0001752724-23-091224.txt : 20230428
0001752724-23-091224.hdr.sgml : 20230428
20230428140209
ACCESSION NUMBER: 0001752724-23-091224
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230228
FILED AS OF DATE: 20230428
DATE AS OF CHANGE: 20230428
PERIOD START: 20230228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: JPMORGAN TRUST II
CENTRAL INDEX KEY: 0000763852
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04236
FILM NUMBER: 23863763
BUSINESS ADDRESS:
STREET 1: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
BUSINESS PHONE: 800-480-4111
MAIL ADDRESS:
STREET 1: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
FORMER COMPANY:
FORMER CONFORMED NAME: ONE GROUP MUTUAL FUNDS
DATE OF NAME CHANGE: 20000721
FORMER COMPANY:
FORMER CONFORMED NAME: ONE GROUP
DATE OF NAME CHANGE: 19931105
FORMER COMPANY:
FORMER CONFORMED NAME: HELMSMAN FUND
DATE OF NAME CHANGE: 19920703
0000763852
S000003485
JPMorgan Government Bond Fund
C000009631
Class R6
OGGYX
C000009632
Class I
HLGAX
C000009633
Class A
OGGAX
C000009635
Class C
OGVCX
C000070640
Class R2
JGBZX
C000171356
Class R3
OGGPX
C000171357
Class R4
OGGQX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000763852
XXXXXXXX
S000003485
C000009633
C000070640
C000009631
C000171357
C000009632
C000171356
C000009635
JPMorgan Trust II
811-04236
0000763852
549300IMXLYKELY96B40
277 Park Avenue
New York
10172
800-480-4111
JPMorgan Government Bond Fund
S000003485
549300SMSIKAH2NAKR95
2023-02-28
2023-02-28
N
1840184347.98
30260724.86
1809923623.12
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
29021374.41000000
0.00000000
0.00000000
0.00000000
USD
N
N/A
N/A
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140KRYQ6
7690383.40000000
PA
USD
6540116.91000000
0.361347673816
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138ETTS5
3910318.87000000
PA
USD
3838549.11000000
0.212083485787
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3132XXQC6
3994661.53000000
PA
USD
3901478.54000000
0.215560396591
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVY57
15638194.40000000
PA
USD
13077956.75000000
0.722569537351
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
2.41000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Indexed Bonds
912810RF7
35020700.00000000
PA
USD
33170827.13000000
1.832719718460
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4365, Class HZ
3137BCP85
3627924.54000000
PA
USD
3340015.71000000
0.184539041721
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVVH4
6963712.21000000
PA
USD
5612463.47000000
0.310093939783
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
2.55500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2647, Class A
31394GBQ5
49215.52000000
PA
USD
46902.32000000
0.002591397747
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
3.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 267, Class 30
3128HXRT4
1963341.43000000
PA
USD
1767319.60000000
0.097646087239
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203XP26
1861.54000000
PA
USD
1908.51000000
0.000105446991
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140FHCP0
357585.69000000
PA
USD
330661.41000000
0.018269357103
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K087, Class A1
3137FKUN4
4655976.77000000
PA
USD
4508583.91000000
0.249103545166
Long
ABS-MBS
USGSE
US
N
2
2027-10-25
Fixed
3.59100000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCT6
10000000.00000000
PA
USD
9346875.00000000
0.516423725322
Long
DBT
UST
US
N
2
2024-08-15
Fixed
0.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2014-2, Class QB
3136AJBQ8
2745397.00000000
PA
USD
2505287.87000000
0.138419535387
Long
ABS-MBS
USGSE
US
N
2
2034-02-25
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-42, Class TX
38374UC74
3434249.80000000
PA
USD
3346281.83000000
0.184885250805
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3132XXNU9
3001442.48000000
PA
USD
2866768.33000000
0.158391674288
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140H2Z84
3875512.31000000
PA
USD
3750622.53000000
0.207225458692
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LMMN0
6298321.66000000
PA
USD
5791695.37000000
0.319996672567
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
3.33000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-51, Class FP
31395DS34
1212172.50000000
PA
USD
1207828.07000000
0.066733648567
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Floating
4.96699920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4458, Class BW
3137BHE52
9478847.20000000
PA
USD
8859716.39000000
0.489507749212
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-115, Class ME
3136A9CG1
2170232.40000000
PA
USD
1954164.28000000
0.107969433352
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Fixed
1.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 264, Class 30
3128HXMV4
3396824.25000000
PA
USD
3066402.04000000
0.169421626461
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31335GC45
2393.58000000
PA
USD
2456.35000000
0.000135715671
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RZ3
35000000.00000000
PA
USD
27829101.65000000
1.537584309885
Long
DBT
UST
US
N
2
2047-11-15
Fixed
2.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3927, Class PC
3137AFE73
3970000.00000000
PA
USD
3914995.25000000
0.216307207662
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.50000000
N
N
N
N
N
N
Resolution Funding Corp.
N/A
Resolution Funding Corp. STRIPS
76116FAC1
5000000.00000000
PA
USD
3645605.80000000
0.201423184571
Long
DBT
USGA
US
N
2
2030-04-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4925, Class PA
3137FPBV6
10029136.28000000
PA
USD
9067710.18000000
0.500999603749
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403NJF5
274180.10000000
PA
USD
280625.39000000
0.015504819452
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292GZF6
40050.06000000
PA
USD
41526.99000000
0.002294405657
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JAFA1
7471819.84000000
PA
USD
7334690.95000000
0.405248644545
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT2
3137FWGJ3
9828430.25000000
PA
USD
8636410.71000000
0.477169898203
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Variable
1.16832960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-47, Class MB
31398PNS4
1462732.02000000
PA
USD
1453226.16000000
0.080292126222
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
3622A2N32
385356.01000000
PA
USD
372774.58000000
0.020596149762
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828K74
20000000.00000000
PA
USD
18793750.00000000
1.038372545665
Long
DBT
UST
US
N
2
2025-08-15
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3926, Class MW
3137AFC34
1712350.57000000
PA
USD
1691334.55000000
0.093447841024
Long
ABS-MBS
USGSE
US
N
2
2026-09-15
Fixed
4.50000000
N
N
N
N
N
N
Resolution Funding Corp.
N/A
Resolution Funding Corp. STRIPS
76116EHK9
15000000.00000000
PA
USD
11991949.95000000
0.662566629708
Long
DBT
USGA
US
N
2
2028-04-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3325, Class JL
31397JE75
1379492.58000000
PA
USD
1415146.81000000
0.078188205950
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2688, Class DG
31394K3M4
10812.10000000
PA
USD
10757.52000000
0.000594363201
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RD2
75300000.00000000
PA
USD
71358515.63000000
3.942625794727
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31419BK61
793710.17000000
PA
USD
744621.74000000
0.041141058688
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
3.50000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G
35563PPE3
14003449.08000000
PA
USD
12774929.29000000
0.705826982244
Long
ABS-MBS
USGSE
US
N
2
2059-08-25
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q007, Class APT2
3137FHQC0
2094845.59000000
PA
USD
2022719.85000000
0.111757193737
Long
ABS-MBS
USGSE
US
N
2
2047-10-25
Variable
3.31250400
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3798, Class AY
3137A66S6
672084.99000000
PA
USD
657425.54000000
0.036323385782
Long
ABS-MBS
USGSE
US
N
2
2026-01-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138WFH25
2130064.99000000
PA
USD
1980632.96000000
0.109431853073
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4047, Class PB
3137AQSD1
2459039.68000000
PA
USD
2395319.08000000
0.132343655246
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1694, Class PK
3133T4NE2
6949.36000000
PA
USD
6951.36000000
0.000384069245
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2162, Class TH
3133TLBV9
146146.82000000
PA
USD
147497.90000000
0.008149399130
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TC2
10000000.00000000
PA
USD
7227734.40000000
0.399339193525
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4062, Class GY
3137ARFY7
6109000.00000000
PA
USD
5839144.70000000
0.322618293137
Long
ABS-MBS
USGSE
US
N
2
2042-06-15
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133KJJP8
8693920.20000000
PA
USD
7418086.98000000
0.409856354447
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3188, Class GE
31396UNR7
276535.76000000
PA
USD
277313.79000000
0.015321850406
Long
ABS-MBS
USGSE
US
N
2
2026-07-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A
31392W7B0
868959.46000000
PA
USD
891419.02000000
0.049251747897
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Variable
6.50000160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LMK28
4374027.56000000
PA
USD
4039681.84000000
0.223196260239
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
3.38500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 278, Class 1
31364HM95
60019.57050000
PA
USD
59697.24000000
0.003298329235
Long
ABS-MBS
USGSE
US
N
2
2025-08-25
Floating
2.44366560
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
3140X75K1
8588449.13000000
PA
USD
8120049.80000000
0.448640467270
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4448, Class DY
3137BGYD5
5541618.00000000
PA
USD
5015675.78000000
0.277120852832
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140J5GT0
2605483.44000000
PA
USD
2557668.18000000
0.141313597288
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-71, Class CA
3136B6ZZ9
12475684.20000000
PA
USD
11339322.78000000
0.626508358427
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 278, Class 3
31364JGK3
9641.89770000
PA
USD
9590.32000000
0.000529874292
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Floating
2.36167200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-145, Class PB
3136A3BT7
8958423.03000000
PA
USD
8583048.08000000
0.474221562189
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203CT85
983.53000000
PA
USD
1008.34000000
0.000055711743
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4039, Class SA
3137AQR26
2755959.20000000
PA
USD
253528.13000000
0.014007670089
Long
ABS-MBS
USGSE
US
N
2
2042-05-15
Floating
1.91214000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36223Y3H1
492.07000000
PA
USD
504.48000000
0.000027872999
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140Q9XT5
1113580.30000000
PA
USD
1080974.33000000
0.059724858894
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JG3M5
953111.81000000
PA
USD
876898.36000000
0.048449467634
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403ASQ9
218492.88000000
PA
USD
222019.55000000
0.012266791104
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4336, Class YB
3137BAZY1
2624474.00000000
PA
USD
2522982.97000000
0.139397206477
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CSM6
3563.52040000
PA
USD
3623.44000000
0.000200198503
Long
ABS-MBS
USGA
US
N
2
2026-11-20
Fixed
8.00000000
N
N
N
N
N
N
JPMorgan U.S. Government Money Market Fund
549300NQ5E5B7ZV4T516
JPMorgan U.S. Government Money Market Fund, Class Institutional
4812C2684
123090236.73000000
NS
USD
123090236.73000000
6.800852541932
Long
STIV
RF
US
N
1
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-15, Class NB
383742RV7
217734.19000000
PA
USD
214306.88000000
0.011840658758
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2005-W1, Class 1A2
31394CB43
992327.36000000
PA
USD
1025000.14000000
0.056632231708
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292HNH3
18053.70000000
PA
USD
18645.61000000
0.001030187669
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-92, Class FB
31392HBQ5
172915.50000000
PA
USD
173853.93000000
0.009605594831
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Floating
5.26700160
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36209JCQ2
281.91000000
PA
USD
283.53000000
0.000015665301
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31414LYD4
36465.16000000
PA
USD
35749.56000000
0.001975197159
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HTEY1
12718000.00000000
PA
USD
11970014.23000000
0.661354660334
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.47000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3737, Class DG
3137GAU39
421947.63000000
PA
USD
417045.10000000
0.023042138058
Long
ABS-MBS
USGSE
US
N
2
2030-10-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LKSP3
3908862.12000000
PA
USD
3631871.86000000
0.200664371336
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
2.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2915, Class MU
31395LE98
971749.01000000
PA
USD
970760.84000000
0.053635458844
Long
ABS-MBS
USGSE
US
N
2
2035-01-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138EQ4Q2
2492861.63000000
PA
USD
2422413.44000000
0.133840644381
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292GN77
1933.50000000
PA
USD
1943.13000000
0.000107359778
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1785, Class A
3133T6GV7
40946.22000000
PA
USD
40910.49000000
0.002260343446
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 5072, Class QC
3137F9AR2
7993754.80000000
PA
USD
6190588.34000000
0.342035888195
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
1.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3413, Class B
31397RCQ7
269901.32000000
PA
USD
272059.18000000
0.015031528210
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3981, Class PA
3137AKV32
1957659.26000000
PA
USD
1905295.59000000
0.105269391794
Long
ABS-MBS
USGSE
US
N
2
2031-04-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SN9
10000000.00000000
PA
USD
5547265.60000000
0.306491695513
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-21, Class PZ
31392JV63
823580.05000000
PA
USD
796863.20000000
0.044027448994
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LMNK5
4673455.85000000
PA
USD
4271342.69000000
0.235995742330
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.30000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403RN87
323336.10000000
PA
USD
331439.34000000
0.018312338474
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31371FJU7
4946.95000000
PA
USD
5071.65000000
0.000280213481
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXVK5
5623603.66000000
PA
USD
4653922.14000000
0.257133620477
Long
ABS-MBS
USGSE
US
N
2
2062-03-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31419BMJ1
527239.78000000
PA
USD
494627.41000000
0.027328634406
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140Q7N52
5094446.39000000
PA
USD
4969972.35000000
0.274595694896
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LDRY7
4861328.46000000
PA
USD
3965336.62000000
0.219088616190
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
1.94000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-50, Class HY
3136A52B1
5566000.00000000
PA
USD
5065218.63000000
0.279858142371
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-117, Class DY
31398NQ72
2204486.95000000
PA
USD
2178931.44000000
0.120388032520
Long
ABS-MBS
USGSE
US
N
2
2025-10-25
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3699, Class QH
3137A0AV7
895512.78000000
PA
USD
888388.26000000
0.049084295527
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138WAGW1
3829864.98000000
PA
USD
3676751.27000000
0.203144001383
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4156, Class SB
3137AXTU7
604485.66000000
PA
USD
478335.55000000
0.026428493660
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Floating
0.00001080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M4, Class A2
3136B1XJ8
11973300.02000000
PA
USD
11114433.66000000
0.614083020853
Long
ABS-MBS
USGSE
US
N
2
2028-03-25
Variable
3.05565840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
3622A2U91
3707930.00000000
PA
USD
3586752.29000000
0.198171472220
Long
ABS-MBS
USGA
US
N
2
2046-07-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2000-8, Class Z
31359XYK9
71402.30000000
PA
USD
74687.29000000
0.004126543741
Long
ABS-MBS
USGSE
US
N
2
2030-02-20
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-155, Class PJ
31359DH55
21540.91000000
PA
USD
21518.10000000
0.001188895471
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1999, Class PU
3133TBT26
17273.17000000
PA
USD
17371.42000000
0.000959787461
Long
ABS-MBS
USGSE
US
N
2
2027-10-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31409CVM4
197445.08000000
PA
USD
200463.34000000
0.011075790018
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31359MEU3
10000000.00000000
PA
USD
11100955.70000000
0.613338350756
Long
DBT
USGA
US
N
2
2029-05-15
Fixed
6.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36204CHR5
292.83000000
PA
USD
300.22000000
0.000016587440
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3772, Class PE
3137A4J99
3743115.16000000
PA
USD
3696210.18000000
0.204219124651
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133KPZA9
15067599.91000000
PA
USD
14864541.40000000
0.821280036909
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEK3
35000000.00000000
PA
USD
33954101.65000000
1.875996379972
Long
DBT
UST
US
N
2
2024-04-30
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2015-11, Class AQ
3136AMXV6
5605826.76000000
PA
USD
5201840.61000000
0.287406636586
Long
ABS-MBS
USGSE
US
N
2
2035-03-25
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36205VMH8
440.52000000
PA
USD
440.96000000
0.000024363459
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3181, Class OP
31396URH5
607247.33000000
PA
USD
495857.77000000
0.027396612965
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4122, Class PY
3137AV2U0
3000000.00000000
PA
USD
2618514.90000000
0.144675436385
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36291FPX0
210767.82000000
PA
USD
203837.92000000
0.011262238770
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LCT54
6500000.00000000
PA
USD
6199348.87000000
0.342519915802
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
3.10000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-11, Class CB
31398GA33
95759.84000000
PA
USD
93405.36000000
0.005160734895
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-110, Class H
31359BHL4
374.56000000
PA
USD
371.87000000
0.000020546170
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140FHCL9
1212822.32000000
PA
USD
1121393.05000000
0.061958031580
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-4, Class SL
31398GU23
45800.63450000
PA
USD
35881.73000000
0.001982499677
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Floating
1.19925000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402JYG6
247815.26000000
PA
USD
253646.92000000
0.014014233349
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31298GDX5
191691.03000000
PA
USD
193711.33000000
0.010702735050
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31406JZU0
710935.47000000
PA
USD
747943.89000000
0.041324610632
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class APO
31393RGJ3
621049.66000000
PA
USD
609666.63000000
0.033684660623
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-146, Class E
31359DCQ4
259.42200000
PA
USD
258.63000000
0.000014289553
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 5000, Class CB
3137FVEN8
5038832.00000000
PA
USD
4358241.50000000
0.240796984156
Long
ABS-MBS
USGSE
US
N
2
2035-01-25
Fixed
1.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3809, Class BC
3137A6EZ1
555615.30000000
PA
USD
543518.83000000
0.030029931819
Long
ABS-MBS
USGSE
US
N
2
2026-02-15
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
3622AAKJ2
8591881.12000000
PA
USD
7491382.38000000
0.413905994943
Long
ABS-MBS
USGA
US
N
2
2049-10-15
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-38, Class NA
3136ASMM5
6991575.92000000
PA
USD
6410364.12000000
0.354178708875
Long
ABS-MBS
USGSE
US
N
2
2046-01-25
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133AQ3S4
5478177.36000000
PA
USD
4650292.02000000
0.256933052897
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140KMDR8
4537161.30000000
PA
USD
3749351.57000000
0.207155236945
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138WWC64
1355633.94000000
PA
USD
1300736.81000000
0.071866944736
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138NJBJ6
2095720.32000000
PA
USD
1969855.36000000
0.108836380432
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Variable
3.01899960
N
N
N
N
N
N
FNMA, Grantor Trust
N/A
FNMA, Grantor Trust, Series 2017-T1, Class A
3136AV6R5
28860151.34000000
PA
USD
26753484.39000000
1.478155434199
Long
ABS-O
USGSE
US
N
2
2027-06-25
Fixed
2.89800000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M8, Class AL
3136B86L8
17931660.15000000
PA
USD
13962347.31000000
0.771432956155
Long
ABS-MBS
USGSE
US
N
2
2035-03-25
Fixed
2.01200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-81, Class JA
3136B8FR5
10343871.30000000
PA
USD
8897211.59000000
0.491579394641
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138W2WH4
1972470.65000000
PA
USD
1785036.09000000
0.098624940146
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1998-58, Class PC
31359UZG3
164227.30000000
PA
USD
166737.96000000
0.009212430727
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
3622A2P22
2662438.74000000
PA
USD
2575474.76000000
0.142297427753
Long
ABS-MBS
USGA
US
N
2
2045-08-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-141, Class PB
3136AAAF2
1400000.00000000
PA
USD
1139857.60000000
0.062978215513
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138LXN47
2250897.29000000
PA
USD
2209575.93000000
0.122081169712
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1994-37, Class L
31359GP34
13830.25000000
PA
USD
13828.28000000
0.000764025609
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1994-51, Class PV
31359GU53
63321.97000000
PA
USD
63162.32000000
0.003489778197
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZE3
30000000.00000000
PA
USD
25926562.50000000
1.432467214020
Long
DBT
UST
US
N
2
2027-03-31
Fixed
0.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M31, Class A2
3136B7S77
5500000.00000000
PA
USD
4686838.20000000
0.258952264069
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Fixed
2.85000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1511, Class A3
3137FLYK4
10000000.00000000
PA
USD
9167881.00000000
0.506534136738
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Fixed
3.54200000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2015-59, Class EB
3136APVQ2
5763501.52000000
PA
USD
5376668.55000000
0.297066046396
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36207HKK2
7671.87000000
PA
USD
7668.74000000
0.000423705171
Long
ABS-MBS
USGA
US
N
2
2027-03-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HWCN0
15000000.00000000
PA
USD
13131133.80000000
0.725507619894
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.70000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-67, Class SA
31393DNZ0
25455.86000000
PA
USD
27714.89000000
0.001531274007
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Floating
15.48950040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
3617N65U9
10814668.65000000
PA
USD
9773363.46000000
0.539987617994
Long
ABS-MBS
USGA
US
N
2
2050-04-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2035, Class PC
3133TDBK1
120775.32000000
PA
USD
123004.26000000
0.006796102245
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
6.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140J72K0
3778709.03000000
PA
USD
3642208.83000000
0.201235498751
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4606, Class KP
3137BR4Y8
11613334.56000000
PA
USD
10154844.91000000
0.561064830597
Long
ABS-MBS
USGSE
US
N
2
2046-07-15
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2015-51, Class LY
3136APJG8
3661752.20000000
PA
USD
3419101.43000000
0.188908602900
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A
31392GWB7
168828.78000000
PA
USD
162747.57000000
0.008991957888
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.14734120
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1591, Class E
3133T1VF6
726.44000000
PA
USD
721.99000000
0.000039890633
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Fixed
10.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LGKW5
7843348.77000000
PA
USD
7289178.22000000
0.402734022965
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
3.12000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M8, Class A2
3136B2GX4
9017685.52000000
PA
USD
8515424.78000000
0.470485310607
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
3.30184440
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-60, Class EP
3136A6MJ0
900160.02000000
PA
USD
834811.01000000
0.046124101555
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36205H5M7
10428.83000000
PA
USD
10425.20000000
0.000576002206
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HY4K1
8230785.20000000
PA
USD
6166744.78000000
0.340718508848
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
2.04000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-76, Class PE
31396WZ41
612787.12000000
PA
USD
640270.32000000
0.035375543576
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140JAA32
2506726.50000000
PA
USD
2303209.86000000
0.127254533317
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Variable
3.14100000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1511, Class A1
3137FLYH1
9068880.50000000
PA
USD
8637191.81000000
0.477213054720
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Fixed
3.27900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M3, Class A2
3136AVYL7
4535870.59000000
PA
USD
4161433.11000000
0.229923133597
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.47109040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-100, Class AY
3136A8PH7
5750000.00000000
PA
USD
5338774.38000000
0.294972357496
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203PBQ5
7428.18000000
PA
USD
7615.59000000
0.000420768583
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2015-28, Class GB
3136ANVA2
4000000.00000000
PA
USD
3732381.20000000
0.206217607877
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2882, Class QD
31395JJS6
67923.25000000
PA
USD
67160.50000000
0.003710681442
Long
ABS-MBS
USGSE
US
N
2
2034-07-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140H6EN5
1717345.20000000
PA
USD
1662000.88000000
0.091827127883
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2022-M2S, Class A2
3136BPHK0
4800000.00000000
PA
USD
4537124.64000000
0.250680447619
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Variable
3.75090840
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class A2
3137FKZZ2
8700000.00000000
PA
USD
8315513.07000000
0.459439998670
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
3.69000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4748, Class HE
3137FCZZ0
6567000.00000000
PA
USD
5738109.32000000
0.317035992386
Long
ABS-MBS
USGSE
US
N
2
2048-01-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SL3
35000000.00000000
PA
USD
23674218.75000000
1.308023081614
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M7, Class A2
3136AV7G8
3789429.98000000
PA
USD
3539651.98000000
0.195569135337
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Variable
2.96100000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2064, Class PD
3133TELJ1
79271.21000000
PA
USD
81091.66000000
0.004480391269
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-106, Class PY
3136AGG48
4417066.42000000
PA
USD
4139783.75000000
0.228726985885
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138Y7D25
1027387.78000000
PA
USD
923134.58000000
0.051004062724
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QEAY8
10887659.20000000
PA
USD
9262538.12000000
0.511764032563
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133ASH48
12986839.99000000
PA
USD
10603076.68000000
0.585830061807
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RM2
31000000.00000000
PA
USD
25875312.50000000
1.429635602821
Long
DBT
UST
US
N
2
2045-05-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2611, Class QZ
31393QYN6
1341349.16000000
PA
USD
1322316.22000000
0.073059227644
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M5, Class A2
3136B4KB3
8596505.26000000
PA
USD
8035358.92000000
0.443961215675
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
3.27300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M1, Class A2
3136B3XY1
9532311.82000000
PA
USD
9094029.47000000
0.502453769531
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Variable
3.54701520
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-217, Class H
31359EC74
11.88000000
PA
USD
11.85000000
0.000000654723
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2031, Class PG
3133TCTN8
39694.33000000
PA
USD
40800.52000000
0.002254267499
Long
ABS-MBS
USGSE
US
N
2
2028-02-15
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A
31393LFK4
996204.07000000
PA
USD
1042240.85000000
0.057584797318
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36206VDM6
1031.32000000
PA
USD
1030.47000000
0.000056934446
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4974, Class PH
3137FTE29
1534574.90000000
PA
USD
1224696.35000000
0.067665637066
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Fixed
1.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-83, Class LA
31394FH65
246339.33000000
PA
USD
249111.68000000
0.013763657030
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140FHCV7
2346795.30000000
PA
USD
2241808.08000000
0.123862026627
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4188, Class JG
3137B1E65
3970107.44000000
PA
USD
3621514.54000000
0.200092119564
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 1999-W4, Class A9
31359VA94
40935.81200000
PA
USD
41310.05000000
0.002282419516
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
6.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140Q8DL6
4633143.66000000
PA
USD
4471312.31000000
0.247044253850
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-34, Class WA
3136B5KL8
6754755.84000000
PA
USD
6364449.16000000
0.351641863706
Long
ABS-MBS
USGSE
US
N
2
2048-08-25
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2095, Class PE
3133TGWC9
62821.59000000
PA
USD
63420.47000000
0.003504041230
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2152, Class BD
3133TKX96
24736.65000000
PA
USD
25004.58000000
0.001381526804
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JQG23
2588989.28000000
PA
USD
2382463.38000000
0.131633365605
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-110
31396LVP2
214353.54000000
PA
USD
176344.46000000
0.009743198980
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K046, Class A2
3137BJP64
6026000.00000000
PA
USD
5803826.20000000
0.320666912452
Long
ABS-MBS
USGSE
US
N
2
2025-03-25
Fixed
3.20500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-77, Class ZL
3136B7L66
22290253.00000000
PA
USD
19809824.85000000
1.094511646621
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828G38
35000000.00000000
PA
USD
33474218.75000000
1.849482393754
Long
DBT
UST
US
N
2
2024-11-15
Fixed
2.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZF0
50000000.00000000
PA
USD
45820312.50000000
2.531615804926
Long
DBT
UST
US
N
2
2025-03-31
Fixed
0.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-228, Class G
31359ED65
317.13000000
PA
USD
313.51000000
0.000017321725
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBZ3
11120000.00000000
PA
USD
9621840.65000000
0.531615838761
Long
DBT
UST
US
N
2
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LDAU3
10189543.30000000
PA
USD
7944242.89000000
0.438926968437
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
1.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-38, Class PC
3136B5FZ3
6089075.00000000
PA
USD
5634127.33000000
0.311290888633
Long
ABS-MBS
USGSE
US
N
2
2048-02-25
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31418DGM8
1857756.67000000
PA
USD
1718212.04000000
0.094932847886
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31417B6Q5
1993360.33000000
PA
USD
1869662.10000000
0.103300607612
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4867, Class WF
3137FL2H6
4579299.26000000
PA
USD
4555732.35000000
0.251708541277
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Floating
3.66999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140J8ES8
7442405.91000000
PA
USD
7282111.45000000
0.402343577208
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3128F2U45
1084.90000000
PA
USD
1083.03000000
0.000059838436
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
7.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZC7
25000000.00000000
PA
USD
23261718.75000000
1.285232064649
Long
DBT
UST
US
N
2
2025-02-28
Fixed
1.12500000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133KJGM8
7483155.60000000
PA
USD
6641745.77000000
0.366962764901
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2020-12, Class JC
3136B8G60
21385878.00000000
PA
USD
17773685.58000000
0.982013017177
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2015-41, Class AY
3136ANYY7
4653181.00000000
PA
USD
4198907.69000000
0.231993639751
Long
ABS-MBS
USGSE
US
N
2
2035-06-25
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CS95
7438.30000000
PA
USD
7544.34000000
0.000416831953
Long
ABS-MBS
USGA
US
N
2
2026-12-20
Fixed
8.00000000
N
N
N
N
N
N
FFCB Funding Corp.
254900C5LP6DN9OP9V83
FFCB Funding Corp.
31331VYY6
10000000.00000000
PA
USD
10343704.80000000
0.571499518978
Long
DBT
USGA
US
N
2
2026-05-11
Fixed
5.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-54, Class FL
31394AGS9
388150.25000000
PA
USD
387720.65000000
0.021421934331
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Floating
5.01699960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QB4R6
3849529.50000000
PA
USD
3540521.99000000
0.195617204216
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZL7
40000000.00000000
PA
USD
36440624.80000000
2.013379146749
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-28, Class DW
3136AR2V9
4491425.00000000
PA
USD
4170100.82000000
0.230402032811
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203G6A6
1531.55000000
PA
USD
1570.19000000
0.000086754489
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 155
31282YA66
950.46000000
PA
USD
17.70000000
0.000000977941
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HCS2
5505.97000000
PA
USD
5633.38000000
0.000311249597
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
8.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203CUQ3
291.46000000
PA
USD
298.81000000
0.000016509536
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4061, Class LB
3137ARCM6
3569638.00000000
PA
USD
3061041.69000000
0.169125462030
Long
ABS-MBS
USGSE
US
N
2
2042-06-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-128, Class DY
31393UXJ7
50362.10000000
PA
USD
50017.45000000
0.002763511639
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31410FX67
77968.80000000
PA
USD
79608.52000000
0.004398446375
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K067, Class A2
3137FAWS3
6558000.00000000
PA
USD
6187016.56000000
0.341838543956
Long
ABS-MBS
USGSE
US
N
2
2027-07-25
Fixed
3.19400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HUUN4
12000000.00000000
PA
USD
10030134.00000000
0.554174434317
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
2.52000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140X5GY3
7911940.70000000
PA
USD
7065440.74000000
0.390372314596
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810FF0
20000000.00000000
PA
USD
21117187.60000000
1.166744680838
Long
DBT
UST
US
N
2
2028-11-15
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140FHCQ8
2284801.50000000
PA
USD
2179748.52000000
0.120433176967
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292GMZ6
2243.40000000
PA
USD
2245.91000000
0.000124088661
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
8.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133KPRC4
7459251.12000000
PA
USD
7358728.83000000
0.406576760256
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36204GY30
92.23000000
PA
USD
94.56000000
0.000005224529
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203RG29
390.33000000
PA
USD
400.18000000
0.000022110325
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296QZU7
48996.31000000
PA
USD
49019.38000000
0.002708367324
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-128, Class AO
3136AHMU1
4564788.92000000
PA
USD
3491481.97000000
0.192907696512
Long
ABS-MBS
USGSE
US
N
2
2043-12-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2015-48, Class DE
3136APKU5
11896734.00000000
PA
USD
10613580.82000000
0.586410425524
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2009-69, Class WM
38373AN69
934936.44000000
PA
USD
936282.00000000
0.051730470172
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292GMB9
1706.81000000
PA
USD
1718.95000000
0.000094973620
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
8.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292K7A9
306643.36000000
PA
USD
304780.51000000
0.016839412785
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140J2AZ9
20475000.00000000
PA
USD
16352371.04000000
0.903484038282
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
1.22000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series W5FX, Class AFX
3137FG6Q3
3436000.00000000
PA
USD
3200965.57000000
0.176856389358
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
3.33611640
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31407HVA1
370903.84000000
PA
USD
373454.91000000
0.020633738641
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-22, Class EH
31394DDD9
1620077.56000000
PA
USD
1613790.20000000
0.089163442003
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LKRW9
3319321.32000000
PA
USD
3108172.35000000
0.171729475779
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.97000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4394, Class PL
3137BEUR3
5000000.00000000
PA
USD
4532081.50000000
0.250401809341
Long
ABS-MBS
USGSE
US
N
2
2044-10-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A
31398F7A3
302360.30000000
PA
USD
305653.28000000
0.016887634157
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M4, Class A2
3136AVY52
4527200.14000000
PA
USD
4161909.42000000
0.229949450177
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.55361320
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-45, Class PC
3136ASZB5
5931956.48000000
PA
USD
5378524.52000000
0.297168590502
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1
31392GVX0
300910.56000000
PA
USD
286866.58000000
0.015849651130
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
4.83289920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31378QDZ1
3055.36000000
PA
USD
3091.40000000
0.000170802787
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4429, Class HB
3137BG6W4
6292600.00000000
PA
USD
5631819.11000000
0.311163357285
Long
ABS-MBS
USGSE
US
N
2
2035-01-15
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203BU69
18.18000000
PA
USD
18.17000000
0.000001003909
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
3140QE3Y6
15823931.00000000
PA
USD
14499690.46000000
0.801121675786
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4314, Class DY
3137B9EY7
1450329.00000000
PA
USD
1384047.51000000
0.076469940074
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-116, Class PC
31394VBX7
1029747.04000000
PA
USD
1041279.69000000
0.057531692315
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3132WEJX1
11854764.41000000
PA
USD
11029758.99000000
0.609404664876
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-46, Class QD
31393YU37
134141.74000000
PA
USD
121346.94000000
0.006704533741
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Floating
5.53200120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31401ALQ8
462477.30000000
PA
USD
475029.93000000
0.026245855014
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4594, Class GN
3137BQK22
1954341.00000000
PA
USD
1774306.91000000
0.098032142756
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3132ADXW3
1031285.55000000
PA
USD
951140.93000000
0.052551440174
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
3.50000000
N
N
N
N
N
N
Resolution Funding Corp.
N/A
Resolution Funding Corp. STRIPS
76116FAB3
15700000.00000000
PA
USD
11552284.35000000
0.638274687529
Long
DBT
USGA
US
N
2
2030-01-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HUHW9
1700000.00000000
PA
USD
1494450.14000000
0.082569790288
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
3.19000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828U57
40000000.00000000
PA
USD
39129687.60000000
2.161952421646
Long
DBT
UST
US
N
2
2023-11-30
Fixed
2.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K078, Class A2
3137FGR31
5779000.00000000
PA
USD
5589522.77000000
0.308826444309
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
3.85400000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K048, Class A2
3137BLAC2
6500000.00000000
PA
USD
6265208.30000000
0.346158711890
Long
ABS-MBS
USGSE
US
N
2
2025-06-25
Variable
3.28399920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-68, Class EP
31398TGH8
77236.46000000
PA
USD
76215.28000000
0.004210966641
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4170, Class TS
3137AYZG9
3867600.00000000
PA
USD
2710833.33000000
0.149776117366
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Floating
0.00001080
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36204HLT5
177.74000000
PA
USD
182.22000000
0.000010067828
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-130, Class GY
3136AHE55
3699000.00000000
PA
USD
3451056.03000000
0.190674124914
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138Y7EU2
1264221.45000000
PA
USD
1140659.16000000
0.063022502465
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31368HJA2
1456.97000000
PA
USD
1456.82000000
0.000080490689
Long
ABS-MBS
USGSE
US
N
2
2024-02-01
Fixed
7.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K734, Class A2
3137FLN34
5060000.00000000
PA
USD
4841172.20000000
0.267479364220
Long
ABS-MBS
USGSE
US
N
2
2026-02-25
Fixed
3.20800000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A2
31393XFT9
152867.31000000
PA
USD
156333.91000000
0.008637597078
Long
ABS-MBS
USGSE
US
N
2
2044-01-25
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138Y7EV0
1606044.07000000
PA
USD
1490881.06000000
0.082372595227
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L77M2
2936572.38000000
PA
USD
2798854.45000000
0.154639367885
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
3.30000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283GHE0
332.56000000
PA
USD
332.28000000
0.000018358785
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
8.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M14, Class AL2
3136B5RA5
9107107.40000000
PA
USD
8185551.01000000
0.452259471363
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Fixed
3.07300000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-3, Class SB
31395BGL1
469165.20000000
PA
USD
7369.37000000
0.000407164695
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
2.08299960
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2367, Class ME
31339GK42
140804.17000000
PA
USD
144699.88000000
0.007994805866
Long
ABS-MBS
USGSE
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2001-33, Class ID
31359S6G0
105519.20000000
PA
USD
12793.59000000
0.000706858004
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31382JNT4
74463.12000000
PA
USD
75359.85000000
0.004163703320
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 20 Year
31404ADB7
8736.18000000
PA
USD
8631.18000000
0.000476880896
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M24, Class A3
3136B9J81
15000000.00000000
PA
USD
11530327.50000000
0.637061550703
Long
ABS-MBS
USGSE
US
N
2
2037-01-25
Fixed
1.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36204RME5
2883.70000000
PA
USD
2905.75000000
0.000160545448
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QDZJ6
13324589.75000000
PA
USD
11335717.38000000
0.626309156651
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31401JEN4
137859.94000000
PA
USD
138680.78000000
0.007662244872
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282R0
30000000.00000000
PA
USD
27578906.40000000
1.523760784582
Long
DBT
UST
US
N
2
2027-08-15
Fixed
2.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-58, Class EP
31394ECS5
148404.80000000
PA
USD
149705.30000000
0.008271360077
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36202CYH0
19439.91000000
PA
USD
19788.82000000
0.001093351108
Long
ABS-MBS
USGA
US
N
2
2027-11-20
Fixed
8.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138WGBN3
2204075.96000000
PA
USD
2050591.36000000
0.113297121149
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 20 Year
31335H4P5
9312.05000000
PA
USD
9180.93000000
0.000507255106
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-27, Class PD
38374GFZ0
1076654.77000000
PA
USD
1078657.67000000
0.059596861227
Long
ABS-MBS
USGA
US
N
2
2034-04-20
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4206, Class DA
3137B2FD7
2960615.96000000
PA
USD
2704590.18000000
0.149431177396
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1512, Class A3
3137FMTT9
10000000.00000000
PA
USD
8698532.00000000
0.480602158504
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Fixed
3.05900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ14, Class A2
3137BYMQ0
2878287.78000000
PA
USD
2802248.31000000
0.154826881875
Long
ABS-MBS
USGSE
US
N
2
2024-09-25
Fixed
2.81100000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-65, Class PA
3136B7AE1
7071000.45000000
PA
USD
6330117.99000000
0.349745033941
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140KNKM9
7307377.40000000
PA
USD
6235465.59000000
0.344515398901
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138WDQ38
1571773.29000000
PA
USD
1507295.44000000
0.083279505319
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-42, Class KA
3136B5VN2
10544825.50000000
PA
USD
9433470.49000000
0.521208208429
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-50, Class YO
3136AD5U9
1977796.55000000
PA
USD
1510867.46000000
0.083476862818
Long
ABS-MBS
USGSE
US
N
2
2033-01-25
None
0.00000000
N
N
N
N
N
N
FFCB Funding Corp.
254900C5LP6DN9OP9V83
FFCB Funding Corp.
3133EHHE6
15000000.00000000
PA
USD
13245795.30000000
0.731842776722
Long
DBT
USGA
US
N
2
2037-04-28
Fixed
3.33000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140KLZK1
6826725.00000000
PA
USD
5807037.09000000
0.320844317175
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2480, Class EJ
31392TF85
164715.78000000
PA
USD
167290.22000000
0.009242943617
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140Q8QP3
3120990.34000000
PA
USD
2885234.35000000
0.159411939440
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2011-29, Class Z
38377QQD2
13873571.27000000
PA
USD
13842506.96000000
0.764811662943
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403DRX9
407602.30000000
PA
USD
423847.38000000
0.023417970492
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QEB76
6036053.36000000
PA
USD
5202361.94000000
0.287435440564
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1633, Class Z
3133T2T67
6698.29000000
PA
USD
6692.43000000
0.000369763116
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31363HKT4
3000.48000000
PA
USD
2909.87000000
0.000160773082
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Variable
2.55300120
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133KHXM3
4683000.60000000
PA
USD
4163191.61000000
0.230020292393
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-126, Class BE
38378H3C8
4000000.00000000
PA
USD
3183837.60000000
0.175910052740
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4091, Class BQ
3137ATCU4
5000000.00000000
PA
USD
4247915.00000000
0.234701340196
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Fixed
2.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203TRW7
209.17000000
PA
USD
209.00000000
0.000011547448
Long
ABS-MBS
USGA
US
N
2
2023-06-15
Fixed
7.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403FSR6
451070.76000000
PA
USD
454507.24000000
0.025111956891
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31384JEW5
8008.79000000
PA
USD
8001.42000000
0.000442086058
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K158, Class A1
3137FJY52
8666271.00000000
PA
USD
8425786.31000000
0.465532699964
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Fixed
3.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-155, Class B
31397Q5Q7
1204799.19000000
PA
USD
1177328.93000000
0.065048542102
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
31417YSA6
170492.42000000
PA
USD
166427.57000000
0.009195281385
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Whole Loan, Series 2009-89, Class A1
31398FW98
33352.87000000
PA
USD
32941.09000000
0.001820026523
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Fixed
5.41000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3341, Class PE
31397JNJ9
1016374.92000000
PA
USD
1059651.86000000
0.058546772165
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Fixed
6.00000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D
35563PLQ0
1593494.35000000
PA
USD
1509418.08000000
0.083396783196
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K049, Class A2
3137BLMZ8
3519000.00000000
PA
USD
3367856.84000000
0.186077290609
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Fixed
3.01000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4091, Class PB
3137ATFQ0
3672531.00000000
PA
USD
2918258.87000000
0.161236575550
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133A8G50
5947432.13000000
PA
USD
5062059.50000000
0.279683597436
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140KFET8
12322322.40000000
PA
USD
10924290.72000000
0.603577442741
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31408AV31
211252.24000000
PA
USD
212471.46000000
0.011739250059
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC Trust, Whole Loan, Series 2002-W7, Class A4
31392DD41
494623.96000000
PA
USD
482136.04000000
0.026638474344
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31418DJS2
1831131.30000000
PA
USD
1683951.98000000
0.093039947017
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138ET5Z5
1065062.31000000
PA
USD
1019112.03000000
0.056306908036
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Variable
3.12599880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292G2S4
13438.22000000
PA
USD
13803.36000000
0.000762648756
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JG3R4
742698.28000000
PA
USD
683079.85000000
0.037740810787
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617WTN47
11785394.29000000
PA
USD
10600407.19000000
0.585682569948
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JVSR4
2299536.64000000
PA
USD
2114728.84000000
0.116840777864
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140Q75X1
3647503.56000000
PA
USD
3369713.56000000
0.186179876153
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3138WF3S3
927477.62000000
PA
USD
870042.38000000
0.048070668225
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4186, Class JE
3137B0S70
6228080.72000000
PA
USD
5675744.63000000
0.313590284004
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140J5EX3
6732714.98000000
PA
USD
6454528.89000000
0.356618854384
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36203V2W9
77.61000000
PA
USD
77.54000000
0.000004284158
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 1993-205, Class H
31359EK34
175.06000000
PA
USD
173.27000000
0.000009573332
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140X5V75
10000281.52000000
PA
USD
8918476.47000000
0.492754299467
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
3132Y3YZ1
4101491.85000000
PA
USD
3917434.29000000
0.216441966940
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31335BPT7
2599473.34000000
PA
USD
2530991.85000000
0.139839704707
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JVSG8
2555319.18000000
PA
USD
2349960.09000000
0.129837527947
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LNRG8
12449000.00000000
PA
USD
11844271.90000000
0.654407277119
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
3.57000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3085, Class VS
31396FSL8
161912.13000000
PA
USD
166500.87000000
0.009199331279
Long
ABS-MBS
USGSE
US
N
2
2035-12-15
Floating
10.36855800
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828V98
35000000.00000000
PA
USD
32390039.15000000
1.789580440646
Long
DBT
UST
US
N
2
2027-02-15
Fixed
2.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-40, Class SA
38375QKS7
1324655.94000000
PA
USD
65671.94000000
0.003628437087
Long
ABS-MBS
USGA
US
N
2
2038-05-16
Floating
1.81000080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31389AZ22
7790.24000000
PA
USD
7611.08000000
0.000420519402
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Variable
3.69500040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-81, Class FA
31396KM33
19585.56000000
PA
USD
19451.45000000
0.001074711095
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
Floating
4.96699920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140XJYT4
6957369.65000000
PA
USD
6863610.12000000
0.379220981058
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828P46
20000000.00000000
PA
USD
18423437.60000000
1.017912433688
Long
DBT
UST
US
N
2
2026-02-15
Fixed
1.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4002, Class CY
3137ALZ93
4819000.00000000
PA
USD
4258360.91000000
0.235278486650
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36204HKA7
81.74000000
PA
USD
83.80000000
0.000004630029
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4933, Class PA
3137FQJK0
6414942.45000000
PA
USD
5415847.88000000
0.299230741607
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31385JEL8
81171.93000000
PA
USD
84326.82000000
0.004659136933
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SW9
14500000.00000000
PA
USD
10363535.12000000
0.572595163001
Long
DBT
UST
US
N
2
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-139, Class JA
3136AALT0
2956879.51000000
PA
USD
2770285.92000000
0.153060929456
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
3.50000000
N
N
N
N
N
N
2023-03-30
JPMorgan Trust II
Timothy J. Clemens
Timothy J. Clemens
Treasurer and Principal Financial Officer