21H030625
242300000.00000000
PA
USD
217341864.27000000
10.00715711147
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/40 #750312
3620C6R98
13980.21130000
PA
USD
14156.65000000
0.000651820215
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 2/40 #737037
3620AQZA4
3233.30550000
PA
USD
3274.36000000
0.000150762647
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/29 #503072
36210U2D4
3022.32370000
PA
USD
3105.37000000
0.000142981774
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 2/30 #002882
36202DFX4
45905.99940000
PA
USD
47455.15000000
0.002184996173
Long
ABS-MBS
USGA
US
N
2
2030-02-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 11/39 #782810
36241LDP8
67253.30340000
PA
USD
66469.58000000
0.003060485067
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 6/28 #002604
36202C3M3
1180.18240000
PA
USD
1213.67000000
0.000055881486
Long
ABS-MBS
USGA
US
N
2
2028-06-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #721064
3620A7B95
178817.32230000
PA
USD
176704.02000000
0.008136052832
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047
38380UVE0
2612223.18100000
PA
USD
2420111.41000000
0.111430143421
Long
ABS-CBDO
USGA
US
N
2
2047-04-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/33 #604422
36200MPF4
10151.51810000
PA
USD
10206.70000000
0.000469951110
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 7/29 #002783
36202DCU3
28.89170000
PA
USD
29.80000000
0.000001372093
Long
ABS-MBS
USGA
US
N
2
2029-07-20
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 12/01/2035#SB8078
3132D56P2
2356451.72500000
PA
USD
2073661.02000000
0.095478391578
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #507529
36211AY26
193.41550000
PA
USD
200.91000000
0.000009250578
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 9/39 #719673
3620A5Q28
93172.44190000
PA
USD
92105.29000000
0.004240840166
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 09/20/2040#748814
3620C43X6
155288.20300000
PA
USD
161516.60000000
0.007436772467
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #577618
36201AVK1
45149.21030000
PA
USD
47401.11000000
0.002182507988
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552550
36213EZP4
652413.27120000
PA
USD
631512.82000000
0.029076993651
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 6/32 #583276
36201G6M2
1245.56930000
PA
USD
1287.25000000
0.000059269359
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 02/01/2051#SD8127
3132DWA45
5582193.55700000
PA
USD
4316811.87000000
0.198760670195
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 7.395% 9/26 #409193
36206ERN7
25190.36680000
PA
USD
25540.44000000
0.001175968544
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
0.07395000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2044#AK0810
36183H3T0
1715267.63800000
PA
USD
1602074.21000000
0.073764934231
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #486599
36210ARU3
922.70340000
PA
USD
940.84000000
0.000043319466
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.7% 10/15/2042#783717
3622A2DW9
3781098.41350000
PA
USD
3576991.70000000
0.164696838543
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
0.03700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/33 #566499
36213WKL9
9864.64820000
PA
USD
9913.71000000
0.000456460856
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/27 #460640
36208TV98
10268.56680000
PA
USD
10500.18000000
0.000483463925
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2043#AA6286
36178D6X4
218201.72400000
PA
USD
199581.74000000
0.009189420710
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/29 #509418
36211C4B5
617.64020000
PA
USD
637.57000000
0.000029355886
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 12/20/2042#AA5872
36178DQZ7
15287004.31760000
PA
USD
13889075.04000000
0.639500155780
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 12/15/2033#558769
36213MW61
6284.25100000
PA
USD
6319.57000000
0.000290974452
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 9/28 #490576
36210E6M6
591.43400000
PA
USD
604.77000000
0.000027845663
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 11/39 #726091
3620ACUQ5
351826.07750000
PA
USD
347754.64000000
0.016011803940
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 12/20/2039#729078
3620AF6P7
271149.99900000
PA
USD
280616.60000000
0.012920540705
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 02/15/2038#752132
36230LLM9
2383421.55240000
PA
USD
2203765.19000000
0.101468829151
Long
ABS-MBS
USGA
US
N
2
2038-02-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 10/38 #702848
36296VZM3
417178.64470000
PA
USD
430677.34000000
0.019829846496
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2043#AD5663
36180HJG4
312026.66580000
PA
USD
301641.17000000
0.013888583267
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552554
36213EZT6
323698.93820000
PA
USD
313382.14000000
0.014429177376
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H14 FC TSFR1M+61.448 5/61
38375BMB5
1765918.00640000
PA
USD
1760012.78000000
0.081036962054
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.05960350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/32 #586496
36201LRR7
838.44680000
PA
USD
838.34000000
0.000038600019
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/29 #520077
36211QXE6
10388.01210000
PA
USD
10699.99000000
0.000492663856
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/39 #691679
36296HM48
361252.27540000
PA
USD
350461.71000000
0.016136446631
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/25 #413281
36206KCS8
1929.55860000
PA
USD
1938.58000000
0.000089258802
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.50% 7/31 #003109
36202DN23
5367.48640000
PA
USD
5618.41000000
0.000258690665
Long
ABS-MBS
USGA
US
N
2
2031-07-20
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/27 #455319
36208MYQ2
1106.96210000
PA
USD
1128.02000000
0.000051937869
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 1/41 #741521
3620AVYS5
33785.99480000
PA
USD
32714.78000000
0.001506299508
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 11/28 #002673
36202C6J7
60133.28970000
PA
USD
61488.99000000
0.002831161799
Long
ABS-MBS
USGA
US
N
2
2028-11-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 05/15/2043#753202
36230MRX7
179977.21740000
PA
USD
173818.38000000
0.008003188172
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #486417
36210AK63
103.11280000
PA
USD
106.05000000
0.000004882901
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 02/15/2043#AD2177
36180DM20
106783.32230000
PA
USD
100577.48000000
0.004630928549
Long
ABS-MBS
USGA
US
N
2
2043-02-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/24 #360842
36203VZF0
182.76330000
PA
USD
182.33000000
0.000008395092
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 04/15/2034#605185
36200NJ69
1398.08450000
PA
USD
1407.10000000
0.000064787659
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 3/40 #737377
3620ARFS5
14143.91500000
PA
USD
14321.32000000
0.000659402180
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/27 #451321
36208HLA2
536.50850000
PA
USD
545.54000000
0.000025118513
Long
ABS-MBS
USGA
US
N
2
2027-07-15
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H01 FA TSFR1M+81.448 11/61
38375BNX6
2338563.14980000
PA
USD
2336016.45000000
0.107558126036
Long
ABS-CBDO
USGA
US
N
2
2061-11-20
Variable
0.06160350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/27 #450126
36208GA32
64.56330000
PA
USD
64.87000000
0.000002986834
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 8/39 #004518
36202FAT3
72087.48150000
PA
USD
70144.37000000
0.003229684871
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/26 #431010
36207FYF2
134.85590000
PA
USD
136.74000000
0.000006295973
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/40 #737812
3620ARVD0
831440.47130000
PA
USD
806096.34000000
0.037115411466
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 8/28 #468960
36209D5V2
4670.30790000
PA
USD
4775.65000000
0.000219887135
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 03/43#666341
36295CHS3
88294.43640000
PA
USD
80594.68000000
0.003710852613
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
5560.37200000
PA
USD
5246.11000000
0.000241548710
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #486784
36210AXM4
1057.90710000
PA
USD
1086.98000000
0.000050048248
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#AE9880
36181D6R2
806368.92060000
PA
USD
736609.06000000
0.033915981248
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #416774
36206N6K6
465.10970000
PA
USD
468.08000000
0.000021551991
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/20/2051#MA7192
36179V7D6
115934039.57600000
PA
USD
96837570.07000000
4.458730402626
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 11/29 #515270
36211KMT8
12200.81220000
PA
USD
12530.76000000
0.000576958721
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #487646
36210BWF8
280.53200000
PA
USD
288.54000000
0.000013285360
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 20-101 BA 1.5% 09/25/2045
3136BDDV7
2012656.95400000
PA
USD
1733711.56000000
0.079825964616
Long
ABS-CBDO
USGSE
US
N
2
2045-09-25
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/39 #704624
36296XYV0
21394.60500000
PA
USD
21147.83000000
0.000973717871
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 02/01/2054 #TBA
21H050623
45700000.00000000
PA
USD
45464900.92000000
2.093358350874
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 02/15/2040#782899
36241LGG5
8454.64840000
PA
USD
8507.63000000
0.000391720160
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/27 #446822
36208CLB1
6221.88740000
PA
USD
6348.89000000
0.000292324444
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 10/32 #003298
36202DUX7
6588.02550000
PA
USD
6872.31000000
0.000316424477
Long
ABS-MBS
USGA
US
N
2
2032-10-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/31 #529829
36212CSS1
56817.57020000
PA
USD
59664.37000000
0.002747150101
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 4/42 #779086
36176XJ75
5539030.68400000
PA
USD
5224756.05000000
0.240565501897
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 04/15/2042#794596
36177PDA0
40186.74090000
PA
USD
36835.33000000
0.001696023616
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/01/2054 #TBA
21H020626
213450000.00000000
PA
USD
178103448.42000000
8.200487266551
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AD0721
36180BYS4
37387.56320000
PA
USD
34170.62000000
0.001573331323
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/27 #455456
36208M5R2
491.25230000
PA
USD
499.36000000
0.000022992229
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.50% 8/39 #004521
36202FAW6
9412.51100000
PA
USD
9717.68000000
0.000447434969
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL5704
36184CKR5
529586.18950000
PA
USD
483149.80000000
0.022245856651
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 7/29 #487568
36210BTZ8
534.43470000
PA
USD
542.68000000
0.000024986829
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 1/31 #003025
36202DLE9
4013.26150000
PA
USD
4131.97000000
0.000190249923
Long
ABS-MBS
USGA
US
N
2
2031-01-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #569880
36200RCR1
53604.81000000
PA
USD
55362.15000000
0.002549061290
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-73 AL TSFR1M+708.552 8/34
38374H2N9
300191.63740000
PA
USD
28251.34000000
0.001300787581
Long
ABS-CBDO
USGA
US
N
2
2034-08-17
Variable
0.01747540
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 09/15/2040#737423
3620ARG88
7376.99270000
PA
USD
7151.35000000
0.000329272426
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2028#FS3865
3140XKJK7
738776.42000000
PA
USD
706860.84000000
0.032546272231
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/33 #603671
36200KT49
784.87410000
PA
USD
789.00000000
0.000036328237
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 12/15/2026
91282CJP7
53980000.00000000
PA
USD
54494496.88000000
2.509111596243
Long
DBT
UST
US
N
2
2026-12-15
Fixed
0.04375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 3/26 #422461
36206VJE8
264.20310000
PA
USD
267.66000000
0.000012323974
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/27 #449190
36208E7B3
161.42940000
PA
USD
166.05000000
0.000007645505
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2031#AS8511
3138WJN53
1625195.42700000
PA
USD
1533817.68000000
0.070622171921
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #710763
36297FTU6
2052403.14710000
PA
USD
2028627.08000000
0.093404876130
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.00% 10/42 #MA0461
36179MQN3
684221.12760000
PA
USD
628660.59000000
0.028945667301
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 10/28 #468967
36209D6C3
219.30960000
PA
USD
224.26000000
0.000010325691
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 06/01/2041#BR1090
3140KYF82
514222.28900000
PA
USD
456298.23000000
0.021009519231
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 4/42 #779088
36176XJ91
11303828.69010000
PA
USD
10662469.80000000
0.490936299103
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H14 FB TSFR1M+61.448 5/61
38375BLZ3
2208753.93370000
PA
USD
2202045.51000000
0.101389649247
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.05960350
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 5/33 #003389
36202DXS5
38196.81860000
PA
USD
38488.13000000
0.001772124137
Long
ABS-MBS
USGA
US
N
2
2033-05-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 04/15/2034#627457
36291GB21
3768.50220000
PA
USD
3789.33000000
0.000174473614
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #500243
36210RWC0
11705.18640000
PA
USD
12172.68000000
0.000560471502
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 5.5% 01/20/2035
38374KM75
6808096.18650000
PA
USD
7002643.66000000
0.322425481794
Long
ABS-CBDO
USGA
US
N
2
2035-01-20
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5% 01/25/2042
3136A8GS3
30862.13100000
PA
USD
30664.97000000
0.001411919298
Long
ABS-CBDO
USGSE
US
N
2
2042-01-25
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 15YR 3.50% 3/27 #711637
36297GS27
200930.38260000
PA
USD
196991.26000000
0.009070146218
Long
ABS-MBS
USGA
US
N
2
2027-03-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #458865
36208RW26
557.08890000
PA
USD
570.20000000
0.000026253943
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.66% 8/35 #745071
31403CW80
80058.71150000
PA
USD
81597.04000000
0.003757004670
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Variable
0.05857000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #483920
36209WSH6
2401.63780000
PA
USD
2442.78000000
0.000112473882
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/27 #440274
36207SCK7
859.46960000
PA
USD
871.55000000
0.000040129120
Long
ABS-MBS
USGA
US
N
2
2027-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/40 #733902
3620AMKP6
693784.46020000
PA
USD
672493.12000000
0.030963865755
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/25 #397855
36205Q5Q8
1781.49680000
PA
USD
1783.27000000
0.000082107803
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/28 #481486
36209T2T5
1902.26780000
PA
USD
1965.14000000
0.000090481715
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 1/40 #678653
36295R5N4
484663.91020000
PA
USD
469806.25000000
0.021631474320
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 4/25 #780097
36225ADA5
28.11700000
PA
USD
28.16000000
0.000001296581
Long
ABS-MBS
USGA
US
N
2
2025-04-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/33 #594722
36201VVP4
1023.47330000
PA
USD
1029.23000000
0.000047389242
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H21 JZ VAR 06/65
38376RGF7
171906.40000000
PA
USD
169996.28000000
0.007827205715
Long
ABS-CBDO
USGA
US
N
2
2065-06-20
Variable
0.04604430
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 02/15/2039#707284
36297BXM8
17959.83950000
PA
USD
18170.92000000
0.000836650830
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/41 #760147
36176AHY8
5425.46120000
PA
USD
5354.88000000
0.000246556850
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 8/34 #003599
36202D7L9
3703.67180000
PA
USD
3866.48000000
0.000178025862
Long
ABS-MBS
USGA
US
N
2
2034-08-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 07/15/2043#AF2677
36181H6N2
58486.78450000
PA
USD
53468.16000000
0.002461855562
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/28 #781018
36225BDX3
1007.40930000
PA
USD
1025.79000000
0.000047230853
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/41 #690673
36296GJS1
172273.42530000
PA
USD
170316.66000000
0.007841957098
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.0% 09/15/21 #738767
3620ASW47
65945.31020000
PA
USD
63854.46000000
0.002940076066
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/27 #353746
36203M5F3
1823.46040000
PA
USD
1872.76000000
0.000086228226
Long
ABS-MBS
USGA
US
N
2
2027-07-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.280% 3/35 #843014
31407WSB0
7972.02500000
PA
USD
8039.56000000
0.000370168629
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Variable
0.04785000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/31 #550387
36213CNC0
14586.38900000
PA
USD
15332.97000000
0.000705981980
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 7.395% 12/26 #409195
36206ERQ0
24166.48100000
PA
USD
24551.32000000
0.001130426102
Long
ABS-MBS
USGA
US
N
2
2026-12-20
Fixed
0.07395000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 12/34 #638222
36291UAX3
7364.65730000
PA
USD
7422.22000000
0.000341744200
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/40 #745125
3620C0YW2
20279.14720000
PA
USD
19658.85000000
0.000905160178
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#BU0529
3140M1ST2
43097.77600000
PA
USD
37919.74000000
0.001745953533
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 03/15/2036#652750
36292MEX6
92270.49250000
PA
USD
92642.64000000
0.004265581584
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2049#BL1666
3617JDZ77
258862.49800000
PA
USD
239352.89000000
0.011020619443
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 05/20/2040#742212
3620AWR93
77114.52000000
PA
USD
80197.40000000
0.003692560494
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.05750000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2017-75 PT VAR 05/47
38376UK65
7282057.11970000
PA
USD
7379902.48000000
0.339795758321
Long
ABS-CBDO
USGA
US
N
2
2047-04-20
Variable
0.05727150
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/26 #780355
36225AMC1
1879.04560000
PA
USD
1896.65000000
0.000087328203
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/29 #506122
36210YG74
16945.04740000
PA
USD
17651.48000000
0.000812734050
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 01/20/2050#BR8996
3617M77H5
50522.81600000
PA
USD
46683.50000000
0.002149466788
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #460784
36208T2R0
804.15220000
PA
USD
820.47000000
0.000037777223
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #769752
36176L5M3
259113.45650000
PA
USD
250647.26000000
0.011540650572
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 10/15/2041#773503
36176RDG4
356819.58500000
PA
USD
345245.18000000
0.015896259884
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/31 #535388
36212JXR2
6663.23760000
PA
USD
6986.18000000
0.000321667439
Long
ABS-MBS
USGA
US
N
2
2031-01-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 02/01/2054 #TBA
01F050627
-86800000.00000000
PA
USD
-85860797.96000000
-3.95332255839
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 6/36 #003863
36202EJG5
16112.84920000
PA
USD
16296.71000000
0.000750355841
Long
ABS-MBS
USGA
US
N
2
2036-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 09/20/2041#005177
36202FXE1
11548.20620000
PA
USD
11900.97000000
0.000547961051
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/36 #782939
36241LHQ2
60357.54580000
PA
USD
60752.39000000
0.002797246235
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 11/28 #002675
36202C6L2
23400.90090000
PA
USD
24064.92000000
0.001108030595
Long
ABS-MBS
USGA
US
N
2
2028-11-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #513724
36211HVR9
13414.29050000
PA
USD
13926.28000000
0.000641213198
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.61% 3/35 #1L0297
3128Q2KJ1
274082.69450000
PA
USD
277629.68000000
0.012783012770
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Variable
0.06066000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/27 #439558
36207RJB2
1459.26170000
PA
USD
1490.11000000
0.000068609721
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 6/26 #424517
36206XSE4
1492.35230000
PA
USD
1526.01000000
0.000070262679
Long
ABS-MBS
USGA
US
N
2
2026-06-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 1/27 #002359
36202CTQ6
271.93200000
PA
USD
279.65000000
0.000012876035
Long
ABS-MBS
USGA
US
N
2
2027-01-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 11/15/2033#781778
36225B6P8
23368.68080000
PA
USD
23502.18000000
0.001082120135
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/33 #613013
36290NAN2
798.43470000
PA
USD
802.48000000
0.000036948902
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 11/15/2044#783946
3622A2L34
74174.08060000
PA
USD
67774.51000000
0.003120568474
Long
ABS-MBS
USGA
US
N
2
2044-11-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 4/42 #766653
36176HQE7
4528081.82330000
PA
USD
4268358.29000000
0.196529702915
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/27 #423061
36206V5W3
1681.52070000
PA
USD
1717.60000000
0.000079084133
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #467822
36209CVP8
179.33770000
PA
USD
181.86000000
0.000008373451
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 15YR 3.00% 5/27 #783596
36241L7H3
384560.40000000
PA
USD
374830.21000000
0.017258455080
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2042#792254
36177LQG2
47432.39580000
PA
USD
45886.32000000
0.002112761915
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K-150 A2 3.71% 09/25/2032
3137H9C98
1800000.00000000
PA
USD
1699702.02000000
0.078260049963
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Fixed
0.03710000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/01/2054 #TBA
21H020626
-25200000.00000000
PA
USD
-21026970.72000000
-0.96815309963
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#CB2886
3140QNF49
233649.12100000
PA
USD
206453.25000000
0.009505808353
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
4135312.42810000
PA
USD
3884032.65000000
0.178834046009
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #434414
36207KSB7
2187.99460000
PA
USD
2257.00000000
0.000103919940
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3.5% 03/25/2049
3136B54E2
65306.57100000
PA
USD
63449.60000000
0.002921434938
Long
ABS-CBDO
USGSE
US
N
2
2049-03-25
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #408838
36206EEK7
306.79220000
PA
USD
308.97000000
0.000014226027
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/27 #353853
36203NBW7
28.92170000
PA
USD
29.42000000
0.000001354596
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #433970
36207KCF5
457.55000000
PA
USD
469.21000000
0.000021604020
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/24 #389192
36205FKD4
22.16830000
PA
USD
22.12000000
0.000001018479
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 6/41 #005081
36202FUE4
240758.69780000
PA
USD
234018.49000000
0.010775005562
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #462750
36208WBT9
72.14140000
PA
USD
72.01000000
0.000003315584
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 01/15/2045#AK8148
36183SBR1
411274.54070000
PA
USD
386225.33000000
0.017783125081
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #476377
36209NFS6
504.53930000
PA
USD
512.87000000
0.000023614275
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479596
36209RXZ1
12743.24980000
PA
USD
12362.13000000
0.000569194423
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047
38380UAT0
2099799.49100000
PA
USD
1934039.22000000
0.089049730015
Long
ABS-CBDO
USGA
US
N
2
2047-10-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 11/15/2040#734043
3620AMP48
247575.19380000
PA
USD
239830.30000000
0.011042601020
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/34 #605426
36200NSP7
861.48140000
PA
USD
866.96000000
0.000039917780
Long
ABS-MBS
USGA
US
N
2
2034-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/25 #414675
36206LT82
127.50830000
PA
USD
128.41000000
0.000005912432
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 02/01/2054 #TBA
01F020620
-8400000.00000000
PA
USD
-6783115.08000000
-0.31231764086
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 4/42 #MA0023
36179MAY6
1137241.50400000
PA
USD
1104675.00000000
0.050862986379
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 7/33 #606155
36201XMC9
483.25140000
PA
USD
497.06000000
0.000022886329
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/29 #513403
36211HKQ3
4552.20770000
PA
USD
4750.28000000
0.000218719014
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/27 #448879
36208EUC5
1373.30140000
PA
USD
1407.14000000
0.000064789501
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 1/30 #526843
36211YHU1
225757.30140000
PA
USD
226974.97000000
0.010450697995
Long
ABS-MBS
USGA
US
N
2
2030-01-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/44#MA1760
36179N5V6
4904.87400000
PA
USD
4597.65000000
0.000211691410
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 08/20/2040#004767
36202FJL1
14696.39850000
PA
USD
14278.41000000
0.000657426458
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/27 #353699
36203M3G3
7223.43190000
PA
USD
7361.24000000
0.000338936474
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/26 #377304
36204RDH8
125.77570000
PA
USD
128.47000000
0.000005915194
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/41#755958
36230QTP3
272394.00860000
PA
USD
263849.42000000
0.012148522828
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 7/36 #617147
36290TTC3
89009.75700000
PA
USD
92651.95000000
0.004266010248
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 2/31 #003040
36202DLV1
7834.34750000
PA
USD
8148.57000000
0.000375187819
Long
ABS-MBS
USGA
US
N
2
2031-02-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/25 #385380
36205BCR1
380.77980000
PA
USD
383.20000000
0.000017643828
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 10/28 #486546
36210AP76
70085.47610000
PA
USD
71666.28000000
0.003299758773
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#772041
36176PP26
889384.46240000
PA
USD
861410.21000000
0.039662249782
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 9.00% 10/24 #380642
36204UZF1
375.24300000
PA
USD
377.07000000
0.000017361582
Long
ABS-MBS
USGA
US
N
2
2024-10-15
Fixed
0.09000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 2/39 #004369
36202E2A6
19392.99990000
PA
USD
19673.23000000
0.000905822282
Long
ABS-MBS
USGA
US
N
2
2039-02-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 07/15/2043#722007
3620A8DL4
479092.67040000
PA
USD
462698.07000000
0.021304189587
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 7/30 #466263
36209A5Y2
62534.99790000
PA
USD
62830.37000000
0.002892923487
Long
ABS-MBS
USGA
US
N
2
2030-07-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #513389
36211HKA8
8093.05970000
PA
USD
8246.57000000
0.000379700072
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/29 #497493
36210NUS6
9695.72650000
PA
USD
9987.09000000
0.000459839520
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2040#757031
36230RY42
2326487.84100000
PA
USD
2253114.83000000
0.103741054075
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 11/20/2050#MA6994
36179VXX3
20510733.65200000
PA
USD
17113009.61000000
0.787941045746
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.48% 6/47 #939994
31413AXX6
52047.69050000
PA
USD
53379.10000000
0.002457754938
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Variable
0.05895000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 7.395% 7/25 #409183
36206ERC1
7931.38030000
PA
USD
7956.92000000
0.000366363603
Long
ABS-MBS
USGA
US
N
2
2025-07-20
Fixed
0.07395000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 2/30 #506737
36210Y4W2
4795.28800000
PA
USD
4997.29000000
0.000230092192
Long
ABS-MBS
USGA
US
N
2
2030-02-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/26 #423478
36206WM36
539.97810000
PA
USD
539.91000000
0.000024859288
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/28 #780896
36225A7H7
4355.27740000
PA
USD
4452.08000000
0.000204988874
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #475445
36209MES9
630.31430000
PA
USD
630.94000000
0.000029050619
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 03/15/2045#AL2253
36183XQE3
274464.81630000
PA
USD
264657.15000000
0.012185713459
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #726113
3620ACVE1
369565.92810000
PA
USD
365354.28000000
0.016822151100
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/25 #412186
36206H2T4
599.76190000
PA
USD
601.87000000
0.000027712137
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/30 #523220
36211UG55
17829.03290000
PA
USD
18663.54000000
0.000859332727
Long
ABS-MBS
USGA
US
N
2
2030-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/26 #405558
36206AQK2
2102.27870000
PA
USD
2120.35000000
0.000097628110
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/32 #553503
36213F3L5
2794.92500000
PA
USD
2915.50000000
0.000134239515
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 5/29 #002755
36202DBY6
8105.00820000
PA
USD
8348.48000000
0.000384392354
Long
ABS-MBS
USGA
US
N
2
2029-05-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 5/29 #502215
36210T3Y0
261.34570000
PA
USD
267.24000000
0.000012304636
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 4/31 #003069
36202DMS7
8020.30660000
PA
USD
8362.41000000
0.000385033739
Long
ABS-MBS
USGA
US
N
2
2031-04-20
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS
N/A
GNR 2001-58 X CSTR 9/41
38373MBD1
242500.05980000
PA
USD
2.43000000
0.000000111885
Long
ABS-MBS
USGA
US
N
2
2041-09-16
Variable
0.00490230
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/26 #442079
36207UCQ9
935.79280000
PA
USD
948.88000000
0.000043689655
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 4/34 #607504
36201Y3M6
71398.96350000
PA
USD
73999.46000000
0.003407186300
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/34 #781765
36225B6A1
20323.64620000
PA
USD
20447.25000000
0.000941460790
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/29 #781135
36225BHL5
39987.53880000
PA
USD
41455.55000000
0.001908754226
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 1/42 #553452
36213FZR7
5291176.51840000
PA
USD
4989315.43000000
0.229725016643
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 08/20/2040#742188
3620AWRH5
413499.97300000
PA
USD
430084.88000000
0.019802567627
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 04/20/2040#742038
3620AWLT5
116502.43100000
PA
USD
121190.33000000
0.005580014125
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
0.05750000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047
38380HES7
4534241.64100000
PA
USD
4124539.36000000
0.189907791242
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/41#759075
36230UCL1
199386.63380000
PA
USD
193200.94000000
0.008895627021
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.50% 8/32 #003276
36202DT92
1093.47990000
PA
USD
1139.60000000
0.000052471051
Long
ABS-MBS
USGA
US
N
2
2032-08-20
Fixed
0.07500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 02/01/2054 #TBA
01F032625
-14800000.00000000
PA
USD
-13505000.00000000
-0.62181603734
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 01/01/2028#SB0799
3132CW3G7
714753.69800000
PA
USD
690469.80000000
0.031791573117
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 6/29 #508245
36211BTA2
267677.27380000
PA
USD
268941.59000000
0.012382983618
Long
ABS-MBS
USGA
US
N
2
2029-06-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/26 #414980
36206L6R5
111.82240000
PA
USD
111.85000000
0.000005149953
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #749289
3620C5NE3
1413762.12270000
PA
USD
1368587.05000000
0.063014392906
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 10/41#773500
36176RDD1
885509.97850000
PA
USD
857582.68000000
0.039486017310
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #710764
36297FTV4
1741494.77360000
PA
USD
1721385.39000000
0.079258425913
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2041#757629
36230SPN8
421704.36370000
PA
USD
408404.61000000
0.018804334411
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #480352
36209STH4
1885.22340000
PA
USD
1927.13000000
0.000088731606
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/26 #442194
36207UGB8
67.68630000
PA
USD
68.64000000
0.000003160418
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #772072
36176PQZ2
109405.87000000
PA
USD
105848.34000000
0.004873616833
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 4/34 #607506
36201Y3P9
24666.25880000
PA
USD
25564.65000000
0.001177083255
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/27 #780580
36225AUD0
3460.86860000
PA
USD
3524.03000000
0.000162258302
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 11/45#AQ6540
36189XHR8
1489580.25770000
PA
USD
1430757.92000000
0.065876950775
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#BT9396
3140LYNN9
505149.78300000
PA
USD
447142.68000000
0.020587966635
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 9/33 #003442
36202DZF1
3786682.41850000
PA
USD
3816938.39000000
0.175744798554
Long
ABS-MBS
USGA
US
N
2
2033-09-20
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2017-K063 A2 3.43% 01/25/2027
3137BVZ82
1300000.00000000
PA
USD
1263975.18000000
0.058197707348
Long
ABS-MBS
USGSE
US
N
2
2027-01-25
Fixed
0.03430000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 3.502 01/04/2029
N/A
-39000000.00000000
NC
USD
-1492327.20000000
-0.06871180939
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/08/34 3.502%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-01-08
0.00000000
USD
0.00000000
USD
-39000000.00000000
USD
1.00000000
3.50200000
USD
2029-01-04
XXXX
128122.80000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.74% 07/42#AB1375
36178LQ48
224926.22590000
PA
USD
212071.78000000
0.009764504544
Long
ABS-MBS
USGA
US
N
2
2042-07-20
Fixed
0.03740000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 9/41 #775072
36176S2D1
66759.78230000
PA
USD
66005.02000000
0.003039095148
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #476873
36209NXA5
1180.83520000
PA
USD
1212.50000000
0.000055827615
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #738630
3620ASST7
43770.77760000
PA
USD
42368.55000000
0.001950791845
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 4/32 #003228
36202DSR3
2808.15440000
PA
USD
2910.14000000
0.000133992722
Long
ABS-MBS
USGA
US
N
2
2032-04-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#AD2675
36180D6L6
356236.06180000
PA
USD
324447.41000000
0.014938659964
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#778869
36176XCE7
599363.91190000
PA
USD
580162.93000000
0.026712670429
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 04/15/2036#653175
36292MT85
126876.18770000
PA
USD
128017.30000000
0.005894350995
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #415757
36206MZW0
1129.15980000
PA
USD
1137.18000000
0.000052359626
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 2.5% 12/15/2042#AA5894
36178DRP8
471519.71210000
PA
USD
417994.49000000
0.019245885035
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 6/39 #004467
36202E6C8
196633.68830000
PA
USD
191350.48000000
0.008810425562
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 06/20/2040#745408
3620C1DM5
200764.28700000
PA
USD
208657.03000000
0.009607277864
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 5/24 #375883
36204PRC8
141.83870000
PA
USD
141.54000000
0.000006516982
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 04/15/2045#AM0472
36184KQZ3
592142.26920000
PA
USD
540220.69000000
0.024873594131
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.25% 05/20/2050#BQ7082
3617LR2P9
1864210.55300000
PA
USD
1561019.45000000
0.071874633737
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.02250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/31 #554149
36213GTE1
49060.32100000
PA
USD
51544.98000000
0.002373305828
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 04/20/2043#MA0933
36179NBA5
336537.06360000
PA
USD
308886.37000000
0.014222176866
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/30 #544639
36212VBG3
5746.51790000
PA
USD
6005.82000000
0.000276528337
Long
ABS-MBS
USGA
US
N
2
2030-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/40 #755655
36230QH84
98671.18750000
PA
USD
95592.94000000
0.004401423409
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #726017
3620ACSE5
45341.03600000
PA
USD
44820.47000000
0.002063686564
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/24 #354828
36203PD91
22.22820000
PA
USD
22.17000000
0.000001020782
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #463965
36208XMN8
1325.77260000
PA
USD
1357.83000000
0.000062519101
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7% 8/34 #003600
36202D7M7
28730.32540000
PA
USD
30353.48000000
0.001397577242
Long
ABS-MBS
USGA
US
N
2
2034-08-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.50% 3/40 #004659
36202FE85
463294.38800000
PA
USD
478435.31000000
0.022028785530
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/31 #531524
36212EPH4
10989.78300000
PA
USD
11516.37000000
0.000530252762
Long
ABS-MBS
USGA
US
N
2
2031-01-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/26 #412637
36206JLS1
1084.37460000
PA
USD
1094.49000000
0.000050394034
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #459527
36208SPL0
5274.09530000
PA
USD
5401.63000000
0.000248709378
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #447983
36208DUG8
930.77220000
PA
USD
950.26000000
0.000043753195
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/26 #345613
36203C3W0
167.82600000
PA
USD
169.04000000
0.000007783175
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 10/29 #522301
36211TGJ8
185350.42000000
PA
USD
186434.42000000
0.008584073474
Long
ABS-MBS
USGA
US
N
2
2029-10-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/26 #417223
36206PPG9
1453.99350000
PA
USD
1467.61000000
0.000067573745
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6539
3140QSHR5
3503759.19100000
PA
USD
3597728.26000000
0.165651620147
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 1/42 #790493
36177JRP6
69733.53570000
PA
USD
65755.24000000
0.003027594429
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H07 FA TSFR1M+61.448 3/61
38375BKP6
308177.38500000
PA
USD
306799.83000000
0.014126105483
Long
ABS-CBDO
USGA
US
N
2
2061-02-20
Variable
0.05960350
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 11/32 #003305
36202DU66
37665.97800000
PA
USD
37937.19000000
0.001746756990
Long
ABS-MBS
USGA
US
N
2
2032-11-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/27 #372461
36204KWW9
14822.08310000
PA
USD
15246.52000000
0.000702001529
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 1/25 #780042
36225ABK5
17.44390000
PA
USD
17.45000000
0.000000803457
Long
ABS-MBS
USGA
US
N
2
2025-01-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 08/15/2035#595801
36200A3J6
4748.07350000
PA
USD
4788.58000000
0.000220482476
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/26 #421686
36206UNB1
333.08350000
PA
USD
334.07000000
0.000015381716
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745088
3620C0XR4
417869.25470000
PA
USD
413054.82000000
0.019018445863
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/34 #628092
36291GXV3
5162.19890000
PA
USD
5194.55000000
0.000239174712
Long
ABS-MBS
USGA
US
N
2
2034-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/26 #412669
36206JMS0
1258.35910000
PA
USD
1284.36000000
0.000059136293
Long
ABS-MBS
USGA
US
N
2
2026-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 11/15/2035#782523
36241KYU6
46049.07300000
PA
USD
46346.09000000
0.002133931286
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #781073
36225BFN3
296.18770000
PA
USD
307.49000000
0.000014157883
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #483793
36209WNJ7
17172.10540000
PA
USD
17765.61000000
0.000817988982
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #713740
36297J4Z4
646981.28000000
PA
USD
639527.15000000
0.029446000606
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/26 #431758
36207GTP4
134.13190000
PA
USD
133.89000000
0.000006164750
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 6/34 #003571
36202D6G1
3082.26050000
PA
USD
3213.12000000
0.000147942950
Long
ABS-MBS
USGA
US
N
2
2034-06-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 01/20/2043#MA0698
36179MX39
8512815.49130000
PA
USD
7819020.18000000
0.360014227640
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H06 FA TSFR1M+74.448 1/62
38375BPQ9
2237335.03740000
PA
USD
2232158.52000000
0.102776154434
Long
ABS-CBDO
USGA
US
N
2
2062-01-20
Variable
0.06090350
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.284% 07/25/2030
3137HAGZ3
4600000.00000000
PA
USD
4565218.48000000
0.210198153636
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Fixed
0.04284000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/41 #757601
36230SNS9
66584.04590000
PA
USD
65832.31000000
0.003031142993
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 9/35 #003759
36202EE88
157228.24940000
PA
USD
158879.93000000
0.007315371231
Long
ABS-MBS
USGA
US
N
2
2035-09-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 2/26 #383120
36204XSH9
5519.04510000
PA
USD
5643.53000000
0.000259847275
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #754005
36230NNW1
27447.19530000
PA
USD
26645.06000000
0.001226828998
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 11/28 #492951
36210HTG7
13393.51130000
PA
USD
13695.61000000
0.000630592368
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 1/34 #562448
36213RZM2
23113.58290000
PA
USD
23991.04000000
0.001104628909
Long
ABS-MBS
USGA
US
N
2
2034-01-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE I POOL 30YR 4.0% 05/15/2044#AI3213
36198PSA9
848429.34050000
PA
USD
819702.54000000
0.037741887095
Long
ABS-MBS
USGA
US
N
2
2044-05-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 08/15/2033#619489
36290WF64
83017.11310000
PA
USD
83560.19000000
0.003847394759
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/32 #569798
36200Q7K4
1696.97750000
PA
USD
1746.67000000
0.000080422615
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 10/28 #487320
36210BK95
14960.00640000
PA
USD
15310.56000000
0.000704950148
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 02/20/2040#729195
3620AGC86
200948.17700000
PA
USD
208738.62000000
0.009611034544
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
0.05750000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2% 11/25/2047
3136BLDF4
11278768.44100000
PA
USD
9855700.29000000
0.453789892604
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/27 #462442
36208VWB7
3017.54030000
PA
USD
3076.85000000
0.000141668617
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #495773
36210LXA6
594.83720000
PA
USD
610.79000000
0.000028122844
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 8/32 #003275
36202DT84
139097.66630000
PA
USD
145636.94000000
0.006705619024
Long
ABS-MBS
USGA
US
N
2
2032-08-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2040#004799
36202FKL9
25930.34700000
PA
USD
24450.05000000
0.001125763287
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/40 #737790
3620ARUP4
8586.14550000
PA
USD
8320.52000000
0.000383104981
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/24 #385932
36205BVZ2
49.17080000
PA
USD
49.25000000
0.000002267637
Long
ABS-MBS
USGA
US
N
2
2024-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/39 #711476
36297GMZ0
830703.12400000
PA
USD
805293.74000000
0.037078457038
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #473591
36209KC48
4915.65000000
PA
USD
4984.74000000
0.000229514348
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 11/25 #002116
36202CK51
235.83900000
PA
USD
242.53000000
0.000011166904
Long
ABS-MBS
USGA
US
N
2
2025-11-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 5/33 #593685
36201URE6
359149.80850000
PA
USD
367621.43000000
0.016926538381
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #457635
36208QLQ7
8.50610000
PA
USD
8.53000000
0.000000392750
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #412317
36206JAS3
8133.26790000
PA
USD
8293.40000000
0.000381856284
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNMA 2017-H06 FA T1Y+35 08/66
38376RV60
5005147.23200000
PA
USD
4984201.19000000
0.229489539675
Long
ABS-CBDO
USGA
US
N
2
2066-08-20
Variable
0.05510000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #458917
36208RYN8
295.65910000
PA
USD
302.04000000
0.000013906946
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/33 #604730
36200MY31
22304.31540000
PA
USD
22429.67000000
0.001032738135
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 04/40#741925
3620AWHA1
83349.02900000
PA
USD
86498.33000000
0.003982676697
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
0.05750000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2007-35 SC TSFR1M+3951.312 6/37
38375KVH2
358316.48020000
PA
USD
413601.34000000
0.019043609498
Long
ABS-CBDO
USGA
US
N
2
2037-06-16
Variable
0.07485240
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/25 #411524
36206HD54
3382.06060000
PA
USD
3399.93000000
0.000156544316
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 2/32 #583179
36201G2L8
5302.39780000
PA
USD
5473.86000000
0.000252035093
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/29 #498099
36210PKL7
2245.14550000
PA
USD
2261.09000000
0.000104108257
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#AE9881
36181D6S0
495705.16380000
PA
USD
452936.86000000
0.020854750348
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #442334
36207ULP1
491.79900000
PA
USD
499.92000000
0.000023018013
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #433882
36207J6T5
1961.65340000
PA
USD
2007.81000000
0.000092446387
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/26 #424241
36206XHS5
1007.37300000
PA
USD
1024.21000000
0.000047158104
Long
ABS-MBS
USGA
US
N
2
2026-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/26 #429088
36207DUM6
63.11720000
PA
USD
63.02000000
0.000002901654
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 1/28 #460678
36208TXF2
3684.92910000
PA
USD
3805.16000000
0.000175202481
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/39 #717181
3620A2XJ0
122673.55730000
PA
USD
121261.81000000
0.005583305307
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #582239
36201FZC4
9316.92520000
PA
USD
9740.64000000
0.000448492126
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/26 #433330
36207JLK7
803.87570000
PA
USD
818.58000000
0.000037690201
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/29 #521585
36211SNA1
5172.13180000
PA
USD
5360.26000000
0.000246804563
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 12/20/2042#MA0623
36179MVQ0
501049.35370000
PA
USD
444160.31000000
0.020450648197
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/25 #408175
36206DMY0
244.31830000
PA
USD
245.32000000
0.000011295365
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #741209
3620AVN24
6597.87430000
PA
USD
6519.85000000
0.000300196023
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#MA4178
31418DUC4
4690269.54400000
PA
USD
4127404.37000000
0.190039706026
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 04/51#MA7311
36179WDQ8
14966602.88500000
PA
USD
12487296.81000000
0.574957528293
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/32 #569793
36200Q7E8
36592.21460000
PA
USD
38523.65000000
0.001773759599
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 03/01/2053#SD7559
3132DVMG7
2240148.99300000
PA
USD
2289403.15000000
0.105411891494
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/27 #427829
36207CHE1
8772.93500000
PA
USD
9010.13000000
0.000414856966
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/39 #710991
36297F2Y7
3119032.96650000
PA
USD
3156932.65000000
0.145355894157
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.45% 8/32 #596020
36200BDZ7
6724.67940000
PA
USD
6728.83000000
0.000309818171
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
0.06450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #485211
36209YAL2
356.87210000
PA
USD
366.79000000
0.000016888256
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 11/15/2042#409373
36206EXA8
26845.44740000
PA
USD
24492.09000000
0.001127698952
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/26 #429424
36207EAZ7
3509.62140000
PA
USD
3548.09000000
0.000163366106
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 12/41#005264
36202FZ58
52121.99120000
PA
USD
53586.32000000
0.002467296050
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/30 #528295
36212A3C7
2219.41400000
PA
USD
2300.04000000
0.000105901648
Long
ABS-MBS
USGA
US
N
2
2030-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 11/51#MA7705
36179WR26
108533326.77000000
PA
USD
93939555.79000000
4.325295989018
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 02/15/41#757555
36230SMC5
30405.18770000
PA
USD
29473.10000000
0.001357041558
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 2.5% 12/15/2042#AC2953
36179CH62
177957.36230000
PA
USD
159066.26000000
0.007323950497
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.5% 6/31 #003097
36202DNN7
19441.55400000
PA
USD
20317.83000000
0.000935501853
Long
ABS-MBS
USGA
US
N
2
2031-06-20
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 04/15/2045#AM2808
36184NDM0
103611.76410000
PA
USD
99779.81000000
0.004594201115
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/31 #550143
36213CEQ9
2244.73520000
PA
USD
2342.63000000
0.000107862636
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #433980
36207KCR9
592.97980000
PA
USD
608.88000000
0.000028034901
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #748220
3620C4G53
104140.55850000
PA
USD
100847.40000000
0.004643356582
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 3/36 #602552
36200JL99
34351.79040000
PA
USD
34638.77000000
0.001594886538
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464052
36208XQD6
153.94160000
PA
USD
156.77000000
0.000007218222
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 07/20/2041#005118
36202FVK9
57817.54770000
PA
USD
56166.38000000
0.002586090769
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/24 #375937
36204PS29
111.18600000
PA
USD
110.92000000
0.000005107133
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 9/33 #606856
36201YE51
52928.05240000
PA
USD
54742.72000000
0.002520540631
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 10/31 #003151
36202DQC8
28915.42720000
PA
USD
30163.29000000
0.001388820248
Long
ABS-MBS
USGA
US
N
2
2031-10-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 2/33 #003345
36202DWE7
40541.39250000
PA
USD
40820.25000000
0.001879502858
Long
ABS-MBS
USGA
US
N
2
2033-02-20
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.94% 11/25/2030
3137HBC51
7375000.00000000
PA
USD
7566027.25000000
0.348365574459
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Fixed
0.04940000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/25 #387081
36205C6S4
233.20210000
PA
USD
233.01000000
0.000010728571
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 10/01/2053#RJ0002
3142GQAC6
3983144.39000000
PA
USD
4132247.03000000
0.190262678529
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2040#757039
36230RZC3
358012.22230000
PA
USD
346874.25000000
0.015971267796
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/24 #354808
36203PDM2
7.07890000
PA
USD
7.06000000
0.000000325066
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/31 #424092
36206XC50
529.38650000
PA
USD
550.70000000
0.000025356097
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 9/39 #690064
36296FTV5
13235.33290000
PA
USD
13084.31000000
0.000602446041
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #480353
36209STJ0
1594.28560000
PA
USD
1633.88000000
0.000075229380
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/29 #506673
36210Y2E4
1783.30880000
PA
USD
1847.65000000
0.000085072077
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 3/35 #003690
36202EC31
108631.28400000
PA
USD
109696.13000000
0.005050782145
Long
ABS-MBS
USGA
US
N
2
2035-03-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/26 #416409
36206NR64
7347.51370000
PA
USD
7487.69000000
0.000344758661
Long
ABS-MBS
USGA
US
N
2
2026-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/29 #536601
36212LDE8
827.30280000
PA
USD
859.37000000
0.000039568311
Long
ABS-MBS
USGA
US
N
2
2029-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 2/34 #624262
36291CQP3
270.07950000
PA
USD
276.66000000
0.000012738365
Long
ABS-MBS
USGA
US
N
2
2034-02-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/27 #418872
36206RJR8
777.50720000
PA
USD
786.58000000
0.000036216812
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/27 #447109
36208CVA2
8496.74660000
PA
USD
8610.04000000
0.000396435464
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/40 #667594
36295DUT4
11198.13920000
PA
USD
10867.79000000
0.000500389937
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 10/41 #005204
36202FX92
102565.60100000
PA
USD
101849.96000000
0.004689517847
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 11/39 #728312
3620AFDR5
188035.30520000
PA
USD
185864.02000000
0.008557810322
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#666354
36295CH79
113753.60070000
PA
USD
104046.57000000
0.004790657227
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 01/01/2051#MA4236
31418DV66
5543528.40900000
PA
USD
4286911.41000000
0.197383951531
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 12/34 #637317
36291TAS7
645.51540000
PA
USD
662.93000000
0.000030523547
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/24 #388628
36205EVV5
50.44330000
PA
USD
50.32000000
0.000002316903
Long
ABS-MBS
USGA
US
N
2
2024-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 09/20/2043#MA1284
36179NM96
2158650.42700000
PA
USD
1978423.41000000
0.091093328767
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AC6072
36179FW92
1214144.85660000
PA
USD
1109107.85000000
0.051067089839
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/28 #487338
36210BLT0
1441.82150000
PA
USD
1483.36000000
0.000068298929
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 6/26 #002231
36202CPQ0
487.13200000
PA
USD
500.95000000
0.000023065438
Long
ABS-MBS
USGA
US
N
2
2026-06-20
Fixed
0.07000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT MAR24 FVH4
N/A
229.00000000
NC
USD
418652.54000000
0.019276183891
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-03-28
24402800.59000000
USD
418652.54000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/29 #513705
36211HU66
730.55470000
PA
USD
748.70000000
0.000034472689
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 02/01/2054 #TBA
21H030625
-144950000.00000000
PA
USD
-130019410.76000000
-5.98653497055
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 6/29 #506924
36211AD52
2890.59510000
PA
USD
2955.79000000
0.000136094603
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/25 #360591
36203VRL6
1550.66810000
PA
USD
1563.00000000
0.000071965824
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #462680
36208V6R1
785.54020000
PA
USD
801.99000000
0.000036926341
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/30 #514868
36211J6D4
3106.64260000
PA
USD
3262.87000000
0.000150233609
Long
ABS-MBS
USGA
US
N
2
2030-09-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040
3137FXBN7
668212.45000000
PA
USD
607260.72000000
0.027960344653
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 11/36 #995606
31416CAF3
34926.25070000
PA
USD
35621.33000000
0.001640126935
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.05337000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050
3137H5MS3
1316907.27000000
PA
USD
1149534.02000000
0.052928447916
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 10/30 #543542
36212TZF4
15970.13780000
PA
USD
16085.85000000
0.000740647131
Long
ABS-MBS
USGA
US
N
2
2030-10-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 02/01/2054 #TBA
21H022622
-51500000.00000000
PA
USD
-44596342.60000000
-2.05336697784
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 12/31 #556292
36213J7D1
42447.61160000
PA
USD
43743.07000000
0.002014079411
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/27 #780498
36225ART9
10100.71490000
PA
USD
10219.71000000
0.000470550135
Long
ABS-MBS
USGA
US
N
2
2027-01-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #727855
3620AETL4
67722.94510000
PA
USD
66938.02000000
0.003082053635
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 11/35 #003785
36202EF20
47841.25200000
PA
USD
48353.26000000
0.002226348206
Long
ABS-MBS
USGA
US
N
2
2035-11-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/25 #408176
36206DMZ7
1874.60000000
PA
USD
1886.90000000
0.000086879280
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/01/2054 #TBA
21H032621
-8850000.00000000
PA
USD
-8187389.00000000
-0.37697517839
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/15/2042#AA0540
36177WS50
81642.61700000
PA
USD
74717.50000000
0.003440247298
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.753% 10/33 #746320
31403EDZ7
13231.12650000
PA
USD
13390.69000000
0.000616552816
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.06404000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #470886
36209GCX3
14.17420000
PA
USD
14.14000000
0.000000651053
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.00% 9/42 #AA7474
36178FJT4
494174.98190000
PA
USD
452241.47000000
0.020822732232
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#AD5634
36180HHK7
239562.68750000
PA
USD
218453.12000000
0.010058323097
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/40 #729530
3620AGPP4
89116.05800000
PA
USD
88105.80000000
0.004056690072
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/35 #616959
36290TMG1
27343.26770000
PA
USD
27571.69000000
0.001269494188
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/41#690662
36296GJF9
88179.81100000
PA
USD
85436.48000000
0.003933785519
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2043#MA0852
36179M5M8
1005695.90670000
PA
USD
944730.12000000
0.043498581235
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 12/34 #605802
36201XAB4
1492.68900000
PA
USD
1503.27000000
0.000069215653
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #447529
36208DEA9
1905.11000000
PA
USD
1946.77000000
0.000089635898
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745083
3620C0XL7
879196.40890000
PA
USD
869151.41000000
0.040018680905
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.89% 3/33 #725130
31402CST0
26133.17780000
PA
USD
26520.25000000
0.001221082322
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
0.05171000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 09/15/2042#AB2999
36178NKL2
151251.59640000
PA
USD
138490.00000000
0.006376549649
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 11/15/2040#737576
3620ARMZ1
49179.06370000
PA
USD
47721.94000000
0.002197280090
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #691691
36296HNG0
101126.84010000
PA
USD
99970.27000000
0.004602970540
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)MAR24 TYH4
N/A
-1659.00000000
NC
USD
-4243335.12000000
-0.19537755123
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2024-03-19
-182109024.26000000
USD
-4243335.12000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/25 #410952
36206GQD5
468.70450000
PA
USD
470.03000000
0.000021641776
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #443541
36207VWA0
3271.45890000
PA
USD
3344.17000000
0.000153976937
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/20/2050#MA6541
36179VHS2
36011.90700000
PA
USD
32551.79000000
0.001498794895
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.358% 10/33 #754672
31403QMV9
5223.37140000
PA
USD
5273.06000000
0.000242789579
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.07292000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 07/20/2050#BV5269
3617NJ2A8
3850056.86200000
PA
USD
3433210.82000000
0.158076678820
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/25 #380195
36204UKG5
1347.76330000
PA
USD
1354.29000000
0.000062356108
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.653% 08/25/2026
3137BSP72
7000000.00000000
PA
USD
6689348.40000000
0.308000304667
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Fixed
0.02653000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/24 #401000
36205UNR7
3.30430000
PA
USD
3.30000000
0.000000151943
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 11/01/2036#SB8128
3132D6A59
518829.75900000
PA
USD
466542.20000000
0.021481186379
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/40 #733154
3620ALQF4
49387.69070000
PA
USD
48821.34000000
0.002247900198
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/29 #513757
36211HWS6
185.00950000
PA
USD
185.46000000
0.000008539207
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/25 #418675
36206RCL8
485.23240000
PA
USD
489.89000000
0.000022556198
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 2.5% 12/15/2042#AB8379
36178VJY8
2414354.93690000
PA
USD
2138671.58000000
0.098471698412
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.02500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 5% 09/20/2044
38379GQZ3
2556480.61200000
PA
USD
496436.07000000
0.022857601617
Long
ABS-CBDO
USGA
US
N
2
2044-09-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 10/25 #414770
36206LW70
88.69530000
PA
USD
88.58000000
0.000004078523
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 01/20/2042#AA0446
36177WP79
169844.83530000
PA
USD
163653.19000000
0.007535148323
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025
3137BLMZ8
213000.00000000
PA
USD
207691.36000000
0.009562815140
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Fixed
0.03010000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/31 #556294
36213J7F6
5140.89460000
PA
USD
5367.51000000
0.000247138378
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 4/26 #430520
36207FG54
1476.36920000
PA
USD
1499.74000000
0.000069053119
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 5/42 #766750
36176HTF1
717276.27690000
PA
USD
676467.27000000
0.031146849109
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 6/30 #532448
36212FP99
84486.25600000
PA
USD
84922.93000000
0.003910139934
Long
ABS-MBS
USGA
US
N
2
2030-06-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/24 #395254
36205NBX3
161.83100000
PA
USD
161.53000000
0.000007437389
Long
ABS-MBS
USGA
US
N
2
2024-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/27 #407802
36206DAB3
260.09960000
PA
USD
262.83000000
0.000012101585
Long
ABS-MBS
USGA
US
N
2
2027-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 12/15/2040#749974
3620C6FP5
7225.73510000
PA
USD
6993.67000000
0.000322012304
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2044#MA1995
36179QGC9
9461408.46600000
PA
USD
8910951.29000000
0.410290442070
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #462199
36208VNQ4
2151.27290000
PA
USD
2200.48000000
0.000101317567
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 05/15/2045#AM8643
36185BS80
19809.58640000
PA
USD
18072.60000000
0.000832123844
Long
ABS-MBS
USGA
US
N
2
2045-05-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.349% 12/34 #843013
31407WSA2
8378.69750000
PA
USD
8453.79000000
0.000389241184
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Variable
0.04785000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 4/29 #002740
36202DBH3
4220.93610000
PA
USD
4292.44000000
0.000197638506
Long
ABS-MBS
USGA
US
N
2
2029-04-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/27 #461148
36208UHZ3
2782.91650000
PA
USD
2841.18000000
0.000130817570
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/32 #583935
36201HV42
10087.13090000
PA
USD
10468.62000000
0.000482010796
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #711188
36297GCZ1
135875.19040000
PA
USD
134318.94000000
0.006184499889
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #507544
36211AZH2
3679.05070000
PA
USD
3821.65000000
0.000175961737
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/24 #391994
36205JNK7
119.11130000
PA
USD
118.86000000
0.000005472717
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 01/15/2035#626261
36291EWW7
6239.91200000
PA
USD
6288.12000000
0.000289526387
Long
ABS-MBS
USGA
US
N
2
2035-01-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/25 #414837
36206LZA0
225.18800000
PA
USD
225.62000000
0.000010388310
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 4/37 #003974
36202EMX4
2368.51990000
PA
USD
2396.18000000
0.000110328260
Long
ABS-MBS
USGA
US
N
2
2037-04-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 10/28 #469647
36209EWG3
3351.57860000
PA
USD
3427.17000000
0.000157798538
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.87% 9/39 #721173
3620A7FN0
691901.69380000
PA
USD
691397.37000000
0.031834281588
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 6/37 #617570
36290UCF1
146233.16700000
PA
USD
154039.50000000
0.007092501405
Long
ABS-MBS
USGA
US
N
2
2037-06-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 01/20/2051#MA7135
36179V4U1
149143211.23000000
PA
USD
124436758.34000000
5.729490705040
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #449558
36208FMF4
423.89710000
PA
USD
426.96000000
0.000019658687
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#617320
36290TYR4
245532.28600000
PA
USD
237434.09000000
0.010932271379
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 1/29 #002701
36202DAA9
375.95550000
PA
USD
384.43000000
0.000017700461
Long
ABS-MBS
USGA
US
N
2
2029-01-20
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 5.5% 01/20/2036
38374MVL0
2987930.93000000
PA
USD
3076364.42000000
0.141646259391
Long
ABS-CBDO
USGA
US
N
2
2036-01-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 11/39 #728792
3620AFUR6
194203.03050000
PA
USD
191965.54000000
0.008838745012
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 5/24 #001716
36202B3Z6
30.48000000
PA
USD
30.39000000
0.000001399258
Long
ABS-MBS
USGA
US
N
2
2024-05-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/25 #419825
36206SLE2
78.95860000
PA
USD
79.65000000
0.000003667356
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #677135
36295QHL7
2825.39680000
PA
USD
2861.71000000
0.000131762841
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #738886
3620AS2T5
154499.82100000
PA
USD
149733.76000000
0.006894250522
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #748144
3620C4ER7
14435.23430000
PA
USD
13964.71000000
0.000642982646
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #469631
36209EVY5
119.50670000
PA
USD
120.91000000
0.000005567106
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #454627
36208MA47
692.65530000
PA
USD
706.71000000
0.000032539327
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #545931
36212WPQ4
217515.15840000
PA
USD
215011.95000000
0.009899879950
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 4/40 #004670
36202FFK7
16873.53900000
PA
USD
16058.39000000
0.000739382779
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #545889
36212WNE3
14915.79040000
PA
USD
15573.29000000
0.000717047128
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 6/31 #003096
36202DNM9
142736.77930000
PA
USD
148606.56000000
0.006842350408
Long
ABS-MBS
USGA
US
N
2
2031-06-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/35 #550613
36213CVE7
2176.33400000
PA
USD
2193.34000000
0.000100988818
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 02/20/2041#MA0434
36179MPT1
340773.45280000
PA
USD
303980.35000000
0.013996287054
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 09/20/2039#
3620ADK68
100354.58900000
PA
USD
104203.33000000
0.004797874989
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/25 #409928
36206FLH3
5901.18130000
PA
USD
5934.72000000
0.000273254651
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2043#AF0125
36181FD65
41356.18480000
PA
USD
40048.41000000
0.001843964724
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/27 #446872
36208CMV6
9397.71680000
PA
USD
9591.90000000
0.000441643631
Long
ABS-MBS
USGA
US
N
2
2027-07-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048
3136BKJA1
958505.82600000
PA
USD
845996.60000000
0.038952554862
Long
ABS-CBDO
USGSE
US
N
2
2048-08-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 08/15/2042#AA7993
36178F3A2
260010.97400000
PA
USD
244784.29000000
0.011270699534
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #433774
36207J2F9
3045.22110000
PA
USD
3108.97000000
0.000143147530
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-59 SC TSFR1M+708.552 8/34
38374HXX3
1010678.40110000
PA
USD
87309.88000000
0.004020043213
Long
ABS-CBDO
USGA
US
N
2
2034-08-16
Variable
0.01752360
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3.5% 05/20/2027#MA0074
36179MCK4
563178.58510000
PA
USD
551818.03000000
0.025407575027
Long
ABS-MBS
USGA
US
N
2
2027-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/27 #456605
36208PGN2
7527.48880000
PA
USD
7670.27000000
0.000353165264
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.428% 7/36 #555923
31385XSL2
30469.06730000
PA
USD
30727.16000000
0.001414782737
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
0.05753000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 4/34 #574678
36200WM32
10190.78830000
PA
USD
10439.07000000
0.000480650214
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 1/28 #002535
36202CY80
71.11900000
PA
USD
73.14000000
0.000003367613
Long
ABS-MBS
USGA
US
N
2
2028-01-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 02/15/2034#627907
36291GR40
28114.22120000
PA
USD
28303.30000000
0.001303179996
Long
ABS-MBS
USGA
US
N
2
2034-02-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 15YR 2.5% 03/15/2028#AA8397
36178GKJ2
2447964.04500000
PA
USD
2356553.40000000
0.108503716918
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 7/29 #513173
36211HCJ8
156205.68400000
PA
USD
156812.20000000
0.007220165924
Long
ABS-MBS
USGA
US
N
2
2029-07-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 08/20/2042#MA0317
36179MK66
12842.24700000
PA
USD
11802.91000000
0.000543446036
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/26 #425906
36207ADK5
25.83960000
PA
USD
26.03000000
0.000001198509
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #433577
36207JUA9
2045.32980000
PA
USD
2085.53000000
0.000096024879
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/27 #780628
36225AVV9
4217.22020000
PA
USD
4311.06000000
0.000198495834
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 10/32 #583358
36201HB36
42281.16920000
PA
USD
43765.15000000
0.002015096049
Long
ABS-MBS
USGA
US
N
2
2032-10-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/36 #650166
36292JJK6
8272.05330000
PA
USD
8350.61000000
0.000384490427
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 6/34 #607529
36201Y4N3
44689.84350000
PA
USD
46456.11000000
0.002138996981
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 8/28 #002631
36202C4Q3
14581.93260000
PA
USD
14995.70000000
0.000690452924
Long
ABS-MBS
USGA
US
N
2
2028-08-20
Fixed
0.07000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT MAR24 TUH4
N/A
1071.00000000
NC
USD
1242360.07000000
0.057202474319
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-03-28
219015483.68000000
USD
1242360.07000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 11/20/2043#MA1448
36179NTD0
22478.37700000
PA
USD
21086.28000000
0.000970883900
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/26 #425280
36206YM57
729.71550000
PA
USD
733.57000000
0.000033776052
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/26 #433067
36207JCC5
424.61470000
PA
USD
432.38000000
0.000019908242
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #733805
3620AMGN6
4501031.60110000
PA
USD
4245651.17000000
0.195484190040
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.375% 05/20/2050#BQ7075
3617LR2G9
446118.92500000
PA
USD
407384.20000000
0.018757351271
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.03375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/26 #430660
36207FMH1
2359.76040000
PA
USD
2412.99000000
0.000111102249
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 2.5% 12/15/2042#AB3093
36178NNJ4
57876.35190000
PA
USD
51287.05000000
0.002361429855
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/39 #714431
36297KVY4
53116.21060000
PA
USD
52509.35000000
0.002417708696
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#768109
36176KDN4
29409.13780000
PA
USD
28501.92000000
0.001312325135
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/36 #782114
36241KK31
253432.29400000
PA
USD
255504.20000000
0.011764280575
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 09/01/2041#FM8850
3140XCZQ4
1810284.57600000
PA
USD
1602406.88000000
0.073780251487
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/26 #387360
36205DJD1
877.31500000
PA
USD
891.98000000
0.000041069786
Long
ABS-MBS
USGA
US
N
2
2026-06-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040
3137FXC30
508175.59800000
PA
USD
461928.37000000
0.021268749986
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/26 #433389
36207JNE9
3417.74230000
PA
USD
3453.66000000
0.000159018228
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#AA6407
36178EDL0
14345.25070000
PA
USD
13094.27000000
0.000602904634
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/28 #449003
36208EX81
135.97660000
PA
USD
140.37000000
0.000006463111
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 12/36 #003929
36202ELJ6
90729.14870000
PA
USD
91841.19000000
0.004228680105
Long
ABS-MBS
USGA
US
N
2
2036-12-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #514428
36211JPM3
589.79920000
PA
USD
613.01000000
0.000028225061
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.50% 11/39 #004579
36202FCQ7
69351.28020000
PA
USD
71590.65000000
0.003296276511
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/29 #502574
36210UJT1
4905.31870000
PA
USD
5063.61000000
0.000233145790
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/30 #002895
36202DGC9
60224.49530000
PA
USD
62355.03000000
0.002871037220
Long
ABS-MBS
USGA
US
N
2
2030-03-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 4/34 #628871
36291HT46
106983.80000000
PA
USD
109712.04000000
0.005051514695
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 2/28 #002548
36202CZM8
71665.80260000
PA
USD
73699.36000000
0.003393368677
Long
ABS-MBS
USGA
US
N
2
2028-02-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2043#AE0544
36180SS96
566229.34740000
PA
USD
517112.63000000
0.023809620618
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/24 #354833
36203PEE9
100.55760000
PA
USD
100.43000000
0.000004624138
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.0% 12/20/2034#783753
3622A2E24
1084390.92850000
PA
USD
1092981.58000000
0.050324581634
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #510107
36211DU81
8986.73200000
PA
USD
9313.62000000
0.000428830676
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 1/28 #461211
36208UKY2
2452.15460000
PA
USD
2528.25000000
0.000116409211
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2042#AA4350
36178BZP3
215195.17540000
PA
USD
208147.23000000
0.009583804942
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/25 #421395
36206UC80
163.65070000
PA
USD
164.62000000
0.000007579663
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/39 #706762
36297BFB2
20795.88200000
PA
USD
20187.14000000
0.000929484442
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/30 #544885
36212VJ67
10271.47720000
PA
USD
10780.54000000
0.000496372651
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/29 #506618
36210YYP4
577.20430000
PA
USD
593.06000000
0.000027306495
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 9/39 #706759
36297BE80
852851.43960000
PA
USD
843025.40000000
0.038815750730
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 1/32 #003188
36202DRH6
33373.13260000
PA
USD
34480.91000000
0.001587618128
Long
ABS-MBS
USGA
US
N
2
2032-01-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 03/20/2042#AA0595
36177WUU2
891707.14440000
PA
USD
856825.34000000
0.039451146806
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.75% 10/20/2041#778361
36176WQN4
1036576.86230000
PA
USD
979176.83000000
0.045084624679
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 2/29 #002716
36202DAR2
6749.05280000
PA
USD
6940.56000000
0.000319566939
Long
ABS-MBS
USGA
US
N
2
2029-02-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 12/30 #003010
36202DKX8
204253.36390000
PA
USD
212129.80000000
0.009767175982
Long
ABS-MBS
USGA
US
N
2
2030-12-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #464765
36208YJJ9
2070.71100000
PA
USD
2107.48000000
0.000097035532
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 7/36#656919
36294QYQ8
158131.19850000
PA
USD
159593.98000000
0.007348248517
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 9/30 #515508
36211KU93
30456.87110000
PA
USD
32135.85000000
0.001479643606
Long
ABS-MBS
USGA
US
N
2
2030-09-15
Fixed
0.08500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/41#742244
3620AWS92
202121.37480000
PA
USD
195904.16000000
0.009020092445
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 8/28 #002630
36202C4P5
75095.65120000
PA
USD
76788.68000000
0.003535611455
Long
ABS-MBS
USGA
US
N
2
2028-08-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/41 #764819
36176FPC6
112872.52550000
PA
USD
111564.95000000
0.005136828960
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/28 #483175
36209VXC3
7678.24430000
PA
USD
7926.20000000
0.000364949150
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/29 #495911
36210L3U5
4410.03390000
PA
USD
4542.48000000
0.000209151196
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #476857
36209NWS7
3477.13670000
PA
USD
3526.01000000
0.000162349468
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 3/42 #005332
36202F4R4
322775.21840000
PA
USD
313556.31000000
0.014437196754
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/27 #453857
36208LE60
3566.19260000
PA
USD
3674.01000000
0.000169163890
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.08000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.0% MAC 03/20/26
N/A
-154387000.00000000
NC
USD
-842356.32000000
-0.03878494401
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2026-03-20
0.00000000
USD
0.00000000
USD
-153688262.19000000
USD
-842356.32000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2041#770432
36176MVZ3
1320174.03310000
PA
USD
1279102.63000000
0.058894226490
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/25 #413119
36206J4C5
514.59820000
PA
USD
515.58000000
0.000023739053
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/01/2054 #TBA
21H032621
8850000.00000000
PA
USD
8187389.00000000
0.376975178394
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/28 #465952
36209ATH3
786.12910000
PA
USD
802.75000000
0.000036961334
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #447986
36208DUK9
1681.80440000
PA
USD
1718.10000000
0.000079107155
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/27 #460982
36208UCT2
1595.04800000
PA
USD
1628.44000000
0.000074978904
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/26 #427188
36207BRH5
5296.74800000
PA
USD
5366.05000000
0.000247071154
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/25 #387058
36205C5T3
150.88950000
PA
USD
151.97000000
0.000006997214
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #590024
36201QPH0
9091.73030000
PA
USD
9545.20000000
0.000439493405
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783295
36241LUU8
4243340.05430000
PA
USD
4194158.89000000
0.193113310699
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/40 #747250
3620C3EX6
153495.29130000
PA
USD
148805.53000000
0.006851511662
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 09/01/2051#
3133KMR72
7629216.76400000
PA
USD
6995886.49000000
0.322114358752
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/26 #417331
36206PSU5
4851.27570000
PA
USD
4889.31000000
0.000225120427
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 10/32 #003294
36202DUT6
115493.49850000
PA
USD
116323.74000000
0.005355939804
Long
ABS-MBS
USGA
US
N
2
2032-10-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #754197
36230NUW3
48517.36490000
PA
USD
46971.04000000
0.002162706106
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6538
3140QSHQ7
4860869.80900000
PA
USD
5000350.04000000
0.230233087540
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/29 #500038
36210RPX2
122.42720000
PA
USD
123.87000000
0.000005703395
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #565482
36213VFX1
44257.35000000
PA
USD
46270.09000000
0.002130431989
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #567108
36213XAH7
8969.01530000
PA
USD
9317.05000000
0.000428988605
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 7.00% 4/32 #781432
36225BSV1
258102.88940000
PA
USD
269238.97000000
0.012396676003
Long
ABS-MBS
USGA
US
N
2
2032-04-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 6.50% 8/34 #616571
36290S6G1
66371.25100000
PA
USD
68822.47000000
0.003168820109
Long
ABS-MBS
USGA
US
N
2
2034-08-20
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 11/01/2052#CB5049
3140QQTF2
2089254.74800000
PA
USD
2123742.08000000
0.097784293560
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785602
3622ABDF6
23303947.14400000
PA
USD
19962864.90000000
0.919158055998
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 07/15/2040#745230
3620C04P0
1409.76260000
PA
USD
1366.03000000
0.000062896657
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 02/01/2054 #TBA
01F022626
-58300000.00000000
PA
USD
-49135968.75000000
-2.26238677374
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/28 #480838
36209TEK1
2456.92460000
PA
USD
2487.92000000
0.000114552281
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 09/15/2041#469932
36209FA90
360213.98330000
PA
USD
348763.18000000
0.016058240545
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #733871
3620AMJQ6
514041.95950000
PA
USD
508199.05000000
0.023399209141
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #480414
36209SVF5
6997.70900000
PA
USD
7176.11000000
0.000330412460
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #470799
36209F7L7
283.97560000
PA
USD
295.15000000
0.000013589707
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2043#AD7358
36180KE72
4146.16260000
PA
USD
3778.02000000
0.000173952863
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/25 #416027
36206ND85
2143.68790000
PA
USD
2160.73000000
0.000099487342
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #726156
3620ACWR1
249934.31690000
PA
USD
247035.95000000
0.011374373603
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/27 #436794
36207NGB4
2451.97000000
PA
USD
2469.39000000
0.000113699096
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 09/20/2051#785616
3622ABDV1
11221695.27700000
PA
USD
9598815.95000000
0.441962065699
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2009-13 E 4.5% 3/39
38374TNS9
1624884.20740000
PA
USD
1605298.67000000
0.073913399314
Long
ABS-CBDO
USGA
US
N
2
2039-03-16
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/39 #711461
36297GMJ6
1399598.93210000
PA
USD
1356788.28000000
0.062471137489
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2035#BP5671
3140KDJR2
6629213.14400000
PA
USD
5994268.43000000
0.275996463676
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/29 #510847
36211EP85
641.66030000
PA
USD
654.41000000
0.000030131257
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/30 #528287
36212A2U8
1128.22350000
PA
USD
1168.64000000
0.000053808152
Long
ABS-MBS
USGA
US
N
2
2030-01-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H21 HZ VAR 06/63
38376RGJ9
457156.54000000
PA
USD
449021.85000000
0.020674490000
Long
ABS-CBDO
USGA
US
N
2
2063-06-20
Variable
0.04278280
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737539
3620ARLU3
38832.94320000
PA
USD
37638.45000000
0.001733001986
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/29 #459211
36208SDQ2
299.67180000
PA
USD
309.34000000
0.000014243063
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 07/20/2043#635118
36291QSF2
602027.91020000
PA
USD
561435.58000000
0.025850399672
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7% 7/34 #003587
36202D6Y2
281405.60590000
PA
USD
297107.90000000
0.013679856130
Long
ABS-MBS
USGA
US
N
2
2034-07-20
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 08/01/2051#MA4397
31418D3F7
90147.36900000
PA
USD
69543.57000000
0.003202022000
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/39 #710484
36297FJ52
751853.09010000
PA
USD
729424.41000000
0.033585175577
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/27 #780798
36225A3F5
12680.17890000
PA
USD
12939.00000000
0.000595755476
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/24 #385476
36205BFR8
12.29190000
PA
USD
12.26000000
0.000000564492
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2042#AB7784
36178UUH4
366237.09310000
PA
USD
341697.23000000
0.015732900224
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 02/20/2040#736452
3620AQEZ2
245242.98200000
PA
USD
254784.36000000
0.011731136698
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #783143
36241LP42
1613723.29740000
PA
USD
1564200.23000000
0.072021087644
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #616878
36290TJX8
444620.55420000
PA
USD
419049.76000000
0.019294473248
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
64279839.84800000
NS
USD
64292695.82000000
2.960253931528
Long
STIV
RF
US
N
1
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/29 #510991
36211EUQ9
1224.78400000
PA
USD
1261.57000000
0.000058086964
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 6/33 #003402
36202DX71
383045.22410000
PA
USD
386008.73000000
0.017773152082
Long
ABS-MBS
USGA
US
N
2
2033-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/33 #608147
36202STC2
10045.47010000
PA
USD
10096.36000000
0.000464870682
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 07/20/2051#MA7472
36179WJR0
54888762.57300000
PA
USD
47508227.45000000
2.187440039574
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #545934
36212WPT8
171897.54030000
PA
USD
169946.23000000
0.007824901244
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 09/20/2040#783111
36241LN44
2164451.00000000
PA
USD
2148563.71000000
0.098927165653
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#AD9725
36180NYW9
949973.71300000
PA
USD
865837.30000000
0.039866088032
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737559
3620ARMG3
5122284.40850000
PA
USD
4964270.64000000
0.228571869507
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
1624795.57900000
PA
USD
1580371.07000000
0.072765648003
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/32 #003216
36202DSD4
20518.42240000
PA
USD
21444.21000000
0.000987364212
Long
ABS-MBS
USGA
US
N
2
2032-03-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 03/15/2036#782105
36241KKS6
268624.58340000
PA
USD
270748.41000000
0.012466175744
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/26 #416401
36206NRW7
545.23380000
PA
USD
554.35000000
0.000025524155
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-136 WI 4.5% 5/40
38377YTR1
151684.22140000
PA
USD
9229.54000000
0.000424959347
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #513358
36211HJB8
646.50280000
PA
USD
672.32000000
0.000030955894
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/26 #405557
36206AQJ5
177.07310000
PA
USD
178.12000000
0.000008201249
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/29 #517072
36211MMV9
5324.98760000
PA
USD
5583.17000000
0.000257068096
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/26 #422688
36206VRH2
54.62530000
PA
USD
54.85000000
0.000002525480
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2002-81 IO CSTR 9/42
38373VN97
1267838.15080000
PA
USD
20494.35000000
0.000943629433
Long
ABS-MBS
USGA
US
N
2
2042-09-16
Variable
0.00960960
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/26 #780463
36225AQQ6
43.73950000
PA
USD
44.03000000
0.000002027290
Long
ABS-MBS
USGA
US
N
2
2026-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 10/15/2041#479683
36209R2Q5
189248.00470000
PA
USD
183311.58000000
0.008440287321
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 11/33 #003472
36202D2D2
14720.70060000
PA
USD
14843.06000000
0.000683424861
Long
ABS-MBS
USGA
US
N
2
2033-11-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 07/20/2043#635106
36291QR30
1418172.40710000
PA
USD
1323197.26000000
0.060924492917
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/38 #701498
36296UKK5
420566.70050000
PA
USD
445086.87000000
0.020493310165
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/24 #385850
36205BTF9
79.39300000
PA
USD
79.42000000
0.000003656766
Long
ABS-MBS
USGA
US
N
2
2024-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #514397
36211JNN3
1140.68290000
PA
USD
1184.90000000
0.000054556817
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2042#AB8144
36178VBM2
18555.55150000
PA
USD
17955.13000000
0.000826715126
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 08/15/2042#758071
36230S6G4
122129.56270000
PA
USD
116429.47000000
0.005360807972
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-52 HI 7% 4/41
38377VGY6
227532.21190000
PA
USD
32927.35000000
0.001516086952
Long
ABS-CBDO
USGA
US
N
2
2041-04-16
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/29 #482373
36209U2E5
6205.53390000
PA
USD
6415.31000000
0.000295382646
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/25 #419230
36206RVX1
118.95220000
PA
USD
118.99000000
0.000005478703
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/25 #412487
36206JF41
102.27770000
PA
USD
102.76000000
0.000004731419
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 4.5% 06/25/2049
3136B7EZ0
814356.50500000
PA
USD
797489.06000000
0.036719103081
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 4% 04/20/2040
38377R4H5
5563759.33200000
PA
USD
5423860.27000000
0.249732935966
Long
ABS-CBDO
USGA
US
N
2
2040-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #728446
3620AFHX8
324430.71690000
PA
USD
320701.45000000
0.014766183251
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#FM9558
3140XDTQ9
2144997.87200000
PA
USD
1898684.55000000
0.087421881011
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005280
36202F2M7
10300421.29300000
PA
USD
10007749.24000000
0.460790742332
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 12/20/2042#MA0624
36179MVR8
6226454.48070000
PA
USD
5720151.58000000
0.263375193521
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/30 #781196
36225BKH0
1884.38100000
PA
USD
1937.41000000
0.000089204932
Long
ABS-MBS
USGA
US
N
2
2030-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/28 #475554
36209MH72
1444.38260000
PA
USD
1489.94000000
0.000068601894
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/29 #470239
36209FLU1
1535.30240000
PA
USD
1575.37000000
0.000072535381
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/39 #702871
36296V2C1
53780.84390000
PA
USD
52130.38000000
0.002400259631
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 5/25 #373061
36204LMJ7
636.07980000
PA
USD
637.88000000
0.000029370160
Long
ABS-MBS
USGA
US
N
2
2025-05-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/33 #620547
36290XL40
18683.52030000
PA
USD
18779.89000000
0.000864689876
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/40 #747136
3620C3BD3
3524.76010000
PA
USD
3417.19000000
0.000157339025
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 4/34 #608589
36202TC20
23637.80140000
PA
USD
24236.16000000
0.001115915066
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 5/34 #608602
36202TDF0
168308.70420000
PA
USD
172473.62000000
0.007941270857
Long
ABS-MBS
USGA
US
N
2
2034-05-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/27 #439599
36207RKL8
9642.89300000
PA
USD
9846.72000000
0.000453376409
Long
ABS-MBS
USGA
US
N
2
2027-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #457723
36208QPG5
1332.71570000
PA
USD
1360.62000000
0.000062647562
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/47#784304
3622A2X98
3901920.93330000
PA
USD
3740521.10000000
0.172226287154
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/25 #416044
36206NER2
879.57760000
PA
USD
882.66000000
0.000040640662
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #434014
36207KDT4
479.52280000
PA
USD
491.12000000
0.000022612831
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2043#MA1375
36179NQ43
10728.35600000
PA
USD
10065.66000000
0.000463457150
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/32 #590196
36201QUV3
163.99990000
PA
USD
171.76000000
0.000007908413
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 07/20/2050#BV5275
3617NJ2G5
3814760.48000000
PA
USD
3405312.32000000
0.156792137190
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 10/33 #606889
36201YF68
6015.02550000
PA
USD
6177.39000000
0.000284428002
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 9/38 #687928
36296DHD3
4266.01080000
PA
USD
4517.50000000
0.000208001032
Long
ABS-MBS
USGA
US
N
2
2038-09-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 07/40#742183
3620AWRC6
132025.08570000
PA
USD
130900.28000000
0.006027093180
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785564
3622ABB92
6138321.12500000
PA
USD
5264025.93000000
0.242373620458
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2043#MA0934
36179NBB3
6345635.58880000
PA
USD
5961029.79000000
0.274466043875
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068
38380LGR8
9866368.96000000
PA
USD
9510797.85000000
0.437909413633
Long
ABS-CBDO
USGA
US
N
2
2068-08-20
Fixed
0.03250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #465904
36209ARZ5
140.30270000
PA
USD
143.15000000
0.000006591111
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/40 #757044
36230RZH2
115025.33080000
PA
USD
111476.99000000
0.005132778983
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/26 #420653
36206TH62
65.21160000
PA
USD
65.64000000
0.000003022288
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 4/39 #705324
36296YSM5
454396.38710000
PA
USD
440497.40000000
0.020281995389
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/28 #484938
36209XV72
3078.90500000
PA
USD
3130.71000000
0.000144148514
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #457682
36208QM78
2299.68110000
PA
USD
2352.29000000
0.000108307415
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 07/50#BV5263
3617NJZ46
3161460.03900000
PA
USD
2819168.44000000
0.129804083523
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #769093
36176LGA7
67672.68060000
PA
USD
65532.72000000
0.003017348853
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 11/15/2033#622161
36291AFA2
48322.14100000
PA
USD
48629.37000000
0.002239061247
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.0% 01/20/2035#781859
36241KB49
2240711.20960000
PA
USD
2261972.87000000
0.104148908301
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/27 #449748
36208FTD2
13468.55820000
PA
USD
13875.76000000
0.000638887086
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/29 #516121
36211LLA8
136.77960000
PA
USD
141.09000000
0.000006496262
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2044#AK8274
36183SFP1
521089.53090000
PA
USD
486148.29000000
0.022383917308
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 1/39 #701572
36296UMV9
198987.75770000
PA
USD
211209.33000000
0.009724794419
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 9/40 #745409
3620C1DN3
183223.96610000
PA
USD
181169.95000000
0.008341679407
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/27 #426350
36207ATF9
711.44860000
PA
USD
730.68000000
0.000033642987
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772060
36176PQM1
83641.53200000
PA
USD
81010.71000000
0.003730008047
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #760497
36176AUW7
69829.84040000
PA
USD
67627.54000000
0.003113801476
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2005-24 TC 5.5% 3/35
38374KZ30
1641913.09390000
PA
USD
1672314.76000000
0.076999047557
Long
ABS-CBDO
USGA
US
N
2
2035-03-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #442456
36207UQH4
917.85800000
PA
USD
939.45000000
0.000043255466
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/26 #421657
36206UME6
2855.82900000
PA
USD
2920.24000000
0.000134457761
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.75% 02/20/2046#AK8800
36183SX55
954420.88660000
PA
USD
901698.20000000
0.041517245583
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 11/15/2042#AA3605
36178BAE5
78347.39610000
PA
USD
71569.48000000
0.003295301773
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.50% 1/34 #003502
36202D3K5
877.87020000
PA
USD
914.36000000
0.000042100237
Long
ABS-MBS
USGA
US
N
2
2034-01-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/30 #486031
36209Y4Q8
1118.52750000
PA
USD
1163.57000000
0.000053574712
Long
ABS-MBS
USGA
US
N
2
2030-10-15
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.625% 05/31/2028
91282CHE4
22860000.00000000
PA
USD
22609968.75000000
1.041039701793
Long
DBT
UST
US
N
2
2028-05-31
Fixed
0.03625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 2/26 #405579
36206AQ89
69.30350000
PA
USD
70.27000000
0.000003235469
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 4/39 #694381
36296LM64
127014.01770000
PA
USD
123245.42000000
0.005674637444
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2043#AA6291
36178D7C9
143691.87680000
PA
USD
131533.39000000
0.006056243713
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/28 #490807
36210FGQ3
1295.34250000
PA
USD
1321.63000000
0.000060852330
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 7/35 #003735
36202EEG0
12047.00600000
PA
USD
12173.69000000
0.000560518006
Long
ABS-MBS
USGA
US
N
2
2035-07-20
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 12/01/2036#SB8132
3132D6A91
620633.40100000
PA
USD
558086.09000000
0.025696177784
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 1/33 #003331
36202DVY4
11869.71030000
PA
USD
11957.65000000
0.000550570791
Long
ABS-MBS
USGA
US
N
2
2033-01-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 02/01/2054 #TBA
21H022622
130700000.00000000
PA
USD
113179455.88000000
5.211166291347
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #780873
36225A6J4
624.66970000
PA
USD
637.42000000
0.000029348980
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #425825
36207AA28
1141.06840000
PA
USD
1163.50000000
0.000053571489
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #465920
36209ASH4
4266.40630000
PA
USD
4339.49000000
0.000199804848
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/40 #723727
3620AAA40
433709.83170000
PA
USD
420369.00000000
0.019355215535
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/25 #410204
36206FU59
47.64900000
PA
USD
48.15000000
0.000002216989
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #586738
36201LZB3
9787.61550000
PA
USD
10272.33000000
0.000472972938
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #490591
36210E7C7
780.00820000
PA
USD
801.96000000
0.000036924960
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 4/34 #607505
36201Y3N4
57440.00530000
PA
USD
59682.84000000
0.002748000523
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785575
3622ABCL4
4417847.64200000
PA
USD
3778939.40000000
0.173995196082
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 11/20/2049#BL1670
3617JD2B4
618470.42000000
PA
USD
553634.56000000
0.025491214234
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #470796
36209F7H6
1012.74450000
PA
USD
1050.80000000
0.000048382398
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/25 #385003
36205AU44
2017.73650000
PA
USD
2044.14000000
0.000094119143
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.5% 09/25/2051
3137H6XY6
4303591.75500000
PA
USD
4097084.33000000
0.188643668475
Long
ABS-CBDO
USGSE
US
N
2
2051-09-25
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #433726
36207JYX5
1817.80620000
PA
USD
1860.57000000
0.000085666957
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 5/29 #508131
36211BPQ1
103401.93920000
PA
USD
103558.88000000
0.004768202324
Long
ABS-MBS
USGA
US
N
2
2029-05-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/24 #385920
36205BVM1
77.52110000
PA
USD
77.55000000
0.000003570665
Long
ABS-MBS
USGA
US
N
2
2024-10-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-170 B 4% 12/40
38377NRP1
2159879.62430000
PA
USD
2102793.36000000
0.096819743389
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 4/29 #583752
36201HQD8
105667.71850000
PA
USD
107726.12000000
0.004960076198
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#QK1203
3133D4KQ5
669271.32400000
PA
USD
592417.89000000
0.027276930382
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG PASS THRU CTF 3.25% 09/25/2040
3136BBWA6
2525399.94100000
PA
USD
2338305.94000000
0.107663541926
Long
ABS-CBDO
USGSE
US
N
2
2040-09-25
Fixed
0.03250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 11/40 #004854
36202FMB9
1669401.71400000
PA
USD
1657351.64000000
0.076310094726
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/30 #532641
36212FWA8
239.34760000
PA
USD
249.22000000
0.000011474934
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 4/27 #447510
36208DDP7
3305.44380000
PA
USD
3326.47000000
0.000153161969
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #514322
36211JLB1
20695.71860000
PA
USD
21510.12000000
0.000990398932
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 07/15/2043#767074
36176H6K5
582472.09560000
PA
USD
548105.89000000
0.025236655502
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #730155
3620AHE41
140268.42440000
PA
USD
138633.83000000
0.006383172070
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 12/39 #004597
36202FDA1
247508.56100000
PA
USD
240822.32000000
0.011088276988
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/39 #717233
3620A2Y67
39432.19420000
PA
USD
38974.00000000
0.001794495241
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 3/34 #608568
36202TCD6
146981.60340000
PA
USD
150757.33000000
0.006941379158
Long
ABS-MBS
USGA
US
N
2
2034-03-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 7/28 #481855
36209UH82
1737.37510000
PA
USD
1733.86000000
0.000079832799
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 13-149 MA 2.5% 5/20/40
38378UQY6
8273161.13640000
PA
USD
7976054.55000000
0.367244623025
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/28 #476197
36209M7J7
6.44230000
PA
USD
6.49000000
0.000000298821
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.45% 1/32 #558495
36213MNL8
23142.78020000
PA
USD
24049.29000000
0.001107310937
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
0.06450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 3/28 #462615
36208V3Y9
4820.87400000
PA
USD
4929.61000000
0.000226975975
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/24 #353339
36203MPY0
15.53350000
PA
USD
15.50000000
0.000000713672
Long
ABS-MBS
USGA
US
N
2
2024-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 1/30 #434655
36207KZU7
165.94640000
PA
USD
170.83000000
0.000007865593
Long
ABS-MBS
USGA
US
N
2
2030-01-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/39 #004576
36202FCM6
198293.09980000
PA
USD
192922.79000000
0.008882820051
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/29 #508833
36211CHJ4
395.73650000
PA
USD
408.10000000
0.000018790309
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 9/27 #455529
36208NA60
1248.87090000
PA
USD
1277.04000000
0.000058799256
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 5/30 #532373
36212FMW1
65387.48000000
PA
USD
65572.86000000
0.003019197035
Long
ABS-MBS
USGA
US
N
2
2030-05-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/41 #489862
36210EFB0
556995.85740000
PA
USD
539335.86000000
0.024832853555
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2045#AL9296
36184HKH6
14830.30260000
PA
USD
13529.92000000
0.000622963438
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 12/20/2039#736455
3620AQE41
95480.82000000
PA
USD
99272.78000000
0.004570855733
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/40 #736729
3620AQPN7
850214.53160000
PA
USD
840512.90000000
0.038700066702
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 12/33 #590182
36201QUF8
37311.45470000
PA
USD
38234.75000000
0.001760457662
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 9/32 #548615
36213AN83
92401.01950000
PA
USD
95619.22000000
0.004402633430
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 9/28 #475562
36209MJF2
2499.36900000
PA
USD
2555.74000000
0.000117674944
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/26 #433302
36207JKP7
1289.61330000
PA
USD
1304.21000000
0.000060050255
Long
ABS-MBS
USGA
US
N
2
2026-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #743036
3620AXPV4
518630.51550000
PA
USD
502361.85000000
0.023130444641
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4.5% 02/01/2054 #TBA
01F042624
-2825000.00000000
PA
USD
-2734622.04000000
-0.12591128030
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 12/20/2040#759375
36230UMY2
163929.28200000
PA
USD
157830.29000000
0.007267042243
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/29 #487590
36210BUP8
5338.11040000
PA
USD
5498.52000000
0.000253170523
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #473514
36209KAP3
6858.41870000
PA
USD
6984.52000000
0.000321591006
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/27 #780622
36225AVP2
3025.53270000
PA
USD
3095.26000000
0.000142516276
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/39 #720065
3620A56A2
336353.98500000
PA
USD
332461.60000000
0.015307660472
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #475538
36209MHP2
527.26430000
PA
USD
537.29000000
0.000024738655
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-68 A 2% 07/25/2049
3136BJET8
1746765.96900000
PA
USD
1388825.67000000
0.063946247662
Long
ABS-CBDO
USGSE
US
N
2
2049-07-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #505085
36210XCW5
526.73710000
PA
USD
547.77000000
0.000025221189
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/25 #407898
36206DDB0
689.38420000
PA
USD
693.46000000
0.000031929252
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #732892
3620ALF90
13351.52960000
PA
USD
13195.77000000
0.000607578038
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/25 #416771
36206N6G5
184.10870000
PA
USD
185.42000000
0.000008537366
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 10/20/2049#BQ4138
3617LNS39
680820.82700000
PA
USD
627977.76000000
0.028914227491
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #456806
36208PNX2
1686.79870000
PA
USD
1727.59000000
0.000079544107
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/26 #423825
36206WYW9
129.66850000
PA
USD
131.37000000
0.000006048720
Long
ABS-MBS
USGA
US
N
2
2026-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 07/15/2034#586151
36201LEY6
1406.46340000
PA
USD
1416.44000000
0.000065217705
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 11/28 #458939
36208RZC1
3657.70750000
PA
USD
3741.53000000
0.000172272740
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #727416
3620AEDV9
203949.08640000
PA
USD
201640.16000000
0.009284197353
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044
38376MAY3
1722147.72420000
PA
USD
1587893.39000000
0.073112001147
Long
ABS-CBDO
USGA
US
N
2
2044-01-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/35 #642590
36291Y2X4
10418.03590000
PA
USD
10490.01000000
0.000482995664
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #698163
36296QTU3
25222.59780000
PA
USD
25565.15000000
0.001177106276
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/29 #521873
36211SXA0
13089.70210000
PA
USD
13627.80000000
0.000627470166
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #508736
36211CEH1
8543.50380000
PA
USD
8805.95000000
0.000405455826
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #458641
36208RP24
4390.03010000
PA
USD
4490.46000000
0.000206756019
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/33 #781769
36225B6E3
14590.00950000
PA
USD
14670.66000000
0.000675486980
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/39 #678644
36295R5D6
1037079.43390000
PA
USD
1005179.08000000
0.046281856523
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #467904
36209CX92
1430.47240000
PA
USD
1464.13000000
0.000067413514
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #433566
36207JTX1
500.20110000
PA
USD
510.67000000
0.000023512980
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #768770
36176K2B2
40569.92670000
PA
USD
39283.62000000
0.001808751197
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #366970
36204DT33
128077.60810000
PA
USD
124272.19000000
0.005721913420
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 6/32 #003247
36202DTC5
294663.78620000
PA
USD
296328.37000000
0.013643963923
Long
ABS-MBS
USGA
US
N
2
2032-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 5/39 #714152
36297KL90
37471.75320000
PA
USD
36376.66000000
0.001674904892
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.0% 02/20/2035#782224
36241KPH5
2269.17830000
PA
USD
2288.82000000
0.000105385041
Long
ABS-MBS
USGA
US
N
2
2035-02-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/26 #432701
36207HU21
201.18930000
PA
USD
203.64000000
0.000009376276
Long
ABS-MBS
USGA
US
N
2
2026-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 02/01/2054 #TBA
21H060622
65200000.00000000
PA
USD
66207398.68000000
3.048413349900
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2050#BT6874
3617MVT70
2603467.19900000
PA
USD
2398303.05000000
0.110426012507
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/30 #515361
36211KQN7
2017.69840000
PA
USD
2093.01000000
0.000096369284
Long
ABS-MBS
USGA
US
N
2
2030-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/26 #436608
36207NAH7
3231.17820000
PA
USD
3276.38000000
0.000150855655
Long
ABS-MBS
USGA
US
N
2
2026-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 2.5% 10/15/2042#AA5729
36178DLJ8
169034.07280000
PA
USD
149235.80000000
0.006871322753
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 02/01/2042#SC0248
3132D9HZ0
1450898.89300000
PA
USD
1289277.46000000
0.059362710197
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #517850
36211NH35
1034.45840000
PA
USD
1076.38000000
0.000049560188
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #480363
36209STU5
1734.28680000
PA
USD
1751.52000000
0.000080645925
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 12/30 #545333
36212VY60
43493.64060000
PA
USD
43871.34000000
0.002019985397
Long
ABS-MBS
USGA
US
N
2
2030-12-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.75% 05/20/2050#BQ7078
3617LR2K0
1400055.46300000
PA
USD
1223681.80000000
0.056342463373
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.02750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 3/43#AA6148
36178DZM6
246231.66200000
PA
USD
223921.13000000
0.010310088836
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #433752
36207JZR7
842.92400000
PA
USD
861.11000000
0.000039648427
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2049#BL1665
3617JDZ69
121771.69600000
PA
USD
112403.90000000
0.005175457066
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.75% 09/20/2045#AK8793
36183SXW6
1350704.34030000
PA
USD
1276934.95000000
0.058794419145
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.0% 02/20/2032#003198
36202DRT0
838.50150000
PA
USD
841.64000000
0.000038751962
Long
ABS-MBS
USGA
US
N
2
2032-02-20
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047
3137H5KC0
3641589.61100000
PA
USD
3248981.10000000
0.149594117217
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #471849
36209HEW1
1113.39110000
PA
USD
1137.42000000
0.000052370677
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/29 #503992
36210V2Z3
532.23100000
PA
USD
554.11000000
0.000025513105
Long
ABS-MBS
USGA
US
N
2
2029-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.375% 05/20/2050#BQ7081
3617LR2N4
1346909.18900000
PA
USD
1138938.33000000
0.052440586386
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.02375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/40 #691706
36296HNX3
59232.69330000
PA
USD
57379.72000000
0.002641957061
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/29 #434587
36207KXQ8
43742.66530000
PA
USD
45412.21000000
0.002090932282
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/31 #554028
36213GPM7
3093.24420000
PA
USD
3238.18000000
0.000149096797
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044
38378YG78
3316634.98630000
PA
USD
3058937.09000000
0.140843845968
Long
ABS-CBDO
USGA
US
N
2
2044-01-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #467068
36209BZ92
652.41430000
PA
USD
669.91000000
0.000030844930
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 1/42 #553451
36213FZQ9
3122945.13840000
PA
USD
2945754.85000000
0.135632551486
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/27 #451524
36208HSM9
1331.56330000
PA
USD
1344.79000000
0.000061918695
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/29 #491474
36210F6K7
7743.18160000
PA
USD
7803.89000000
0.000359317582
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#769036
36176LEH4
15216.43790000
PA
USD
14724.06000000
0.000677945697
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AE7026
36181AYX4
6445.61710000
PA
USD
5892.53000000
0.000271312081
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745094
3620C0XX1
2001114.18160000
PA
USD
1978194.42000000
0.091082785290
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #690670
36296GJP7
253075.32300000
PA
USD
250206.36000000
0.011520350040
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2040
3136BA7B4
99400.45800000
PA
USD
90789.46000000
0.004180254887
Long
ABS-CBDO
USGSE
US
N
2
2040-07-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/41 #757600
36230SNR1
175212.30190000
PA
USD
173207.98000000
0.007975083284
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2031#MA2803
31418CDH4
592994.97300000
PA
USD
560132.02000000
0.025790379346
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 1/41 #737898
3620ARX30
65523.29500000
PA
USD
63521.36000000
0.002924739012
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/33 #615432
36290RVZ3
38870.45800000
PA
USD
39088.92000000
0.001799786548
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/42 #438588
36207QF51
63621.46140000
PA
USD
61513.43000000
0.002832287100
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 2/37 #638726
36291USP1
25594.24810000
PA
USD
26757.37000000
0.001232000132
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 3/33 #003359
36202DWU1
332945.31820000
PA
USD
335486.26000000
0.015446926085
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/29 #513722
36211HVP3
315.44760000
PA
USD
323.91000000
0.000014913915
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #454375
36208LXC6
1503.47460000
PA
USD
1529.23000000
0.000070410939
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.87% 10/35 #1M1052
3128QFEZ3
60681.86540000
PA
USD
61527.65000000
0.002832941837
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.05663000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2002-62 IO CSTR 8/42
38373X7Z3
571750.62700000
PA
USD
6351.41000000
0.000292440473
Long
ABS-MBS
USGA
US
N
2
2042-08-16
Variable
0.01170290
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #462916
36208WGZ0
761.92860000
PA
USD
778.86000000
0.000035861357
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/25 #410041
36206FP22
100.62350000
PA
USD
101.19000000
0.000004659131
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/41 #690665
36296GJJ1
79176.25550000
PA
USD
78274.42000000
0.003604019968
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/38 #701496
36296UKH2
176672.97980000
PA
USD
187418.25000000
0.008629372346
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 12/33 #783571
36241L6G6
14791.31520000
PA
USD
14873.08000000
0.000684807083
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/29 #487613
36210BVE2
82.22210000
PA
USD
84.54000000
0.000003892508
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/26 #407840
36206DBH9
433.23670000
PA
USD
443.01000000
0.000020397684
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 2/35 #003677
36202ECN7
869.04000000
PA
USD
877.56000000
0.000040405840
Long
ABS-MBS
USGA
US
N
2
2035-02-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #582260
36201FZZ3
2796.60560000
PA
USD
2922.49000000
0.000134561358
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #617454
36290T5P0
116909.58150000
PA
USD
110276.34000000
0.005077496982
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/41#764892
36176FRM2
109316.24800000
PA
USD
105778.97000000
0.004870422803
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #472685
36209JCW9
324.14780000
PA
USD
328.51000000
0.000015125715
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/31 #489937
36210EHN2
17198.00360000
PA
USD
17915.37000000
0.000824884441
Long
ABS-MBS
USGA
US
N
2
2031-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/29 #508018
36211BK78
2154.31660000
PA
USD
2158.60000000
0.000099389270
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG PASS THRU CTF 2020-75 HA 1.5% 12/25/2044
3136BB7L0
7044325.39800000
PA
USD
6037611.70000000
0.277992134938
Long
ABS-CBDO
USGSE
US
N
2
2044-12-25
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #472284
36209HUH6
3162.26510000
PA
USD
3240.80000000
0.000149217431
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 10/25/2049
3136B7UV1
383623.52900000
PA
USD
346160.35000000
0.015938397417
Long
ABS-CBDO
USGSE
US
N
2
2049-10-25
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2007-37 TS TSFR1M+657.552 6/37
38375KNC2
555922.24940000
PA
USD
56974.30000000
0.002623290148
Long
ABS-CBDO
USGA
US
N
2
2037-06-16
Variable
0.01237540
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 3/29 #002728
36202DA50
687.34700000
PA
USD
699.37000000
0.000032201368
Long
ABS-MBS
USGA
US
N
2
2029-03-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 03/15/2041#761212
36176BN52
53528.34240000
PA
USD
51872.38000000
0.002388380435
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 05/15/2042#AA1859
36177YB47
30837.70490000
PA
USD
29837.40000000
0.001373815167
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2040#747894
3620C33B6
189467.86340000
PA
USD
183557.03000000
0.008451588672
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.00% 9/42 #AB3645
36178QBN1
641680.68230000
PA
USD
587852.21000000
0.027066710978
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 3/36 #782068
36241KJM1
649.86380000
PA
USD
654.88000000
0.000030152897
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 11/39 #710499
36297FKL5
379594.08460000
PA
USD
375201.31000000
0.017275541783
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 02/01/2054 #TBA
21H040624
-5050000.00000000
PA
USD
-4805626.97000000
-0.22126737648
Short
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.0% 01/20/2032#003184
36202DRD5
284.35980000
PA
USD
286.40000000
0.000013186828
Long
ABS-MBS
USGA
US
N
2
2032-01-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 06/20/2042#783637
3622A2BE1
2545836.33790000
PA
USD
2341598.15000000
0.107815126449
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/40 #731980
3620AKFV3
33822.72060000
PA
USD
34295.34000000
0.001579073855
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #749264
3620C5MM6
664039.02370000
PA
USD
642605.04000000
0.029587717108
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 10/20/2052#MA8343
36179XHU3
2916712.13300000
PA
USD
2526571.55000000
0.116331929603
Long
ABS-MBS
USGA
US
N
2
2052-10-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 02/15/2038#752126
36230LLF4
3717505.04020000
PA
USD
3434893.24000000
0.158154143148
Long
ABS-MBS
USGA
US
N
2
2038-02-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/26 #417226
36206PPK0
264.42640000
PA
USD
265.82000000
0.000012239255
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2045#AL4762
36184BJF5
455631.99090000
PA
USD
439350.53000000
0.020229189601
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 2/35 #636168
36291RW57
542.64380000
PA
USD
546.93000000
0.000025182513
Long
ABS-MBS
USGA
US
N
2
2035-02-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 03/01/2036#QN5653
3133GCH62
1576899.64800000
PA
USD
1420443.92000000
0.065402059208
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 12/20/2051#MA7767
36179WTY4
2974647.93800000
PA
USD
2574666.36000000
0.118546377894
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 01/20/2050#BR8998
3617M77K8
138172.50700000
PA
USD
123687.52000000
0.005694993228
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/25 #404646
36205YP71
1516.17220000
PA
USD
1522.36000000
0.000070094621
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 9/32 #003285
36202DUJ8
1577993.32470000
PA
USD
1631011.69000000
0.075097314027
Long
ABS-MBS
USGA
US
N
2
2032-09-20
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H17 FA TSFR1M+44.448 7/60
38375BDY5
5263004.81890000
PA
USD
5233778.83000000
0.240980941313
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Variable
0.05799840
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/31 #564543
36213UEQ9
671.31890000
PA
USD
700.91000000
0.000032272275
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 01/20/2042#AA0228
36177WHD5
3706726.04140000
PA
USD
3563666.43000000
0.164083297885
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.0% 12/20/2032#003319
36202DVL2
11697.08880000
PA
USD
11788.86000000
0.000542799126
Long
ABS-MBS
USGA
US
N
2
2032-12-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 9/31 #003134
36202DPT2
18861.73890000
PA
USD
19694.44000000
0.000906798862
Long
ABS-MBS
USGA
US
N
2
2031-09-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 12/20/2051#785792
3622ABKD3
5263675.19400000
PA
USD
4495863.95000000
0.207004835679
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/30 #532749
36212FZN7
1388.56370000
PA
USD
1462.46000000
0.000067336622
Long
ABS-MBS
USGA
US
N
2
2030-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 05/20/2050#BQ7077
3617LR2J3
1819474.94300000
PA
USD
1617931.52000000
0.074495058605
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.75% 07/20/2047#AY2386
36196RUK2
441643.82710000
PA
USD
416281.11000000
0.019166995205
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AE9987
36181ECY8
973269.84860000
PA
USD
887070.16000000
0.040843720973
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#792959
36177MJD5
133434.81120000
PA
USD
129215.31000000
0.005949511442
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/25 #407731
36206C4Q9
46.70020000
PA
USD
46.77000000
0.000002153449
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #741309
3620AVR61
141332.60930000
PA
USD
139719.89000000
0.006433177959
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/26 #423911
36206W3U7
146.22500000
PA
USD
148.78000000
0.000006850336
Long
ABS-MBS
USGA
US
N
2
2026-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2042#AA4843
36178CLY7
395318.43340000
PA
USD
383437.38000000
0.017654758400
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/26 #417839
36206QEL8
5061.53180000
PA
USD
5088.28000000
0.000234281681
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
288585.91700000
PA
USD
275864.73000000
0.012701748482
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/27 #448969
36208EW66
6987.40510000
PA
USD
7148.45000000
0.000329138900
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 07/20/2043#MA1374
36179NQ35
10446176.99550000
PA
USD
9575890.32000000
0.440906491882
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 11/15/2036#662641
36294XEN2
39706.10400000
PA
USD
40073.40000000
0.001845115349
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 1/35 #003664
36202EB99
1379864.62490000
PA
USD
1393252.35000000
0.064150067034
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 6/40 #004712
36202FGV2
219359.96750000
PA
USD
213409.10000000
0.009826079296
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 12/30 #545295
36212VXY0
52571.17810000
PA
USD
52977.07000000
0.002439244112
Long
ABS-MBS
USGA
US
N
2
2030-12-20
Fixed
0.05350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2052#MA4580
31418ECS7
12686423.50700000
PA
USD
11589665.70000000
0.533627545337
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048
3136BG6S5
1066639.37400000
PA
USD
873603.46000000
0.040223668397
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/32 #594858
36201VZX3
6016.04530000
PA
USD
6289.64000000
0.000289596373
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 6/39 #004469
36202E6E4
353190.94270000
PA
USD
358353.68000000
0.016499819716
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/25 #411739
36206HLU0
1214.97380000
PA
USD
1222.70000000
0.000056297257
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL8635
36184FSY5
23591.87390000
PA
USD
21523.24000000
0.000991003021
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7% 9/34 #003613
36202EAN9
32746.50420000
PA
USD
34617.18000000
0.001593892461
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/26 #433224
36207JG98
2351.74700000
PA
USD
2394.76000000
0.000110262878
Long
ABS-MBS
USGA
US
N
2
2026-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 8/36#660506
36294UYB2
202146.44530000
PA
USD
203947.17000000
0.009390419924
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 01/15/2041#756664
36230RMM5
661368.90920000
PA
USD
640566.54000000
0.029493857649
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 8/29 #509232
36211CVZ2
623.22570000
PA
USD
621.77000000
0.000028628401
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 1/29 #487384
36210BM93
5243.33320000
PA
USD
5341.33000000
0.000245932962
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 3/26 #421789
36206URJ0
5908.44490000
PA
USD
6041.71000000
0.000278180834
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/01/2054 #TBA
21H030633
144950000.00000000
PA
USD
130126992.65000000
5.991488405909
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #413562
36206KMK4
876.61650000
PA
USD
883.49000000
0.000040678878
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 1/39 #702851
36296VZQ4
272239.37480000
PA
USD
269110.04000000
0.012390739628
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #587998
36201NGF1
26685.72780000
PA
USD
28016.73000000
0.001289985340
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.0% 11/40#AI8296
36198VGD3
1023816.70850000
PA
USD
992571.97000000
0.045701382389
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/33 #614932
36290RED1
16485.06290000
PA
USD
16586.84000000
0.000763714411
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/27 #780570
36225AT34
3518.98680000
PA
USD
3558.00000000
0.000163822396
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/26 #780481
36225ARA0
52.37410000
PA
USD
52.72000000
0.000002427407
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/39 #704439
36296XS47
39479.13370000
PA
USD
39020.39000000
0.001796631194
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #518459
36211N5U8
1613.41990000
PA
USD
1639.43000000
0.000075484921
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #518488
36211N6Z6
3312.65830000
PA
USD
3429.66000000
0.000157913187
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 08/15/2043#763875
36176EMY4
520899.53380000
PA
USD
488864.89000000
0.022508998792
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 03/20/2040#736496
3620AQGD9
149326.29100000
PA
USD
155156.36000000
0.007143925430
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 12/15/2042#711697
36297GUW8
77621.00570000
PA
USD
70567.86000000
0.003249183788
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/27 #453374
36208KT74
2606.72840000
PA
USD
2685.54000000
0.000123651376
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 05/01/2041#SC0237
3132D9HN7
3185513.63800000
PA
USD
2837634.84000000
0.130654339256
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #706824
36297BG96
100962.77000000
PA
USD
99781.15000000
0.004594262813
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/26 #431510
36207GKX6
628.15560000
PA
USD
641.63000000
0.000029542822
Long
ABS-MBS
USGA
US
N
2
2026-11-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2016-12 FA TSFR1M+46.448 1/46
38379TH85
724625.53220000
PA
USD
702485.32000000
0.032344808439
Long
ABS-CBDO
USGA
US
N
2
2046-01-20
Variable
0.05801140
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/28 #457114
36208PYK8
4049.47350000
PA
USD
4140.81000000
0.000190656946
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AD8812
36180MYH4
4312708.76750000
PA
USD
3922001.94000000
0.180582280992
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 4/29 #487460
36210BQM0
12589.79990000
PA
USD
12840.02000000
0.000591198101
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/34 #781814
36241KAP3
22599.48540000
PA
USD
22730.68000000
0.001046597657
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.6% 11/15/2036#662881
36294XM60
130796.06480000
PA
USD
134797.44000000
0.006206531653
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
0.05600000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/40 #756817
36230RSE7
101851.87830000
PA
USD
100704.78000000
0.004636789873
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #410454
36206F5P3
2613.10010000
PA
USD
2674.58000000
0.000123146740
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 09/20/2042#MA0436
36179MPV6
490998.22660000
PA
USD
434197.98000000
0.019991948711
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 09/20/2040#748826
3620C44K3
98873.55200000
PA
USD
102580.94000000
0.004723174647
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 5/27 #002430
36202CVX8
7504.96770000
PA
USD
7717.93000000
0.000355359692
Long
ABS-MBS
USGA
US
N
2
2027-05-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 2/24 #360485
36203VNA4
194.41740000
PA
USD
193.96000000
0.000008930576
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #759190
36230UF79
85967.50440000
PA
USD
83256.25000000
0.003833400330
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 02/15/2041#757557
36230SME1
16726.94310000
PA
USD
16226.05000000
0.000747102414
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #743035
3620AXPU6
344795.24390000
PA
USD
333583.61000000
0.015359321621
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 08/15/2042#AA7963
36178FZ41
46645.60740000
PA
USD
43853.47000000
0.002019162601
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050
3136BKWX6
1534577.94500000
PA
USD
1336870.14000000
0.061554038719
Long
ABS-CBDO
USGSE
US
N
2
2050-02-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 4/40#728850
3620AFWK9
68615.14780000
PA
USD
68038.58000000
0.003132727153
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/27 #353761
36203M5W6
364.21400000
PA
USD
372.98000000
0.000017173265
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/31 #564650
36213UH37
17187.51560000
PA
USD
17837.54000000
0.000821300884
Long
ABS-MBS
USGA
US
N
2
2031-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #267916
362195SD2
1071.85800000
PA
USD
1090.89000000
0.000050228278
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/28 #460911
36208UAL1
6896.95220000
PA
USD
7130.10000000
0.000328294004
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 4/40 #004677
36202FFS0
27905.93920000
PA
USD
27149.89000000
0.001250073085
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/39 #703023
36296WAY2
5347453.39580000
PA
USD
5285705.28000000
0.243371811314
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 4/42 #779087
36176XJ83
1692653.92410000
PA
USD
1597958.40000000
0.073575428370
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 11/28 #002671
36202C6G3
1610.37620000
PA
USD
1635.22000000
0.000075291078
Long
ABS-MBS
USGA
US
N
2
2028-11-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/25 #780197
36225AGE4
3.75700000
PA
USD
3.75000000
0.000000172662
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 20-49 JA 2% 08/25/2044
3136BAF41
853415.16000000
PA
USD
769733.20000000
0.035441129081
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/31 #563893
36213TNJ8
1420.30610000
PA
USD
1471.90000000
0.000067771271
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2047#784391
3622A22Y7
81685977.85860000
PA
USD
76091166.37000000
3.503495560865
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #451704
36208HX92
911.09810000
PA
USD
922.27000000
0.000042464441
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/40 #004800
36202FKM7
3911487.30750000
PA
USD
3804424.42000000
0.175168612901
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 08/01/2036#RC2195
3133L8NL5
3125361.01700000
PA
USD
2822107.86000000
0.129939424396
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/41#719486
3620A5J75
20706.35580000
PA
USD
20073.71000000
0.000924261740
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #768771
36176K2C0
149826.63360000
PA
USD
144966.60000000
0.006674754295
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/24 #389944
36205GER8
3.43910000
PA
USD
3.43000000
0.000000157928
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
0.07500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 3.7675 09/20/2028
N/A
-26700000.00000000
NC
USD
-940348.64000000
-0.04329684302
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 09/22/33 SOFRV3.7675%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-09-22
0.00000000
USD
0.00000000
USD
-26700000.00000000
USD
1.00000000
3.76750000
USD
2028-09-20
XXXX
175711.36000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 4/31 #003067
36202DMQ1
476611.46170000
PA
USD
489277.46000000
0.022527994916
Long
ABS-MBS
USGA
US
N
2
2031-04-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/38 #701495
36296UKG4
73082.08520000
PA
USD
77512.18000000
0.003568923851
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2005-82 JV 5% 6/35
38374MBN8
1314949.35000000
PA
USD
1333451.74000000
0.061396643980
Long
ABS-CBDO
USGA
US
N
2
2035-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464690
36208YF79
1146.42890000
PA
USD
1168.23000000
0.000053789274
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2044#AK2823
36183LD45
7795910.16920000
PA
USD
7273161.65000000
0.334881048219
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/27 #457532
36208QHH2
1926.59250000
PA
USD
1946.84000000
0.000089639121
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/30 #527418
36211Y4B7
11022.02500000
PA
USD
11449.24000000
0.000527161869
Long
ABS-MBS
USGA
US
N
2
2030-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 06/20/2040#745384
3620C1CV6
67437.86100000
PA
USD
70160.18000000
0.003230412818
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/33 #614960
36290RE90
367.17910000
PA
USD
369.41000000
0.000017008890
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.87% 12/39 #728688
3620AFRH2
375872.14650000
PA
USD
375728.75000000
0.017299826911
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#FM9777
3140XD2K1
640791.22100000
PA
USD
567407.04000000
0.026125345959
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 4/34 #003543
36202D5C1
14967.97580000
PA
USD
15099.10000000
0.000695213811
Long
ABS-MBS
USGA
US
N
2
2034-04-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/36 #651848
36292LEV2
2963.27020000
PA
USD
2989.08000000
0.000137627388
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/29 #516155
36211LMC3
147.07450000
PA
USD
147.44000000
0.000006788638
Long
ABS-MBS
USGA
US
N
2
2029-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 12/20/2039#729169
3620AGCE3
127168.89500000
PA
USD
132099.03000000
0.006082287698
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #692468
36296JJM8
302015.98330000
PA
USD
298532.41000000
0.013745445405
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/30 #533888
36212HCZ1
6439.50430000
PA
USD
6710.77000000
0.000308986627
Long
ABS-MBS
USGA
US
N
2
2030-06-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.298% 04/25/2029
3137FLYV0
3000000.00000000
PA
USD
2852236.80000000
0.131326663055
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Fixed
0.03298000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 4.04 11/16/2028
N/A
-38000000.00000000
NC
USD
-1215407.96000000
-0.05596150769
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 11/20/33 SOFRV4.04%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-11-20
0.00000000
USD
0.00000000
USD
-38000000.00000000
USD
1.00000000
4.04000000
USD
2028-11-16
XXXX
392942.04000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #749249
3620C5L62
892582.45100000
PA
USD
864432.10000000
0.039801387854
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/26 #436719
36207NDY7
2342.23100000
PA
USD
2386.92000000
0.000109901898
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2043#MA0783
36179M2Q2
435314.36880000
PA
USD
408984.64000000
0.018831040961
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.422% 02/25/2029
3137FLMV3
2400000.00000000
PA
USD
2298332.88000000
0.105823046571
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
0.03422000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.00% 9/42 #AB2888
36178NF53
69488.26420000
PA
USD
63542.06000000
0.002925692110
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7% 11/31 #003162
36202DQP9
37339.42650000
PA
USD
38968.89000000
0.001794259959
Long
ABS-MBS
USGA
US
N
2
2031-11-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/29 #490015
36210EK40
4545.26080000
PA
USD
4681.85000000
0.000215568264
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2012-76 GF TSFR1M+41.448 6/42
38375C4S6
306136.02090000
PA
USD
301752.86000000
0.013893725854
Long
ABS-CBDO
USGA
US
N
2
2042-06-16
Variable
0.05752460
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.50% 7/40 #783038
36241LLT1
731269.27530000
PA
USD
754331.46000000
0.034731980696
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 10/15/2042#AA8591
36178GRL0
212607.38870000
PA
USD
199911.05000000
0.009204583260
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 07/15/2036#660691
36294U7C0
48112.67670000
PA
USD
48537.12000000
0.002234813744
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/33 #602249
36200JBS8
4308.72500000
PA
USD
4322.01000000
0.000199000009
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 5% 08/20/2045
38379MN91
5837471.49600000
PA
USD
1137945.60000000
0.052394877727
Long
ABS-CBDO
USGA
US
N
2
2045-08-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 08/15/2042#AB1489
36178LUN1
6184.16400000
PA
USD
5994.58000000
0.000276010809
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/35 #649492
36292HRM7
929.16150000
PA
USD
937.25000000
0.000043154171
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #721062
3620A7B79
251712.43430000
PA
USD
248805.86000000
0.011455866266
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 2/32 #003200
36202DRV5
2133.64480000
PA
USD
2199.62000000
0.000101277970
Long
ABS-MBS
USGA
US
N
2
2032-02-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 05/15/2033#553243
36213FS87
75483.50320000
PA
USD
75872.85000000
0.003493443534
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 1/41#004921
36202FPE0
2926.44300000
PA
USD
2760.57000000
0.000127106012
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/15/2042#AB1293
36178LNJ8
76117.42060000
PA
USD
69479.57000000
0.003199075223
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #471698
36209G7K7
1796.09000000
PA
USD
1819.18000000
0.000083761221
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.25% 02/41#AO9700
3617AAX58
727114.66870000
PA
USD
635322.33000000
0.029252396422
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.03250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/26 #421729
36206UPN3
67.49670000
PA
USD
67.98000000
0.000003130029
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/24 #397027
36205QA41
40.49870000
PA
USD
40.43000000
0.000001861534
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/27 #780626
36225AVT4
2307.49310000
PA
USD
2335.78000000
0.000107547239
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #474791
36209LNG7
2083.26760000
PA
USD
2132.28000000
0.000098177408
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 9/33 #607397
36201YX27
44894.53500000
PA
USD
45970.98000000
0.002116659949
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #450325
36208GHA9
2004.47210000
PA
USD
2050.33000000
0.000094404152
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 02/20/2043#AD1755
36180C5Q8
3331191.56400000
PA
USD
3116794.41000000
0.143507793354
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 7/37 #004004
36202ENV7
4208.07250000
PA
USD
4263.41000000
0.000196301866
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #433685
36207JXN8
1420.74020000
PA
USD
1455.09000000
0.000066997282
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#733816
3620AMGZ9
298983.36590000
PA
USD
289332.72000000
0.013321860453
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 06/20/2040#004709
36202FGS9
76080.03110000
PA
USD
73962.85000000
0.003405500651
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/25 #385062
36205AWX8
2601.23690000
PA
USD
2659.91000000
0.000122471284
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 02/15/2041#759207
36230UGQ6
485948.31910000
PA
USD
470914.92000000
0.021682521250
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 11/25/2040
3137F6YL5
1137759.54600000
PA
USD
1033681.17000000
0.047594189486
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/26 #421987
36206UXQ7
434.98880000
PA
USD
444.80000000
0.000020480101
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #433849
36207J5J8
918.89840000
PA
USD
938.14000000
0.000043195149
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #737015
3620AQYL1
633285.20530000
PA
USD
626005.72000000
0.028823428076
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 6/28 #476343
36209NEQ1
3126.88170000
PA
USD
3197.41000000
0.000147219608
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2005-82 NS TSFR1M+618.552 7/34
38374MBT5
1759135.98480000
PA
USD
160304.26000000
0.007380952219
Long
ABS-CBDO
USGA
US
N
2
2034-07-20
Variable
0.00848860
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/26 #412645
36206JL28
527.84770000
PA
USD
537.09000000
0.000024729446
Long
ABS-MBS
USGA
US
N
2
2026-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #442336
36207ULR7
1122.72180000
PA
USD
1146.23000000
0.000052776319
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #482056
36209UQH2
452.07020000
PA
USD
462.41000000
0.000021290925
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/31 #474776
36209LMZ6
587.85530000
PA
USD
612.38000000
0.000028196053
Long
ABS-MBS
USGA
US
N
2
2031-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 03/20/2043#AA6141
36178DZE4
1591505.23190000
PA
USD
1488013.63000000
0.068513197995
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 04/20/2052#
36179W2U1
9244783.62100000
PA
USD
8001697.66000000
0.368425318845
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 04/15/2045#AM2855
36184NE49
253822.64400000
PA
USD
244435.32000000
0.011254631771
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #769513
36176LVE2
8071.85370000
PA
USD
7809.38000000
0.000359570361
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-160 DY 4% 12/20/2040
38377RLW3
13735260.91450000
PA
USD
13385896.31000000
0.616332099211
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/31 #529922
36212CVP3
39560.97790000
PA
USD
41521.66000000
0.001911798155
Long
ABS-MBS
USGA
US
N
2
2031-06-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 05/01/2036#QN6401
3133GDDE7
1035779.57800000
PA
USD
935278.09000000
0.043063377692
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 5/30 #531642
36212ES73
9306.90170000
PA
USD
9698.96000000
0.000446573037
Long
ABS-MBS
USGA
US
N
2
2030-05-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0710
3133KTYF1
253086.64600000
PA
USD
223787.06000000
0.010303915798
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #372475
36204KXC2
183.16660000
PA
USD
187.00000000
0.000008610114
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/27 #780584
36225AUH1
1163.04920000
PA
USD
1173.06000000
0.000054011663
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 09/20/2042 #MA0391
36179MNG1
1124129.09050000
PA
USD
1033072.16000000
0.047566148598
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 3/32 #583203
36201G3L7
433.26650000
PA
USD
447.52000000
0.000020605339
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.06000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 3.502 01/04/2029
N/A
-39000000.00000000
NC
USD
-1578792.93000000
-0.07269298508
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Written
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/08/34 SOFRV3.502%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-01-08
0.00000000
USD
0.00000000
USD
-39000000.00000000
USD
1.00000000
3.50200000
USD
2029-01-04
XXXX
41657.07000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/27 #436741
36207NEN0
11347.37970000
PA
USD
11514.40000000
0.000530162057
Long
ABS-MBS
USGA
US
N
2
2027-01-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #419884
36206SM92
1110.55960000
PA
USD
1120.10000000
0.000051573205
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 4/33 #598172
36200DQZ9
1333.86550000
PA
USD
1382.80000000
0.000063668805
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 12/01/2052#CB5273
3140QQ2F1
1174175.80000000
PA
USD
1175873.42000000
0.054141203291
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2043#763854
36176EMB4
137635.52080000
PA
USD
125024.64000000
0.005756558771
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #480972
36209TJR1
20877.08710000
PA
USD
21409.33000000
0.000985758218
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 1/33 #530800
36212DUZ0
79317.16010000
PA
USD
81551.69000000
0.003754916602
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #434543
36207KWC0
7674.84910000
PA
USD
7951.74000000
0.000366125098
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/33 #615272
36290RQZ9
3342.41090000
PA
USD
3303.70000000
0.000152113561
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 05/20/2050#BQ7079
3617LR2L8
2163426.93200000
PA
USD
1857313.27000000
0.085517006861
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 1/32 #003187
36202DRG8
4971.49050000
PA
USD
5123.06000000
0.000235883070
Long
ABS-MBS
USGA
US
N
2
2032-01-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 5/31 #003080
36202DM57
3972.60900000
PA
USD
4097.29000000
0.000188653138
Long
ABS-MBS
USGA
US
N
2
2031-05-20
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 09/15/2040#748554
3620C4TK6
362584.30920000
PA
USD
351367.33000000
0.016178144449
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 8/29 #002794
36202DC74
699.62920000
PA
USD
711.07000000
0.000032740076
Long
ABS-MBS
USGA
US
N
2
2029-08-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 4/36 #003840
36202EHR3
10721.93660000
PA
USD
10841.07000000
0.000499159658
Long
ABS-MBS
USGA
US
N
2
2036-04-20
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-130 KF TSFR1M+76.448 10/40
38377LK98
690413.36940000
PA
USD
687534.35000000
0.031656415035
Long
ABS-CBDO
USGA
US
N
2
2040-10-16
Variable
0.06102460
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 5/29 #781235
36225BLQ9
71.61240000
PA
USD
72.77000000
0.000003350577
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #517803
36211NGL6
4456.86480000
PA
USD
4629.61000000
0.000213162957
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.03% 12/35 #847473
3128JRJS6
350068.38000000
PA
USD
353324.61000000
0.016268264264
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Variable
0.06341000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/39 #723437
3620A9V65
22424.27190000
PA
USD
22703.79000000
0.001045359550
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/27 #426517
36207AYN6
13850.75640000
PA
USD
14291.62000000
0.000658034692
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2017-139 K 3% 08/20/2047
38380HGU0
13292224.19200000
PA
USD
12191064.44000000
0.561317984535
Long
ABS-CBDO
USGA
US
N
2
2047-08-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 3/36 #003829
36202EHE2
41258.93180000
PA
USD
41717.15000000
0.001920799178
Long
ABS-MBS
USGA
US
N
2
2036-03-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #781328
36225BPM4
3527.88880000
PA
USD
3652.51000000
0.000168173957
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #739091
3620ATC47
50924.56900000
PA
USD
50334.63000000
0.002317577206
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/33 #701534
36296ULP3
105493.95160000
PA
USD
106174.39000000
0.004888629282
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/28 #469788
36209E2V3
212.30440000
PA
USD
217.38000000
0.000010008913
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 03/40#742039
3620AWLU2
140221.09900000
PA
USD
145845.17000000
0.006715206640
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/25 #414538
36206LPX1
152.98310000
PA
USD
154.20000000
0.000007099891
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.75% 07/15/2040#728698
3620AFRT6
335467.27330000
PA
USD
333603.55000000
0.015360239726
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #467764
36209CTV8
562.14870000
PA
USD
572.48000000
0.000026358922
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 5/26 #432639
36207HS40
437.64480000
PA
USD
443.77000000
0.000020432677
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/29 #781031
36225BEC8
11755.22800000
PA
USD
12008.90000000
0.000552930515
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772062
36176PQP4
739694.14940000
PA
USD
716241.55000000
0.032978191958
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2044#MA1600
36179NX52
157533.16510000
PA
USD
147715.15000000
0.006801306866
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 11/36 #647620
36292FPD3
135422.09260000
PA
USD
141630.91000000
0.006521167806
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K727 A2 2.946% 07/25/2024
3137FARE0
3315390.72900000
PA
USD
3277376.46000000
0.150901535968
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Fixed
0.02946000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 01/45#AK6717
36183QPA7
618476.55090000
PA
USD
564245.87000000
0.025979794962
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 07/15/2042#AB1355
36178LQG1
154884.37880000
PA
USD
149764.16000000
0.006895650241
Long
ABS-MBS
USGA
US
N
2
2042-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 08/40#745478
3620C1FT8
633217.65360000
PA
USD
641145.41000000
0.029520510789
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.87% 9/39 #721172
3620A7FM2
1197059.55440000
PA
USD
1196447.14000000
0.055088487189
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/25 #406338
36206BLT6
12.79510000
PA
USD
12.76000000
0.000000587513
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 05/15/2043#AD1000
36180CDD8
92726.08050000
PA
USD
84704.25000000
0.003900071164
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2041#005258
36202FZX7
2131666.18910000
PA
USD
2007222.71000000
0.092419346287
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2044#AH2728
36182KA58
430530.89760000
PA
USD
415953.64000000
0.019151917374
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/46#MA3664
36179SB97
4310658.01200000
PA
USD
4182193.08000000
0.192562364193
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.375% 08/15/2043
912810TU2
31448000.00000000
PA
USD
31674032.50000000
1.458379961201
Long
DBT
UST
US
N
2
2043-08-15
Fixed
0.04375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/40 #748495
3620C4RQ5
66732.10160000
PA
USD
64688.63000000
0.002978484085
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#794219
36177NVM9
112522.31450000
PA
USD
108890.30000000
0.005013678996
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/25 #409618
36206FAT9
67.90490000
PA
USD
67.74000000
0.000003118979
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/39 #004539
36202FBG0
29652.36930000
PA
USD
28851.38000000
0.001328415459
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/25 #780249
36225AH29
258.42320000
PA
USD
259.67000000
0.000011956088
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-57 AF TSFR1M+69.448 7/38
38375XHJ6
377820.09000000
PA
USD
375530.16000000
0.017290683154
Long
ABS-CBDO
USGA
US
N
2
2038-07-20
Variable
0.06031140
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #461497
36208UUW5
15.92610000
PA
USD
15.95000000
0.000000734392
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #438755
36207QMC8
852.00490000
PA
USD
855.16000000
0.000039374468
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #503983
36210V2Q3
348.95700000
PA
USD
362.69000000
0.000016699478
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 3/38 #675179
36295NCQ8
7993.76880000
PA
USD
8082.52000000
0.000372146653
Long
ABS-MBS
USGA
US
N
2
2038-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.50% 9/39 #004542
36202FBK1
53777.20150000
PA
USD
55528.05000000
0.002556699889
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 06/01/2042#BU8709
3140MAVB7
910175.56800000
PA
USD
853675.24000000
0.039306105510
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/28 #461632
36208UY50
3622.57510000
PA
USD
3723.23000000
0.000171430146
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #462927
36208WHC0
3246.59440000
PA
USD
3322.98000000
0.000153001277
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 09/15/2042#AA1346
36177XP77
9323.06090000
PA
USD
8550.17000000
0.000393678846
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #783550
36241L5K8
7180681.11120000
PA
USD
6772140.57000000
0.311812337179
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 01/45#669957
36295GJA1
11442.45700000
PA
USD
10439.13000000
0.000480652976
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 7/35 #643708
36292BDM5
27749.52240000
PA
USD
28482.89000000
0.001311448929
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/26 #439445
36207RES0
233.13530000
PA
USD
237.95000000
0.000010956025
Long
ABS-MBS
USGA
US
N
2
2026-11-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2016-171 BI 5% 10/20/2044
38380TEZ5
5954470.39300000
PA
USD
1185187.91000000
0.054570074025
Long
ABS-CBDO
USGA
US
N
2
2044-10-20
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H19 FG TSFR1M+41.448 8/60
38375BFQ0
4440606.08490000
PA
USD
4411652.89000000
0.203127472656
Long
ABS-CBDO
USGA
US
N
2
2060-08-20
Variable
0.05760350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 04/15/2045#AM8645
36185BTA4
475982.23800000
PA
USD
434246.07000000
0.019994162938
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/24 #376510
36204QGT1
2.73650000
PA
USD
2.73000000
0.000000125698
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/39 #702094
36296U7F1
20003.49260000
PA
USD
19768.33000000
0.000910201008
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 09/15/2040#783095
36241LNL6
3511.12800000
PA
USD
3402.82000000
0.000156677382
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #471569
36209G2A4
656.04780000
PA
USD
669.78000000
0.000030838944
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/29 #515320
36211KPD0
4231.72130000
PA
USD
4374.78000000
0.000201429719
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #783008
36241LKV7
1814851.50000000
PA
USD
1794142.59000000
0.082608414346
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2220 PD 8 3/30
3133TNPR9
173618.56000000
PA
USD
181002.14000000
0.008333952865
Long
ABS-CBDO
USGSE
US
N
2
2030-03-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #474677
36209LJW7
5857.45000000
PA
USD
6022.28000000
0.000277286211
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 7.00% 7/32 #781534
36225BV39
191131.78600000
PA
USD
199091.43000000
0.009166845173
Long
ABS-MBS
USGA
US
N
2
2032-07-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 6/42 #MA0155
36179ME48
38431.02430000
PA
USD
37325.20000000
0.001718578893
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 5/31 #003081
36202DM65
183146.24510000
PA
USD
190679.20000000
0.008779517552
Long
ABS-MBS
USGA
US
N
2
2031-05-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4% 02/20/2041#005044
36202FS98
432479.57700000
PA
USD
411205.34000000
0.018933289526
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047
3137H5BG1
1117648.83500000
PA
USD
999303.68000000
0.046011333165
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #449474
36208FJT8
10440.42790000
PA
USD
10699.44000000
0.000492638532
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2045#AL2170
36183XMT4
97213.50490000
PA
USD
93739.70000000
0.004316093950
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/30 #539569
36212PMS8
929.83500000
PA
USD
975.92000000
0.000044934669
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.60% 8/35 #735810
31402RN39
61914.43250000
PA
USD
63394.95000000
0.002918918666
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Variable
0.05055000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #465506
36209ADK3
1969.28830000
PA
USD
1998.16000000
0.000092002068
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/26 #426020
36207AG55
811.94580000
PA
USD
817.82000000
0.000037655208
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 2004-24 ZM 5% 04/34
38374F2L7
1482734.20200000
PA
USD
1465138.15000000
0.067459933254
Long
ABS-CBDO
USGA
US
N
2
2034-04-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/27 #447901
36208DRW7
15870.38590000
PA
USD
16142.25000000
0.000743243978
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 12/15/2042#AA3361
36178AWW3
2358.85060000
PA
USD
2163.30000000
0.000099605674
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 12/41 #711616
36297GSD3
1634747.40630000
PA
USD
1540233.83000000
0.070917593244
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 06/15/2034#633623
36291N4G3
818.01540000
PA
USD
824.19000000
0.000037948504
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 03/20/2043#783737
3622A2EJ7
5707038.50000000
PA
USD
5361074.97000000
0.246842087654
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/32 #584984
36201J2R9
12477.31000000
PA
USD
13181.34000000
0.000606913632
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 9/40 #742217
3620AWSE1
152450.81260000
PA
USD
150709.03000000
0.006939155263
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 4/26 #405605
36206AR21
190.53030000
PA
USD
192.05000000
0.000008842633
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.08000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2005-6 EY 5.5% 11/33
38374KMF7
1016000.00000000
PA
USD
1017233.32000000
0.046836874646
Long
ABS-CBDO
USGA
US
N
2
2033-11-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #711186
36297GCX6
91941.23580000
PA
USD
90886.91000000
0.004184741815
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #433858
36207J5T6
482.25780000
PA
USD
492.66000000
0.000022683738
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/41 #719502
3620A5KP3
231879.35850000
PA
USD
229236.81000000
0.010554840785
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 6/32 #003249
36202DTE1
220.91220000
PA
USD
227.94000000
0.000010495131
Long
ABS-MBS
USGA
US
N
2
2032-06-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/32 #581720
36201FG50
12420.55830000
PA
USD
12795.64000000
0.000589154695
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/38 #701512
36296UKZ2
5648.07560000
PA
USD
5992.73000000
0.000275925629
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #446667
36208CFG7
1346.39230000
PA
USD
1364.50000000
0.000062826211
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #475563
36209MJG0
3482.64990000
PA
USD
3560.06000000
0.000163917245
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/25 #404248
36205YBR2
955.84420000
PA
USD
960.90000000
0.000044243097
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 01/01/2051#SD8120
3132DWAV5
5497677.00100000
PA
USD
4251453.68000000
0.195751357295
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/33 #781598
36225BX37
160897.61780000
PA
USD
161712.66000000
0.007445799735
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 8/41 #005140
36202FV94
121520.79400000
PA
USD
120669.58000000
0.005556037028
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #473482
36209J6T3
418.06070000
PA
USD
424.45000000
0.000019543118
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/28 #448928
36208EVV2
971.29520000
PA
USD
1006.85000000
0.000046358791
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/33 #587806
36201NAF7
2285.89060000
PA
USD
2285.50000000
0.000105232177
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.45% 02/15/2037#662944
36294XP59
276664.20160000
PA
USD
282783.27000000
0.013020301546
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
0.05450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/39 #710445
36297FHW5
159846.85060000
PA
USD
155084.69000000
0.007140625500
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 12/20/2050#MA7051
36179VZQ6
3797155.27400000
PA
USD
3168134.10000000
0.145871646934
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/26 #425990
36207AF72
363.93220000
PA
USD
367.07000000
0.000016901148
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/39 #720077
3620A56N4
11817.94480000
PA
USD
11681.04000000
0.000537834728
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 06/15/2035#644970
36292CQX5
2369.76250000
PA
USD
2387.86000000
0.000109945179
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/27 #455361
36208MZ24
198.17290000
PA
USD
201.57000000
0.000009280966
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/40 #705024
36296YG97
59651.63870000
PA
USD
57829.10000000
0.002662648041
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/29 #486228
36210AD95
346.74590000
PA
USD
361.00000000
0.000016621665
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 04/01/2042#SC0270
3132D9JP0
462026.98300000
PA
USD
407383.51000000
0.018757319501
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 3/32 #554094
36213GRP8
1366.50810000
PA
USD
1411.47000000
0.000064988869
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2043#AD6303
36180JAC8
679852.59850000
PA
USD
619336.74000000
0.028516365601
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.5% 04/15/2038#687179
36296CM49
6992.14640000
PA
USD
7221.75000000
0.000332513881
Long
ABS-MBS
USGA
US
N
2
2038-04-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 08/15/2036#656876
36294QXD8
107750.62590000
PA
USD
108597.86000000
0.005000214066
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 4/26 #422561
36206VMJ3
257.76890000
PA
USD
260.69000000
0.000012003052
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 3/39 #004396
36202E3D9
61174.07950000
PA
USD
59540.77000000
0.002741459138
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047
38380HC42
2647857.66800000
PA
USD
2390730.04000000
0.110077325423
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 9/28 #002602
36202C3K7
237.17980000
PA
USD
240.84000000
0.000011089091
Long
ABS-MBS
USGA
US
N
2
2028-06-20
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2005-6 EX 5.5% 11/34
38374KMC4
1000834.00000000
PA
USD
1028591.13000000
0.047359826768
Long
ABS-CBDO
USGA
US
N
2
2034-11-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #433606
36207JU76
76.96070000
PA
USD
76.88000000
0.000003539816
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #457812
36208QR99
2976.63290000
PA
USD
3022.10000000
0.000139147741
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/41#738637
3620ASS26
2456197.69700000
PA
USD
2378527.32000000
0.109515470777
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047
3136BLES5
10643287.21300000
PA
USD
9128885.81000000
0.420324887063
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #465091
36208YUQ0
2441.45920000
PA
USD
2502.10000000
0.000115205176
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/27 #423079
36206V6Q5
2241.71640000
PA
USD
2295.17000000
0.000105677416
Long
ABS-MBS
USGA
US
N
2
2027-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 05/15/2034#566382
36213WFX9
7457.10260000
PA
USD
7505.20000000
0.000345564881
Long
ABS-MBS
USGA
US
N
2
2034-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #411517
36206HDW5
616.83810000
PA
USD
621.22000000
0.000028603077
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/28 #469713
36209EYJ5
6915.09840000
PA
USD
7151.74000000
0.000329290383
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737532
3620ARLM1
21078.98720000
PA
USD
20430.60000000
0.000940694167
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 09/01/2053#QH0300
3133CCKM7
265191.30500000
PA
USD
275284.06000000
0.012675012464
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.56% 6/33 #780605
31342AU64
83114.28650000
PA
USD
83750.57000000
0.003856160500
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
0.04975000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049
3136BLYE4
1127755.46800000
PA
USD
994648.86000000
0.045797009454
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 5/40 #004695
36202FGC4
284299.31410000
PA
USD
276596.48000000
0.012735440735
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 12/33 #593782
36201UUF9
124285.83330000
PA
USD
128681.29000000
0.005924923349
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/26 #424026
36206XA37
478.25710000
PA
USD
485.83000000
0.000022369262
Long
ABS-MBS
USGA
US
N
2
2026-09-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.801% 2/33 #695019
31400RDY4
7398.12110000
PA
USD
7461.91000000
0.000343571662
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Variable
0.07246000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 04/01/2051#SD8139
3132DWBG7
10664716.14500000
PA
USD
8233888.20000000
0.379116159385
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #396405
36205PKS9
3139.42900000
PA
USD
3203.14000000
0.000147483437
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 01/20/2040#729198
3620AGDB8
195055.89100000
PA
USD
202671.36000000
0.009331677301
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/26 #423986
36206W6X8
117.04200000
PA
USD
118.68000000
0.000005464430
Long
ABS-MBS
USGA
US
N
2
2026-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #482084
36209URD0
1115.58240000
PA
USD
1121.48000000
0.000051636745
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 6/37 #670519
36295G4C3
14287.62220000
PA
USD
15081.67000000
0.000694411275
Long
ABS-MBS
USGA
US
N
2
2037-06-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/32 #576236
36200YEH6
1503.87660000
PA
USD
1571.57000000
0.000072360416
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 05/15/2036#653330
36292MY30
105522.64930000
PA
USD
106444.46000000
0.004901064221
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/26 #780299
36225AKL3
199.47290000
PA
USD
200.65000000
0.000009238607
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2042#RB0760
3133KTZZ6
494570.69600000
PA
USD
465878.77000000
0.021450639810
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 03/01/2054 #TBA
21H020634
16800000.00000000
PA
USD
14033730.48000000
0.646160583213
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 4/30 #532203
36212FGL2
161363.63850000
PA
USD
161821.12000000
0.007450793602
Long
ABS-MBS
USGA
US
N
2
2030-04-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 07/15/2033#609443
36202UBL6
411.83170000
PA
USD
414.30000000
0.000019075778
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #748242
3620C4HT0
39683.03510000
PA
USD
38405.33000000
0.001768311744
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 01/15/2041#753826
36230NHB4
80457.57430000
PA
USD
77991.10000000
0.003590974953
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 1/41 #757946
36230SZK3
4720.00430000
PA
USD
4571.54000000
0.000210489217
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 12/28 #002690
36202C7B3
11578.31660000
PA
USD
11906.86000000
0.000548232247
Long
ABS-MBS
USGA
US
N
2
2028-12-20
Fixed
0.07000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 02/01/2054 #TBA
01F050627
86800000.00000000
PA
USD
85860797.96000000
3.953322558396
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/25 #398248
36205RL54
356.82820000
PA
USD
358.28000000
0.000016496427
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/27 #451326
36208HLF1
6025.91180000
PA
USD
6188.84000000
0.000284955199
Long
ABS-MBS
USGA
US
N
2
2027-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 7/33 #003414
36202DYK1
74056.91160000
PA
USD
74650.73000000
0.003437172981
Long
ABS-MBS
USGA
US
N
2
2033-07-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 1/34 #003499
36202D3G4
16811.27890000
PA
USD
16946.02000000
0.000780252277
Long
ABS-MBS
USGA
US
N
2
2034-01-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 05/15/2033#604338
36200MLT8
20515.52010000
PA
USD
20623.24000000
0.000949563966
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 7/29 #002780
36202DCR0
7123.10250000
PA
USD
7253.78000000
0.000333988651
Long
ABS-MBS
USGA
US
N
2
2029-07-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/25 #409926
36206FLF7
691.49150000
PA
USD
694.95000000
0.000031997856
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #737005
3620AQYA5
324853.91920000
PA
USD
321133.20000000
0.014786062486
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/40 #737425
3620ARHA2
234207.56920000
PA
USD
226962.08000000
0.010450104495
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #691707
36296HNY1
19883.56670000
PA
USD
19243.36000000
0.000886029608
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #456239
36208NZC0
2345.56770000
PA
USD
2399.22000000
0.000110468231
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 6/35 #003723
36202ED48
15217.58240000
PA
USD
15376.08000000
0.000707966911
Long
ABS-MBS
USGA
US
N
2
2035-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #458877
36208RXE9
1095.49630000
PA
USD
1121.99000000
0.000051660227
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/26 #422559
36206VMG9
180.73500000
PA
USD
181.92000000
0.000008376214
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #718157
3620A3ZW7
5943.84810000
PA
USD
5873.84000000
0.000270451530
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/24 #343352
36203AL95
735.28090000
PA
USD
735.98000000
0.000033887017
Long
ABS-MBS
USGA
US
N
2
2024-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/24 #267062
362194TT9
53.15760000
PA
USD
53.04000000
0.000002442141
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #738002
3620AR3K5
72703.88540000
PA
USD
70461.09000000
0.003244267735
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/15/2043#666372
36295CJR3
58904.94330000
PA
USD
53754.60000000
0.002475044232
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/26 #424207
36206XGQ0
2607.58470000
PA
USD
2640.48000000
0.000121576661
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 08/15/2036#660642
36294U5B4
204074.43610000
PA
USD
205874.76000000
0.009479172710
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/29 #513482
36211HM73
941.05700000
PA
USD
980.83000000
0.000045160742
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7% 1/30 #002866
36202DFF3
20639.05010000
PA
USD
21335.54000000
0.000982360676
Long
ABS-MBS
USGA
US
N
2
2030-01-20
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-51 FE TSFR1M+86.448 6/38
38375QU98
147054.67200000
PA
USD
146718.67000000
0.006755425544
Long
ABS-CBDO
USGA
US
N
2
2038-06-16
Variable
0.06202460
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/29 #513680
36211HUD1
4091.50150000
PA
USD
4214.45000000
0.000194047582
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/42 #005305
36202F3N4
88973.03910000
PA
USD
86444.75000000
0.003980209692
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 9/38 #707530
36297CA74
50212.89370000
PA
USD
51850.85000000
0.002387389121
Long
ABS-MBS
USGA
US
N
2
2038-09-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/40 #704970
36296YFK3
42298.37330000
PA
USD
42825.63000000
0.001971837359
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#SD2219
3132DPPC6
188168.63900000
PA
USD
166148.92000000
0.007650060203
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 10/01/2053#RJ0001
3142GQAB8
4062063.93000000
PA
USD
4225545.35000000
0.194558449846
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #498119
36210PK86
1299.66460000
PA
USD
1341.63000000
0.000061773198
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/28 #458878
36208RXF6
216.65550000
PA
USD
221.54000000
0.000010200453
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/24 #369524
36204GPH9
3.87960000
PA
USD
3.88000000
0.000000178648
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 7/33 #528150
36212AWK7
4002.18850000
PA
USD
4098.92000000
0.000188728188
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/26 #436523
36207M4G8
300.68940000
PA
USD
306.66000000
0.000014119667
Long
ABS-MBS
USGA
US
N
2
2026-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.00% 9/42 #AB3385
36178NXN4
219525.08120000
PA
USD
200897.15000000
0.009249986651
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AA6146
36178DZK0
10082030.26420000
PA
USD
9161112.41000000
0.421808709107
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 09/20/2046#AT8217
36194HDW9
4673443.47120000
PA
USD
4221485.97000000
0.194371542213
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/36 #618671
36290VJQ8
1177.42200000
PA
USD
1190.21000000
0.000054801308
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 05/15/2042#AA0128
36177WD98
55307.76590000
PA
USD
52135.40000000
0.002400490768
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2014-25 HC 3% 2/44
38379AEF3
2089558.50880000
PA
USD
1922436.04000000
0.088515480225
Long
ABS-CBDO
USGA
US
N
2
2044-02-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #733784
3620AMFZ0
1476027.18570000
PA
USD
1495906.91000000
0.068876631397
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 12/35 #003795
36202EGC7
749299.07850000
PA
USD
757326.62000000
0.034869888028
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #771560
36176N5V9
617091.57910000
PA
USD
597272.51000000
0.027500453564
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/24 #375887
36204PRG9
72.48350000
PA
USD
72.33000000
0.000003330318
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHG 40 K 6.5 8/24
3133T55A7
114.98000000
PA
USD
114.44000000
0.000005269206
Long
ABS-CBDO
USGSE
US
N
2
2024-08-17
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 01/20/2050#BR8993
3617M77E2
98755.42700000
PA
USD
91158.25000000
0.004197235230
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 09/20/2050#MA6864
36179VTV2
44323780.76000000
PA
USD
36981284.97000000
1.702743878277
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3.50% 2/27 #005301
36202F3J3
13246.42600000
PA
USD
12992.19000000
0.000598204524
Long
ABS-MBS
USGA
US
N
2
2027-02-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/26 #428810
36207DKX3
3534.31670000
PA
USD
3614.03000000
0.000166402207
Long
ABS-MBS
USGA
US
N
2
2026-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/27 #458718
36208RSF2
1052.97110000
PA
USD
1074.46000000
0.000049471785
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 10/41#AO9705
3617AAYA6
572675.39530000
PA
USD
497105.95000000
0.022888445166
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #727849
3620AETE0
122690.71340000
PA
USD
121268.70000000
0.005583622546
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/25 #780400
36225ANR7
747.93760000
PA
USD
751.43000000
0.000034598387
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 02/01/2054 #TBA
21H040624
5050000.00000000
PA
USD
4805626.97000000
0.221267376487
Long
ABS-MBS
USGA
US
N
2
2054-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 11/15/2034#619150
36290VZP2
526.14140000
PA
USD
530.06000000
0.000024405761
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 7/36 #608987
36202TRG3
21288.61470000
PA
USD
22154.84000000
0.001020084029
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2043#MA1285
36179NNA2
354118.11850000
PA
USD
332262.83000000
0.015298508427
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #445791
36207YF88
4556.41960000
PA
USD
4660.65000000
0.000214592144
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/29 #510839
36211EPY8
8374.43520000
PA
USD
8703.98000000
0.000400760781
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #743037
3620AXPW2
445225.67880000
PA
USD
430783.58000000
0.019834738146
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/39 #724690
3620ABC38
85886.84210000
PA
USD
83222.32000000
0.003831838077
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/29 #508278
36211BUB8
9012.60580000
PA
USD
9097.02000000
0.000418857677
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 10/39 #711463
36297GML1
145040.13560000
PA
USD
143408.19000000
0.006602999809
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/27 #449087
36208E2U6
517.36210000
PA
USD
527.18000000
0.000024273156
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.00% 10/38 #782431
36241KVY1
27243.00780000
PA
USD
27598.34000000
0.001270721245
Long
ABS-MBS
USGA
US
N
2
2038-10-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 06/15/2044#AE8417
36181CK64
630950.95950000
PA
USD
592916.42000000
0.027299884395
Long
ABS-MBS
USGA
US
N
2
2044-06-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/25 #417506
36206PYB0
704.72110000
PA
USD
708.45000000
0.000032619442
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 8/35 #003747
36202EEU9
155157.58460000
PA
USD
156786.46000000
0.007218980767
Long
ABS-MBS
USGA
US
N
2
2035-08-20
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 09/25/2029
3137H9D71
8836000.00000000
PA
USD
8255788.48000000
0.380124522608
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #457301
36208QAA4
1576.39390000
PA
USD
1606.38000000
0.000073963187
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/25 #414951
36206L5L9
379.61150000
PA
USD
381.86000000
0.000017582130
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #468074
36209C6K7
2655.68350000
PA
USD
2718.16000000
0.000125153312
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 06/20/2042#MA0153
36179ME22
100169.43250000
PA
USD
92068.94000000
0.004239166488
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 09/15/2043#767078
36176H6P4
94173.19620000
PA
USD
88483.60000000
0.004074085266
Long
ABS-MBS
USGA
US
N
2
2043-09-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737553
3620ARMA6
21100.70380000
PA
USD
20447.93000000
0.000941492099
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 8/26 #431137
36207F4W8
4808.28750000
PA
USD
4916.74000000
0.000226383397
Long
ABS-MBS
USGA
US
N
2
2026-08-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/26 #439430
36207REB7
72.43230000
PA
USD
73.99000000
0.000003406750
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/25 #780453
36225AQE3
296.89490000
PA
USD
299.22000000
0.000013777104
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 11/33 #593762
36201UTT1
127080.40100000
PA
USD
131742.03000000
0.006065850207
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/24 #397038
36205QBF5
126.42630000
PA
USD
126.19000000
0.000005810215
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #460676
36208TXD7
4681.42020000
PA
USD
4788.51000000
0.000220479253
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.12% 10/36 #1A1201
3128NFKN6
111790.98980000
PA
USD
113304.61000000
0.005216928811
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
0.05488000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2003-75 ZA 5.5% 9/33
38374CBC4
715685.35500000
PA
USD
737445.70000000
0.033954502994
Long
ABS-CBDO
USGA
US
N
2
2033-09-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #433961
36207KB66
2183.82630000
PA
USD
2236.63000000
0.000102982036
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/31 #528592
36212BF99
30875.49970000
PA
USD
32455.81000000
0.001494375650
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #450349
36208GH27
795.57930000
PA
USD
816.39000000
0.000037589366
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479430
36209RST1
646973.51130000
PA
USD
626514.79000000
0.028846867386
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/30 #520777
36211RQ69
174.76990000
PA
USD
179.91000000
0.000008283667
Long
ABS-MBS
USGA
US
N
2
2030-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/32 #594266
36201VFF4
9925.67190000
PA
USD
10377.07000000
0.000477795523
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2043#MA1224
36179NLD8
413212.65340000
PA
USD
387852.51000000
0.017858045971
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.35% 9/30 #540839
36212QZC7
89333.08710000
PA
USD
90130.58000000
0.004149917815
Long
ABS-MBS
USGA
US
N
2
2030-09-20
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.25% 05/15/2036#656579
36294QM40
94412.87260000
PA
USD
95434.07000000
0.004394108495
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
0.05250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/26 #780465
36225AQS2
26.17280000
PA
USD
26.36000000
0.000001213703
Long
ABS-MBS
USGA
US
N
2
2026-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #771559
36176N5U1
869746.03470000
PA
USD
841602.62000000
0.038750241110
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #508807
36211CGQ9
419.13920000
PA
USD
426.19000000
0.000019623234
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/26 #428867
36207DMQ6
144.62570000
PA
USD
146.65000000
0.000006752263
Long
ABS-MBS
USGA
US
N
2
2026-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/27 #442297
36207UKJ6
113.11920000
PA
USD
114.78000000
0.000005284860
Long
ABS-MBS
USGA
US
N
2
2027-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/25 #780195
36225AGC8
8.26510000
PA
USD
8.32000000
0.000000383081
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 08/15/2042#AA8561
36178GQN7
279655.23860000
PA
USD
263074.65000000
0.012112849788
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #466318
36209BAT5
1031.50250000
PA
USD
1054.43000000
0.000048549536
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #480369
36209ST27
447.03130000
PA
USD
452.25000000
0.000020823124
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1% 11/25/2049
3136BHFA2
3668186.44400000
PA
USD
3101750.23000000
0.142815108246
Long
ABS-CBDO
USGSE
US
N
2
2049-11-25
Fixed
0.01000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 1/37 #003939
36202ELU1
465.53910000
PA
USD
471.08000000
0.000021690122
Long
ABS-MBS
USGA
US
N
2
2037-01-20
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA TSFR1M+31.448 04/63
38376RFZ4
40925.24130000
PA
USD
40455.41000000
0.001862704386
Long
ABS-CBDO
USGA
US
N
2
2063-04-20
Variable
0.05660350
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 12/33 #429786
36207ENB6
21367.52340000
PA
USD
22167.84000000
0.001020682593
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 1/39 #782557
36241KZW1
199994.65240000
PA
USD
201485.53000000
0.009277077663
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 11/15/2042#AA2097
36177YKJ4
28393.52210000
PA
USD
26187.23000000
0.001205748951
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #794581
36177PCT0
183082.77120000
PA
USD
173142.00000000
0.007972045341
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #464759
36208YJC4
1166.30020000
PA
USD
1195.27000000
0.000055034287
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #513390
36211HKB6
18257.12730000
PA
USD
18997.00000000
0.000874686357
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #474665
36209LJJ6
355.85270000
PA
USD
364.46000000
0.000016780975
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #727850
3620AETF7
186432.41590000
PA
USD
184259.86000000
0.008483949351
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #465943
36209AS84
1206.38730000
PA
USD
1230.10000000
0.000056637979
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #451459
36208HQL3
14.11580000
PA
USD
14.47000000
0.000000666247
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 11/33 #593768
36201UTZ7
75588.34310000
PA
USD
77487.51000000
0.003567787960
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 11/15/2035#782171
36241KMU9
6802.55600000
PA
USD
6845.18000000
0.000315175320
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 15YR 3.50% 12/26 #711615
36297GSC5
105367.72320000
PA
USD
103326.21000000
0.004757489408
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 7/24 #780035
36225ABC3
21.68000000
PA
USD
21.63000000
0.000000995918
Long
ABS-MBS
USGA
US
N
2
2024-07-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/25 #412517
36206JG24
644.23080000
PA
USD
646.49000000
0.000029766593
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #709061
36297DWW3
91707.23800000
PA
USD
88878.23000000
0.004092255370
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #471328
36209GSR9
16653.37000000
PA
USD
17463.82000000
0.000804093546
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 15YR 3.50% 9/26 #743076
3620AXQ50
47483.43930000
PA
USD
46717.20000000
0.002151018450
Long
ABS-MBS
USGA
US
N
2
2026-09-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #743034
3620AXPT9
648552.79570000
PA
USD
627989.91000000
0.028914786918
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #458374
36208RFP4
1307.57880000
PA
USD
1329.16000000
0.000061199037
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 10/01/2041#RB0730
3133KTY38
439578.74900000
PA
USD
414077.12000000
0.019065516024
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/26 #780459
36225AQL7
164.91470000
PA
USD
165.89000000
0.000007638138
Long
ABS-MBS
USGA
US
N
2
2026-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #484211
36209W3U4
1942.16620000
PA
USD
1984.08000000
0.000091353777
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3.5% 04/25/2045
3136AVBQ1
205849.65800000
PA
USD
197660.03000000
0.009100938659
Long
ABS-CBDO
USGSE
US
N
2
2045-04-25
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/29 #478887
36209Q6Y6
2840.13790000
PA
USD
2965.52000000
0.000136542606
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/29 #516146
36211LL34
38934.44770000
PA
USD
40397.29000000
0.001860028344
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 01/20/2043#MA0697
36179MX21
4294733.18010000
PA
USD
3802322.27000000
0.175071822780
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #444620
36207W4D3
43.91370000
PA
USD
45.03000000
0.000002073334
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/28 #480016
36209SGZ8
1686.81470000
PA
USD
1730.93000000
0.000079697892
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 12/27 #461124
36208UG92
1345.41440000
PA
USD
1375.76000000
0.000063344659
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #507098
36211AKK1
4086.69570000
PA
USD
4249.92000000
0.000195680741
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/24 #386494
36205CKF6
26.91810000
PA
USD
26.89000000
0.000001238106
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #490977
36210FM29
6761.95850000
PA
USD
6952.25000000
0.000320105186
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/35 #521365
36211SFE2
2540.17570000
PA
USD
2558.65000000
0.000117808930
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 11/20/2042#MA0532
36179MSV3
2055205.05850000
PA
USD
1821655.05000000
0.083875181385
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.50% 7/32 #003263
36202DTU5
21197.78260000
PA
USD
22288.97000000
0.001026259829
Long
ABS-MBS
USGA
US
N
2
2032-07-20
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2014-178 IO 5% 11/20/2044
38379HDY8
6129738.16640000
PA
USD
1216064.04000000
0.055991715847
Long
ABS-CBDO
USGA
US
N
2
2044-11-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 05/15/2036#653251
36292MWL2
213484.86560000
PA
USD
215182.28000000
0.009907722521
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #469629
36209EVW9
316.94090000
PA
USD
324.57000000
0.000014944304
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 11/20/2052#MA8427
36179XLG9
37948586.43000000
PA
USD
37010706.09000000
1.704098526500
Long
ABS-MBS
USGA
US
N
2
2052-11-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 7/32 #003262
36202DTT8
196720.31450000
PA
USD
206161.59000000
0.009492379337
Long
ABS-MBS
USGA
US
N
2
2032-07-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 10/40#747856
3620C3ZV7
65869.88690000
PA
USD
63775.96000000
0.002936461660
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/40#751877
36230LCN7
365007.20020000
PA
USD
353867.95000000
0.016293281481
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 01/15/2034#626039
36291EPY1
3178.11480000
PA
USD
3197.44000000
0.000147220990
Long
ABS-MBS
USGA
US
N
2
2034-01-15
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-86 G 6% 10/34
38374JYM2
6273158.00000000
PA
USD
6497843.70000000
0.299182778293
Long
ABS-CBDO
USGA
US
N
2
2034-10-20
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 4/42 #766654
36176HQF4
3143476.51660000
PA
USD
2963655.51000000
0.136456758629
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/25 #372207
36204KNY5
2430.98820000
PA
USD
2433.40000000
0.000112041995
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/28 #480488
36209SXR7
19556.36740000
PA
USD
20318.65000000
0.000935539609
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/32 #552581
36213E2N5
50210.90000000
PA
USD
52992.44000000
0.002439951799
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/27 #439565
36207RJJ5
1957.92560000
PA
USD
2010.86000000
0.000092586819
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 06/20/2043#MA1089
36179NF60
855372.60790000
PA
USD
784588.90000000
0.036125135930
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/29 #499951
36210RL81
579.19400000
PA
USD
599.65000000
0.000027609921
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 11/41 #489787
36210ECY3
412403.39510000
PA
USD
389803.69000000
0.017947884921
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/24 #390534
36205GY70
16.57350000
PA
USD
16.55000000
0.000000762018
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/25 #410081
36206FRA2
195.89270000
PA
USD
196.99000000
0.000009070088
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/40 #741200
3620AVNR9
201986.38070000
PA
USD
199696.58000000
0.009194708333
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 10/33 #003458
36202DZX2
32130.32510000
PA
USD
32387.18000000
0.001491215692
Long
ABS-MBS
USGA
US
N
2
2033-10-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/31 #573691
36200VKC6
479.85350000
PA
USD
494.84000000
0.000022784113
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/29 #518088
36211NRH3
185.22990000
PA
USD
191.07000000
0.000008797511
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #471918
36209HG33
7395.09390000
PA
USD
7583.62000000
0.000349175604
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/31 #538282
36212M6T1
2418.74520000
PA
USD
2524.23000000
0.000116224116
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/27 #780651
36225AWL0
53246.26860000
PA
USD
54059.51000000
0.002489083323
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-19 DP 5.5% 3/34
38374FTN4
226.49760000
PA
USD
225.72000000
0.000010392914
Long
ABS-CBDO
USGA
US
N
2
2034-03-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/32 #583605
36201HKS1
12847.44820000
PA
USD
13463.04000000
0.000619884056
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/25 #404672
36205YQZ8
1605.50530000
PA
USD
1615.00000000
0.000074360081
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #738887
3620AS2U2
248854.95610000
PA
USD
240964.81000000
0.011094837711
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/30 #434983
36207LFY9
12056.65860000
PA
USD
12634.36000000
0.000581728816
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/27 #452145
36208JHW5
3430.40340000
PA
USD
3502.91000000
0.000161285865
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.09% 11/15/2036#662790
36294XKB1
137859.96370000
PA
USD
138980.30000000
0.006399124725
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
0.05090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/27 #460995
36208UC88
54.13580000
PA
USD
55.30000000
0.000002546199
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/30 #533883
36212HCU2
150.62570000
PA
USD
156.10000000
0.000007187373
Long
ABS-MBS
USGA
US
N
2
2030-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/41 #760443
36176AS83
81158.73850000
PA
USD
80248.92000000
0.003694932649
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/29 #521907
36211SYC5
19016.20020000
PA
USD
19786.83000000
0.000911052811
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.75% 01/40#729150
3620AGBT1
262947.70600000
PA
USD
273249.58000000
0.012581338100
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.50% 12/39 #004600
36202FDD5
49670.63000000
PA
USD
51280.99000000
0.002361150832
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/39 #702997
36296V7J1
819240.75270000
PA
USD
809991.77000000
0.037294770285
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/26 #431679
36207GQ85
4553.63490000
PA
USD
4620.66000000
0.000212750869
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/39 #710923
36297FYU0
30403.36100000
PA
USD
30770.39000000
0.001416773193
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2036#CB1180
3140QLJ23
1613748.74800000
PA
USD
1457167.03000000
0.067092915834
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #436264
36207MTV8
2251.99380000
PA
USD
2303.51000000
0.000106061418
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
2024-03-01
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer