0001752724-24-091232.txt : 20240426
0001752724-24-091232.hdr.sgml : 20240426
20240426095238
ACCESSION NUMBER: 0001752724-24-091232
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240229
FILED AS OF DATE: 20240426
DATE AS OF CHANGE: 20240426
PERIOD START: 20240229
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: JPMORGAN TRUST II
CENTRAL INDEX KEY: 0000763852
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04236
FILM NUMBER: 24879333
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
2024-02-29
2024-02-29
N
1816558248.99
1135889.53
1815422359.46
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
48136.64000000
USD
N
N/A
N/A
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140KRYQ6
7112957.20000000
PA
USD
5888010.16000000
0.324332799434
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
3456231.82000000
PA
USD
3288885.98000000
0.181163681435
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
3483170.96000000
PA
USD
3319123.67000000
0.182829282271
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVY57
15351737.76000000
PA
USD
12598143.99000000
0.693951130675
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
36194675.00000000
PA
USD
31657934.18000000
1.743832999248
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TS7
10000000.00000000
PA
USD
9144531.20000000
0.503713703444
Long
DBT
UST
US
N
2
2043-05-15
Fixed
3.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4365, Class HZ
3137BCP85
3196004.23730000
PA
USD
2915986.97000000
0.160623061339
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HVVH4
6847160.87000000
PA
USD
5467407.70000000
0.301164501555
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
37366.38000000
PA
USD
35814.88000000
0.001972812542
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
1775076.19000000
PA
USD
1593571.56000000
0.087779659190
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140FHCP0
241315.58000000
PA
USD
219917.85000000
0.012113866993
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
4078094.48000000
PA
USD
3974057.80000000
0.218905412246
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
9779687.50000000
0.538700399333
Long
DBT
UST
US
N
2
2024-08-15
Fixed
0.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 406
3133Q3G96
9531736.10000000
PA
USD
7586670.59000000
0.417901131957
Long
ABS-MBS
USGSE
US
N
2
2053-10-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2014-2, Class QB
3136AJBQ8
2745397.00000000
PA
USD
2547744.34000000
0.140338931418
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
3056679.43000000
PA
USD
3000280.94000000
0.165266276707
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
2420473.74000000
PA
USD
2273406.75000000
0.125227429206
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
3559395.96000000
PA
USD
3382319.64000000
0.186310343836
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LMMN0
6160269.04000000
PA
USD
5571298.84000000
0.306887199607
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
910956.05000000
PA
USD
906592.48000000
0.049938377990
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Floating
5.78612880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4458, Class BW
3137BHE52
8212509.90000000
PA
USD
7661776.52000000
0.422038237001
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
1643661.60000000
PA
USD
1483428.76000000
0.081712597196
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
3065150.50000000
PA
USD
2759652.01000000
0.152011568857
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RZ3
35000000.00000000
PA
USD
25969726.65000000
1.430506048065
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
3838490.57000000
0.211437881107
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
3761784.15000000
0.207212615312
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
8822778.91000000
PA
USD
7742314.05000000
0.426474534130
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
230695.80000000
PA
USD
234222.56000000
0.012901821924
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
30025.40000000
PA
USD
30829.67000000
0.001698209226
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
6524603.68000000
PA
USD
6208801.90000000
0.342003163486
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
9694355.41000000
PA
USD
8735119.30000000
0.481161821902
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Variable
1.16643240
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-47, Class MB
31398PNS4
1275346.74000000
PA
USD
1263451.71000000
0.069595469253
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
360767.35000000
PA
USD
349905.40000000
0.019274049268
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
19214062.40000000
1.058379737358
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
938405.96000000
PA
USD
926773.48000000
0.051050020132
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
12468394.80000000
0.686804078126
Long
DBT
USGA
US
N
2
2028-04-15
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2015-65, Class LD
3136AP3R1
7057000.00000000
PA
USD
6520387.13000000
0.359166399820
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3325, Class JL
31397JE75
1261727.32000000
PA
USD
1286736.02000000
0.070878052883
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RD2
75300000.00000000
PA
USD
67511156.25000000
3.718757560641
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
760391.81000000
PA
USD
696605.63000000
0.038371546233
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
12752267.05920000
PA
USD
11371218.22000000
0.626367641708
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
1929010.03000000
PA
USD
1897690.24000000
0.104531611066
Long
ABS-MBS
USGSE
US
N
2
2047-10-25
Variable
3.46892040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3798, Class AY
3137A66S6
342653.71000000
PA
USD
336690.82000000
0.018546142623
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
1906593.04000000
PA
USD
1727589.44000000
0.095161846553
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
1583428.68000000
PA
USD
1547843.65000000
0.085260801263
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2162, Class TH
3133TLBV9
105241.56000000
PA
USD
105376.09000000
0.005804494444
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
27000000.00000000
PA
USD
18693281.25000000
1.029693236540
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
5720443.77000000
0.315102639349
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
7986369.15000000
PA
USD
6608211.34000000
0.364004073518
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
160176.51000000
PA
USD
160112.86000000
0.008819592816
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
842503.26000000
PA
USD
836137.47000000
0.046057462366
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Variable
6.50000160
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LMK28
4284109.68000000
PA
USD
3890659.19000000
0.214311516530
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
3930.71050000
PA
USD
3920.29000000
0.000215943688
Long
ABS-MBS
USGSE
US
N
2
2025-08-25
Floating
4.30833240
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TQ1
15000000.00000000
PA
USD
13732617.15000000
0.756441997006
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
3140X75K1
6538525.71000000
PA
USD
6239439.49000000
0.343690792254
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
5083264.13000000
0.280004490608
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
2294813.36000000
PA
USD
2183735.58000000
0.120288018301
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
11068962.66000000
PA
USD
9921355.86000000
0.546504002680
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-145, Class PB
3136A3BT7
7324715.47000000
PA
USD
7038678.74000000
0.387715767811
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4039, Class SA
3137AQR26
2529781.76000000
PA
USD
243751.05000000
0.013426685461
Long
ABS-MBS
USGSE
US
N
2
2042-05-15
Floating
1.06080840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140Q9XT5
1001169.40000000
PA
USD
951834.78000000
0.052430486770
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
929192.15000000
PA
USD
839672.69000000
0.046252195012
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
175167.56000000
PA
USD
177847.85000000
0.009796499920
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
1554192.93000000
PA
USD
1516994.57000000
0.083561522865
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
2176.23040000
PA
USD
2200.67000000
0.000121220827
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
48935664.19000000
NS
USD
48935664.19000000
2.695552576787
Long
STIV
RF
US
N
1
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-15, Class NB
383742RV7
188679.09000000
PA
USD
186075.75000000
0.010249722277
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
856608.98000000
PA
USD
872591.08000000
0.048065458456
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGZ8
5000000.00000000
PA
USD
4789843.75000000
0.263841839616
Long
DBT
UST
US
N
2
2030-04-30
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292HNH3
14620.83000000
PA
USD
14956.88000000
0.000823878802
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
140966.78000000
PA
USD
141067.49000000
0.007770505263
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Floating
6.08613120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
36209JCQ2
164.93000000
PA
USD
165.60000000
0.000009121844
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
34613.15000000
PA
USD
33513.33000000
0.001846034881
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
12027616.85000000
0.662524441616
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
202086.00000000
PA
USD
200549.62000000
0.011046995149
Long
ABS-MBS
USGSE
US
N
2
2030-10-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LKSP3
3836746.64000000
PA
USD
3583854.16000000
0.197411590824
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
799067.51000000
PA
USD
793448.07000000
0.043705976510
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
2260539.85000000
PA
USD
2148110.95000000
0.118325685414
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
792.70000000
PA
USD
792.86000000
0.000043673583
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
7.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGX3
10000000.00000000
PA
USD
9878515.60000000
0.544144206912
Long
DBT
UST
US
N
2
2025-04-30
Fixed
3.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 5072, Class QC
3137F9AR2
7429390.80000000
PA
USD
5723023.92000000
0.315244763301
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
219293.69000000
PA
USD
222742.54000000
0.012269461089
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128285M8
25000000.00000000
PA
USD
23767578.00000000
1.309203771571
Long
DBT
UST
US
N
2
2028-11-15
Fixed
3.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3981, Class PA
3137AKV32
1076486.02000000
PA
USD
1056598.80000000
0.058201266195
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
5078906.20000000
0.279764440133
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
674722.80000000
PA
USD
646503.46000000
0.035611738317
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LMNK5
4581724.10000000
PA
USD
4192381.65000000
0.230931475981
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
263713.50000000
PA
USD
267747.83000000
0.014748514504
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
2887.90000000
PA
USD
2955.82000000
0.000162817208
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXVK5
5331278.26000000
PA
USD
4238245.84000000
0.233457840701
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
479159.12000000
PA
USD
430415.51000000
0.023708836004
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
4501390.42000000
PA
USD
4283270.78000000
0.235937976508
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LDRY7
4759142.51000000
PA
USD
3824872.86000000
0.210687768610
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
4874393.33000000
0.268499134903
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
842943.45000000
PA
USD
835166.29000000
0.046003966275
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
630832.68000000
PA
USD
632788.58000000
0.034856273346
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
3336226.57000000
PA
USD
3140842.46000000
0.173008911322
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
495747.58000000
0.027307561649
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
11362769.29000000
PA
USD
10719722.91000000
0.590480934320
Long
ABS-MBS
USGSE
US
N
2
2028-03-25
Variable
3.06419040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
3622A2U91
3482087.91000000
PA
USD
3377145.96000000
0.186025358914
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
55108.88000000
PA
USD
57205.45000000
0.003151082154
Long
ABS-MBS
USGSE
US
N
2
2030-02-20
Fixed
7.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 1999, Class PU
3133TBT26
9809.44000000
PA
USD
9774.09000000
0.000538392068
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
185352.41000000
PA
USD
188195.28000000
0.010366473620
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
10891222.00000000
0.599927721681
Long
DBT
USGA
US
N
2
2029-05-15
Fixed
6.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3772, Class PE
3137A4J99
3138381.84000000
PA
USD
3054880.17000000
0.168273798881
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
13986205.17000000
PA
USD
13578168.68000000
0.747934419186
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2015-11, Class AQ
3136AMXV6
5036570.64000000
PA
USD
4658448.08000000
0.256604093021
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
185.36000000
PA
USD
185.04000000
0.000010192669
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
525186.33000000
PA
USD
436302.27000000
0.024033099940
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
2561388.90000000
0.141090522910
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
199601.15000000
PA
USD
193553.47000000
0.010661622018
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
6268427.43000000
0.345287552361
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
84629.36000000
PA
USD
81026.04000000
0.004463206018
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140FHCL9
1134292.57000000
PA
USD
1027776.89000000
0.056613651619
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
45739.32450000
PA
USD
36013.06000000
0.001983729010
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Floating
0.00001080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31402JYG6
194143.04000000
PA
USD
197113.55000000
0.010857724042
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
161001.72000000
PA
USD
165497.35000000
0.009116189912
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
3140M5PP4
13755055.03000000
PA
USD
13345306.38000000
0.735107525279
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31406JZU0
644256.01000000
PA
USD
665125.23000000
0.036637492456
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
602634.48000000
PA
USD
463644.49000000
0.025539207864
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 5000, Class CB
3137FVEN8
4171746.70000000
PA
USD
3615840.59000000
0.199173518556
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
294305.10000000
PA
USD
289172.98000000
0.015928688907
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
8312201.00000000
PA
USD
7126733.18000000
0.392566123407
Long
ABS-MBS
USGA
US
N
2
2049-10-15
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140XHZZ3
4214506.50000000
PA
USD
3635597.25000000
0.200261786523
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-38, Class NA
3136ASMM5
6011990.41000000
PA
USD
5453880.51000000
0.300419375225
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
5024416.87000000
PA
USD
4173239.25000000
0.229877043667
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
4181865.64000000
PA
USD
3352099.11000000
0.184645688235
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
1273348.18000000
PA
USD
1199169.56000000
0.066054576983
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138NJBJ6
1966504.68000000
PA
USD
1861744.85000000
0.102551609563
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Variable
3.01500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2023-M8, Class A2
3136BQSN0
6000000.00000000
PA
USD
5883283.80000000
0.324072454508
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Variable
4.47139080
N
N
N
N
N
N
FNMA, Grantor Trust
N/A
FNMA, Grantor Trust, Series 2017-T1, Class A
3136AV6R5
28767423.39000000
PA
USD
27022126.83000000
1.488476039153
Long
ABS-MBS
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
17903568.82000000
PA
USD
13699368.64000000
0.754610549364
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
9603123.45000000
PA
USD
8121899.28000000
0.447383455297
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
1842700.83000000
PA
USD
1636019.25000000
0.090117830788
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
122080.70000000
PA
USD
122733.75000000
0.006760616853
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
2486942.97000000
PA
USD
2412033.69000000
0.132863500189
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
3305000.00000000
PA
USD
2578193.81000000
0.142016197859
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
1954048.49000000
PA
USD
1859465.53000000
0.102426056411
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
79.96000000
PA
USD
79.64000000
0.000004386857
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
647.82000000
PA
USD
645.13000000
0.000035536083
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
26772656.40000000
1.474734309649
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
4621386.55000000
0.254562610508
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
8928106.00000000
0.491792224188
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
5015548.57000000
PA
USD
4667643.04000000
0.257110584524
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HWCN0
15000000.00000000
PA
USD
12964967.55000000
0.714157093110
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
17439.94000000
PA
USD
19113.24000000
0.001052826076
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Floating
10.16515440
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA I, 30 Year
3617N65U9
9823097.37000000
PA
USD
8704339.70000000
0.479466370712
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
83780.19000000
PA
USD
84198.32000000
0.004637946622
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
6.95000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K149, Class A2
3137H93C1
6000000.00000000
PA
USD
5483892.00000000
0.302072516151
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Fixed
3.53000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140J72K0
3207148.55000000
PA
USD
3020585.58000000
0.166384729385
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
10228514.70000000
PA
USD
8757194.00000000
0.482377775858
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
3212760.58000000
PA
USD
2994297.04000000
0.164936661950
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
152839.52000000
PA
USD
145851.59000000
0.008034030716
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
5.27787000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LGKW5
7666379.55000000
PA
USD
7142912.10000000
0.393457316573
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
8983062.37000000
PA
USD
8521005.08000000
0.469367639744
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
3.30202800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-60, Class EP
3136A6MJ0
719150.22000000
PA
USD
665286.80000000
0.036646392313
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
433.72000000
PA
USD
432.60000000
0.000023829165
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HY4K1
8122835.10000000
PA
USD
6005991.29000000
0.330831624866
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
530134.84000000
PA
USD
549492.18000000
0.030268007724
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140JAA32
2013530.40000000
PA
USD
1846888.15000000
0.101733249035
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Variable
3.15100080
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1511, Class A1
3137FLYH1
8748098.05000000
PA
USD
8308386.27000000
0.457655830154
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
4440193.46000000
PA
USD
4173790.73000000
0.229907421171
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.46540600
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-100, Class AY
3136A8PH7
5750000.00000000
PA
USD
5397904.50000000
0.297336015053
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2015-28, Class GB
3136ANVA2
4000000.00000000
PA
USD
3758728.00000000
0.207044271566
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
4668.65000000
PA
USD
4654.96000000
0.000256411957
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
1475416.33000000
PA
USD
1402015.31000000
0.077228051240
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
4466000.64000000
0.246003395117
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Variable
3.75077880
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class A2
3137FKZZ2
8700000.00000000
PA
USD
8316986.85000000
0.458129581067
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
5592423.71000000
0.308050833507
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
21791601.65000000
1.200359879696
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
3630829.97000000
PA
USD
3448487.51000000
0.189955108354
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
51969.10000000
PA
USD
52563.84000000
0.002895405563
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
3704741.02000000
PA
USD
3478402.83000000
0.191602951890
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
907137.94000000
PA
USD
792042.77000000
0.043628567527
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
9650264.60000000
PA
USD
7994334.68000000
0.440356737832
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
12102745.77000000
PA
USD
9600493.16000000
0.528829729895
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
24511796.72000000
1.350198018233
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
974880.04000000
PA
USD
953202.31000000
0.052505815246
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CHA2
5000000.00000000
PA
USD
4845117.20000000
0.266886500254
Long
DBT
UST
US
N
2
2028-04-30
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M5, Class A2
3136B4KB3
8487038.34000000
PA
USD
7985983.12000000
0.439896703837
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
9220586.02000000
PA
USD
8808151.05000000
0.485184673643
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Variable
3.54680280
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2031, Class PG
3133TCTN8
28545.25000000
PA
USD
28891.85000000
0.001591467123
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
941534.55000000
PA
USD
954654.74000000
0.052585820320
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4974, Class PH
3137FTE29
1232965.15000000
PA
USD
968015.36000000
0.053321771374
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
182512.35000000
PA
USD
183101.06000000
0.010085865641
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Series K753, Class A2
3137HB2L7
7805000.00000000
PA
USD
7639398.19000000
0.420805558011
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Fixed
4.40000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140FHCV7
2272567.87000000
PA
USD
2134209.55000000
0.117559946250
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
3263578.20000000
PA
USD
2997033.28000000
0.165087383901
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
29617.35200000
PA
USD
29593.66000000
0.001630125344
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
4078734.17000000
PA
USD
3867945.35000000
0.213060356442
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
5536642.08000000
PA
USD
5236725.50000000
0.288457695406
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
44246.55000000
PA
USD
44245.40000000
0.002437195937
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
17205.16000000
PA
USD
17244.00000000
0.000949861607
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
2229578.94000000
PA
USD
2014673.82000000
0.110975487852
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
182726.40000000
PA
USD
152422.96000000
0.008396005436
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2024-6, Class AL
3136BQ2K4
11863000.00000000
PA
USD
8656282.81000000
0.476819224181
Long
ABS-MBS
USGSE
US
N
2
2044-03-25
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-77, Class ZL
3136B7L66
20547783.50000000
PA
USD
17711599.66000000
0.975618680011
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
34290429.60000000
1.888840325300
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
47652344.00000000
2.624862680118
Long
DBT
UST
US
N
2
2025-03-31
Fixed
0.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBZ3
11120000.00000000
PA
USD
9829471.85000000
0.541442700580
Long
DBT
UST
US
N
2
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140LDAU3
9972959.25000000
PA
USD
7657403.26000000
0.421797342094
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
5320778.46000000
PA
USD
4866712.27000000
0.268076034463
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
1677889.73000000
PA
USD
1516241.67000000
0.083520050422
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
1916315.97000000
PA
USD
1752360.48000000
0.096526324624
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
3671139.46510000
PA
USD
3639998.66000000
0.200504232033
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Floating
5.64699960
N
Y
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140J8ES8
6589826.22000000
PA
USD
6270580.90000000
0.345406173242
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
645.65000000
PA
USD
663.68000000
0.000036557883
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
24052734.50000000
1.324911218299
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
6881181.30000000
PA
USD
5954129.70000000
0.327974901761
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
18991518.00000000
PA
USD
15402732.62000000
0.848437970356
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
4181057.16000000
0.230307682298
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
3839.86000000
PA
USD
3878.06000000
0.000213617507
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
10238340.80000000
0.563964674481
Long
DBT
USGA
US
N
2
2026-05-11
Fixed
5.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140XCXR4
16325063.97000000
PA
USD
13558864.49000000
0.746871074895
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2004-54, Class FL
31394AGS9
266219.53000000
PA
USD
265572.11000000
0.014628668013
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Floating
5.83612920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QB4R6
3445127.64000000
PA
USD
3113219.81000000
0.171487356304
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
20000000.00000000
PA
USD
18975781.20000000
1.045254350929
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
4091111.48000000
0.225353150393
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31283HCS2
3014.77000000
PA
USD
3061.20000000
0.000168621917
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
8.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4061, Class LB
3137ARCM6
3569638.00000000
PA
USD
2929835.00000000
0.161385860691
Long
ABS-MBS
USGSE
US
N
2
2042-06-15
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31410FX67
67043.40000000
PA
USD
68070.37000000
0.003749561067
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
6254366.57000000
0.344513029566
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
9903477.60000000
0.545519203748
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
7202525.98000000
PA
USD
6279738.50000000
0.345910606822
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
20800781.20000000
1.145781921854
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
2048331.35000000
PA
USD
1916846.61000000
0.105586812898
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
918.80000000
PA
USD
918.42000000
0.000050589880
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
7016722.72000000
PA
USD
6813105.99000000
0.375290408565
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31296QZU7
45624.66000000
PA
USD
46400.85000000
0.002555925884
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
4112117.38000000
PA
USD
3175318.65000000
0.174907983999
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
10626556.59000000
0.585348997968
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
813163.88000000
PA
USD
823183.93000000
0.045343934743
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
386.05000000
PA
USD
385.90000000
0.000021256761
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
287308.77000000
PA
USD
280633.90000000
0.015458325636
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140J2AZ9
20371775.90000000
PA
USD
16516129.87000000
0.909767899681
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
3219284.61000000
0.177329787375
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
338520.65000000
PA
USD
343710.53000000
0.018932813524
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
1354471.90000000
PA
USD
1347850.29000000
0.074244446917
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LKRW9
3260613.98000000
PA
USD
3070470.04000000
0.169132545052
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
4386872.00000000
0.241644704723
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
225761.72000000
PA
USD
230094.00000000
0.012674405975
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
4303244.15000000
PA
USD
4055763.29000000
0.223406044817
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.55151440
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-45, Class PC
3136ASZB5
5194919.52000000
PA
USD
4673550.12000000
0.257435967759
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
264194.82000000
PA
USD
249269.58000000
0.013730665963
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
4.78296000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31378QDZ1
1947.92000000
PA
USD
1937.12000000
0.000106703544
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
5686146.90000000
0.313213444263
Long
ABS-MBS
USGSE
US
N
2
2035-01-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QSS85
13213205.06000000
PA
USD
13083105.86000000
0.720664576583
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 15 Year
3140QE3Y6
13853610.25000000
PA
USD
12634566.53000000
0.695957415317
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
1152901.97000000
PA
USD
1118210.69000000
0.061595070930
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
704447.52000000
PA
USD
711145.34000000
0.039172445810
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
11355590.14000000
PA
USD
10304598.48000000
0.567614386057
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
84969.30000000
PA
USD
80819.48000000
0.004451827949
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Floating
2.25547920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31401ALQ8
420836.10000000
PA
USD
427270.09000000
0.023535574946
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CHK0
25000000.00000000
PA
USD
24698242.25000000
1.360468109324
Long
DBT
UST
US
N
2
2028-06-30
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4594, Class GN
3137BQK22
1721030.95000000
PA
USD
1541068.25000000
0.084887587837
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
938773.22000000
PA
USD
849430.02000000
0.046789663880
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
11969124.53000000
0.659302474029
Long
DBT
USGA
US
N
2
2030-01-15
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CHB0
10000000.00000000
PA
USD
9802343.80000000
0.539948389911
Long
DBT
UST
US
N
2
2026-05-15
Fixed
3.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140HUHW9
1700000.00000000
PA
USD
1472563.49000000
0.081114099004
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
3.19000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K078, Class A2
3137FGR31
5779000.00000000
PA
USD
5583247.36000000
0.307545367110
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
3.85400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-68, Class EP
31398TGH8
2203.46000000
PA
USD
2192.99000000
0.000120797785
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
2853137.80000000
0.157161102766
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Floating
0.00001080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-130, Class GY
3136AHE55
3699000.00000000
PA
USD
3453827.32000000
0.190249244315
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
1209189.90000000
PA
USD
1064168.71000000
0.058618244093
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A2
31393XFT9
124027.52000000
PA
USD
125410.10000000
0.006908039847
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
1555275.37000000
PA
USD
1409265.22000000
0.077627402386
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138L77M2
2883222.93000000
PA
USD
2773113.68000000
0.152753086109
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
68.16000000
PA
USD
68.09000000
0.000003750642
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
7901153.02000000
PA
USD
7039830.16000000
0.387779192170
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
273282.24000000
PA
USD
2793.46000000
0.000153873834
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
1.26387000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2367, Class ME
31339GK42
119933.76000000
PA
USD
123453.68000000
0.006800273190
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
87620.80000000
PA
USD
11726.56000000
0.000645941146
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
56890.92000000
PA
USD
57457.03000000
0.003164940086
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M24, Class A3
3136B9J81
15000000.00000000
PA
USD
11527545.00000000
0.634978683606
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
1130.33000000
PA
USD
1131.14000000
0.000062307263
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
12275923.50000000
PA
USD
10169434.07000000
0.560169043694
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
121692.41000000
PA
USD
123553.26000000
0.006805758415
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
27975000.00000000
1.540963724183
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
106141.76000000
PA
USD
106462.34000000
0.005864329005
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
14276.53000000
PA
USD
14516.60000000
0.000799626595
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
2079994.26000000
PA
USD
1884717.14000000
0.103817006008
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
1034.35000000
PA
USD
1029.92000000
0.000056731701
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
755959.09000000
PA
USD
756858.61000000
0.041690497313
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
2413266.59000000
PA
USD
2218781.92000000
0.122218496893
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
8465843.00000000
0.466329113767
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Fixed
3.05900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-65, Class PA
3136B7AE1
6000322.50000000
PA
USD
5310274.61000000
0.292509045199
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
6575856.30000000
PA
USD
5460996.67000000
0.300811358940
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
1486702.01000000
PA
USD
1399605.55000000
0.077095312983
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
9348007.00000000
PA
USD
8257028.21000000
0.454826843294
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
1885749.61000000
PA
USD
1506145.01000000
0.082963890036
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
13076487.90000000
0.720300035518
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
6345700.10000000
PA
USD
5289543.79000000
0.291367116992
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC UMBS, 30 Year
3133KMFR1
5185097.78000000
PA
USD
4315230.74000000
0.237698446177
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2480, Class EJ
31392TF85
149101.85000000
PA
USD
152277.35000000
0.008387984713
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
3030960.51000000
PA
USD
2746330.37000000
0.151277764961
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
12434517.20000000
PA
USD
12186794.26000000
0.671292506479
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
344577.90000000
PA
USD
355415.30000000
0.019577554399
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
5520874.72000000
PA
USD
4633670.93000000
0.255239278389
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
3133KHXM3
4272670.70000000
PA
USD
3706295.13000000
0.204156080302
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
3086388.00000000
0.170009363601
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
4164389.50000000
0.229389567573
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31403FSR6
341127.48000000
PA
USD
338491.97000000
0.018645356450
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
5492.54000000
PA
USD
5490.32000000
0.000302426593
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
7.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGM7
20000000.00000000
PA
USD
18866406.20000000
1.039229582123
Long
DBT
UST
US
N
2
2033-02-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K158, Class A1
3137FJY52
8344590.62000000
PA
USD
8124209.98000000
0.447510736973
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Fixed
3.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-123, Class MA
38382AKS3
10569754.76000000
PA
USD
9316554.96000000
0.513189391518
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-155, Class B
31397Q5Q7
572464.41000000
PA
USD
561351.44000000
0.030921258464
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
74050.34000000
PA
USD
73046.84000000
0.004023682952
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
2499.71000000
PA
USD
2487.11000000
0.000136998973
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
890931.36000000
PA
USD
921111.66000000
0.050738146701
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140XLSR0
4764203.25000000
PA
USD
4389099.33000000
0.241767394079
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
4.00000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D
35563PLQ0
1439648.71000000
PA
USD
1331601.63000000
0.073349412221
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4091, Class PB
3137ATFQ0
3672531.00000000
PA
USD
2858197.93000000
0.157439832946
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
5794390.19000000
PA
USD
4817687.78000000
0.265375589041
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
11620150.00000000
PA
USD
10045413.07000000
0.553337520475
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
138178.04000000
PA
USD
140296.81000000
0.007728053434
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
415851.52000000
PA
USD
411078.96000000
0.022643709209
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
1658742.80000000
PA
USD
1498934.38000000
0.082566702574
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, 30 Year
31292G2S4
10773.33000000
PA
USD
10973.33000000
0.000604450525
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
727388.74000000
PA
USD
657309.40000000
0.036206968399
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
11156423.11000000
PA
USD
9955645.13000000
0.548392779130
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 5190, Class PH
3137H5HE0
6208593.08000000
PA
USD
5519607.50000000
0.304039854485
Long
ABS-MBS
USGSE
US
N
2
2052-02-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140JVSR4
2251451.97000000
PA
USD
2034557.11000000
0.112070731055
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
3537869.75000000
PA
USD
3205633.99000000
0.176577862076
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
729029.20000000
PA
USD
670154.91000000
0.036914545340
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
5118705.92000000
PA
USD
4702733.26000000
0.259043480184
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
6261085.14000000
PA
USD
5890500.65000000
0.324469984590
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140X5V75
9219255.53000000
PA
USD
8012810.11000000
0.441374431037
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
3985356.15000000
PA
USD
3725083.18000000
0.205190993742
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
2350745.00000000
PA
USD
2237096.21000000
0.123227313927
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
2492739.44000000
PA
USD
2252610.91000000
0.124081919464
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138LNRG8
12329478.89000000
PA
USD
11754069.38000000
0.647456462059
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
138419.04000000
PA
USD
149527.14000000
0.008236493244
Long
ABS-MBS
USGSE
US
N
2
2035-12-15
Floating
6.96323880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828V98
35000000.00000000
PA
USD
32908203.30000000
1.812702323980
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
1072436.71000000
PA
USD
59033.78000000
0.003251793153
Long
ABS-MBS
USGA
US
N
2
2038-05-16
Floating
0.96417000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31389AZ22
4606.30000000
PA
USD
4514.07000000
0.000248651228
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Variable
5.70899880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140QQVZ5
13540054.45000000
PA
USD
13142265.25000000
0.723923288788
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-81, Class FA
31396KM33
16815.13000000
PA
USD
16619.49000000
0.000915461347
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
Floating
5.78612880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
3140XJYT4
6565272.91000000
PA
USD
6368156.11000000
0.350780967129
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
18882031.20000000
1.040090263381
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
4101707.75000000
0.225936831097
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4933, Class PA
3137FQJK0
5954984.25000000
PA
USD
4943757.66000000
0.272319971946
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
64773.38000000
PA
USD
66880.20000000
0.003684002218
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
9991972.62000000
0.550393828077
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
2656101.30000000
PA
USD
2469510.98000000
0.136029556270
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
3.50000000
N
N
N
N
N
N
2024-04-01
JPMorgan Trust II
Timothy J. Clemens
Timothy J. Clemens
Treasurer and Principal Financial Officer