0001752724-24-089286.txt : 20240424
0001752724-24-089286.hdr.sgml : 20240424
20240424141941
ACCESSION NUMBER: 0001752724-24-089286
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240229
FILED AS OF DATE: 20240424
DATE AS OF CHANGE: 20240424
PERIOD START: 20240831
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: 24869720
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
S000007070
Fidelity Intermediate Government Income Fund
C000019284
Fidelity Intermediate Government Income Fund
FSTGX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000751199
XXXXXXXX
S000007070
C000019284
Fidelity Income Fund
811-04085
0000751199
D66RCKM57LC8ELZCAY58
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Intermediate Government Income Fund
S000007070
G2GUNF34BXXVYK2PAF03
2024-08-31
2024-02-29
N
509841489.32
69675817.79
440165671.53
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
27395860.37000000
0.00000000
0.00000000
0.00000000
USD
N
Bloomberg US Intermediate Government Bond Index
19808149
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2048
3136BLHS2
197813.01900000
PA
USD
171875.76000000
0.039047970143
Long
ABS-CBDO
USGSE
US
N
2
2048-06-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHMS K053 A2 2.995% 12/25/2025
3137BN6G4
1200000.00000000
PA
USD
1160434.92000000
0.263635943249
Long
ABS-MBS
USGSE
US
N
2
2025-12-25
Fixed
0.02995000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2015-KO43 A2 3.062% 12/25/2024
3137BGK24
1280987.83300000
PA
USD
1257387.81000000
0.285662397439
Long
ABS-MBS
USGSE
US
N
2
2024-12-25
Fixed
0.03062000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 01/31/2027
912828Z78
5049000.00000000
PA
USD
4647841.20000000
1.055929960154
Long
DBT
UST
US
N
2
2027-01-31
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 09/01/2053#RA9856
3133KR5R1
49976.44200000
PA
USD
50318.86000000
0.011431800173
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 11/30/2028
91282CJN2
6350000.00000000
PA
USD
6376789.06000000
1.448724758074
Long
DBT
UST
US
N
2
2028-11-30
Fixed
0.04375000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.25% MAC 03/20/31
N/A
-4944000.00000000
NC
USD
33333.44000000
0.007572930411
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2031-03-20
0.00000000
USD
0.00000000
USD
-5083229.12000000
USD
33333.44000000
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
3137H5J57
98926.22100000
PA
USD
86351.10000000
0.019617863360
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#
3133KNWK5
573002.25000000
PA
USD
514117.73000000
0.116800960014
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 11/30/2025
9128285N6
6513000.00000000
PA
USD
6313284.98000000
1.434297444881
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.02875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#SC0210
3132D9GT5
1397317.54900000
PA
USD
1216719.29000000
0.276423030848
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHMS K056 A2 2.525% 5/26
3137BQYS0
200000.00000000
PA
USD
190590.60000000
0.043299741967
Long
ABS-MBS
USGSE
US
N
2
2026-05-25
Fixed
0.02525000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2035#BP5619
3140KDG53
2540846.97200000
PA
USD
2259769.33000000
0.513390633609
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2040#FM5042
3140X8S81
94237.30400000
PA
USD
79423.61000000
0.018044026405
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 03/31/2026
9128286L9
3325000.00000000
PA
USD
3171218.75000000
0.720460261922
Long
DBT
UST
US
N
2
2026-03-31
Fixed
0.02250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2033#SB0621
3132CWVN1
21598.59100000
PA
USD
20556.08000000
0.004670077956
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0806
3133KT3P3
21530.99600000
PA
USD
18701.09000000
0.004248647999
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.02500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.5% MAC 03/20/27
N/A
-28226000.00000000
NC
USD
154583.93000000
0.035119487956
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-03-20
0.00000000
USD
0.00000000
USD
-28602640.69000000
USD
154583.93000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 03/15/2026
91282CGR6
620000.00000000
PA
USD
620024.22000000
0.140861557386
Long
DBT
UST
US
N
2
2026-03-15
Fixed
0.04625000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2054 #TBA
01F030637
1100000.00000000
PA
USD
941101.59000000
0.213806221354
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.03000000
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
808064.92300000
PA
USD
703338.98000000
0.159789603208
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 01/31/2031
91282CJX0
700000.00000000
PA
USD
688625.00000000
0.156446775507
Long
DBT
UST
US
N
2
2031-01-31
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#QK1167
3133D4JL8
112231.75900000
PA
USD
97726.21000000
0.022202142584
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 20YR 1.5% 03/01/2041#MA4286
31418DXQ0
226159.83100000
PA
USD
184102.54000000
0.041825737877
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
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 2.77% 05/25/2025 144A
3137BJQ71
1300000.00000000
PA
USD
1261358.67000000
0.286564525946
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Fixed
0.02770000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 11/15/2026
91282CJK8
12958000.00000000
PA
USD
13006592.50000000
2.954931140992
Long
DBT
UST
US
N
2
2026-11-15
Fixed
0.04625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2035#
3140XC4X3
30726.04200000
PA
USD
29242.79000000
0.006643587151
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6% 03/01/2054 #TBA
01F060634
2500000.00000000
PA
USD
2510937.50000000
0.570452823199
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 01/15/2026
91282CGE5
1680000.00000000
PA
USD
1655981.24000000
0.376217716898
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.03875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 09/30/2030
91282CHZ7
11400000.00000000
PA
USD
11621765.57000000
2.640316208577
Long
DBT
UST
US
N
2
2030-09-30
Fixed
0.04625000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2% 06/25/2046
3136BASY1
469845.03100000
PA
USD
400443.14000000
0.090975549866
Long
ABS-CBDO
USGSE
US
N
2
2046-06-25
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 11/30/2030
91282CJM4
2016000.00000000
PA
USD
2026710.00000000
0.460442540408
Long
DBT
UST
US
N
2
2030-11-30
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2031#FS1234
3140XGLQ0
82051.56800000
PA
USD
78335.37000000
0.017796792223
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2041#CB0471
3140QKQZ4
128058.15300000
PA
USD
112307.46000000
0.025514815730
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 03/01/2041#CA9362
3140QHML6
145902.79900000
PA
USD
128048.47000000
0.029090971486
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.875% 10/31/2030
91282CJG7
12410000.00000000
PA
USD
12828837.50000000
2.914547482861
Long
DBT
UST
US
N
2
2030-10-31
Fixed
0.04875000
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 10/01/2041#RB5132
3133KYVZ9
82940.71800000
PA
USD
71598.87000000
0.016266345749
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2051#
3133KLZU4
366208.75700000
PA
USD
327888.71000000
0.074492113131
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.03500000
N
N
N
N
N
N
FREMF 2015-KPLB MORTGAGE TRUST
N/A
FREMF 2015-KPLB B MORTGAGE TRUST 2.5% 05/25/2025 144A
30292UAE7
4350000.00000000
PA
USD
4169620.29000000
0.947284297638
Long
ABS-MBS
CORP
XX
N
2
2025-05-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2051#CB1549
3140QLWK8
461835.16000000
PA
USD
383959.87000000
0.087230762150
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 10/01/2052#SD1733
3132DN4S9
320071.14000000
PA
USD
314380.76000000
0.071423279990
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 12/31/2027
91282CGC9
1800000.00000000
PA
USD
1769641.56000000
0.402039885084
Long
DBT
UST
US
N
2
2027-12-31
Fixed
0.03875000
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
500000.00000000
PA
USD
446410.65000000
0.101418779081
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
0.02260000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 09/30/2025
91282CAM3
1100000.00000000
PA
USD
1024804.68000000
0.232822490776
Long
DBT
UST
US
N
2
2025-09-30
Fixed
0.00250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 02/15/2026
91282CGL9
1900000.00000000
PA
USD
1877363.29000000
0.426512881723
Long
DBT
UST
US
N
2
2026-02-15
Fixed
0.04000000
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
99623.62400000
PA
USD
83820.30000000
0.019042898031
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 03/01/2054 #TBA
01F020638
-7800000.00000000
PA
USD
-6131196.24000000
-1.39292921655
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 08/01/2041#CB1343
3140QLP59
116815.16900000
PA
USD
101899.75000000
0.023150317389
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FHMS K044 A2 2.811% 01/25/25
3137BHCY1
726959.16400000
PA
USD
711410.16000000
0.161623271875
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
0.02811000
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
1000000.00000000
PA
USD
953997.90000000
0.216736097725
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Fixed
0.03244000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1862
3132DPB72
282996.14200000
PA
USD
278583.95000000
0.063290703482
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 08/15/2032
91282CFF3
13693000.00000000
PA
USD
12224746.71000000
2.777305796589
Long
DBT
UST
US
N
2
2032-08-15
Fixed
0.02750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2% 08/15/2025
912828K74
34301000.00000000
PA
USD
32953077.72000000
7.486516975632
Long
DBT
UST
US
N
2
2025-08-15
Fixed
0.02000000
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
400000.00000000
PA
USD
383274.72000000
0.087075104850
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Fixed
0.03243000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.151% 11/25/2025
3137BMTX4
2995372.00000000
PA
USD
2907129.54000000
0.660462577623
Long
ABS-MBS
USGSE
US
N
2
2025-11-25
Fixed
0.03151000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6.5% 03/01/2054 #TBA
01F062630
-3800000.00000000
PA
USD
-3866500.00000000
-0.87841925213
Short
ABS-MBS
USGA
US
N
2
2054-03-01
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 21-59 H 2% 06/25/2048
3136BGB34
109900.71200000
PA
USD
88024.22000000
0.019997974783
Long
ABS-CBDO
USGSE
US
N
2
2048-06-25
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT CSTR 08/25/2025
3137BLW95
1147788.00000000
PA
USD
1119681.43000000
0.254377272563
Long
ABS-MBS
USGSE
US
N
2
2025-08-25
Variable
0.03334000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#CB5128
3140QQVW2
461540.68000000
PA
USD
454200.57000000
0.103188549079
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
ISRAEL, STATE OF
213800T8ZHTFZIBYPE21
ISRAEL STATE OF 5.5% 04/26/2024
46513EJX1
1100000.00000000
PA
USD
1099818.94000000
0.249864769366
Long
DBT
NUSS
IL
N
2
2024-04-26
Fixed
0.05500000
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
1385059.65100000
PA
USD
1290711.47000000
0.293233105960
Long
ABS-CBDO
USGSE
US
N
2
2038-08-15
Fixed
0.01000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 07/31/2030
91282CHR5
2560000.00000000
PA
USD
2519600.00000000
0.572420832193
Long
DBT
UST
US
N
2
2030-07-31
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#RA6987
3133KNXQ1
614612.80000000
PA
USD
551836.31000000
0.125370138039
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#CB4893
3140QQNK7
319906.76000000
PA
USD
314119.33000000
0.071363886444
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 05/01/2041#SC0167
3132D9FG4
1080809.06800000
PA
USD
943482.66000000
0.214347169946
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 03/01/2054 #TBA
21H062636
-1300000.00000000
PA
USD
-1317773.47000000
-0.29938124557
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06500000
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
448594.26500000
PA
USD
405417.34000000
0.092105624364
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 05/31/2029
91282CES6
2897000.00000000
PA
USD
2691154.56000000
0.611395829812
Long
DBT
UST
US
N
2
2029-05-31
Fixed
0.02750000
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
615411.67300000
PA
USD
528456.59000000
0.120058565258
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
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 4.5% 12/25/2048
3136BNB47
1344333.03000000
PA
USD
1295059.86000000
0.294221004445
Long
ABS-CBDO
USGSE
US
N
2
2048-12-25
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 01/01/2042#RB5142
3133KYWB1
162268.98300000
PA
USD
140079.28000000
0.031824217348
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 02/28/2026
9128286F2
9441000.00000000
PA
USD
9062622.47000000
2.058911690795
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
113577.29000000
PA
USD
107726.69000000
0.024474123487
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.25% 12/31/2026
91282CDQ1
3278000.00000000
PA
USD
3003339.46000000
0.682320238550
Long
DBT
UST
US
N
2
2026-12-31
Fixed
0.01250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.375% 05/15/2033
91282CHC8
290000.00000000
PA
USD
270538.28000000
0.061462830361
Long
DBT
UST
US
N
2
2033-05-15
Fixed
0.03375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2030#ZS8591
3132A9RL3
22662.81000000
PA
USD
21538.16000000
0.004893193947
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6642
3140QSLY5
113497.58000000
PA
USD
113906.84000000
0.025878174371
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 11/01/2036#SB0572
3132CWT53
298967.26000000
PA
USD
265240.43000000
0.060259226731
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2034#FS1799
3140XG7M5
45126.07200000
PA
USD
42932.49000000
0.009753711562
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2054 #TBA
01F022634
-5900000.00000000
PA
USD
-4847218.75000000
-1.10122598455
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.859% 11/25/2028
3137FKSH0
324000.00000000
PA
USD
311997.94000000
0.070881933821
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Fixed
0.03859000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 04/30/2029
91282CEM9
600000.00000000
PA
USD
561398.44000000
0.127542531440
Long
DBT
UST
US
N
2
2029-04-30
Fixed
0.02875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 11/15/2032
91282CFV8
3130000.00000000
PA
USD
3096866.01000000
0.703568272199
Long
DBT
UST
US
N
2
2032-11-15
Fixed
0.04125000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHMS 2018-K731 A2 3.6% 02/25/25
3137F4WZ1
344901.58900000
PA
USD
339674.78000000
0.077169757200
Long
ABS-MBS
USGSE
US
N
2
2025-02-25
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#MA4475
31418D6M9
105869.69600000
PA
USD
91392.40000000
0.020763182117
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
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 2% 08/25/2051
3136BG4H1
810029.87500000
PA
USD
685827.99000000
0.155811330678
Long
ABS-CBDO
USGSE
US
N
2
2051-08-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 07/01/2041#CB1074
3140QLFQ4
129798.70500000
PA
USD
113387.75000000
0.025760243775
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
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 21-66 DM 2% 01/25/2048
3136BG6Y2
126670.59400000
PA
USD
101789.36000000
0.023125238196
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.117% 06/25/2027
3137F2LJ3
300000.00000000
PA
USD
285700.26000000
0.064907437921
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Fixed
0.03117000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.282% 07/25/2026
3137FNWX4
1000000.00000000
PA
USD
946217.70000000
0.214968535985
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Fixed
0.02282000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 03/01/2041#RB5104
3133KYU56
225732.48300000
PA
USD
183754.66000000
0.041746703999
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#FS0106
3140XFDL2
481619.57500000
PA
USD
404105.02000000
0.091807482077
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
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
478742.77300000
PA
USD
451622.33000000
0.102602805991
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3295
3140XJUV3
141043.68700000
PA
USD
138271.68000000
0.031413553792
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.75% 06/30/2030
91282CHJ3
18410000.00000000
PA
USD
17868487.16000000
4.059491304237
Long
DBT
UST
US
N
2
2030-06-30
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3174
3140QNQ47
372717.94600000
PA
USD
332552.03000000
0.075551559676
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
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 3% 05/25/2044
3136BL6D7
726619.68400000
PA
USD
672749.99000000
0.152840176668
Long
ABS-CBDO
USGSE
US
N
2
2044-05-25
Fixed
0.03000000
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
462945.52600000
PA
USD
394854.06000000
0.089705782513
Long
ABS-CBDO
USGSE
US
N
2
2047-01-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2028#FS3867
3140XKJM3
101627.04600000
PA
USD
97751.21000000
0.022207822263
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 01/01/2030#SB0800
3132CW3H5
1318243.50400000
PA
USD
1249856.85000000
0.283951459834
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
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 2022-7 A 3% 05/25/2048
3136BLRV4
252910.15500000
PA
USD
226151.12000000
0.051378636415
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2054 #TBA
01F030637
-1100000.00000000
PA
USD
-941101.59000000
-0.21380622135
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2034#CA4460
3140QB5W4
728581.79500000
PA
USD
682309.20000000
0.155011906682
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 01/31/2028
91282CGH8
1920000.00000000
PA
USD
1862325.00000000
0.423096374945
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2029#
3140XLYD4
200882.19000000
PA
USD
191944.82000000
0.043607403397
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
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 20-101 BA 1.5% 09/25/2045
3136BDDV7
272809.95300000
PA
USD
230887.19000000
0.052454610828
Long
ABS-CBDO
USGSE
US
N
2
2045-09-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2028#FS3865
3140XKJK7
107347.43700000
PA
USD
102139.28000000
0.023204735536
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 12/15/2026
91282CJP7
1640000.00000000
PA
USD
1636668.75000000
0.371830166653
Long
DBT
UST
US
N
2
2026-12-15
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 09/01/2041#FM9587
3140XDUM6
476924.21900000
PA
USD
426911.61000000
0.096988847066
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.625% 03/31/2030
91282CGS4
4740000.00000000
PA
USD
4574100.00000000
1.039176904482
Long
DBT
UST
US
N
2
2030-03-31
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2320
3140QMSJ4
637353.37700000
PA
USD
529085.27000000
0.120201393298
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 02/01/2041#RB5100
3133KYUZ0
185177.92700000
PA
USD
156010.90000000
0.035443677254
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.02000000
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% 08/25/2025
3137FJXQ7
1984910.82700000
PA
USD
1945713.01000000
0.442041062229
Long
ABS-MBS
USGSE
US
N
2
2025-08-25
Fixed
0.03750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 10/31/2029
91282CFT3
6300000.00000000
PA
USD
6210175.80000000
1.410872360494
Long
DBT
UST
US
N
2
2029-10-31
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 K757 A2 2.05% 11/25/2028
3137H5DX2
500000.00000000
PA
USD
443582.75000000
0.100776316439
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Fixed
0.02050000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 04/01/2041#SC0158
3132D9E75
423148.71700000
PA
USD
369119.44000000
0.083859206629
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5.5% 03/01/2054#RJ1003
3142GRDH0
50000.00000000
PA
USD
49508.42000000
0.011247678590
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 05/01/2041#MA4333
31418DY71
116579.78900000
PA
USD
98035.37000000
0.022272379774
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 02/01/2041#QK0646
3133D3WF8
52361.05200000
PA
USD
44113.76000000
0.010022080969
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 02/15/2033
91282CGM7
730000.00000000
PA
USD
688623.83000000
0.156446509698
Long
DBT
UST
US
N
2
2033-02-15
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
98143.76400000
PA
USD
94540.60000000
0.021478412814
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#
3133KNWJ8
545279.29100000
PA
USD
488391.72000000
0.110956340212
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
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 2017-K063 A2 3.43% 01/25/2027
3137BVZ82
500000.00000000
PA
USD
482487.55000000
0.109614988448
Long
ABS-MBS
USGSE
US
N
2
2027-01-25
Fixed
0.03430000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.75% 08/31/2026
91282CCW9
16524000.00000000
PA
USD
15072986.25000000
3.424389320867
Long
DBT
UST
US
N
2
2026-08-31
Fixed
0.00750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#CB1071
3140QLFM3
448524.75400000
PA
USD
377177.65000000
0.085689928678
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.625% 05/15/2026
91282CHB0
2030000.00000000
PA
USD
1989958.45000000
0.452093059207
Long
DBT
UST
US
N
2
2026-05-15
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 02/01/2041#MA4266
31418DW40
222106.65800000
PA
USD
180803.10000000
0.041076147390
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6539
3140QSHR5
290802.76300000
PA
USD
295430.60000000
0.067118046478
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.25% 09/30/2028
91282CCY5
580000.00000000
PA
USD
507205.47000000
0.115230583120
Long
DBT
UST
US
N
2
2028-09-30
Fixed
0.01250000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT JUN24 USM4
N/A
-19.00000000
NC
USD
-22307.90000000
-0.00506806901
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2024-06-18
-2243442.10000000
USD
-22307.90000000
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
900000.00000000
PA
USD
875793.06000000
0.198968960245
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Fixed
0.04284000
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
1934465.70900000
PA
USD
1639682.35000000
0.372514817954
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048
3136BLMF4
177422.80400000
PA
USD
158644.75000000
0.036042054222
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
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% 05/25/2049
3137H5UF2
128048.12700000
PA
USD
109065.43000000
0.024778268060
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 2% 04/20/2052#
36179W2T4
450000.08300000
PA
USD
366096.62000000
0.083172460661
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.875% 02/28/2027
91282CEC1
5600000.00000000
PA
USD
5202750.00000000
1.181998128549
Long
DBT
UST
US
N
2
2027-02-28
Fixed
0.01875000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2054 #TBA
01F032633
-2650000.00000000
PA
USD
-2357361.30000000
-0.53556227858
Short
ABS-MBS
USGA
US
N
2
2054-03-01
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 4.94% 11/25/2030
3137HBC51
700000.00000000
PA
USD
705439.42000000
0.160266796260
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Fixed
0.04940000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 10/01/2053#RJ0002
3142GQAC6
362919.21000000
PA
USD
373867.39000000
0.084937880026
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 01/01/2034#G18720
3128MMYS6
263906.13900000
PA
USD
252329.16000000
0.057325951640
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2321
3140QMSK1
108292.47400000
PA
USD
89795.16000000
0.020400309657
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.125% 08/31/2028
91282CCV1
59785000.00000000
PA
USD
52092351.65000000
11.83471474931
Long
DBT
UST
US
N
2
2028-08-31
Fixed
0.01125000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K073 A2 3.35% 01/25/2028
3137FETN0
300000.00000000
PA
USD
285369.51000000
0.064832295759
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Fixed
0.03350000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 03/01/2054 #TBA
01F052631
-100000.00000000
PA
USD
-98929.69000000
-0.02247555781
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.05500000
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
212548.66900000
PA
USD
190166.17000000
0.043203316909
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03000000
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
146824.73500000
PA
USD
125175.74000000
0.028438324043
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#CB1337
3140QLPX8
270299.69300000
PA
USD
227302.96000000
0.051640319702
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 04/01/2054 #TBA
21H020642
2750000.00000000
PA
USD
2239470.20000000
0.508778931400
Long
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3248
3140XJTE3
267417.24300000
PA
USD
262579.40000000
0.059654674815
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
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 4.68% 10/25/2032
3137HASJ6
498943.17000000
PA
USD
492478.51000000
0.111884806529
Long
ABS-MBS
USGSE
US
N
2
2032-10-25
Fixed
0.04680000
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
1400000.00000000
PA
USD
1330119.42000000
0.302186087201
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Fixed
0.02653000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#FS0631
3140XFVZ1
345512.26600000
PA
USD
298158.98000000
0.067737899451
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03000000
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
28000.00000000
PA
USD
27227.62000000
0.006185766351
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Fixed
0.03010000
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% 10/25/2048
3137H6E50
292299.88600000
PA
USD
264044.28000000
0.059987476779
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Fixed
0.03000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT JUN24 TUM4
N/A
408.00000000
NC
USD
43802.88000000
0.009951453017
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-06-28
83494197.12000000
USD
43802.88000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 10/31/2025
91282CAT8
2340000.00000000
PA
USD
2172726.55000000
0.493615629416
Long
DBT
UST
US
N
2
2025-10-31
Fixed
0.00250000
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
107130.96400000
PA
USD
92527.27000000
0.021021010038
Long
ABS-CBDO
USGSE
US
N
2
2048-08-25
Fixed
0.02500000
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 3.023% 01/25/2025
3137BHXJ1
349639.66700000
PA
USD
342411.64000000
0.077791536720
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
0.03023000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2036#FS1970
3140XHFL6
395386.83500000
PA
USD
359867.02000000
0.081757175371
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 09/01/2041#FM8850
3140XCZQ4
139839.24600000
PA
USD
121372.23000000
0.027574215312
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02500000
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
161502.63600000
PA
USD
144458.81000000
0.032819190442
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 03/01/2054 #TBA
21H020634
-2750000.00000000
PA
USD
-2237966.50000000
-0.50843731002
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 05/01/2042#FS4603
3140XLDH8
2485619.63300000
PA
USD
2094114.41000000
0.475755958596
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#CB2110
3140QMKY9
390480.66400000
PA
USD
327634.52000000
0.074434364420
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 09/30/2028
91282CJA0
10550000.00000000
PA
USD
10693001.98000000
2.429313022715
Long
DBT
UST
US
N
2
2028-09-30
Fixed
0.04625000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.0% MAC 03/20/26
N/A
-17317000.00000000
NC
USD
84282.13000000
0.019147819889
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2026-03-20
0.00000000
USD
0.00000000
USD
-17241371.41000000
USD
84282.13000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2041#MA4473
31418D6K3
1865370.06000000
PA
USD
1502741.75000000
0.341403668481
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6538
3140QSHQ7
379151.47800000
PA
USD
385896.20000000
0.087670671512
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 07/31/2025
91282CAB7
22229000.00000000
PA
USD
20844897.53000000
4.735693598627
Long
DBT
UST
US
N
2
2025-07-31
Fixed
0.00250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3128
3140QNPN6
94274.39300000
PA
USD
84527.37000000
0.019203535274
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 07/01/2041#SC0162
3132D9FB5
1099523.28300000
PA
USD
925308.66000000
0.210218270039
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 09/20/2051#785616
3622ABDV1
401269.37300000
PA
USD
335347.32000000
0.076186613743
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
3043814.82700000
NS
USD
3044423.59000000
0.691654026407
Long
STIV
RF
US
N
1
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 03/01/2054 #TBA
21H062636
7700000.00000000
PA
USD
7805273.63000000
1.773258146840
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 01/01/2041#SC0119
3132D9DY7
215194.67000000
PA
USD
188255.76000000
0.042769296239
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.02500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN24 FVM4
N/A
8.00000000
NC
USD
1583.28000000
0.000359700926
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-06-28
853666.72000000
USD
1583.28000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K048 A2 3.186% 06/25
3137BLAC2
1490000.00000000
PA
USD
1456360.87000000
0.330866526900
Long
ABS-MBS
USGSE
US
N
2
2025-06-25
Variable
0.03284000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#FM9558
3140XDTQ9
166210.93300000
PA
USD
143482.19000000
0.032597314893
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 12/01/2040#RB5089
3133KYUN7
130982.33100000
PA
USD
106624.50000000
0.024223720043
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 01/01/2041#MA4231
31418DVZ2
217526.10200000
PA
USD
177074.36000000
0.040229025445
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 12/01/2040#MA4202
31418DU42
214724.64100000
PA
USD
174793.87000000
0.039710927340
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 08/01/2041#QK0985
3133D4CW1
90848.69100000
PA
USD
79305.56000000
0.018017206958
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2041#FM7587
3140XBND8
159969.95900000
PA
USD
139644.35000000
0.031725406825
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 03/01/2054 #TBA
01F052631
300000.00000000
PA
USD
296789.07000000
0.067426673454
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/01/2054 #TBA
21H022630
-1400000.00000000
PA
USD
-1184626.66000000
-0.26913199656
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHMS K059 A2 CSTR 09/25/2026
3137BSRE5
500000.00000000
PA
USD
480017.70000000
0.109053870178
Long
ABS-MBS
USGSE
US
N
2
2026-09-25
Variable
0.03120000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 06/30/2028
91282CHK0
8620000.00000000
PA
USD
8515953.93000000
1.934715603876
Long
DBT
UST
US
N
2
2028-06-30
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6% 03/01/2054 #TBA
01F060634
-50000.00000000
PA
USD
-50218.75000000
-0.01140905646
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 10/01/2040#FM7397
3140XBGF1
1349129.77600000
PA
USD
1221566.32000000
0.277524213951
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785575
3622ABCL4
455271.27600000
PA
USD
380477.58000000
0.086439630486
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
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
852893.14400000
PA
USD
800681.50000000
0.181904576342
Long
ABS-CBDO
USGSE
US
N
2
2051-09-25
Fixed
0.03500000
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
433507.09200000
PA
USD
392416.69000000
0.089152043283
Long
ABS-CBDO
USGSE
US
N
2
2040-09-25
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#CB1069
3140QLFK7
297109.34800000
PA
USD
250033.68000000
0.056804448000
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 3.694 12/12/2028
N/A
8300000.00000000
NC
USD
336601.60000000
0.076471570086
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 12/14/33 3.694%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-12-14
0.00000000
USD
0.00000000
USD
8300000.00000000
USD
1.00000000
3.69400000
USD
2028-12-12
XXXX
1074.10000000
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
3137H5F77
130281.01300000
PA
USD
113626.32000000
0.025814443821
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K729 A2 3.136% 10/25/2024
3137FCM43
765492.42000000
PA
USD
753632.65000000
0.171215680536
Long
ABS-MBS
USGSE
US
N
2
2024-10-25
Fixed
0.03136000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.5% 11/15/2025
91282CFW6
2400000.00000000
PA
USD
2390812.51000000
0.543161964832
Long
DBT
UST
US
N
2
2025-11-15
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 21-68 A 2% 07/25/2049
3136BJET8
195294.36300000
PA
USD
152334.99000000
0.034608557607
Long
ABS-CBDO
USGSE
US
N
2
2049-07-25
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 02/01/2042#SC0248
3132D9HZ0
259519.00300000
PA
USD
227274.70000000
0.051633899392
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02500000
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
451154.13500000
PA
USD
399965.87000000
0.090867120239
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 04/01/2041#
31418DYH9
115175.49000000
PA
USD
96854.46000000
0.022004092155
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
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
31543.25000000
PA
USD
28187.15000000
0.006403759271
Long
ABS-CBDO
USGSE
US
N
2
2040-07-25
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.031% 09/25/2028
3137H4BY5
900000.00000000
PA
USD
800289.99000000
0.181815630287
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Fixed
0.02031000
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% 10/25/2047
3137H62Q7
105610.11500000
PA
USD
92317.10000000
0.020973262108
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
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
1361199.66600000
PA
USD
1154169.77000000
0.262212581455
Long
ABS-CBDO
USGSE
US
N
2
2044-12-25
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5.5% 02/01/2054#RJ0928
3142GRA67
50000.00000000
PA
USD
49508.42000000
0.011247678590
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 07/01/2041#SC0157
3132D9E67
331673.11800000
PA
USD
289323.80000000
0.065730659775
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 3.694 12/12/2028
N/A
8300000.00000000
NC
USD
335057.39000000
0.076120745362
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 12/14/33 SOFRV3.694%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-12-14
0.00000000
USD
0.00000000
USD
8300000.00000000
USD
1.00000000
3.69400000
USD
2028-12-12
XXXX
-470.11000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 09/01/2041#SC0185
3132D9F25
197595.51600000
PA
USD
172674.49000000
0.039229431363
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 II 2.5% 12/20/2051#785792
3622ABKD3
541809.81500000
PA
USD
452799.24000000
0.102870184861
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 09/01/2052#SD1579
3132DNXG3
261486.93600000
PA
USD
261204.11000000
0.059342226551
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
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 21-66 DA 2% 01/25/2048
3136BG6S5
119195.34400000
PA
USD
95893.87000000
0.021785858417
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 02/15/2027
91282CKA8
22940000.00000000
PA
USD
22751820.43000000
5.168922044946
Long
DBT
UST
US
N
2
2027-02-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2030#FS3868
3140XKJN1
1095800.96900000
PA
USD
1041496.91000000
0.236614751527
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2041#FM9851
3140XD5M4
169860.36700000
PA
USD
142256.68000000
0.032318894725
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 05/01/2041#SC0237
3132D9HN7
575493.01100000
PA
USD
505069.13000000
0.114745234048
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
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 21-96 HA 2.5% 02/25/2050
3136BKWX6
171000.49100000
PA
USD
146798.33000000
0.033350699405
Long
ABS-CBDO
USGSE
US
N
2
2050-02-25
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 20-49 JA 2% 08/25/2044
3136BAF41
94846.39800000
PA
USD
85233.53000000
0.019363965777
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 22-66 KA 5% 10/25/2052
3136BN7J9
358688.47800000
PA
USD
353268.87000000
0.080258160244
Long
ABS-CBDO
USGSE
US
N
2
2052-10-25
Fixed
0.05000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)JUN24 TYM4
N/A
177.00000000
NC
USD
70260.15000000
0.015962205720
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-06-18
19477177.35000000
USD
70260.15000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 08/01/2036#RC2195
3133L8NL5
531025.87900000
PA
USD
471452.16000000
0.107107889254
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.02000000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
16357178.04600000
NS
USD
16358813.76000000
3.716512853702
Long
STIV
RF
US
N
1
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 01/15/2027
91282CJT9
5350000.00000000
PA
USD
5287304.69000000
1.201207870577
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.04000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.125% 08/15/2053
912810TT5
5320000.00000000
PA
USD
5093068.75000000
1.157079954076
Long
DBT
UST
US
N
2
2053-08-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD1924
3132DPD54
641039.69600000
PA
USD
629442.65000000
0.143001303989
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 08/31/2030
91282CHW4
3770000.00000000
PA
USD
3735981.63000000
0.848767151016
Long
DBT
UST
US
N
2
2030-08-31
Fixed
0.04125000
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
600000.00000000
PA
USD
561703.02000000
0.127611728113
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Fixed
0.03298000
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% 04/25/2052
3137H6RW7
296577.93600000
PA
USD
273700.15000000
0.062181166706
Long
ABS-CBDO
USGSE
US
N
2
2052-04-25
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
500000.00000000
PA
USD
471686.45000000
0.107161116940
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
0.03422000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 07/31/2027
91282CFB2
2880000.00000000
PA
USD
2731950.00000000
0.620664031000
Long
DBT
UST
US
N
2
2027-07-31
Fixed
0.02750000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 12/25/2049
3136BLGX2
248147.37000000
PA
USD
209937.71000000
0.047695157432
Long
ABS-CBDO
USGSE
US
N
2
2049-12-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2034#FM8940
3140XC5A2
93056.33800000
PA
USD
88630.58000000
0.020135732005
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 06/25/2051
3137H1B70
525049.03000000
PA
USD
424271.01000000
0.096388936585
Long
ABS-CBDO
USGSE
US
N
2
2051-06-25
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 3% 11/25/2040
3137F6YL5
361924.67300000
PA
USD
324043.07000000
0.073618433003
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6.5% 03/01/2054 #TBA
01F062630
8375000.00000000
PA
USD
8521562.50000000
1.935989799108
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 06/30/2025
912828XZ8
2770000.00000000
PA
USD
2695664.45000000
0.612420419027
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.02750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 05/01/2036#QN6401
3133GDDE7
175829.46900000
PA
USD
156103.85000000
0.035464794302
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 04/01/2054 #TBA
21H062644
1300000.00000000
PA
USD
1316859.44000000
0.299173589667
Long
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0710
3133KTYF1
45099.56400000
PA
USD
39298.79000000
0.008928181487
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#RA6986
3133KNXP3
265245.59000000
PA
USD
237987.65000000
0.054067744350
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2040#MA4175
31418DT93
211646.49300000
PA
USD
172288.14000000
0.039141657594
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 12/01/2052#CB5273
3140QQ2F1
140068.28800000
PA
USD
137490.54000000
0.031236088794
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
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 K727 A2 2.946% 07/25/2024
3137FARE0
2174463.03900000
PA
USD
2152995.00000000
0.489132874109
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Fixed
0.02946000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.375% 08/15/2043
912810TU2
346000.00000000
PA
USD
338755.63000000
0.076960938099
Long
DBT
UST
US
N
2
2043-08-15
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 02/01/2041#RB5099
3133KYUY3
222906.49900000
PA
USD
181454.20000000
0.041224068966
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 05/15/2032
91282CEP2
2646000.00000000
PA
USD
2391529.21000000
0.543324789888
Long
DBT
UST
US
N
2
2032-05-15
Fixed
0.02875000
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
124526.91200000
PA
USD
108676.37000000
0.024689878613
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.208% 02/25/2026
3137FLN34
900000.00000000
PA
USD
872613.00000000
0.198246491364
Long
ABS-MBS
USGSE
US
N
2
2026-02-25
Fixed
0.03208000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#CB1837
3140QMBF0
207901.55600000
PA
USD
174440.72000000
0.039630696186
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 07/01/2040#CA6462
3140QEFC1
126856.04400000
PA
USD
111411.78000000
0.025311328712
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.625% 07/31/2029
91282CFC0
410000.00000000
PA
USD
377600.39000000
0.085785969788
Long
DBT
UST
US
N
2
2029-07-31
Fixed
0.02625000
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
1390083.25200000
PA
USD
1183933.21000000
0.268974453615
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02000000
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
125619.08700000
PA
USD
108360.33000000
0.024618078375
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 2% 03/01/2054 #TBA
21H020634
4650000.00000000
PA
USD
3784197.90000000
0.859721269686
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.7% 05/25/2025
3137FG7F6
1734329.23300000
PA
USD
1704308.17000000
0.387196976101
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 10/01/2053#RJ0001
3142GQAB8
370442.02000000
PA
USD
382890.54000000
0.086987824077
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.875% 10/31/2028
91282CJF9
258000.00000000
PA
USD
264308.90000000
0.060047595052
Long
DBT
UST
US
N
2
2028-10-31
Fixed
0.04875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.375% 12/31/2025
91282CBC4
4210000.00000000
PA
USD
3894907.81000000
0.884873142528
Long
DBT
UST
US
N
2
2025-12-31
Fixed
0.00375000
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.673% 03/25/2026
3137BPW21
2200000.00000000
PA
USD
2106220.60000000
0.478506329827
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Fixed
0.02673000
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
1573000.00000000
PA
USD
1447725.65000000
0.328904715573
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 04/01/2041#RB5107
3133KYU80
230100.17200000
PA
USD
186231.53000000
0.042309417123
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.01500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.125% 11/15/2028
9128285M8
8510000.00000000
PA
USD
8090483.55000000
1.838054185797
Long
DBT
UST
US
N
2
2028-11-15
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2040#
31418DUA8
990741.02600000
PA
USD
834691.29000000
0.189631164806
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.02000000
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% 01/25/2051
3137H77F4
381973.67500000
PA
USD
356063.18000000
0.080892991668
Long
ABS-CBDO
USGSE
US
N
2
2051-01-25
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 5% 04/25/2046
3136BPCN9
1394968.14800000
PA
USD
1347076.10000000
0.306038427603
Long
ABS-CBDO
USGSE
US
N
2
2046-04-25
Fixed
0.05000000
N
N
N
N
N
N
PRIVATE EXPORT FUNDING CORP
CYQE6SAYPFKNQJ6FMH60
PRIVATE EXPORT FUNDING CORP 1.75% 11/15/2024
742651DX7
1640000.00000000
PA
USD
1599296.61000000
0.363339695356
Long
DBT
USGSE
US
N
2
2024-11-15
Fixed
0.01750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 09/01/2034#SB0072
3132CWCH5
335915.39500000
PA
USD
315106.11000000
0.071588070215
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 03/01/2054 #TBA
01F050635
-1100000.00000000
PA
USD
-1066828.18000000
-0.24236969145
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2036#CB1180
3140QLJ23
273683.82500000
PA
USD
242980.30000000
0.055202010451
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2035#FS0112
3140XFDS7
187602.47700000
PA
USD
177993.61000000
0.040437867265
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.03000000
N
N
N
N
N
N
2024-03-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer