0001145549-24-024288.txt : 20240425 0001145549-24-024288.hdr.sgml : 20240425 20240425131457 ACCESSION NUMBER: 0001145549-24-024288 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20240229 FILED AS OF DATE: 20240425 DATE AS OF CHANGE: 20240425 PERIOD START: 20240831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AMERICAN FUNDS INCOME SERIES CENTRAL INDEX KEY: 0000770161 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04318 FILM NUMBER: 24874718 BUSINESS ADDRESS: STREET 1: 333 S HOPE ST - 55TH FL CITY: LOS ANGELES STATE: CA ZIP: 90071 BUSINESS PHONE: 213-486-9200 MAIL ADDRESS: STREET 1: 333 S HOPE ST - 55TH FL CITY: LOS ANGELES STATE: CA ZIP: 90071 0000770161 S000009235 U.S. Government Securities Fund C000025132 Class A AMUSX C000025133 Class R-1 RGVAX C000025134 Class R-2 RGVBX C000025135 Class R-3 RGVCX C000025136 Class R-4 RGVEX C000025137 Class R-5 RGVFX C000025139 Class C UGSCX C000025140 Class F-1 UGSFX C000025141 Class 529-A CGTAX C000025143 Class 529-C CGTCX C000025144 Class 529-E CGTEX C000025145 Class 529-F-1 CGTFX C000068600 Class F-2 GVTFX C000077855 Class R-6 RGVGX C000148357 Class R-2E RGEVX C000164800 Class R-5E RGVJX C000179952 Class F-3 USGFX C000189432 Class 529-T TSUGX C000189433 Class T TUSGX C000224557 Class 529-F-2 FSUGX C000224558 Class 529-F-3 FSUUX NPORT-P 1 primary_doc.xml NPORT-P false 0000770161 XXXXXXXX S000009235 C000025141 C000025143 C000025144 C000025145 C000224557 C000224558 C000189432 C000025132 C000025139 C000025140 C000068600 C000179952 C000025133 C000025134 C000148357 C000025135 C000025136 C000025137 C000164800 C000077855 C000189433 AMERICAN FUNDS INCOME SERIES 811-04318 0000770161 B4NSFTV70Q62C8KCLN24 333 South Hope Street 55th Floor Los Angeles 90071 9499755000 U.S. Government Securities Fund S000009235 B4NSFTV70Q62C8KCLN24 2024-08-31 2024-02-29 N 27204341173.500000000000 6690214973.990000000000 20514126199.510000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 USD N Bloomberg U.S. Government/Mortgage-Backed Securities Index I01262US FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 FHLB 3.25% 11-16-28 3130AFFX0 56500000.000000000000 PA USD 54106535.700000000000 0.2637525731 Long DBT USGA US N 2 2028-11-16 Fixed 3.250000000000 N N N N N N FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 FED HM LN BK BD 3/1/2024 N/A 100000000.000000000000 PA USD 99985590.000000000000 0.4873987272 Long DBT USGA US N 2 2024-03-01 Fixed 0.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMA 0.625% 04-22-25 3135G03U5 147420000.000000000000 PA USD 140430257.600000000000 0.6845539324 Long DBT USGA US N 2 2025-04-22 Fixed 0.625000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMA 0.875% 08-05-30 3135G05Q2 63500000.000000000000 PA USD 51195287.500000000000 0.2495611414 Long DBT USGA US N 2 2030-08-05 Fixed 0.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 4.0% 11-15-52 912810TL2 11613700.000000000000 PA USD 10875141.850000000000 0.0530129421 Long DBT UST US N 2 2052-11-15 Fixed 4.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 4.5% 11-30-24 91282CFX4 41000000.000000000000 PA USD 40784590.100000000000 0.1988122219 Long DBT UST US N 2 2024-11-30 Fixed 4.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.875% 11-30-27 91282CFZ9 44000000.000000000000 PA USD 43263695.200000000000 0.2108970900 Long DBT UST US N 2 2027-11-30 Fixed 3.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.875% 12-31-27 91282CGC9 166000000.000000000000 PA USD 163223135.400000000000 0.7956621394 Long DBT UST US N 2 2027-12-31 Fixed 3.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.875% 12-31-29 91282CGB1 6000000.000000000000 PA USD 5877656.400000000000 0.0286517512 Long DBT UST US N 2 2029-12-31 Fixed 3.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.5% 01-31-30 91282CGJ4 57025000.000000000000 PA USD 54735092.700000000000 0.2668165934 Long DBT UST US N 2 2030-01-31 Fixed 3.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 3.5% 02-15-33 91282CGM7 279744700.000000000000 PA USD 263943488.470000000000 1.2866426086 Long DBT UST US N 2 2033-02-15 Fixed 3.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TREASURY BILL 0.0% 04-02-24 912797JL2 650000000.000000000000 PA USD 646947925.000000000000 3.1536703962 Long DBT UST US N 2 2024-04-02 Fixed 0.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TREASURY BILL 0.0% 04-23-24 912797JP3 300000000.000000000000 PA USD 297669300.000000000000 1.4510454752 Long DBT UST US N 2 2024-04-23 Fixed 0.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.25% 12-31-25 91282CJS1 235000000.000000000000 PA USD 233182956.500000000000 1.1366945598 Long DBT UST US N 2 2025-12-31 Fixed 4.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.75% 12-31-30 91282CJQ5 1956000.000000000000 PA USD 1895944.740000000000 0.0092421423 Long DBT UST US N 2 2030-12-31 Fixed 3.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TREASURY BILL 0.0% 04-30-24 912797JQ1 150000000.000000000000 PA USD 148684275.000000000000 0.7247897061 Long DBT UST US N 2 2024-04-30 Fixed 0.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.25% 01-31-26 91282CJV4 423645800.000000000000 PA USD 420498365.890000000000 2.0497990594 Long DBT UST US N 2 2026-01-31 Fixed 4.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.0% 01-31-29 91282CJW2 12000000.000000000000 PA USD 11864530.800000000000 0.0578359063 Long DBT UST US N 2 2029-01-31 Fixed 4.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.25% 02-15-54 912810TX6 6300000.000000000000 PA USD 6179906.880000000000 0.0301251285 Long DBT UST US N 2 2054-02-15 Fixed 4.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TREASURY BILL 0.0% 08-29-24 912797KD8 200000000.000000000000 PA USD 194864120.000000000000 0.9499021216 Long DBT UST US N 2 2024-08-29 Fixed 0.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TSY INFL IX N/B I/L 0.625% 01-15-26 912828N71 258.192000000000 PA USD 251.160000000000 0.0000012243 Long DBT UST US N 2 2026-01-15 Fixed 0.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.0% 02-15-47 912810RV2 39960000.000000000000 PA USD 31237483.250000000000 0.1522730383 Long DBT UST US N 2 2047-02-15 Fixed 3.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.375% 05-15-27 912828X88 21800000.000000000000 PA USD 20497689.800000000000 0.0999198777 Long DBT UST US N 2 2027-05-15 Fixed 2.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.75% 08-15-47 912810RY6 13770000.000000000000 PA USD 10240362.060000000000 0.0499185876 Long DBT UST US N 2 2047-08-15 Fixed 2.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.75% 11-15-47 912810RZ3 12605000.000000000000 PA USD 9356257.890000000000 0.0456088541 Long DBT UST US N 2 2047-11-15 Fixed 2.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.125% 11-30-24 9128283J7 500000.000000000000 PA USD 488867.200000000000 0.0023830759 Long DBT UST US N 2 2024-11-30 Fixed 2.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.0% 02-15-48 912810SA7 15963900.000000000000 PA USD 12410685.470000000000 0.0604982408 Long DBT UST US N 2 2048-02-15 Fixed 3.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.125% 05-15-48 912810SC3 6500000.000000000000 PA USD 5166484.700000000000 0.0251850098 Long DBT UST US N 2 2048-05-15 Fixed 3.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.875% 05-31-25 9128284R8 500000.000000000000 PA USD 487869.200000000000 0.0023782110 Long DBT UST US N 2 2025-05-31 Fixed 2.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.375% 05-15-44 912810RG5 18500000.000000000000 PA USD 15649843.750000000000 0.0762881324 Long DBT UST US N 2 2044-05-15 Fixed 3.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TREASURY BILL 0.0% 03-21-24 912797LL9 150000000.000000000000 PA USD 149559780.000000000000 0.7290575214 Long DBT UST US N 2 2024-03-21 Fixed 0.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.25% 11-15-24 912828G38 18000000.000000000000 PA USD 17637188.400000000000 0.0859758209 Long DBT UST US N 2 2024-11-15 Fixed 2.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 4.625% 02-15-40 912810QE1 580000.000000000000 PA USD 595950.060000000000 0.0029050716 Long DBT UST US N 2 2040-02-15 Fixed 4.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.5% 02-15-45 912810RK6 60000000.000000000000 PA USD 43514064.000000000000 0.2121175602 Long DBT UST US N 2 2045-02-15 Fixed 2.500000000000 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K074 N/A FHMS K074 A2 (MF) 3.6% 01-25-28 3137F4D41 560000.000000000000 PA USD 537771.360000000000 0.0026214685 Long ABS-CBDO USGA US N 2 2028-01-25 Fixed 3.600000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 6.5 256993 11-01-27 31371NNJ0 53322.590000000000 PA USD 54264.960000000000 0.0002645248 Long ABS-MBS USGA US N 2 2027-11-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCI UMBS 6.5 257055 12-01-27 31371NQG3 102731.200000000000 PA USD 104549.130000000000 0.0005096446 Long ABS-MBS USGA US N 2 2027-12-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNIONP 6.0 970343 02-01-38 31414MP42 30875.740000000000 PA USD 30734.110000000000 0.0001498192 Long ABS-MBS USGA US N 2 2038-02-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FHARM FRN 1H1354 11-01-36 3128NGE35 50052.020000000000 PA USD 50954.060000000000 0.0002483852 Long ABS-MBS USGA US N 2 2036-11-01 Variable 6.3280000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNIONP 7.0 889388 03-01-38 31410KCZ5 111651.000000000000 PA USD 114577.260000000000 0.0005585286 Long ABS-MBS USGA US N 2 2038-03-01 Fixed 7.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BD2440 01-01-47 3140F9WA9 354631.910000000000 PA USD 321500.780000000000 0.0015672165 Long ABS-MBS USGA US N 2 2047-01-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC Z40130 01-01-46 3132FCEB7 1417389.360000000000 PA USD 1261364.560000000000 0.0061487608 Long ABS-MBS USGA US N 2 2046-01-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.0 G61082 07-01-43 31335BFX9 3210007.090000000000 PA USD 2864658.480000000000 0.0139643212 Long ABS-MBS USGA US N 2 2043-07-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 AY3880 11-01-45 3138YHJ27 72137.490000000000 PA USD 67969.460000000000 0.0003313300 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 BJ4342 01-01-48 3140H5ZG9 131534.010000000000 PA USD 122745.960000000000 0.0005983485 Long ABS-MBS USGA US N 2 2048-01-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS BC3465 02-01-46 3140EXZ71 6549.730000000000 PA USD 6170.020000000000 0.0000300769 Long ABS-MBS USGA US N 2 2046-02-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNIONP 7.0 888698 10-01-37 31410GKK8 38048.160000000000 PA USD 39171.000000000000 0.0001909465 Long ABS-MBS USGA US N 2 2037-10-01 Fixed 7.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 CA0770 11-01-47 3140Q72C0 8251997.630000000000 PA USD 7480897.960000000000 0.0364670563 Long ABS-MBS USGA US N 2 2047-11-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 BJ6169 01-01-48 3140H72B2 37795.600000000000 PA USD 35421.090000000000 0.0001726668 Long ABS-MBS USGA US N 2 2048-01-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCI UMBS 3.0 CA1442 03-01-33 3140Q8S89 367703.000000000000 PA USD 344497.630000000000 0.0016793191 Long ABS-MBS USGA US N 2 2033-03-01 Fixed 3.000000000000 N N N N N N FANNIE MAE ACES FNMA_17-M15 N/A FNA 17-M15 AV2 (MF) FRN 11-15-24 3136AY6S7 694862.340000000000 PA USD 683324.150000000000 0.0033309932 Long ABS-CBDO USGA US N 2 2024-11-25 Variable 2.5256500000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_18-3 N/A SCRT 18-3 MA 3.5% 08-25-57 35563PGG8 3571522.880000000000 PA USD 3356213.620000000000 0.0163605000 Long ABS-CBDO USGA US N 2 2057-08-25 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCI UMBS 3.0 BJ5302 03-01-33 3140H63L1 272467.660000000000 PA USD 255267.050000000000 0.0012443477 Long ABS-MBS USGA US N 2 2033-03-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 BJ8318 01-01-48 3140HAG46 169814.810000000000 PA USD 163731.530000000000 0.0007981404 Long ABS-MBS USGA US N 2 2048-01-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM1505 09-01-49 3140X4U79 10348848.260000000000 PA USD 8994494.490000000000 0.0438453698 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 AJ9327 01-01-42 3138E2LH6 22632.320000000000 PA USD 20747.480000000000 0.0001011375 Long ABS-MBS USGA US N 2 2042-01-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCI UMBS 4.0 BN1085 01-01-34 3140JHF32 6407.890000000000 PA USD 6217.310000000000 0.0000303075 Long ABS-MBS USGA US N 2 2034-01-01 Fixed 4.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 ZT0538 03-01-48 3132ACS35 1504098.170000000000 PA USD 1369030.150000000000 0.0066735972 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCI UMBS 2.5 BO6247 12-01-34 3140K15H5 3706861.480000000000 PA USD 3395040.290000000000 0.0165497680 Long ABS-MBS USGA US N 2 2034-12-01 Fixed 2.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 RA2003 01-01-50 3133KHGL4 5490200.240000000000 PA USD 5264124.770000000000 0.0256609749 Long ABS-MBS USGA US N 2 2050-01-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 4.0 G67711 03-01-48 3132XCR80 23018973.710000000000 PA USD 21719437.550000000000 0.1058755188 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 4.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 RA1580 10-01-49 3133KGXH6 3890183.170000000000 PA USD 3556502.710000000000 0.0173368472 Long ABS-MBS USGA US N 2 2049-10-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 BN1172 11-01-48 3140JHJS3 143977.020000000000 PA USD 138473.210000000000 0.0006750139 Long ABS-MBS USGA US N 2 2048-11-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FHLMC POOL #760015 ARH5 FRN 01-01-47 31342WAQ4 1447736.410000000000 PA USD 1365911.800000000000 0.0066583962 Long ABS-MBS USGA US N 2 2047-01-01 Variable 2.6270000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 QA0284 06-01-49 31334WJ51 1736590.260000000000 PA USD 1576969.830000000000 0.0076872386 Long ABS-MBS USGA US N 2 2049-06-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q54782 03-01-48 3132XXJ42 286429.340000000000 PA USD 260648.980000000000 0.0012705829 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 888873 08-01-37 31410GQ22 361.320000000000 PA USD 375.730000000000 0.0000018316 Long ABS-MBS USGA US N 2 2037-08-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FHARM FRN 760012 04-01-45 31342WAM3 944660.420000000000 PA USD 930649.220000000000 0.0045366262 Long ABS-MBS USGA US N 2 2045-04-01 Variable 3.1130000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FHARM FRN 760013 04-01-45 31342WAN1 499684.490000000000 PA USD 494749.610000000000 0.0024117508 Long ABS-MBS USGA US N 2 2045-04-01 Variable 3.1940000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCI UMBS 3.5 AZ0554 10-01-30 3138YRTL2 107727.150000000000 PA USD 103435.950000000000 0.0005042182 Long ABS-MBS USGA US N 2 2030-10-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 4.5 Q57242 07-01-48 3132Y1BL1 281156.160000000000 PA USD 270820.300000000000 0.0013201649 Long ABS-MBS USGA US N 2 2048-07-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 4.5 Q58411 09-01-48 3132Y2KZ8 1235983.830000000000 PA USD 1196513.920000000000 0.0058326341 Long ABS-MBS USGA US N 2 2048-09-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM2179 01-01-50 3140X5M59 10144027.300000000000 PA USD 8849091.500000000000 0.0431365753 Long ABS-MBS USGA US N 2 2050-01-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 FM2664 03-01-50 3140X56A6 20740376.020000000000 PA USD 18750440.640000000000 0.0914025801 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 4.0 Q55970 05-01-48 3132XYT49 311793.850000000000 PA USD 295780.740000000000 0.0014418393 Long ABS-MBS USGA US N 2 2048-05-01 Fixed 4.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q17696 04-01-43 3132J87J3 253172.890000000000 PA USD 232099.790000000000 0.0011314145 Long ABS-MBS USGA US N 2 2043-04-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 AJ1873 10-01-41 3138ATCK4 236521.920000000000 PA USD 222768.880000000000 0.0010859292 Long ABS-MBS USGA US N 2 2041-10-01 Fixed 4.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q55060 04-01-48 3132XXTS8 144930.650000000000 PA USD 131507.030000000000 0.0006410560 Long ABS-MBS USGA US N 2 2048-04-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM2777 03-01-50 3140X6CP4 3099824.390000000000 PA USD 2689906.710000000000 0.0131124606 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS ZA6700 04-01-49 31329QNR8 9838547.410000000000 PA USD 8893977.990000000000 0.0433553830 Long ABS-MBS USGA US N 2 2049-04-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q54698 03-01-48 3132XXGG8 135473.620000000000 PA USD 124545.910000000000 0.0006071227 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 AL3829 06-01-43 3138ELHF3 1139511.690000000000 PA USD 1045088.330000000000 0.0050944813 Long ABS-MBS USGA US N 2 2043-06-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CA5539 04-01-50 3140QDEM2 12943604.000000000000 PA USD 11237158.080000000000 0.0547776589 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 RA1339 09-01-49 3133KGPY8 1605255.450000000000 PA USD 1393366.550000000000 0.0067922296 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 4.5 Q58436 09-01-48 3132Y2LS3 642478.890000000000 PA USD 623776.330000000000 0.0030407161 Long ABS-MBS USGA US N 2 2048-09-01 Fixed 4.500000000000 N N N N N N FREDDIE MAC - SCRT SCRT_17-3 N/A SCRT 17-3 HT 3.25% 07-25-56 35563PBX6 1881824.480000000000 PA USD 1622894.840000000000 0.0079111088 Long ABS-CBDO USGA US N 2 2056-07-25 Fixed 3.250000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 SD7502 07-01-49 3132DVKP9 6771498.830000000000 PA USD 6164745.450000000000 0.0300512212 Long ABS-MBS USGA US N 2 2049-07-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 FM2656 01-01-49 3140X55S8 2131435.540000000000 PA USD 1932295.520000000000 0.0094193411 Long ABS-MBS USGA US N 2 2049-01-01 Fixed 3.500000000000 N N N N N N FREDDIE MAC - SCRT SCRT_17-3 N/A SCRT 17-3 MT 3.0% 07-25-56 35563PBS7 9310273.330000000000 PA USD 7898621.760000000000 0.0385033303 Long ABS-CBDO USGA US N 2 2056-07-25 Fixed 3.000000000000 N N N N N N FREDDIE MAC FHLMC_18-1SC N/A SCRT 18-1 HT 3.0% 05-25-57 35563PDT3 9872063.470000000000 PA USD 8404837.910000000000 0.0409709769 Long ABS-CBDO USGA US N 2 2057-05-25 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 FM2389 02-01-50 3140X5UP6 1834265.510000000000 PA USD 1669618.170000000000 0.0081388705 Long ABS-MBS USGA US N 2 2050-02-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 QA1442 08-01-49 31334XS75 3802292.800000000000 PA USD 3450211.890000000000 0.0168187124 Long ABS-MBS USGA US N 2 2049-08-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BN6708 06-01-49 3140JPN27 10219643.520000000000 PA USD 9273968.810000000000 0.0452077204 Long ABS-MBS USGA US N 2 2049-06-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCI UMBS 3.5 AY1948 01-01-30 3138YFEW0 83024.000000000000 PA USD 79920.310000000000 0.0003895867 Long ABS-MBS USGA US N 2 2030-01-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 FM1220 07-01-49 3140X4LA2 2748173.170000000000 PA USD 2493505.460000000000 0.0121550654 Long ABS-MBS USGA US N 2 2049-07-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 BO2890 11-01-49 3140JXF86 2224888.550000000000 PA USD 1931594.840000000000 0.0094159255 Long ABS-MBS USGA US N 2 2049-11-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 RB5105 03-01-41 3133KYU64 52685052.100000000000 PA USD 44228732.440000000000 0.2156013471 Long ABS-MBS USGA US N 2 2041-03-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMDI6 3.0 BF0497 07-01-60 3140FXRT1 24470480.530000000000 PA USD 20303182.170000000000 0.0989717133 Long ABS-MBS USGA US N 2 2060-07-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS AS8804 02-01-47 3138WJYA0 10047319.390000000000 PA USD 9108608.390000000000 0.0444016396 Long ABS-MBS USGA US N 2 2047-02-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM2822 03-01-50 3140X6D40 6672362.600000000000 PA USD 5792711.680000000000 0.0282376720 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 SD7513 04-01-50 3132DVK20 67816237.500000000000 PA USD 61546287.260000000000 0.3000190535 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CA5338 03-01-50 3140QC4Y9 5427767.070000000000 PA USD 4673171.750000000000 0.0227802623 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMDI4 3.5 BF0481 06-01-60 3140FXRB0 12068099.480000000000 PA USD 10636847.020000000000 0.0518513288 Long ABS-MBS USGA US N 2 2060-06-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMDI4 3.5 BF0379 04-01-59 3140FXM58 18154782.740000000000 PA USD 15998775.210000000000 0.0779890650 Long ABS-MBS USGA US N 2 2059-04-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 RA2319 03-01-50 3133KHSG2 8608415.150000000000 PA USD 7423948.880000000000 0.0361894473 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 BO2264 10-01-49 3140JWQS2 36037604.790000000000 PA USD 31314155.930000000000 0.1526467939 Long ABS-MBS USGA US N 2 2049-10-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CB0041 04-01-51 3140QKBK3 31201008.210000000000 PA USD 27169182.730000000000 0.1324413356 Long ABS-MBS USGA US N 2 2051-04-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 MA4333 05-01-41 31418DY71 28785074.310000000000 PA USD 24143538.650000000000 0.1176922595 Long ABS-MBS USGA US N 2 2041-05-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMDI4 3.5 BF0480 06-01-60 3140FXRA2 7662807.750000000000 PA USD 6867845.090000000000 0.0334786138 Long ABS-MBS USGA US N 2 2060-06-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 MA4208 12-01-50 31418DVA7 2547830.190000000000 PA USD 2016024.140000000000 0.0098274921 Long ABS-MBS USGA US N 2 2050-12-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 4.0 MA3099 08-01-37 31418CNR1 2691573.230000000000 PA USD 2592192.270000000000 0.0126361330 Long ABS-MBS USGA US N 2 2037-08-01 Fixed 4.000000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_18-2 N/A SCRT 18-2 MA 3.5% 11-25-57 35563PFG9 2834810.550000000000 PA USD 2679970.360000000000 0.0130640240 Long ABS-CBDO USGA US N 2 2057-11-26 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 RB5118 07-01-41 3133KYVK2 60783584.750000000000 PA USD 50856956.740000000000 0.2479118840 Long ABS-MBS USGA US N 2 2041-07-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 MA4387 07-01-41 31418D2V3 47566408.710000000000 PA USD 39807185.860000000000 0.1940476795 Long ABS-MBS USGA US N 2 2041-07-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 MA4237 01-01-51 31418DV74 988351.560000000000 PA USD 782546.130000000000 0.0038146696 Long ABS-MBS USGA US N 2 2051-01-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCN UMBS 1.5 QS0124 11-01-30 3133HMD55 363282.100000000000 PA USD 333073.380000000000 0.0016236294 Long ABS-MBS USGA US N 2 2030-11-01 Fixed 1.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMDI3 5.5 BF0320 01-01-49 3140FXLA8 3126556.300000000000 PA USD 3236232.770000000000 0.0157756306 Long ABS-MBS USGA US N 2 2049-01-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM7694 06-01-51 3140XBRQ5 31093065.550000000000 PA USD 26917173.570000000000 0.1312128692 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 FM9416 07-01-45 3140XDPA8 127411714.670000000000 PA USD 115560641.440000000000 0.5633222703 Long ABS-MBS USGA US N 2 2045-07-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 FM3280 05-01-49 3140X6UE9 33182053.800000000000 PA USD 29995846.630000000000 0.1462204451 Long ABS-MBS USGA US N 2 2049-05-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 G67700 08-01-46 3132XCRV9 2831015.510000000000 PA USD 2584912.500000000000 0.0126006464 Long ABS-MBS USGA US N 2 2046-08-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 G60238 10-01-45 31335AHP6 7658369.120000000000 PA USD 6990589.970000000000 0.0340769570 Long ABS-MBS USGA US N 2 2045-10-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CA5968 06-01-50 3140QDT20 2168470.580000000000 PA USD 1814081.770000000000 0.0088430857 Long ABS-MBS USGA US N 2 2050-06-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 MA4732 09-01-52 31418EHJ2 78032417.190000000000 PA USD 71860521.180000000000 0.3502977435 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM9632 11-01-51 3140XDV29 14032797.610000000000 PA USD 12141892.160000000000 0.0591879568 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM9631 11-01-51 3140XDVZ6 6049732.010000000000 PA USD 5246200.550000000000 0.0255735999 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CB0457 05-01-51 3140QKQK7 5756460.430000000000 PA USD 4767742.300000000000 0.0232412644 Long ABS-MBS USGA US N 2 2051-05-01 Fixed 2.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.5 RA5259 05-01-51 3133KLZY6 5616180.640000000000 PA USD 4650854.660000000000 0.0226714734 Long ABS-MBS USGA US N 2 2051-05-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 CB2765 02-01-52 3140QNCB6 7316927.670000000000 PA USD 5800918.790000000000 0.0282776792 Long ABS-MBS USGA US N 2 2052-02-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.5 RB5154 04-01-42 3133KYWP0 121752068.500000000000 PA USD 103869976.940000000000 0.5063339083 Long ABS-MBS USGA US N 2 2042-04-01 Fixed 2.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.5 SD7554 04-01-52 3132DVMB8 1365103.910000000000 PA USD 1140942.930000000000 0.0055617428 Long ABS-MBS USGA US N 2 2052-04-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CA8828 02-01-51 3140QGY27 9380663.840000000000 PA USD 7823389.220000000000 0.0381365950 Long ABS-MBS USGA US N 2 2051-02-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FS0647 02-01-52 3140XFWH0 5741897.170000000000 PA USD 5018756.900000000000 0.0244648826 Long ABS-MBS USGA US N 2 2052-02-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.0 RA6406 11-01-51 3133KNDK6 5444995.730000000000 PA USD 4304976.970000000000 0.0209854270 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 SD8245 09-01-52 3132DWES8 13292724.340000000000 PA USD 12591533.130000000000 0.0613798170 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.5 SD7552 01-01-52 3132DVL94 3021606.010000000000 PA USD 2520104.020000000000 0.0122847251 Long ABS-MBS USGA US N 2 2052-01-01 Fixed 2.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.0 RA7938 09-01-52 3133KPZB7 58917024.360000000000 PA USD 57198355.840000000000 0.2788242369 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 BR1035 05-01-51 3140KYEH3 70986.610000000000 PA USD 55946.180000000000 0.0002727203 Long ABS-MBS USGA US N 2 2051-05-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 MA4287 03-01-41 31418DXR8 35126848.340000000000 PA USD 29484317.310000000000 0.1437268983 Long ABS-MBS USGA US N 2 2041-03-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 RA7556 06-01-52 3133KPMD7 15254128.220000000000 PA USD 14448588.220000000000 0.0704323844 Long ABS-MBS USGA US N 2 2052-06-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 BP6715 09-01-50 3140KEN95 3797.250000000000 PA USD 3009.330000000000 0.0000146696 Long ABS-MBS USGA US N 2 2050-09-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 SD8257 10-01-52 3132DWE66 43536377.510000000000 PA USD 41239790.060000000000 0.2010311805 Long ABS-MBS USGA US N 2 2052-10-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 MA4805 11-01-52 31418EKT6 3603278.700000000000 PA USD 3413209.350000000000 0.0166383365 Long ABS-MBS USGA US N 2 2052-11-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 BV0952 09-01-52 3140MEBW5 1247858.760000000000 PA USD 1182032.960000000000 0.0057620439 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.5 SD1450 03-01-52 3132DNTF0 2344279.680000000000 PA USD 1955872.390000000000 0.0095342710 Long ABS-MBS USGA US N 2 2052-03-01 Fixed 2.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.0 RA5288 05-01-51 3133KL2V8 26129038.340000000000 PA USD 20825261.620000000000 0.1015166886 Long ABS-MBS USGA US N 2 2051-05-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 BW1192 09-01-52 3140MSKE4 9103445.690000000000 PA USD 8623248.030000000000 0.0420356585 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 BW8497 09-01-52 3140N1NP4 6207931.410000000000 PA USD 5907349.580000000000 0.0287964962 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 4.500000000000 N N N N N N SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1 N/A SLST 22-1 A1 3.5% 05-25-32 35564CLZ8 52832895.800000000000 PA USD 49858826.430000000000 0.2430463084 Long ABS-CBDO USGA US N 2 2032-05-25 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 CB3774 06-01-52 3140QPFQ5 36892552.150000000000 PA USD 33976417.260000000000 0.1656244918 Long ABS-MBS USGA US N 2 2052-06-01 Fixed 4.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.0 SD8256 10-01-52 3132DWE58 27453000.040000000000 PA USD 25276581.100000000000 0.1232154899 Long ABS-MBS USGA US N 2 2052-10-01 Fixed 4.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 6.0 UMBS TBA 03-01-54 01F060634 141743633.000000000000 PA USD 142356957.700000000000 0.6939459976 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 6.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 4.5 UMBS TBA 03-01-54 01F042632 323319770.000000000000 PA USD 306081653.140000000000 1.4920530866 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 CB0290 04-01-51 3140QKKC1 10342110.900000000000 PA USD 8161549.210000000000 0.0397850200 Long ABS-MBS USGA US N 2 2051-04-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 QD7089 02-01-52 3133B42W4 2159209.350000000000 PA USD 1930413.050000000000 0.0094101646 Long ABS-MBS USGA US N 2 2052-02-01 Fixed 3.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 4.0 UMBS TBA 03-01-54 01F040636 43586956.000000000000 PA USD 40105709.410000000000 0.1955028892 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 4.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 5.0 UMBS TBA 03-01-54 01F050635 111688107.000000000000 PA USD 108320040.450000000000 0.5280265871 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.5 SD1385 11-01-51 3132DNRE5 5767694.000000000000 PA USD 4813827.000000000000 0.0234659130 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CB1527 09-01-51 3140QLVV5 7828066.260000000000 PA USD 6478781.620000000000 0.0315820501 Long ABS-MBS USGA US N 2 2051-09-01 Fixed 2.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.0 SD8276 12-01-52 3132DWFR9 55139081.090000000000 PA USD 53540378.570000000000 0.2609927328 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.0 SD8288 01-01-53 3132DWF57 219508149.700000000000 PA USD 213144169.420000000000 1.0390116905 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 5.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 6.5 UMBS TBA 03-01-54 01F062630 101727554.000000000000 PA USD 103522129.780000000000 0.5046382613 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 6.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 2.0 UMBS TBA 03-01-54 01F020638 42141000.000000000000 PA USD 33121814.620000000000 0.1614585691 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 SD1895 11-01-52 3132DPC89 20558185.480000000000 PA USD 19912987.390000000000 0.0970696348 Long ABS-MBS USGA US N 2 2052-11-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 MA4820 10-01-52 31418ELA6 242928.260000000000 PA USD 247748.690000000000 0.0012076980 Long ABS-MBS USGA US N 2 2052-10-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 FM7900 07-01-51 3140XBX62 2142042.020000000000 PA USD 1789281.970000000000 0.0087221944 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CA7257 10-01-50 3140QFB32 2105852.860000000000 PA USD 1762803.110000000000 0.0085931182 Long ABS-MBS USGA US N 2 2050-10-01 Fixed 2.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 5.5 UMBS TBA 03-01-54 01F052631 111589775.000000000000 PA USD 110399000.510000000000 0.5381608723 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 5.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 3.0 UMBS TBA 03-01-54 01F030637 23129000.000000000000 PA USD 19785726.180000000000 0.0964492759 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 SD8281 12-01-52 3132DWFW8 69057998.620000000000 PA USD 70477209.550000000000 0.3435545285 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 SD1608 09-01-52 3132DNYD9 1698023.240000000000 PA USD 1608450.820000000000 0.0078406987 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 4.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 7.0 UMBS TBA 03-01-54 01F070633 251909000.000000000000 PA USD 258617840.490000000000 1.2606817272 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 7.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 3.5 UMBS TBA 03-01-54 01F032633 61555000.000000000000 PA USD 54766591.490000000000 0.2669701403 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 FS0523 02-01-52 3140XFSM4 2227144.620000000000 PA USD 1852659.160000000000 0.0090311386 Long ABS-MBS USGA US N 2 2052-02-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMDI4 4.5 BF0585 12-01-61 3140FXUK6 4942459.970000000000 PA USD 4697911.990000000000 0.0229008633 Long ABS-MBS USGA US N 2 2061-12-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 6.5 AL9870 02-01-28 3138ER6G0 13745.940000000000 PA USD 13988.170000000000 0.0000681880 Long ABS-MBS USGA US N 2 2028-02-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 SD8251 08-01-52 3132DWEY5 894551.470000000000 PA USD 887974.730000000000 0.0043286013 Long ABS-MBS USGA US N 2 2052-08-01 Fixed 5.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 2.5 UMBS TBA 03-01-54 01F022634 10923044.000000000000 PA USD 8975945.870000000000 0.0437549510 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 2.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCI 5.0 UMBS TBA 03-01-39 01F050437 10000000.000000000000 PA USD 9913120.000000000000 0.0483233841 Long ABS-MBS USGA US N 2 2039-03-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CB2286 12-01-51 3140QMRG1 13927192.530000000000 PA USD 11586310.010000000000 0.0564796662 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CA6593 08-01-50 3140QEKF8 10069257.400000000000 PA USD 8428985.440000000000 0.0410886886 Long ABS-MBS USGA US N 2 2050-08-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 MA4842 12-01-52 31418ELY4 25365783.030000000000 PA USD 25159001.170000000000 0.1226423242 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 QF1236 10-01-52 3133BNLR2 16674771.320000000000 PA USD 15794193.320000000000 0.0769917917 Long ABS-MBS USGA US N 2 2052-10-01 Fixed 4.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCI 2.0 UMBS TBA 03-01-39 01F020430 24100000.000000000000 PA USD 21264779.600000000000 0.1036592024 Long ABS-MBS USGA US N 2 2039-03-01 Fixed 2.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCI 4.0 UMBS TBA 03-01-39 01F040438 16000000.000000000000 PA USD 15411776.000000000000 0.0751276260 Long ABS-MBS USGA US N 2 2039-03-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA4894 01-01-53 31418ENL0 133323746.150000000000 PA USD 134046227.530000000000 0.6534337667 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 FS0965 11-01-51 3140XGCB3 553180.550000000000 PA USD 439881.980000000000 0.0021442882 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 CA7325 10-01-50 3140QFD71 4288381.250000000000 PA USD 3446932.230000000000 0.0168027251 Long ABS-MBS USGA US N 2 2050-10-01 Fixed 2.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCI 2.5 UMBS TBA 03-01-39 01F022436 5500000.000000000000 PA USD 4987680.500000000000 0.0243133948 Long ABS-MBS USGA US N 2 2039-03-01 Fixed 2.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 4.0 UMBS TBA 04-01-54 01F040644 252993044.000000000000 PA USD 232905396.310000000000 1.1353415400 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 CB6490 06-01-53 3140QSF89 11550970.380000000000 PA USD 11760782.210000000000 0.0573301641 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB6486 06-01-53 3140QSF48 27357713.580000000000 PA USD 27600130.280000000000 0.1345420712 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 5.5 UMBS TBA 04-01-54 01F052649 51500000.000000000000 PA USD 50950443.500000000000 0.2483676029 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 5.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 5.0 UMBS TBA 04-01-54 01F050643 272000000.000000000000 PA USD 263829392.000000000000 1.2860864237 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB6465 06-01-53 3140QSFF3 20037995.330000000000 PA USD 20199060.740000000000 0.0984641536 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB6485 06-01-53 3140QSF30 44691781.220000000000 PA USD 44945988.070000000000 0.2190977458 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 6.5 UMBS TBA 04-01-54 01F062648 458132000.000000000000 PA USD 465891839.820000000000 2.2710781599 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 6.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 6.0 UMBS TBA 04-01-54 01F060642 490500000.000000000000 PA USD 492507616.500000000000 2.4008218128 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 RA9287 06-01-53 3133KRJ88 7148270.700000000000 PA USD 7397452.270000000000 0.0360602845 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 RA9279 06-01-53 3133KRJY1 6238677.000000000000 PA USD 6296303.660000000000 0.0306925267 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 4.5 UMBS TBA 04-01-54 01F042640 38500000.000000000000 PA USD 36459346.000000000000 0.1777279990 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 4.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 2.5 UMBS TBA 04-01-54 01F022642 44712200.000000000000 PA USD 36785665.900000000000 0.1793187072 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 2.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 RA9288 06-01-53 3133KRJ96 10073159.930000000000 PA USD 10395188.780000000000 0.0506733198 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 RA9289 06-01-53 3133KRKA1 10601235.760000000000 PA USD 10919718.080000000000 0.0532302374 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.0875% 04-19-23/04-19-53 LCH N/A 1.000000000000 NC USD 1041072.900000000000 0.0050749074 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-04-19 0.000000000000 USD 0.000000000000 USD 10500000.000000000000 USD 1041072.900000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.1035% 04-19-23/04-19-53 LCH N/A 1.000000000000 NC USD 1011512.250000000000 0.0049308084 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-04-19 0.000000000000 USD 0.000000000000 USD 10500000.000000000000 USD 1011512.250000000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 RA9290 06-01-53 3133KRKB9 5359773.380000000000 PA USD 5505307.310000000000 0.0268366649 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 RA9281 06-01-53 3133KRJ21 3887889.900000000000 PA USD 3913794.910000000000 0.0190785358 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.353% 04-19-23/04-19-30 LCH N/A 1.000000000000 NC USD -1053602.000000000000 -0.0051359828 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-04-19 0.000000000000 USD 0.000000000000 USD 33200000.000000000000 USD -1053602.000000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.0895% 04-20-23/04-20-53 LCH N/A 1.000000000000 NC USD 1037465.100000000000 0.0050573205 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-04-20 0.000000000000 USD 0.000000000000 USD 10500000.000000000000 USD 1037465.100000000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 RA9291 06-01-53 3133KRKC7 3916093.720000000000 PA USD 3986614.740000000000 0.0194335099 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 RA9292 06-01-53 3133KRKD5 11243748.440000000000 PA USD 11484038.590000000000 0.0559811248 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.344% 04-20-23/04-20-30 LCH N/A 1.000000000000 NC USD -1070749.800000000000 -0.0052195730 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-04-20 0.000000000000 USD 0.000000000000 USD 33200000.000000000000 USD -1070749.800000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.128% 04-28-23/04-28-30 LCH N/A 1.000000000000 NC USD -1460594.160000000000 -0.0071199433 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-04-28 0.000000000000 USD 0.000000000000 USD 33200000.000000000000 USD -1460594.160000000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 RA9283 06-01-53 3133KRJ47 5910065.610000000000 PA USD 5971240.700000000000 0.0291079456 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 RA9294 06-01-53 3133KRKF0 13018151.090000000000 PA USD 13306359.940000000000 0.0648643759 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N RISKLESS ISSUER N/A OIS PAYFIX USD 2.9405% 04-28-23/04-28-53 LCH N/A 1.000000000000 NC USD 1325192.920000000000 0.0064599043 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-04-28 0.000000000000 USD 0.000000000000 USD 10600000.000000000000 USD 1325192.920000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.259% 05-01-23/05-01-30 LCH N/A 1.000000000000 NC USD -1222240.670000000000 -0.0059580440 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-05-01 0.000000000000 USD 0.000000000000 USD 33100000.000000000000 USD -1222240.670000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.0535% 05-01-23/05-01-53 LCH N/A 1.000000000000 NC USD 2217934.940000000000 0.0108117446 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-05-01 0.000000000000 USD 0.000000000000 USD 21100000.000000000000 USD 2217934.940000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.285% 05-01-23/05-01-30 LCH N/A 1.000000000000 NC USD -1179214.200000000000 -0.0057483033 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-05-01 0.000000000000 USD 0.000000000000 USD 33200000.000000000000 USD -1179214.200000000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 RA9284 06-01-53 3133KRJ54 2728762.920000000000 PA USD 2776854.640000000000 0.0135363048 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 RA9295 06-01-53 3133KRKG8 3315113.320000000000 PA USD 3434616.520000000000 0.0167426898 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.085% 05-09-23/05-09-53 LCH N/A 1.000000000000 NC USD 1055160.040000000000 0.0051435778 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-05-09 0.000000000000 USD 0.000000000000 USD 10600000.000000000000 USD 1055160.040000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.186% 05-09-23/05-09-30 LCH N/A 1.000000000000 NC USD -1355911.710000000000 -0.0066096489 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-05-09 0.000000000000 USD 0.000000000000 USD 33100000.000000000000 USD -1355911.710000000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 SD8342 07-01-53 3132DWHT3 370304316.680000000000 PA USD 366550912.130000000000 1.7868219614 Long ABS-MBS USGA US N 2 2053-07-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 SD8331 06-01-53 3132DWHG1 91412194.290000000000 PA USD 90485640.290000000000 0.4410894201 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5.500000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.215% 05-10-23/05-10-30 LCH N/A 1.000000000000 NC USD -1308222.760000000000 -0.0063771800 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-05-10 0.000000000000 USD 0.000000000000 USD 33200000.000000000000 USD -1308222.760000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.1135% 05-10-23/05-10-53 LCH N/A 1.000000000000 NC USD 1001880.200000000000 0.0048838551 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-05-10 0.000000000000 USD 0.000000000000 USD 10600000.000000000000 USD 1001880.200000000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 MA5072 07-01-53 31418ET67 140751344.280000000000 PA USD 139324407.150000000000 0.6791632546 Long ABS-MBS USGA US N 2 2053-07-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 SD8316 04-01-53 3132DWGZ0 13131804.210000000000 PA USD 13000972.040000000000 0.0633757047 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 5.500000000000 N N N N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 UST 2YR FUT TUM4 06-28-24 N/A 41046.000000000000 NC USD 3533224.800000000000 0.0172233746 N/A DIR CORP US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Long CME CHICAGO MERCANTILE EXCHANGE UST 2YR FUT TUM4 06-28-24 2024-07-03 8404168500.000000000000 USD 3533224.800000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 UST 5YR FUT FVM4 06-28-24 N/A 31512.000000000000 NC USD 4376988.350000000000 0.0213364601 N/A DIR CORP US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Long CME CHICAGO MERCANTILE EXCHANGE UST 5YR FUT FVM4 06-28-24 2024-07-03 3368829750.000000000000 USD 4376988.350000000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 MA4979 04-01-53 31418EQ94 49100576.560000000000 PA USD 48602893.120000000000 0.2369240232 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 SD2948 11-01-52 3132DQHZ2 28695853.420000000000 PA USD 28468237.910000000000 0.1387738265 Long ABS-MBS USGA US N 2 2052-11-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.0 SD8134 03-01-51 3132DWBB8 692277.800000000000 PA USD 545710.820000000000 0.0026601709 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.0 SD8106 11-01-50 3132DWAF0 24394940.630000000000 PA USD 19320573.420000000000 0.0941818005 Long ABS-MBS USGA US N 2 2050-11-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 SD7544 07-01-51 3132DVLZ6 1519189.000000000000 PA USD 1321987.630000000000 0.0064442795 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 RB5121 08-01-41 3133KYVN6 94534160.460000000000 PA USD 79095597.650000000000 0.3855664964 Long ABS-MBS USGA US N 2 2041-08-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 AL1308 05-01-39 3138EHN24 733.130000000000 PA USD 758.940000000000 0.0000036996 Long ABS-MBS USGA US N 2 2039-05-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 RB5114 06-01-41 3133KYVF3 48941012.160000000000 PA USD 41009484.910000000000 0.1999085143 Long ABS-MBS USGA US N 2 2041-06-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FHARM FRN 8D0226 05-01-52 3142BNHB3 6030124.420000000000 PA USD 5331462.140000000000 0.0259892237 Long ABS-MBS USGA US N 2 2052-05-01 Variable 2.5460000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 FM6548 03-01-51 3140XAH21 10329045.990000000000 PA USD 8300813.860000000000 0.0404638920 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 FS3759 02-01-53 3140XKE97 10786776.810000000000 PA USD 11030676.620000000000 0.0537711259 Long ABS-MBS USGA US N 2 2053-02-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 SD0734 10-01-51 3132DMY74 503546.100000000000 PA USD 437257.280000000000 0.0021314936 Long ABS-MBS USGA US N 2 2051-10-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CB1304 08-01-51 3140QLNW2 320625.430000000000 PA USD 278592.080000000000 0.0013580499 Long ABS-MBS USGA US N 2 2051-08-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 SD0813 01-01-52 3132DM3W3 951168.740000000000 PA USD 825954.030000000000 0.0040262696 Long ABS-MBS USGA US N 2 2052-01-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 BV3076 02-01-52 3140MGM24 8943734.130000000000 PA USD 7050211.460000000000 0.0343675933 Long ABS-MBS USGA US N 2 2052-02-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 947337 10-01-37 31413J4W1 421.160000000000 PA USD 432.260000000000 0.0000021071 Long ABS-MBS USGA US N 2 2037-10-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 954832 01-01-38 31413THH8 1171.890000000000 PA USD 1202.470000000000 0.0000058617 Long ABS-MBS USGA US N 2 2038-01-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 898565 10-01-36 31410VJJ0 246.130000000000 PA USD 255.120000000000 0.0000012436 Long ABS-MBS USGA US N 2 2036-10-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 ZS1044 02-01-36 3132A1ER1 979.040000000000 PA USD 1002.740000000000 0.0000048880 Long ABS-MBS USGA US N 2 2036-02-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 6.5 256708 03-01-27 31371NDM4 5604.040000000000 PA USD 5702.760000000000 0.0000277992 Long ABS-MBS USGA US N 2 2027-03-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 ZI5486 09-01-36 3131WJCX9 1779.820000000000 PA USD 1833.110000000000 0.0000089358 Long ABS-MBS USGA US N 2 2036-09-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 ZI7575 06-01-38 3131WLMY1 1141.290000000000 PA USD 1173.950000000000 0.0000057226 Long ABS-MBS USGA US N 2 2038-06-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 6.5 AD0329 09-01-28 31418MLK6 4925.360000000000 PA USD 5012.090000000000 0.0000244324 Long ABS-MBS USGA US N 2 2028-09-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BV6617 04-01-52 3140MLK74 1380640.850000000000 PA USD 1229903.860000000000 0.0059953997 Long ABS-MBS USGA US N 2 2052-04-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 MA4919 02-01-53 31418EPD6 23327327.570000000000 PA USD 23101915.600000000000 0.1126146704 Long ABS-MBS USGA US N 2 2053-02-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 MA4407 08-01-41 31418D3R1 103136101.250000000000 PA USD 86274483.190000000000 0.4205613359 Long ABS-MBS USGA US N 2 2041-08-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 FM7690 07-01-41 3140XBRL6 13802002.590000000000 PA USD 11559135.760000000000 0.0563472002 Long ABS-MBS USGA US N 2 2041-07-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 SC0175 09-01-41 3132D9FQ2 8637200.890000000000 PA USD 7237404.290000000000 0.0352801003 Long ABS-MBS USGA US N 2 2041-09-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 FM8120 08-01-41 3140XCAW8 9360867.860000000000 PA USD 7860096.080000000000 0.0383155295 Long ABS-MBS USGA US N 2 2041-08-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 SC0169 06-01-41 3132D9FJ8 4389335.160000000000 PA USD 3672499.670000000000 0.0179022964 Long ABS-MBS USGA US N 2 2041-06-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 BT5941 07-01-41 3140LUS77 5320138.890000000000 PA USD 4455595.040000000000 0.0217196433 Long ABS-MBS USGA US N 2 2041-07-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 MA4093 08-01-40 31418DRP9 2722170.420000000000 PA USD 2292821.530000000000 0.0111767935 Long ABS-MBS USGA US N 2 2040-08-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 SC0113 12-01-40 3132D9DS0 2472565.540000000000 PA USD 2078040.510000000000 0.0101298027 Long ABS-MBS USGA US N 2 2040-12-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA5040 06-01-53 31418ES68 77731959.670000000000 PA USD 78108104.620000000000 0.3807527743 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 MA5038 06-01-53 31418ES43 27984890.480000000000 PA USD 27156229.890000000000 0.1323781945 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 SD8332 06-01-53 3132DWHH9 332611411.920000000000 PA USD 334214931.540000000000 1.6291940894 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.0% 09-30-25 9128285C0 28160000.000000000000 PA USD 27405472.510000000000 0.1335931750 Long DBT UST US N 2 2025-09-30 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 MA5039 06-01-53 31418ES50 71008199.120000000000 PA USD 70309904.490000000000 0.3427389683 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 CB6491 06-01-53 3140QSF97 33044152.000000000000 PA USD 33836319.460000000000 0.1649415585 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.0% 02-15-49 912810SF6 21911100.000000000000 PA USD 16981102.500000000000 0.0827776057 Long DBT UST US N 2 2049-02-15 Fixed 3.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TREASURY STRIP (INT) 0.0% 11-15-40 912834JH2 15000000.000000000000 PA USD 6887085.000000000000 0.0335724024 Long DBT UST US N 2 2040-11-15 Fixed 0.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 CB6468 06-01-53 3140QSFJ5 8549827.950000000000 PA USD 8733880.100000000000 0.0425749555 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QG3775 06-01-53 3133C4FQ2 4462689.400000000000 PA USD 4417991.100000000000 0.0215363358 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TSY INFL IX N/B I/L 0.5% 04-15-24 9128286N5 34106166.952000000000 PA USD 34179806.030000000000 0.1666159489 Long DBT UST US N 2 2024-04-15 Fixed 0.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TSY INFL IX N/B I/L 0.125% 10-15-24 912828YL8 358.677000000000 PA USD 356.100000000000 0.0000017359 Long DBT UST US N 2 2024-10-15 Fixed 0.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.375% 11-15-49 912810SK5 9252600.000000000000 PA USD 6295382.070000000000 0.0306880342 Long DBT UST US N 2 2049-11-15 Fixed 2.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.0% 02-15-50 912810SL3 61360000.000000000000 PA USD 38210982.780000000000 0.1862666848 Long DBT UST US N 2 2050-02-15 Fixed 2.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY I/L 0.25% 02-15-50 912810SM1 1867590.736000000000 PA USD 1174320.930000000000 0.0057244502 Long DBT UST US N 2 2050-02-15 Fixed 0.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TSY INFL IX N/B I/L 0.125% 04-15-25 912828ZJ2 76490095.500000000000 PA USD 74619693.510000000000 0.3637478525 Long DBT UST US N 2 2025-04-15 Fixed 0.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 0.5% 04-30-27 912828ZN3 46800000.000000000000 PA USD 41464673.640000000000 0.2021274181 Long DBT UST US N 2 2027-04-30 Fixed 0.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 0.625% 05-15-30 912828ZQ6 30880000.000000000000 PA USD 24804119.140000000000 0.1209123845 Long DBT UST US N 2 2030-05-15 Fixed 0.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 1.25% 05-15-50 912810SN9 177750000.000000000000 PA USD 90319236.530000000000 0.4402782534 Long DBT UST US N 2 2050-05-15 Fixed 1.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.125% 05-15-40 912810SR0 29700000.000000000000 PA USD 18342072.540000000000 0.0894119124 Long DBT UST US N 2 2040-05-15 Fixed 1.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 0.5% 05-31-27 912828ZS2 31400000.000000000000 PA USD 27733192.780000000000 0.1351907096 Long DBT UST US N 2 2027-05-31 Fixed 0.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 1.125% 08-15-40 912810SQ2 54224800.000000000000 PA USD 33157619.290000000000 0.1616331057 Long DBT UST US N 2 2040-08-15 Fixed 1.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 1.625% 11-15-50 912810SS8 292195700.000000000000 PA USD 164177488.160000000000 0.8003143130 Long DBT UST US N 2 2050-11-15 Fixed 1.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.375% 11-15-40 912810ST6 4913600.000000000000 PA USD 3122055.740000000000 0.0152190530 Long DBT UST US N 2 2040-11-15 Fixed 1.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 0.375% 12-31-25 91282CBC4 35000000.000000000000 PA USD 32383043.000000000000 0.1578572867 Long DBT UST US N 2 2025-12-31 Fixed 0.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.875% 02-15-51 912810SU3 42054000.000000000000 PA USD 25189689.960000000000 0.1227919226 Long DBT UST US N 2 2051-02-15 Fixed 1.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.875% 02-15-41 912810SW9 46290600.000000000000 PA USD 31915197.670000000000 0.1555766858 Long DBT UST US N 2 2041-02-15 Fixed 1.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TSY INFL IX N/B I/L 0.125% 02-15-51 912810SV1 69272740.280000000000 PA USD 41314704.440000000000 0.2013963648 Long DBT UST US N 2 2051-02-15 Fixed 0.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY I/L 0.125% 04-15-26 91282CCA7 41661306.060000000000 PA USD 39929772.610000000000 0.1946452519 Long DBT UST US N 2 2026-04-15 Fixed 0.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.25% 05-15-41 912810SY5 44863000.000000000000 PA USD 32771021.770000000000 0.1597485628 Long DBT UST US N 2 2041-05-15 Fixed 2.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.875% 09-30-29 91282CFL0 9600000.000000000000 PA USD 9412125.120000000000 0.0458811895 Long DBT UST US N 2 2029-09-30 Fixed 3.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 4.5% 11-15-25 91282CFW6 456200.000000000000 PA USD 454484.190000000000 0.0022154694 Long DBT UST US N 2 2025-11-15 Fixed 4.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.75% 11-15-42 912810QY7 10000000.000000000000 PA USD 7752344.000000000000 0.0377902716 Long DBT UST US N 2 2042-11-15 Fixed 2.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY I/L 0.625% 02-15-43 912810RA8 45215699.100000000000 PA USD 34721389.480000000000 0.1692560002 Long DBT UST US N 2 2043-02-15 Fixed 0.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.875% 05-15-43 912810RB6 10880000.000000000000 PA USD 8568849.730000000000 0.0417704836 Long DBT UST US N 2 2043-05-15 Fixed 2.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.0% 05-15-45 912810RM2 3350000.000000000000 PA USD 2650425.870000000000 0.0129200037 Long DBT UST US N 2 2045-05-15 Fixed 3.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.875% 08-15-45 912810RN0 100000.000000000000 PA USD 77257.810000000000 0.0003766079 Long DBT UST US N 2 2045-08-15 Fixed 2.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 5.0% 05-15-37 912810PU6 1500000.000000000000 PA USD 1619882.850000000000 0.0078964263 Long DBT UST US N 2 2037-05-15 Fixed 5.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.5% 02-15-46 912810RQ3 3650000.000000000000 PA USD 2620586.120000000000 0.0127745442 Long DBT UST US N 2 2046-02-15 Fixed 2.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.0% 10-31-25 9128285J5 284500.000000000000 PA USD 276603.960000000000 0.0013483585 Long DBT UST US N 2 2025-10-31 Fixed 3.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 1.75% 06-30-24 9128286Z8 38572400.000000000000 PA USD 38120377.760000000000 0.1858250134 Long DBT UST US N 2 2024-06-30 Fixed 1.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.25% 08-15-49 912810SJ8 14524800.000000000000 PA USD 9621545.610000000000 0.0469020494 Long DBT UST US N 2 2049-08-15 Fixed 2.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 1.375% 08-31-26 912828YD6 2500000.000000000000 PA USD 2316993.000000000000 0.0112946219 Long DBT UST US N 2 2026-08-31 Fixed 1.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 1.75% 12-31-24 912828YY0 18000000.000000000000 PA USD 17509219.200000000000 0.0853520108 Long DBT UST US N 2 2024-12-31 Fixed 1.750000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 BY4224 06-01-53 3140NLVS5 1065760.180000000000 PA USD 1074355.540000000000 0.0052371499 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 BW5303 06-01-53 3140MW3M6 230240.800000000000 PA USD 231423.320000000000 0.0011281169 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 0.5% 06-30-27 912828ZV5 14000000.000000000000 PA USD 12330605.000000000000 0.0601078734 Long DBT UST US N 2 2027-06-30 Fixed 0.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 0.25% 07-31-25 91282CAB7 24000000.000000000000 PA USD 22510704.000000000000 0.1097326973 Long DBT UST US N 2 2025-07-31 Fixed 0.250000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CA7739 11-01-50 3140QFS59 23453125.580000000000 PA USD 19582351.370000000000 0.0954578868 Long ABS-MBS USGA US N 2 2050-11-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 FS4774 03-01-53 3140XLJU3 446083.110000000000 PA USD 442123.680000000000 0.0021552158 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 BY2260 05-01-53 3140NJQN7 396798.770000000000 PA USD 398874.420000000000 0.0019443890 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 FS4947 01-01-53 3140XLP93 43409424.750000000000 PA USD 39976043.120000000000 0.1948708062 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 4.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.375% 08-15-50 912810SP4 71480000.000000000000 PA USD 37532589.740000000000 0.1829597292 Long DBT UST US N 2 2050-08-15 Fixed 1.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 0.625% 08-15-30 91282CAE1 14510000.000000000000 PA USD 11557554.530000000000 0.0563394922 Long DBT UST US N 2 2030-08-15 Fixed 0.625000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMA 0.75% 10-08-27 3135G05Y5 21700000.000000000000 PA USD 19063779.840000000000 0.0929300115 Long DBT USGA US N 2 2027-10-08 Fixed 0.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 0.5% 08-31-27 91282CAH4 58455000.000000000000 PA USD 51186939.120000000000 0.2495204457 Long DBT UST US N 2 2027-08-31 Fixed 0.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 0.25% 08-31-25 91282CAJ0 82711800.000000000000 PA USD 77326393.350000000000 0.3769421744 Long DBT UST US N 2 2025-08-31 Fixed 0.250000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 FS4775 06-01-53 3140XLJV1 7624131.280000000000 PA USD 7670249.650000000000 0.0373900871 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 BX1070 12-01-52 3140N5FL3 97107.290000000000 PA USD 97684.690000000000 0.0004761826 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN BANKS 2549001DPIFGXC1TOL40 FHLB 5.5% 07-15-36 3133XGAY0 1000000.000000000000 PA USD 1100996.200000000000 0.0053670149 Long DBT USGA US N 2 2036-07-15 Fixed 5.500000000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TVA BOND 4.875% 01-15-48 880591EB4 3300000.000000000000 PA USD 3237562.680000000000 0.0157821135 Long DBT USGA US N 2 2048-01-15 Fixed 4.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 0.375% 09-30-27 91282CAL5 45000000.000000000000 PA USD 39105684.000000000000 0.1906280756 Long DBT UST US N 2 2027-09-30 Fixed 0.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 0.5% 10-31-27 91282CAU5 18790000.000000000000 PA USD 16356065.540000000000 0.0797307445 Long DBT UST US N 2 2027-10-31 Fixed 0.500000000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TVA BOND 4.65% 06-15-35 880591DX7 4480000.000000000000 PA USD 4495842.180000000000 0.0219158356 Long DBT USGA US N 2 2035-06-15 Fixed 4.650000000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TVA BOND 5.88% 04-01-36 880591CS9 3625000.000000000000 PA USD 4010787.730000000000 0.0195513457 Long DBT USGA US N 2 2036-04-01 Fixed 5.880000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 3.5 UMBS TBA 04-01-54 01F032641 118500000.000000000000 PA USD 105505645.500000000000 0.5143072850 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 3.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 2.0 UMBS TBA 04-01-54 01F020646 1700000.000000000000 PA USD 1338019.000000000000 0.0065224275 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 2.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 0.375% 11-30-25 91282CAZ4 1320000.000000000000 PA USD 1224863.510000000000 0.0059708296 Long DBT UST US N 2 2025-11-30 Fixed 0.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.375% 11-30-30 91282CJM4 35000000.000000000000 PA USD 35199608.500000000000 0.1715871695 Long DBT UST US N 2 2030-11-30 Fixed 4.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.375% 12-15-26 91282CJP7 114365800.000000000000 PA USD 114134255.000000000000 0.5563690790 Long DBT UST US N 2 2026-12-15 Fixed 4.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.75% 12-31-28 91282CJR3 2650700.000000000000 PA USD 2591162.890000000000 0.0126311151 Long DBT UST US N 2 2028-12-31 Fixed 3.750000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FHR 3156 PO PAC PO .0% 05-15-36 31396RAU1 362566.400000000000 PA USD 305435.720000000000 0.0014889044 Long ABS-CBDO USGA US N 2 2036-05-15 Fixed 0.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FHR 3146 PO PAC PO .0% 04-15-36 31396JXH3 156762.200000000000 PA USD 132145.200000000000 0.0006441668 Long ABS-CBDO USGA US N 2 2036-04-15 Fixed 0.000000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 0.2405% 03-01-21/03-01-24 LCH N/A 1.000000000000 NC USD -52032.750000000000 -0.0002536435 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2024-03-01 0.000000000000 USD 0.000000000000 USD 467500000.000000000000 USD -52032.750000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.497% 06-16-22/06-16-24 LCH N/A 1.000000000000 NC USD -1819085.440000000000 -0.0088674771 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2024-06-16 0.000000000000 USD 0.000000000000 USD 309200000.000000000000 USD -1819085.440000000000 N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TVA BOND 0.75% 05-15-25 880591EW8 13200000.000000000000 PA USD 12549977.880000000000 0.0611772481 Long DBT USGA US N 2 2025-05-15 Fixed 0.750000000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 TVA BOND 2.875% 02-01-27 880591EU2 5000000.000000000000 PA USD 4777219.000000000000 0.0232874603 Long DBT USGA US N 2 2027-02-01 Fixed 2.875000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.52647% 06-16-22/06-16-24 LCH N/A 1.000000000000 NC USD -1950994.790000000000 -0.0095104942 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2024-06-16 0.000000000000 USD 0.000000000000 USD 336442220.000000000000 USD -1950994.790000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.5291% 06-16-22/06-16-24 LCH N/A 1.000000000000 NC USD -2105508.530000000000 -0.0102637008 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2024-06-16 0.000000000000 USD 0.000000000000 USD 363557780.000000000000 USD -2105508.530000000000 N N N UNITED STATES AGENCY FOR INTERNATIONAL DEVELOPMENT N/A AID-JORDAN 3.0% 06-30-25 418097AF8 3125000.000000000000 PA USD 3027195.630000000000 0.0147566394 Long DBT USGA US N 2 2025-06-30 Fixed 3.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.75% 08-15-41 912810TA6 55890000.000000000000 PA USD 37245448.110000000000 0.1815600028 Long DBT UST US N 2 2041-08-15 Fixed 1.750000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCI UMBS 4.0 MA2717 08-01-36 31418CAT1 3038013.710000000000 PA USD 2930468.020000000000 0.0142851223 Long ABS-MBS USGA US N 2 2036-08-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCI UMBS 4.0 MA2746 09-01-36 31418CBQ6 2912276.600000000000 PA USD 2808232.610000000000 0.0136892626 Long ABS-MBS USGA US N 2 2036-09-01 Fixed 4.000000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.4325% 06-17-22/06-17-24 LCH N/A 1.000000000000 NC USD -1376028.600000000000 -0.0067077125 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2024-06-17 0.000000000000 USD 0.000000000000 USD 227000000.000000000000 USD -1376028.600000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.4585% 06-17-22/06-17-24 LCH N/A 1.000000000000 NC USD -286545.840000000000 -0.0013968221 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2024-06-17 0.000000000000 USD 0.000000000000 USD 47858942.000000000000 USD -286545.840000000000 N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 0.875% 09-30-26 91282CCZ2 400000.000000000000 PA USD 365361.520000000000 0.0017810240 Long DBT UST US N 2 2026-09-30 Fixed 0.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY I/L 0.125% 10-15-26 91282CDC2 93800839.275000000000 PA USD 89528474.470000000000 0.4364235337 Long DBT UST US N 2 2026-10-15 Fixed 0.125000000000 N N N N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.01413% 01-12-23/01-12-53 LCH N/A 1.000000000000 NC USD 1934913.310000000000 0.0094321020 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-01-12 0.000000000000 USD 0.000000000000 USD 17215971.000000000000 USD 1934913.310000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.02% 01-12-23/01-12-53 LCH N/A 1.000000000000 NC USD 1915450.480000000000 0.0093372268 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-01-12 0.000000000000 USD 0.000000000000 USD 17200000.000000000000 USD 1915450.480000000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 4.0 MA2588 04-01-36 31418B2W5 3412767.520000000000 PA USD 3291720.070000000000 0.0160461140 Long ABS-MBS USGA US N 2 2036-04-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 4.0 AS6870 03-01-36 3138WGT46 1664141.700000000000 PA USD 1598757.570000000000 0.0077934471 Long ABS-MBS USGA US N 2 2036-03-01 Fixed 4.000000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.27% 02-16-23/02-16-26 LCH N/A 1.000000000000 NC USD -628458.330000000000 -0.0030635394 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-02-16 0.000000000000 USD 0.000000000000 USD 118859616.000000000000 USD -628458.330000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.265% 02-16-23/02-16-26 LCH N/A 1.000000000000 NC USD -317380.580000000000 -0.0015471318 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-02-16 0.000000000000 USD 0.000000000000 USD 58987191.000000000000 USD -317380.580000000000 N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 1.25% 12-31-26 91282CDQ1 35000000.000000000000 PA USD 32073867.000000000000 0.1563501496 Long DBT UST US N 2 2026-12-31 Fixed 1.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TSY INFL IX N/B I/L 0.125% 01-15-32 91282CDX6 58194820.884000000000 PA USD 50638560.650000000000 0.2468472708 Long DBT UST US N 2 2032-01-15 Fixed 0.125000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 4.0 MA2787 10-01-36 31418CCZ5 5744283.720000000000 PA USD 5540832.680000000000 0.0270098401 Long ABS-MBS USGA US N 2 2036-10-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 4.0 MA2819 11-01-36 31418CDZ4 324749.140000000000 PA USD 313260.160000000000 0.0015270461 Long ABS-MBS USGA US N 2 2036-11-01 Fixed 4.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGTW 4.0 C91909 11-01-36 3128P8DN8 52508.040000000000 PA USD 50725.020000000000 0.0002472687 Long ABS-MBS USGA US N 2 2036-11-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 932606 02-01-40 31412RDK0 35713.700000000000 PA USD 35451.240000000000 0.0001728138 Long ABS-MBS USGA US N 2 2040-02-01 Fixed 5.000000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.3035% 02-17-23/02-17-26 LCH N/A 1.000000000000 NC USD -164319.500000000000 -0.0008010066 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-02-17 0.000000000000 USD 0.000000000000 USD 35408343.000000000000 USD -164319.500000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.2515% 02-17-23/02-17-26 LCH N/A 1.000000000000 NC USD -196687.710000000000 -0.0009587916 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-02-17 0.000000000000 USD 0.000000000000 USD 35064573.000000000000 USD -196687.710000000000 N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.75% 01-31-29 91282CDW8 25000000.000000000000 PA USD 22233397.500000000000 0.1083809141 Long DBT UST US N 2 2029-01-31 Fixed 1.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.25% 02-15-52 912810TD0 500000.000000000000 PA USD 327265.650000000000 0.0015953185 Long DBT UST US N 2 2052-02-15 Fixed 2.250000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BE5009 01-01-45 3140FQR74 357694.280000000000 PA USD 325687.800000000000 0.0015876270 Long ABS-MBS USGA US N 2 2045-01-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 BH3122 06-01-47 3140GRPG3 49913.560000000000 PA USD 47029.300000000000 0.0002292532 Long ABS-MBS USGA US N 2 2047-06-01 Fixed 4.000000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.2675% 02-17-23/02-17-26 LCH N/A 1.000000000000 NC USD -181543.380000000000 -0.0008849676 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-02-17 0.000000000000 USD 0.000000000000 USD 34180592.000000000000 USD -181543.380000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.3005% 02-17-23/02-17-26 LCH N/A 1.000000000000 NC USD -115325.120000000000 -0.0005621742 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-02-17 0.000000000000 USD 0.000000000000 USD 24555023.000000000000 USD -115325.120000000000 N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 1.875% 02-15-32 91282CDY4 16949400.000000000000 PA USD 14236172.250000000000 0.0693969225 Long DBT UST US N 2 2032-02-15 Fixed 1.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 1.875% 02-28-27 91282CEC1 6680000.000000000000 PA USD 6205352.600000000000 0.0302491685 Long DBT UST US N 2 2027-02-28 Fixed 1.875000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS AE1283 12-01-41 31419BM93 38523.180000000000 PA USD 38240.000000000000 0.0001864081 Long ABS-MBS USGA US N 2 2041-12-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 BK9761 08-01-48 3140HPZ34 104467.430000000000 PA USD 101415.310000000000 0.0004943682 Long ABS-MBS USGA US N 2 2048-08-01 Fixed 4.500000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.288% 02-17-23/02-17-26 LCH N/A 1.000000000000 NC USD -122962.220000000000 -0.0005994027 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-02-17 0.000000000000 USD 0.000000000000 USD 24944662.000000000000 USD -122962.220000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.41% 03-09-23/07-28-45 LCH N/A 1.000000000000 NC USD 9838044.660000000000 0.0479574151 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2045-07-28 0.000000000000 USD 0.000000000000 USD 172600000.000000000000 USD 9838044.660000000000 N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY I/L 0.125% 02-15-52 912810TE8 17990827.456000000000 PA USD 10563292.660000000000 0.0514927741 Long DBT UST US N 2 2052-02-15 Fixed 0.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TSY INFL IX N/B I/L 0.125% 04-15-27 91282CEJ6 44543654.568000000000 PA USD 41987607.630000000000 0.2046765591 Long DBT UST US N 2 2027-04-15 Fixed 0.125000000000 N N N N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.916% 03-30-23/07-11-25 LCH N/A 1.000000000000 NC USD 2351390.700000000000 0.0114623001 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2025-07-11 0.000000000000 USD 0.000000000000 USD 188700000.000000000000 USD 2351390.700000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.31% 03-31-23/06-09-30 LCH N/A 1.000000000000 NC USD -7016292.800000000000 -0.0342022504 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-06-09 0.000000000000 USD 0.000000000000 USD 203200000.000000000000 USD -7016292.800000000000 N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 2.75% 04-30-27 91282CEN7 48950000.000000000000 PA USD 46584721.320000000000 0.2270860619 Long DBT UST US N 2 2027-04-30 Fixed 2.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 2.875% 04-30-29 91282CEM9 23500000.000000000000 PA USD 21997285.450000000000 0.1072299411 Long DBT UST US N 2 2029-04-30 Fixed 2.875000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.45% 03-31-23/02-01-28 LCH N/A 1.000000000000 NC USD -3913046.040000000000 -0.0190748853 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2028-02-01 0.000000000000 USD 0.000000000000 USD 166200000.000000000000 USD -3913046.040000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.47% 04-03-23/02-02-28 LCH N/A 1.000000000000 NC USD -997553.010000000000 -0.0048627614 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2028-02-02 0.000000000000 USD 0.000000000000 USD 43700000.000000000000 USD -997553.010000000000 N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 3.25% 05-15-42 912810TH1 36014800.000000000000 PA USD 30308705.130000000000 0.1477455332 Long DBT UST US N 2 2042-05-15 Fixed 3.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 2.625% 05-31-27 91282CET4 3000000.000000000000 PA USD 2839981.200000000000 0.0138440271 Long DBT UST US N 2 2027-05-31 Fixed 2.625000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q54701 03-01-48 3132XXGK9 511894.400000000000 PA USD 466893.760000000000 0.0022759622 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q52069 11-01-47 3132XUJP1 704904.860000000000 PA USD 643036.070000000000 0.0031346013 Long ABS-MBS USGA US N 2 2047-11-01 Fixed 3.500000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.065% 04-07-23/04-07-40 LCH N/A 1.000000000000 NC USD -1581682.050000000000 -0.0077102092 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2040-04-07 0.000000000000 USD 0.000000000000 USD 16700000.000000000000 USD -1581682.050000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.18% 04-17-23/04-17-30 LCH N/A 1.000000000000 NC USD -1362249.120000000000 -0.0066405418 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-04-17 0.000000000000 USD 0.000000000000 USD 33200000.000000000000 USD -1362249.120000000000 N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 3.25% 06-30-29 91282CEV9 6500000.000000000000 PA USD 6185156.250000000000 0.0301507176 Long DBT UST US N 2 2029-06-30 Fixed 3.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.0% 07-15-25 91282CEY3 1015000.000000000000 PA USD 990331.850000000000 0.0048275605 Long DBT UST US N 2 2025-07-15 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BJ8411 08-01-49 3140HAKZ2 1073381.440000000000 PA USD 974787.060000000000 0.0047517845 Long ABS-MBS USGA US N 2 2049-08-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 AE1277 11-01-41 31419BM36 60660.080000000000 PA USD 60157.810000000000 0.0002932507 Long ABS-MBS USGA US N 2 2041-11-01 Fixed 5.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.625% 07-31-29 91282CFC0 63533200.000000000000 PA USD 58542368.530000000000 0.2853758818 Long DBT UST US N 2 2029-07-31 Fixed 2.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 2.75% 07-31-27 91282CFB2 114575600.000000000000 PA USD 108703600.500000000000 0.5298963234 Long DBT UST US N 2 2027-07-31 Fixed 2.750000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 BJ5015 12-01-47 3140H6SD2 1232031.820000000000 PA USD 1160838.860000000000 0.0056587293 Long ABS-MBS USGA US N 2 2047-12-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BJ4901 03-01-48 3140H6NT2 392414.160000000000 PA USD 357483.810000000000 0.0017426227 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N RISKLESS ISSUER N/A OIS PAYFIX USD 2.974% 04-17-23/04-17-53 LCH N/A 1.000000000000 NC USD 1238943.680000000000 0.0060394660 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-04-17 0.000000000000 USD 0.000000000000 USD 10400000.000000000000 USD 1238943.680000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.044% 04-18-23/04-18-53 LCH N/A 1.000000000000 NC USD 1121482.950000000000 0.0054668814 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-04-18 0.000000000000 USD 0.000000000000 USD 10500000.000000000000 USD 1121482.950000000000 N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.125% 08-15-25 91282CFE6 32000000.000000000000 PA USD 31244640.000000000000 0.1523079253 Long DBT UST US N 2 2025-08-15 Fixed 3.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.75% 08-15-32 91282CFF3 7514000.000000000000 PA USD 6709767.560000000000 0.0327080349 Long DBT UST US N 2 2032-08-15 Fixed 2.750000000000 N N N N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.275% 04-18-23/04-18-30 LCH N/A 1.000000000000 NC USD -1192630.320000000000 -0.0058137028 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-04-18 0.000000000000 USD 0.000000000000 USD 33200000.000000000000 USD -1192630.320000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.342% 04-19-23/04-19-30 LCH N/A 1.000000000000 NC USD -1073276.320000000000 -0.0052318890 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-04-19 0.000000000000 USD 0.000000000000 USD 33200000.000000000000 USD -1073276.320000000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 AC0794 10-01-39 31417J3C2 85630.190000000000 PA USD 85000.470000000000 0.0004143509 Long ABS-MBS USGA US N 2 2039-10-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 AX8521 12-01-44 3138YAPF6 159992.140000000000 PA USD 146142.740000000000 0.0007124005 Long ABS-MBS USGA US N 2 2044-12-01 Fixed 3.500000000000 N N N N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 SOFR 90DAY FUT OPT SFRH4P P @ 94.3125 03-15-24 N/A 1800.000000000000 NC USD 11250.000000000000 0.0000548403 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Put Purchased CME CHICAGO MERCANTILE EXCHANGE SOFR 90DAY FUT SFRH4 06-18-24 1000000.000000000000 94.312500000000 USD 2024-03-15 XXXX -160480.040000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 SOFR 90DAY FUT OPT SFRH4P P @ 94.0625 03-15-24 N/A 1800.000000000000 NC USD -11250.000000000000 -0.0000548403 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Put Written CME CHICAGO MERCANTILE EXCHANGE SOFR 90DAY FUT SFRH4 06-18-24 1000000.000000000000 94.062500000000 USD 2024-03-15 XXXX 59432.460000000000 N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 QA2748 09-01-49 31339SBR5 489462.940000000000 PA USD 444145.030000000000 0.0021650692 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q28558 09-01-44 3132M9E75 1312635.980000000000 PA USD 1197655.630000000000 0.0058381996 Long ABS-MBS USGA US N 2 2044-09-01 Fixed 3.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.5% 09-15-25 91282CFK2 10500000.000000000000 PA USD 10299544.500000000000 0.0502070836 Long DBT UST US N 2 2025-09-15 Fixed 3.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 4.125% 09-30-27 91282CFM8 3100000.000000000000 PA USD 3075660.040000000000 0.0149928884 Long DBT UST US N 2 2027-09-30 Fixed 4.125000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 SD8301 02-01-53 3132DWGJ6 181798785.120000000000 PA USD 182852309.080000000000 0.8913482705 Long ABS-MBS USGA US N 2 2053-02-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 SD8290 01-01-53 3132DWF73 265239271.530000000000 PA USD 266778455.020000000000 1.3004621909 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 4.0 Q55971 05-01-48 3132XYT56 661017.280000000000 PA USD 622988.290000000000 0.0030368746 Long ABS-MBS USGA US N 2 2048-05-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 AR1512 01-01-43 3138NXVE4 245118.900000000000 PA USD 225061.310000000000 0.0010971041 Long ABS-MBS USGA US N 2 2043-01-01 Fixed 3.500000000000 N N N N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 SOFR 90DAY FUT OPT SFRH4P P @ 94.125 03-15-24 N/A 956.000000000000 NC USD -5975.000000000000 -0.0000291263 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Put Written CME CHICAGO MERCANTILE EXCHANGE SOFR 90DAY FUT SFRH4 06-18-24 1000000.000000000000 94.125000000000 USD 2024-03-15 XXXX 13891.010000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 SOFR 90DAY FUT OPT SFRH4P P @ 94.375 03-15-24 N/A 956.000000000000 NC USD 5975.000000000000 0.0000291263 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Put Purchased CME CHICAGO MERCANTILE EXCHANGE SOFR 90DAY FUT SFRH4 06-18-24 1000000.000000000000 94.375000000000 USD 2024-03-15 XXXX -46871.490000000000 N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q54709 03-01-48 3132XXGT0 507047.800000000000 PA USD 462341.400000000000 0.0022537709 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q56590 06-01-48 3132Y0KC3 262482.810000000000 PA USD 239439.970000000000 0.0011671956 Long ABS-MBS USGA US N 2 2048-06-01 Fixed 3.500000000000 N N N N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 SOFR 90DAY FUT OPT SFRZ4P P @ 95.5 12-13-24 N/A 2920.000000000000 NC USD -2847000.000000000000 -0.0138782416 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Put Written CME CHICAGO MERCANTILE EXCHANGE SOFR 90DAY FUT SFRZ4 03-18-25 1000000.000000000000 95.500000000000 USD 2024-12-13 XXXX -368626.400000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 SOFR 90DAY FUT OPT SFRZ4P P @ 96 12-13-24 N/A 1460.000000000000 NC USD 2637125.000000000000 0.0128551661 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Put Purchased CME CHICAGO MERCANTILE EXCHANGE SOFR 90DAY FUT SFRZ4 03-18-25 1000000.000000000000 96.000000000000 USD 2024-12-13 XXXX 259774.300000000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA4920 02-01-53 31418EPE4 53116729.710000000000 PA USD 53424806.740000000000 0.2604293559 Long ABS-MBS USGA US N 2 2053-02-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.0 SD8341 07-01-53 3132DWHS5 355717.040000000000 PA USD 345169.320000000000 0.0016825933 Long ABS-MBS USGA US N 2 2053-07-01 Fixed 5.000000000000 N N N N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 UST 10YR FUT OPT 2MH4P P @ 110 03-08-24 N/A 1880.000000000000 NC USD -499375.000000000000 -0.0024342982 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Put Written CME CHICAGO MERCANTILE EXCHANGE UST 10YR FUT TYM4 06-18-24 100000.000000000000 110.000000000000 USD 2024-03-08 XXXX 226656.610000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 UST 10YR FUT OPT 2MH4C C @ 110 03-08-24 N/A 1880.000000000000 NC USD -1321875.000000000000 -0.0064437305 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Call Written CME CHICAGO MERCANTILE EXCHANGE UST 10YR FUT TYM4 06-18-24 100000.000000000000 110.000000000000 USD 2024-03-08 XXXX -163150.810000000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 AE1248 06-01-41 31419BL60 140999.370000000000 PA USD 139788.190000000000 0.0006814241 Long ABS-MBS USGA US N 2 2041-06-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q56589 06-01-48 3132Y0KB5 155078.580000000000 PA USD 141592.640000000000 0.0006902202 Long ABS-MBS USGA US N 2 2048-06-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 RA3384 08-01-50 3133KJXM9 427954.370000000000 PA USD 370099.220000000000 0.0018041189 Long ABS-MBS USGA US N 2 2050-08-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CA7052 09-01-50 3140QEZS4 395010.090000000000 PA USD 341430.920000000000 0.0016643698 Long ABS-MBS USGA US N 2 2050-09-01 Fixed 3.000000000000 N N N N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 UST 10YR FUT OPT 1MH4C C @ 110.5 03-01-24 N/A 328.000000000000 NC USD 46125.000000000000 0.0002248451 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Call Purchased CME CHICAGO MERCANTILE EXCHANGE UST 10YR FUT TYM4 06-18-24 100000.000000000000 110.500000000000 USD 2024-03-01 XXXX -164498.560000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 UST 10YR FUT OPT 1MH4P P @ 110.5 03-01-24 N/A 328.000000000000 NC USD 66625.000000000000 0.0003247762 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Put Purchased CME CHICAGO MERCANTILE EXCHANGE UST 10YR FUT TYM4 06-18-24 100000.000000000000 110.500000000000 USD 2024-03-01 XXXX -118373.560000000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 CA4151 09-01-49 3140QBTH1 5525368.620000000000 PA USD 5051617.990000000000 0.0246250703 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 4.0 Q15874 02-01-43 3132J66L3 31827.760000000000 PA USD 29985.980000000000 0.0001461723 Long ABS-MBS USGA US N 2 2043-02-01 Fixed 4.000000000000 N N N N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 SOFR 90DAY FUT SFRZ4 03-18-25 N/A 499.000000000000 NC USD 22157.780000000000 0.0001080123 N/A DIR CORP US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Long CME CHICAGO MERCANTILE EXCHANGE SOFR 90DAY FUT SFRZ4 03-18-25 2025-03-19 119136250.000000000000 USD 22157.780000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 SOFR 90DAY FUT SFRZ3 03-19-24 N/A 6408.000000000000 NC USD 11898834.960000000000 0.0580031284 N/A DIR CORP US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Short CME CHICAGO MERCANTILE EXCHANGE SOFR 90DAY FUT SFRZ3 03-19-24 2024-03-20 -1516252950.000000000000 USD 11898834.960000000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BW1243 10-01-52 3140MSLZ6 8411919.280000000000 PA USD 8350831.920000000000 0.0407077145 Long ABS-MBS USGA US N 2 2052-10-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 FS4563 05-01-53 3140XLB98 4726195.030000000000 PA USD 4588582.410000000000 0.0223679155 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.000000000000 N N N N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 UST 30YR FUT ULTRA WNM4 06-18-24 N/A 3139.000000000000 NC USD 5531007.710000000000 0.0269619464 N/A DIR CORP US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Long CME CHICAGO MERCANTILE EXCHANGE UST 30YR FUT ULTRA WNM4 06-18-24 2024-06-28 401399625.000000000000 USD 5531007.710000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 UST 20YR FUT USM4 06-18-24 N/A 10875.000000000000 NC USD -7075983.450000000000 -0.0344932237 N/A DIR CORP US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Short CME CHICAGO MERCANTILE EXCHANGE UST 20YR FUT USM4 06-18-24 2024-06-28 -1296843750.000000000000 USD -7075983.450000000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BE5017 02-01-45 3140FQSF5 633122.310000000000 PA USD 576769.990000000000 0.0028115747 Long ABS-MBS USGA US N 2 2045-02-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 4.5 Q58378 09-01-48 3132Y2JY3 456113.040000000000 PA USD 438862.840000000000 0.0021393202 Long ABS-MBS USGA US N 2 2048-09-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.0 SD8315 04-01-53 3132DWGY3 502424.300000000000 PA USD 487541.490000000000 0.0023766135 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.0 SD2716 04-01-53 3132DQAR7 7668815.000000000000 PA USD 7445913.220000000000 0.0362965166 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 AY1829 12-01-44 3138YFA79 69296.180000000000 PA USD 63326.380000000000 0.0003086965 Long ABS-MBS USGA US N 2 2044-12-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 AT0412 03-01-43 3138WMN64 121185.970000000000 PA USD 110586.440000000000 0.0005390746 Long ABS-MBS USGA US N 2 2043-03-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.0 SD8329 06-01-53 3132DWHE6 2457892.160000000000 PA USD 2385042.690000000000 0.0116263431 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BW1289 10-01-52 3140MSNF8 9261692.930000000000 PA USD 9193971.430000000000 0.0448177580 Long ABS-MBS USGA US N 2 2052-10-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q51622 10-01-47 3132XTYU6 589109.800000000000 PA USD 529809.420000000000 0.0025826565 Long ABS-MBS USGA US N 2 2047-10-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q47615 04-01-47 3132WMN91 486820.100000000000 PA USD 437815.820000000000 0.0021342163 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 3.500000000000 N N N N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 UST 10YR FUT TYM4 06-18-24 N/A 15358.000000000000 NC USD 3071749.490000000000 0.0149738256 N/A DIR CORP US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Long CME CHICAGO MERCANTILE EXCHANGE UST 10YR FUT TYM4 06-18-24 2024-06-28 1696099125.000000000000 USD 3071749.490000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 UST 10YR FUT ULTRA UXYM4 06-18-24 N/A 3352.000000000000 NC USD -1572827.060000000000 -0.0076670439 N/A DIR CORP US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Short CME CHICAGO MERCANTILE EXCHANGE UST 10YR FUT ULTRA UXYM4 06-18-24 2024-06-28 -382704141.760000000000 USD -1572827.060000000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 AT3954 04-01-43 3138WRMC1 72545.210000000000 PA USD 66573.580000000000 0.0003245255 Long ABS-MBS USGA US N 2 2043-04-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 4.0 Q56599 06-01-48 3132Y0KM1 954814.020000000000 PA USD 899882.610000000000 0.0043866485 Long ABS-MBS USGA US N 2 2048-06-01 Fixed 4.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q18236 05-01-43 3132J9S25 373943.280000000000 PA USD 342814.370000000000 0.0016711137 Long ABS-MBS USGA US N 2 2043-05-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BE8740 05-01-47 3140FUWA2 522186.850000000000 PA USD 475701.250000000000 0.0023188960 Long ABS-MBS USGA US N 2 2047-05-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CB2292 11-01-51 3140QMRN6 19187812.440000000000 PA USD 16681980.070000000000 0.0813194767 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.5 SD7548 11-01-51 3132DVL52 4250916.700000000000 PA USD 3560334.030000000000 0.0173555237 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 FS0433 12-01-51 3140XFPT2 40585790.220000000000 PA USD 34294343.360000000000 0.1671742829 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 2.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 SD7550 02-01-52 3132DVL78 38441695.700000000000 PA USD 33567942.190000000000 0.1636333026 Long ABS-MBS USGA US N 2 2052-02-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 BX5931 01-01-53 3140NASV6 955221.790000000000 PA USD 960801.240000000000 0.0046836079 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA5073 07-01-53 31418ET75 37933552.220000000000 PA USD 38124509.720000000000 0.1858451554 Long ABS-MBS USGA US N 2 2053-07-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM9976 12-01-51 3140XECN2 9504402.550000000000 PA USD 8315278.230000000000 0.0405344013 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 SD0873 02-01-52 3132DM6J9 28239293.620000000000 PA USD 25659944.780000000000 0.1250842689 Long ABS-MBS USGA US N 2 2052-02-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 BY2061 05-01-53 3140NJJF2 365574.570000000000 PA USD 367623.620000000000 0.0017920511 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB6597 04-01-53 3140QSKK6 10069406.080000000000 PA USD 10152166.530000000000 0.0494886618 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM7687 06-01-51 3140XBRH5 2805780.580000000000 PA USD 2438562.820000000000 0.0118872371 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 SD7553 03-01-52 3132DVMA0 103635418.380000000000 PA USD 90092134.640000000000 0.4391712021 Long ABS-MBS USGA US N 2 2052-03-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QG4632 06-01-53 3133C5ED9 39074329.850000000000 PA USD 38684133.590000000000 0.1885731482 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QG1875 05-01-53 3133C2CL0 722.940000000000 PA USD 716.760000000000 0.0000034940 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CA7606 11-01-50 3140QFNY1 40355199.660000000000 PA USD 35198612.250000000000 0.1715823131 Long ABS-MBS USGA US N 2 2050-11-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 SD8214 05-01-52 3132DWDT7 25433201.410000000000 PA USD 22654751.320000000000 0.1104348833 Long ABS-MBS USGA US N 2 2052-05-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BX9116 04-01-53 3140NEDW2 2493706.570000000000 PA USD 2471250.740000000000 0.0120465806 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QF7144 02-01-53 3133BU5D5 9866513.950000000000 PA USD 9787058.910000000000 0.0477088754 Long ABS-MBS USGA US N 2 2053-02-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BX9431 03-01-53 3140NEPR0 6282295.500000000000 PA USD 6241875.210000000000 0.0304272049 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BX8556 04-01-53 3140NDQJ9 6960406.840000000000 PA USD 6894248.170000000000 0.0336073206 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BY0091 05-01-53 3140NGC57 1844791.960000000000 PA USD 1828268.160000000000 0.0089122400 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BY0204 05-01-53 3140NGGN4 6512978.030000000000 PA USD 6458744.460000000000 0.0314843752 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BX7779 03-01-53 3140NCUD9 6123862.690000000000 PA USD 6084455.630000000000 0.0296598333 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QG3365 05-01-53 3133C3W28 6935241.650000000000 PA USD 6867886.580000000000 0.0334788161 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 SD8350 08-01-53 3132DWH30 302837922.250000000000 PA USD 304337575.640000000000 1.4835512499 Long ABS-MBS USGA US N 2 2053-08-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 MA5070 07-01-53 31418ET42 39538453.390000000000 PA USD 37452641.820000000000 0.1825700079 Long ABS-MBS USGA US N 2 2053-07-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 CB6853 08-01-53 3140QSTK7 6704594.090000000000 PA USD 6351402.780000000000 0.0309611178 Long ABS-MBS USGA US N 2 2053-08-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 CB6719 07-01-53 3140QSPD7 4245873.120000000000 PA USD 4022204.770000000000 0.0196070002 Long ABS-MBS USGA US N 2 2053-07-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 FS5675 01-01-53 3140XMJV9 27260023.180000000000 PA USD 25822056.960000000000 0.1258745155 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.0 SD8361 09-01-53 3132DWJE4 42496724.190000000000 PA USD 41229386.880000000000 0.2009804682 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 QG1653 04-01-53 3133C1ZS2 11866720.310000000000 PA USD 11936983.160000000000 0.0581890890 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 QG0259 04-01-53 3133C0JC7 5945928.140000000000 PA USD 5979290.740000000000 0.0291471871 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 QG5227 06-01-53 3133C5YY1 12016688.820000000000 PA USD 12079235.690000000000 0.0588825260 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB5919 03-01-53 3140QRSH7 11989317.170000000000 PA USD 12057512.410000000000 0.0587766317 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 BX6121 01-01-53 3140NAYT4 14865167.000000000000 PA USD 14964778.480000000000 0.0729486517 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 BX6803 03-01-53 3140NBRZ6 5859508.730000000000 PA USD 5891952.830000000000 0.0287214419 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 QG3763 05-01-53 3133C4FC3 12205166.200000000000 PA USD 12273246.620000000000 0.0598282691 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 BX9806 05-01-53 3140NE3Q6 40295973.430000000000 PA USD 39113125.430000000000 0.1906643503 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.0 SD8348 08-01-53 3132DWHZ9 58325469.380000000000 PA USD 56595477.630000000000 0.2758853927 Long ABS-MBS USGA US N 2 2053-08-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 BY1247 05-01-53 3140NHL55 849630.670000000000 PA USD 824997.330000000000 0.0040216060 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 CB5986 03-01-53 3140QRUL5 288800.820000000000 PA USD 280383.430000000000 0.0013667822 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 BX9041 04-01-53 3140NEBK0 314135.920000000000 PA USD 304902.210000000000 0.0014863037 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA5139 09-01-53 31418EV98 32951927.590000000000 PA USD 33106439.180000000000 0.1613836186 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA5247 01-01-54 31418EZM5 5856010.530000000000 PA USD 5883328.820000000000 0.0286794025 Long ABS-MBS USGA US N 2 2054-01-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 7.0 MA5218 12-01-53 31418EYQ7 5213949.890000000000 PA USD 5355216.650000000000 0.0261050195 Long ABS-MBS USGA US N 2 2053-12-01 Fixed 7.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 7.0 SD8386 12-01-53 3132DWJ79 14410141.220000000000 PA USD 14801117.170000000000 0.0721508536 Long ABS-MBS USGA US N 2 2053-12-01 Fixed 7.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB7438 11-01-53 3140QTHQ5 38341425.900000000000 PA USD 38543638.580000000000 0.1878882786 Long ABS-MBS USGA US N 2 2053-11-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 CB7917 02-01-54 3140QTYP8 34154690.480000000000 PA USD 34789352.940000000000 0.1695873010 Long ABS-MBS USGA US N 2 2054-02-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB7122 09-01-53 3140QS4G3 34786342.460000000000 PA USD 34969805.630000000000 0.1704669518 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB7480 11-01-53 3140QTJ26 26581431.180000000000 PA USD 26721621.650000000000 0.1302596142 Long ABS-MBS USGA US N 2 2053-11-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB7862 01-01-54 3140QTWY1 23929106.790000000000 PA USD 24045234.750000000000 0.1172130585 Long ABS-MBS USGA US N 2 2054-01-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 RJ0856 02-01-54 3142GQ5S7 26380025.390000000000 PA USD 26870878.520000000000 0.1309871952 Long ABS-MBS USGA US N 2 2054-02-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB7932 02-01-54 3140QTY60 30495682.510000000000 PA USD 30643769.540000000000 0.1493788682 Long ABS-MBS USGA US N 2 2054-02-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 CB7933 02-01-54 3140QTY78 30494133.350000000000 PA USD 31060378.910000000000 0.1514097096 Long ABS-MBS USGA US N 2 2054-02-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 RJ0940 02-01-54 3142GRBJ8 14307992.000000000000 PA USD 14376942.210000000000 0.0700831323 Long ABS-MBS USGA US N 2 2054-02-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB7617 12-01-53 3140QTPB9 6089016.730000000000 PA USD 6119881.960000000000 0.0298325256 Long ABS-MBS USGA US N 2 2053-12-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB8003 02-01-54 3140QT3M9 73273288.030000000000 PA USD 73628223.840000000000 0.3589147455 Long ABS-MBS USGA US N 2 2054-02-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 FS7252 11-01-53 3140XPBW8 191337000.000000000000 PA USD 185660796.560000000000 0.9050387755 Long ABS-MBS USGA US N 2 2053-11-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 CB7624 12-01-53 3140QTPJ2 215756732.110000000000 PA USD 219760314.030000000000 1.0712633426 Long ABS-MBS USGA US N 2 2053-12-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNGT 99-T2 A1 7.5% 01-19-39 31359VYH0 76164.900000000000 PA USD 76581.670000000000 0.0003733119 Long ABS-CBDO USGA US N 2 2039-01-19 Variable 7.5000000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNR 2001-4 NA WAC FRN 10-25-25 31359SGT1 101.710000000000 PA USD 102.100000000000 0.0000004977 Long ABS-CBDO USGA US N 2 2025-10-25 Variable 9.0000000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNGT 01-T10 A1 7.0% 12-25-41 3139216A1 27055.780000000000 PA USD 27233.270000000000 0.0001327537 Long ABS-CBDO USGA US N 2 2041-12-25 Fixed 7.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 AT5898 06-01-43 3138WTRU2 7348335.420000000000 PA USD 6529201.770000000000 0.0318278327 Long ABS-MBS USGA US N 2 2043-06-01 Fixed 3.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 4.0 4367 02-20-39 36202EZ85 12697.860000000000 PA USD 12154.350000000000 0.0000592487 Long ABS-MBS USGA US N 2 2039-02-20 Fixed 4.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.339 AG8194 09-20-64 36182DC78 5914.660000000000 PA USD 5749.210000000000 0.0000280256 Long ABS-MBS USGA US N 2 2064-09-20 Fixed 4.339000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 0.625% 11-30-27 91282CAY7 3100000.000000000000 PA USD 2704519.670000000000 0.0131836942 Long DBT UST US N 2 2027-11-30 Fixed 0.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 0.375% 01-31-26 91282CBH3 3162900.000000000000 PA USD 2916721.690000000000 0.0142181132 Long DBT UST US N 2 2026-01-31 Fixed 0.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.25% 03-31-28 91282CBS9 29390000.000000000000 PA USD 26039713.400000000000 0.1269355231 Long DBT UST US N 2 2028-03-31 Fixed 1.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 0.75% 04-30-26 91282CBW0 30000000.000000000000 PA USD 27659328.000000000000 0.1348306417 Long DBT UST US N 2 2026-04-30 Fixed 0.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 1.625% 05-15-31 91282CCB5 62550000.000000000000 PA USD 52444265.630000000000 0.2556495223 Long DBT UST US N 2 2031-05-15 Fixed 1.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.375% 05-15-51 912810SX7 104600000.000000000000 PA USD 70629518.240000000000 0.3442969862 Long DBT UST US N 2 2051-05-15 Fixed 2.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 1.25% 05-31-28 91282CCE9 6300000.000000000000 PA USD 5559503.670000000000 0.0271008554 Long DBT UST US N 2 2028-05-31 Fixed 1.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 1.25% 06-30-28 91282CCH2 59360000.000000000000 PA USD 52262306.990000000000 0.2547625304 Long DBT UST US N 2 2028-06-30 Fixed 1.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 2.0% 08-15-51 912810SZ2 72003500.000000000000 PA USD 44372156.880000000000 0.2163004968 Long DBT UST US N 2 2051-08-15 Fixed 2.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.125% 08-31-28 91282CCV1 50000000.000000000000 PA USD 43561315.000000000000 0.2123478942 Long DBT UST US N 2 2028-08-31 Fixed 1.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.375% 11-15-31 91282CDJ7 20000000.000000000000 PA USD 16242188.000000000000 0.0791756268 Long DBT UST US N 2 2031-11-15 Fixed 1.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 1.875% 11-15-51 912810TB4 20830200.000000000000 PA USD 12420006.750000000000 0.0605436792 Long DBT UST US N 2 2051-11-15 Fixed 1.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.375% 02-15-42 912810TF5 20300000.000000000000 PA USD 14928429.180000000000 0.0727714602 Long DBT UST US N 2 2042-02-15 Fixed 2.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.875% 05-15-52 912810TG3 29000000.000000000000 PA USD 21847422.600000000000 0.1064994063 Long DBT UST US N 2 2052-05-15 Fixed 2.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 2.75% 05-15-25 91282CEQ0 250000.000000000000 PA USD 243704.780000000000 0.0011879852 Long DBT UST US N 2 2025-05-15 Fixed 2.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 4.0% 02-29-28 91282CGP0 46435000.000000000000 PA USD 45876331.230000000000 0.2236328800 Long DBT UST US N 2 2028-02-29 Fixed 4.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 3.875% 03-31-25 91282CGU9 4792600.000000000000 PA USD 4735781.330000000000 0.0230854645 Long DBT UST US N 2 2025-03-31 Fixed 3.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 4.25% 05-31-25 91282CHD6 81165000.000000000000 PA USD 80505396.390000000000 0.3924388278 Long DBT UST US N 2 2025-05-31 Fixed 4.250000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 WI TREASURY NOTE 4.75% 07-31-25 91282CHN4 98358700.000000000000 PA USD 98245459.630000000000 0.4789161316 Long DBT UST US N 2 2025-07-31 Fixed 4.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 WI TREASURY NOTE 4.0% 07-31-30 91282CHR5 8355000.000000000000 PA USD 8227390.740000000000 0.0401059770 Long DBT UST US N 2 2030-07-31 Fixed 4.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.375% 08-15-43 912810TU2 9359500.000000000000 PA USD 9166461.250000000000 0.0446836544 Long DBT UST US N 2 2043-08-15 Fixed 4.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.625% 09-15-26 91282CHY0 134603000.000000000000 PA USD 134994412.060000000000 0.6580558721 Long DBT UST US N 2 2026-09-15 Fixed 4.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.875% 10-31-30 91282CJG7 111277500.000000000000 PA USD 115076580.620000000000 0.5609626240 Long DBT UST US N 2 2030-10-31 Fixed 4.875000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 BK9743 08-01-48 3140HPZH3 278716.810000000000 PA USD 262309.310000000000 0.0012786765 Long ABS-MBS USGA US N 2 2048-08-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BH2848 05-01-47 3140GREW0 68298.970000000000 PA USD 62152.810000000000 0.0003029757 Long ABS-MBS USGA US N 2 2047-05-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 CA2850 12-01-48 3140QAEY2 1714842.930000000000 PA USD 1630224.010000000000 0.0079468362 Long ABS-MBS USGA US N 2 2048-12-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BE8742 05-01-47 3140FUWC8 171257.620000000000 PA USD 157693.850000000000 0.0007687086 Long ABS-MBS USGA US N 2 2047-05-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 FM1443 09-01-49 3140X4S98 3136081.750000000000 PA USD 2848010.690000000000 0.0138831684 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 FM1062 06-01-49 3140X4FC5 4273995.520000000000 PA USD 3913436.980000000000 0.0190767910 Long ABS-MBS USGA US N 2 2049-06-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS AT0300 03-01-43 3138WMKN0 43314.780000000000 PA USD 40076.610000000000 0.0001953610 Long ABS-MBS USGA US N 2 2043-03-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BH2847 05-01-47 3140GREV2 24673.540000000000 PA USD 22464.520000000000 0.0001095076 Long ABS-MBS USGA US N 2 2047-05-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 AD3566 10-01-35 31418Q6C2 13924.430000000000 PA USD 13822.210000000000 0.0000673790 Long ABS-MBS USGA US N 2 2035-10-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 BH2846 05-01-47 3140GREU4 79545.330000000000 PA USD 73211.450000000000 0.0003568831 Long ABS-MBS USGA US N 2 2047-05-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q56591 06-01-48 3132Y0KD1 115755.050000000000 PA USD 105081.860000000000 0.0005122415 Long ABS-MBS USGA US N 2 2048-06-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 695412 06-01-33 31400RR94 2172.680000000000 PA USD 2156.740000000000 0.0000105134 Long ABS-MBS USGA US N 2 2033-06-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q54700 03-01-48 3132XXGJ2 388872.480000000000 PA USD 355003.630000000000 0.0017305325 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q19133 06-01-43 3132JASX4 305687.750000000000 PA USD 279224.670000000000 0.0013611336 Long ABS-MBS USGA US N 2 2043-06-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 BK5232 05-01-48 3140HJY62 707206.960000000000 PA USD 666338.180000000000 0.0032481919 Long ABS-MBS USGA US N 2 2048-05-01 Fixed 4.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 4.0 Q56175 05-01-48 3132XY2H9 594031.230000000000 PA USD 560491.630000000000 0.0027322228 Long ABS-MBS USGA US N 2 2048-05-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.5 AT7161 06-01-43 3138WU5X7 258975.870000000000 PA USD 236555.030000000000 0.0011531324 Long ABS-MBS USGA US N 2 2043-06-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q55056 03-01-48 3132XXTN9 432315.300000000000 PA USD 392460.150000000000 0.0019131215 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.5 RA1463 10-01-49 3133KGTU2 3829209.100000000000 PA USD 3500747.200000000000 0.0170650564 Long ABS-MBS USGA US N 2 2049-10-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q54781 03-01-48 3132XXJ34 364050.900000000000 PA USD 331864.430000000000 0.0016177361 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q54699 03-01-48 3132XXGH6 210181.520000000000 PA USD 193639.810000000000 0.0009439340 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 Q54831 03-01-48 3132XXLM9 146979.720000000000 PA USD 135248.240000000000 0.0006592932 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.0 BK6840 06-01-48 3140HLS64 955341.630000000000 PA USD 900130.530000000000 0.0043878570 Long ABS-MBS USGA US N 2 2048-06-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CB2293 12-01-51 3140QMRP1 18933394.270000000000 PA USD 16440793.980000000000 0.0801437693 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMDI4 3.5 BM6693 08-01-59 3140JBNK8 7105195.580000000000 PA USD 6262625.960000000000 0.0305283584 Long ABS-MBS USGA US N 2 2059-08-01 Fixed 3.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CB2371 12-01-51 3140QMT53 7588179.130000000000 PA USD 6342116.650000000000 0.0309158508 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CB2414 12-01-51 3140QMVG6 41489677.250000000000 PA USD 36224346.780000000000 0.1765824507 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.5 SD7545 09-01-51 3132DVL29 6202820.330000000000 PA USD 5195116.340000000000 0.0253245802 Long ABS-MBS USGA US N 2 2051-09-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 FM9492 11-01-51 3140XDRN8 13405448.300000000000 PA USD 11206539.210000000000 0.0546284014 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CB2319 12-01-51 3140QMSH8 2983602.460000000000 PA USD 2487119.080000000000 0.0121239338 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 CB2372 12-01-51 3140QMT61 1442315.910000000000 PA USD 1200795.780000000000 0.0058535068 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 FM9804 12-01-51 3140XD3N4 6923799.260000000000 PA USD 5794250.650000000000 0.0282451741 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 FM9694 11-01-51 3140XDXY7 6375975.660000000000 PA USD 5352414.780000000000 0.0260913613 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 BT9510 12-01-51 3140LYR88 1121564.300000000000 PA USD 936990.710000000000 0.0045675390 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 2.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 RA5971 09-01-51 3133KMT47 1995493.630000000000 PA USD 1732808.840000000000 0.0084469054 Long ABS-MBS USGA US N 2 2051-09-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 BT9483 12-01-51 3140LYRD7 1132630.990000000000 PA USD 944309.570000000000 0.0046032161 Long ABS-MBS USGA US N 2 2051-12-01 Fixed 2.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 BM1179 04-01-47 3140J5JZ3 127597.720000000000 PA USD 112546.930000000000 0.0005486314 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 AS8310 11-01-46 3138WJGU6 125541.190000000000 PA USD 111305.070000000000 0.0005425777 Long ABS-MBS USGA US N 2 2046-11-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMDI4 5.5 BF0141 09-01-56 3140FXEP3 388962.550000000000 PA USD 398733.680000000000 0.0019437030 Long ABS-MBS USGA US N 2 2056-09-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CB2544 01-01-52 3140QMZJ6 19868968.870000000000 PA USD 17185684.490000000000 0.0837748794 Long ABS-MBS USGA US N 2 2052-01-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 RB5145 02-01-42 3133KYWE5 9017131.310000000000 PA USD 7521477.770000000000 0.0366648703 Long ABS-MBS USGA US N 2 2042-02-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 RB5148 03-01-42 3133KYWH8 38515780.290000000000 PA USD 32099205.360000000000 0.1564736662 Long ABS-MBS USGA US N 2 2042-03-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 MA4540 02-01-42 31418EBJ8 16805115.500000000000 PA USD 14020995.210000000000 0.0683480011 Long ABS-MBS USGA US N 2 2042-02-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 MA4570 03-01-42 31418ECG3 9543548.080000000000 PA USD 7958975.530000000000 0.0387975362 Long ABS-MBS USGA US N 2 2042-03-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 RB5153 04-01-42 3133KYWN5 11719720.100000000000 PA USD 9767261.610000000000 0.0476123697 Long ABS-MBS USGA US N 2 2042-04-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 MA4586 04-01-42 31418ECY4 3025291.420000000000 PA USD 2521898.050000000000 0.0122934705 Long ABS-MBS USGA US N 2 2042-04-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QG5136 06-01-53 3133C5V57 573973.480000000000 PA USD 568750.900000000000 0.0027724842 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BY0849 05-01-53 3140NG5K2 89746.700000000000 PA USD 88953.340000000000 0.0004336199 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BY0007 04-01-53 3140NGAH3 6521259.430000000000 PA USD 6462789.820000000000 0.0315040951 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QG4732 06-01-53 3133C5HH7 45439.740000000000 PA USD 45023.240000000000 0.0002194743 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QG2749 04-01-53 3133C3BS4 1039350.670000000000 PA USD 1029314.700000000000 0.0050175898 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 FS4152 03-01-53 3140XKTJ9 4124534.170000000000 PA USD 4090362.400000000000 0.0199392475 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QF8351 03-01-53 3133BWH48 1982570.480000000000 PA USD 1964051.290000000000 0.0095741406 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QF4136 12-01-52 3133BRSZ8 348238.960000000000 PA USD 345267.790000000000 0.0016830733 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QF4188 12-01-52 3133BRUM4 990819.420000000000 PA USD 982427.180000000000 0.0047890277 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QF7015 01-01-53 3133BUYL5 1765314.180000000000 PA USD 1750686.790000000000 0.0085340549 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 QG2197 05-01-53 3133C2NN4 4342041.640000000000 PA USD 4305933.220000000000 0.0209900884 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 RA5901 09-01-51 3133KMRW7 3199834.770000000000 PA USD 2761617.400000000000 0.0134620279 Long ABS-MBS USGA US N 2 2051-09-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CA6740 08-01-50 3140QEP22 2846023.700000000000 PA USD 2460859.930000000000 0.0119959286 Long ABS-MBS USGA US N 2 2050-08-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 RA6347 11-01-51 3133KNBQ5 3688266.620000000000 PA USD 3183147.440000000000 0.0155168561 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 SD3356 07-01-53 3132DQWR3 28667916.590000000000 PA USD 28831782.400000000000 0.1405459931 Long ABS-MBS USGA US N 2 2053-07-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 FS5192 06-01-53 3140XLXW3 70066183.940000000000 PA USD 69501940.960000000000 0.3388003968 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 SD3369 05-01-53 3132DQW69 6523962.960000000000 PA USD 6469911.930000000000 0.0315388131 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 RA8647 05-01-53 3133KQTC0 1154217.660000000000 PA USD 1093206.870000000000 0.0053290443 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 SD2465 10-01-52 3132DPW20 1093675.160000000000 PA USD 1036448.610000000000 0.0050523654 Long ABS-MBS USGA US N 2 2052-10-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 QE9497 09-01-52 3133BKRS0 2857200.300000000000 PA USD 2706988.710000000000 0.0131957300 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 QE8579 08-01-52 3133BJQ88 2502327.090000000000 PA USD 2370774.750000000000 0.0115567913 Long ABS-MBS USGA US N 2 2052-08-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 QF0212 09-01-52 3133BMGV1 11433113.450000000000 PA USD 10829365.030000000000 0.0527897943 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 FS5554 11-01-52 3140XME44 43048973.390000000000 PA USD 40786448.500000000000 0.1988212810 Long ABS-MBS USGA US N 2 2052-11-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 BU4112 07-01-53 3140M5SA4 143694.810000000000 PA USD 139461.990000000000 0.0006798339 Long ABS-MBS USGA US N 2 2053-07-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 BX5673 12-01-52 3140NAJT1 295232.110000000000 PA USD 286572.360000000000 0.0013969513 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA5191 11-01-53 31418EXV7 112947071.040000000000 PA USD 113475324.490000000000 0.5531569972 Long ABS-MBS USGA US N 2 2053-11-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 RA9857 09-01-53 3133KR5S9 25104250.150000000000 PA USD 25247344.380000000000 0.1230729700 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 RA9636 08-01-53 3133KRV50 3806024.620000000000 PA USD 3827395.450000000000 0.0186573652 Long ABS-MBS USGA US N 2 2053-08-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 SD8373 11-01-53 3132DWJS3 13779131.310000000000 PA USD 13843410.960000000000 0.0674823330 Long ABS-MBS USGA US N 2 2053-11-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 QG9159 08-01-53 3133CAE89 12079941.350000000000 PA USD 12147214.540000000000 0.0592139018 Long ABS-MBS USGA US N 2 2053-08-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 BY8293 08-01-53 3140NRGB6 1544582.240000000000 PA USD 1552606.340000000000 0.0075684742 Long ABS-MBS USGA US N 2 2053-08-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 CB4852 10-01-52 3140QQMA0 7868410.650000000000 PA USD 7453351.990000000000 0.0363327783 Long ABS-MBS USGA US N 2 2052-10-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 FS5749 09-01-53 3140XML79 104911073.580000000000 PA USD 106839339.110000000000 0.5208086275 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.5 SD8369 10-01-53 3132DWJN4 198234348.330000000000 PA USD 201781157.290000000000 0.9836205322 Long ABS-MBS USGA US N 2 2053-10-01 Fixed 6.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 6.5 754334 10-20-32 36230NY74 181553.210000000000 PA USD 183807.920000000000 0.0008960066 Long ABS-MBS USGA US N 2 2032-10-20 Fixed 6.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 6.5 754335 08-20-29 36230NY82 87211.680000000000 PA USD 88542.180000000000 0.0004316157 Long ABS-MBS USGA US N 2 2029-08-20 Fixed 6.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2 5.0 005040 04-20-41 36202FS56 27356.890000000000 PA USD 27152.150000000000 0.0001323583 Long ABS-MBS USGA US N 2 2041-04-20 Fixed 5.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2 5.5 004182 07-20-38 36202EUF4 11365.370000000000 PA USD 11194.580000000000 0.0000545701 Long ABS-MBS USGA US N 2 2038-07-20 Fixed 5.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2 5.5 005187 09-20-41 36202FXQ4 62601.230000000000 PA USD 61660.270000000000 0.0003005747 Long ABS-MBS USGA US N 2 2041-09-20 Fixed 5.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2 4.0 005157 08-20-41 36202FWS1 85325.290000000000 PA USD 78605.920000000000 0.0003831795 Long ABS-MBS USGA US N 2 2041-08-20 Fixed 4.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.0 MA6994 11-20-50 36179VXX3 10974547.640000000000 PA USD 8941710.230000000000 0.0435880629 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 6.5 AA4873 12-20-38 36178CMW0 68777.280000000000 PA USD 69020.130000000000 0.0003364517 Long ABS-MBS USGA US N 2 2038-12-20 Fixed 6.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 5.5 783689 02-20-40 3622A2C26 946104.030000000000 PA USD 963611.690000000000 0.0046973080 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 5.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 6.0 783690 09-20-39 3622A2C34 589579.560000000000 PA USD 609687.170000000000 0.0029720358 Long ABS-MBS USGA US N 2 2039-09-20 Fixed 6.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 5.0 783688 06-20-41 3622A2CZ3 1682459.210000000000 PA USD 1703165.240000000000 0.0083024021 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 5.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 4.5 783687 12-20-41 3622A2CY6 3958261.690000000000 PA USD 3841500.890000000000 0.0187261249 Long ABS-MBS USGA US N 2 2041-12-20 Fixed 4.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.0 MA7051 12-20-50 36179VZQ6 12468516.210000000000 PA USD 10158935.550000000000 0.0495216586 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 3.5 AA2589 03-20-43 36177Y2W5 555170.040000000000 PA USD 495640.270000000000 0.0024160925 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 3.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 MA7534 08-20-51 36179WLP1 28158670.020000000000 PA USD 23856391.300000000000 0.1162925053 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 MA7881 02-20-52 36179WXJ2 5931634.910000000000 PA USD 5023721.080000000000 0.0244890815 Long ABS-MBS USGA US N 2 2052-02-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 4.0 MA8346 10-20-52 36179XHX7 14579993.560000000000 PA USD 13575971.460000000000 0.0661786484 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 4.000000000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-2 N/A GNMA 21-2 AH 1.5% 06-16-63 38380RNG1 5585881.970000000000 PA USD 4204593.900000000000 0.0204960906 Long ABS-CBDO USGA US N 2 2063-06-16 Fixed 1.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 785998 03-20-52 3622ABRT1 10435719.390000000000 PA USD 8748096.590000000000 0.0426442565 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 786647 03-20-52 3622ACHY9 23385524.580000000000 PA USD 19748607.800000000000 0.0962683353 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 BZ3978 11-20-50 3617QYM36 4825677.570000000000 PA USD 4070550.720000000000 0.0198426717 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 786502 02-20-52 3622ACDF4 42691430.590000000000 PA USD 36013380.870000000000 0.1755540573 Long ABS-MBS USGA US N 2 2052-02-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 786706 12-20-51 3622ACKT6 50183701.870000000000 PA USD 42850658.620000000000 0.2088836649 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 786701 03-20-52 3622ACKN9 14794358.640000000000 PA USD 12480787.250000000000 0.0608399652 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 785575 08-20-51 3622ABCL4 4844127.360000000000 PA USD 4044124.570000000000 0.0197138524 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 785659 10-20-51 3622ABE81 9676231.080000000000 PA USD 8099092.500000000000 0.0394805629 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 785847 01-20-52 3622ABL42 18378304.070000000000 PA USD 15383596.180000000000 0.0749902581 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.72 710074 04-20-61 36297E2F1 1390.430000000000 PA USD 1363.390000000000 0.0000066461 Long ABS-MBS USGA US N 2 2061-04-20 Fixed 4.720000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.7 710077 05-20-61 36297E2J3 8990.420000000000 PA USD 8768.370000000000 0.0000427431 Long ABS-MBS USGA US N 2 2061-05-20 Fixed 4.700000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.9 AG8068 01-20-64 36182C6D4 1494.200000000000 PA USD 1469.190000000000 0.0000071618 Long ABS-MBS USGA US N 2 2064-01-20 Fixed 4.900000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RM FRN 894482 02-20-64 3620E1J21 766691.880000000000 PA USD 781560.340000000000 0.0038098642 Long ABS-MBS USGA US N 2 2064-02-20 Variable 7.6650000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 2.5 MA8147 07-20-52 36179XBQ8 330314.320000000000 PA USD 279612.390000000000 0.0013630236 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 2.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 3.5 MA8266 09-20-52 36179XFF8 19249305.710000000000 PA USD 17419139.470000000000 0.0849129000 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 3.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 4.5 MA9169 09-20-53 36179YFJ8 15735581.620000000000 PA USD 15032909.220000000000 0.0732807680 Long ABS-MBS USGA US N 2 2053-09-20 Fixed 4.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 4.5 MA9104 08-20-53 36179YDH4 41322731.600000000000 PA USD 39477878.250000000000 0.1924424071 Long ABS-MBS USGA US N 2 2053-08-20 Fixed 4.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RM FRN 894475 10-20-63 3620E1H23 552564.790000000000 PA USD 563300.020000000000 0.0027459128 Long ABS-MBS USGA US N 2 2063-10-20 Variable 7.6630000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 4.5 MA9015 07-20-53 36179YAQ7 37907055.720000000000 PA USD 36212344.980000000000 0.1765239456 Long ABS-MBS USGA US N 2 2053-07-20 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 MA5192 11-01-53 31418EXW5 301073233.410000000000 PA USD 306494960.200000000000 1.4940678302 Long ABS-MBS USGA US N 2 2053-11-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 BW1403 12-01-52 3140MSRZ0 64443423.050000000000 PA USD 62565155.040000000000 0.3049857178 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 5.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 3.0 TBA 03-01-54 21H030633 8926639.000000000000 PA USD 7827394.820000000000 0.0381561210 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 3.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 5.0 TBA 03-01-54 21H050631 13197459.000000000000 PA USD 12892069.800000000000 0.0628448401 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 ZN4636 10-01-48 3131YBEH7 9182620.890000000000 PA USD 8005151.780000000000 0.0390226311 Long ABS-MBS USGA US N 2 2048-10-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA5216 12-01-53 31418EYN4 10561079.700000000000 PA USD 10610378.820000000000 0.0517223045 Long ABS-MBS USGA US N 2 2053-12-01 Fixed 6.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 4.0 TBA 03-01-54 21H040632 102871000.000000000000 PA USD 95747800.480000000000 0.4667408182 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 4.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 5.5 TBA 03-01-54 21H052637 49888088.000000000000 PA USD 49562668.000000000000 0.2416026280 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 5.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 SD4053 10-01-53 3132E0QE5 73157705.190000000000 PA USD 73512812.690000000000 0.3583521520 Long ABS-MBS USGA US N 2 2053-10-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 SD3620 08-01-53 3132E0AV4 16042755.070000000000 PA USD 15978776.560000000000 0.0778915778 Long ABS-MBS USGA US N 2 2053-08-01 Fixed 5.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 3.5 TBA 03-01-54 21H032639 178000000.000000000000 PA USD 161012036.000000000000 0.7848837159 Long ABS-MBS USGA US N 2 2054-03-01 Fixed 3.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 5.0 TBA 04-01-54 21H050649 13750000.000000000000 PA USD 13432897.500000000000 0.0654812073 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 SD8393 01-01-54 3132DWKE2 2356823.240000000000 PA USD 2231864.470000000000 0.0108796468 Long ABS-MBS USGA US N 2 2054-01-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 SD8381 12-01-53 3132DWJ20 10979370.730000000000 PA USD 10397244.490000000000 0.0506833408 Long ABS-MBS USGA US N 2 2053-12-01 Fixed 4.500000000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 GNR 12-H20 PT FRN 07-20-62 38375BVS8 401859.100000000000 PA USD 400588.820000000000 0.0019527462 Long ABS-CBDO USGA US N 2 2062-07-20 Variable 6.0736200000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.95 751409 07-20-61 36230KR60 990.520000000000 PA USD 946.760000000000 0.0000046152 Long ABS-MBS USGA US N 2 2061-07-20 Fixed 4.950000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 SD8370 11-01-53 3132DWJP9 9898964.890000000000 PA USD 9374131.670000000000 0.0456959832 Long ABS-MBS USGA US N 2 2053-11-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 SD8396 01-01-54 3132DWKH5 35736403.100000000000 PA USD 35903113.420000000000 0.1750165377 Long ABS-MBS USGA US N 2 2054-01-01 Fixed 6.000000000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 GNR 12-H23 FI I/O FRN 10-20-62 38375BXS6 114499.180000000000 PA USD 1258.800000000000 0.0000061363 Long ABS-CBDO USGA US N 2 2062-10-20 Variable 0.5250000000000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 GNR 03-46 NB PAC1 5.0% 06-20-33 38373Q3R0 71573.200000000000 PA USD 71065.600000000000 0.0003464227 Long ABS-CBDO USGA US N 2 2033-06-20 Fixed 5.000000000000 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GNSF 6.0 782365 07-15-38 36241KTW8 104539.640000000000 PA USD 107516.510000000000 0.0005241096 Long ABS-MBS USGA US N 2 2038-07-15 Fixed 6.000000000000 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GNSF 5.5 700778 10-15-38 36296TQ71 49534.460000000000 PA USD 50092.860000000000 0.0002441871 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.500000000000 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GNSF 5.0 698406 07-15-39 36296Q3P2 255837.900000000000 PA USD 256948.240000000000 0.0012525429 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 5.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 4.5 004636 02-20-40 36202FEH5 372995.520000000000 PA USD 365875.410000000000 0.0017835291 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 4.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.7 756695 11-20-61 36230RNL6 1095.400000000000 PA USD 1067.900000000000 0.0000052057 Long ABS-MBS USGA US N 2 2061-11-20 Fixed 4.700000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RM FRN AG8149 06-20-64 36182DBS3 63349.210000000000 PA USD 63194.510000000000 0.0003080536 Long ABS-MBS USGA US N 2 2064-06-20 Variable 5.4750000000000000 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GNSF 4.0 741910 100% MOD 02-15-39 3620AWGT1 104214.250000000000 PA USD 99052.520000000000 0.0004828503 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 4.000000000000 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GNSF 5.0 736084 100% MOD 06-15-40 3620APXM2 101366.800000000000 PA USD 100445.380000000000 0.0004896401 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.901 795533 05-20-63 36177QEF6 329.240000000000 PA USD 323.730000000000 0.0000015781 Long ABS-MBS USGA US N 2 2063-05-20 Fixed 4.901000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 5.073 795471 02-20-62 36177QCH4 381.630000000000 PA USD 375.900000000000 0.0000018324 Long ABS-MBS USGA US N 2 2062-02-20 Fixed 5.073000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.729 759735 03-20-62 36230UY86 667.250000000000 PA USD 653.420000000000 0.0000031852 Long ABS-MBS USGA US N 2 2062-03-20 Fixed 4.729000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.45 767641 05-20-63 36176JS68 447.590000000000 PA USD 436.210000000000 0.0000021264 Long ABS-MBS USGA US N 2 2063-05-20 Fixed 4.450000000000 N N N N N N GINNIE MAE I POOL 549300M8ZYFG0OCMTT87 GNSF 736089 06-15-40 3620APXS9 126753.740000000000 PA USD 125484.300000000000 0.0006116970 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF MA5332 07-20-48 36179T4R3 10656.410000000000 PA USD 10575.740000000000 0.0000515535 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 5.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.592 767610 11-20-62 36176JR77 346.770000000000 PA USD 338.920000000000 0.0000016521 Long ABS-MBS USGA US N 2 2062-11-20 Fixed 4.592000000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 GNR 12-H12 FT FRN (H15T1Y+70) 05-20-62 38375BRN4 269552.800000000000 PA USD 269108.580000000000 0.0013118208 Long ABS-CBDO USGA US N 2 2062-05-20 Variable 5.5100000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 5.2 AG8171 07-20-64 36182DCG8 442.390000000000 PA USD 428.300000000000 0.0000020878 Long ABS-MBS USGA US N 2 2064-07-20 Fixed 5.200000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 3.75 AH5901 11-20-34 36182NRW5 768870.070000000000 PA USD 732853.890000000000 0.0035724353 Long ABS-MBS USGA US N 2 2034-11-20 Fixed 3.750000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 5.0 MA6042 07-20-49 36179UWB4 20736.620000000000 PA USD 20573.280000000000 0.0001002884 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 6.5 738836 11-20-38 3620ASY94 61503.780000000000 PA USD 62173.130000000000 0.0003030747 Long ABS-MBS USGA US N 2 2038-11-20 Fixed 6.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.334 AL7438 01-20-65 36184EHP9 1788.330000000000 PA USD 1748.920000000000 0.0000085254 Long ABS-MBS USGA US N 2 2065-01-20 Fixed 4.334000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 5.185 AG8189 09-20-64 36182DC29 1546.300000000000 PA USD 1526.900000000000 0.0000074432 Long ABS-MBS USGA US N 2 2064-09-20 Fixed 5.134000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_17-1 N/A SCRT 17-1 HA FRN 01-25-56 35563PAP4 14541687.870000000000 PA USD 13365061.740000000000 0.0651505290 Long ABS-CBDO USGA US N 2 2056-01-25 Variable 3.0000000000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_17-2 N/A SCRT 17-2 HA FRN 08-25-56 35563PBF5 16475799.870000000000 PA USD 15125443.310000000000 0.0737318429 Long ABS-CBDO USGA US N 2 2056-08-25 Variable 3.0000000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 6.5 754287 11-20-38 36230NXQ3 54468.340000000000 PA USD 54996.960000000000 0.0002680931 Long ABS-MBS USGA US N 2 2038-11-20 Fixed 6.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2 6.5 005112 07-20-41 36202FVD5 46503.060000000000 PA USD 47005.480000000000 0.0002291371 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 6.500000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_17-2 N/A SCRT 17-2 MA 3.0% 08-25-56 35563PBC2 16404219.590000000000 PA USD 15052265.830000000000 0.0733751254 Long ABS-CBDO USGA US N 2 2056-08-25 Fixed 3.000000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_17-4 N/A SCRT 17-4 MT 3.5% 06-25-57 35563PCM9 5836214.710000000000 PA USD 5196635.610000000000 0.0253319862 Long ABS-CBDO USGA US N 2 2057-06-25 Fixed 3.500000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_17-4 N/A SCRT 17-4 HT FRN% 06-25-57 35563PDD8 10344795.510000000000 PA USD 9127492.390000000000 0.0444936933 Long ABS-CBDO USGA US N 2 2057-06-25 Variable 3.2500000000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_18-2 N/A SCRT 18-2 MT 3.5% 11-25-57 35563PFF1 11253347.130000000000 PA USD 9941229.360000000000 0.0484604085 Long ABS-CBDO USGA US N 2 2057-11-25 Fixed 3.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 4.0 754591 01-20-42 36230PC40 920583.840000000000 PA USD 879257.910000000000 0.0042861095 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 4.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 3.5 754636 11-20-41 36230PEH9 434724.330000000000 PA USD 395098.340000000000 0.0019259818 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 3.500000000000 N N N N N N SEASONED LOAN STRUCTURED TRANSACTION SLST_18-1 N/A SLST 18-1 A1 3.5% 06-25-28 35564CAA5 11717213.430000000000 PA USD 11178373.940000000000 0.0544911045 Long ABS-CBDO USGA US N 2 2028-06-25 Fixed 3.500000000000 N N N N N N FREDDIE MAC - SLST SLST_18-2 N/A SLST 18-2 A1 3.5% 11-25-28 35564CAN7 57130044.210000000000 PA USD 53836725.680000000000 0.2624373330 Long ABS-CBDO USGA US N 2 2028-11-25 Fixed 3.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 4.0 754637 01-20-42 36230PEJ5 446242.440000000000 PA USD 425780.890000000000 0.0020755497 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 4.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 6.5 754319 01-20-37 36230NYQ2 99301.460000000000 PA USD 101646.170000000000 0.0004954935 Long ABS-MBS USGA US N 2 2037-01-20 Fixed 6.500000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_19-2 N/A SCRT 19-2 MA 3.5% 08-25-58 35563PKG3 19257420.750000000000 PA USD 18003030.880000000000 0.0877591895 Long ABS-CBDO USGA US N 2 2058-08-25 Fixed 3.500000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_19-1 N/A SCRT 19-1 MA 3.5% 07-25-58 35563PJF7 3202018.430000000000 PA USD 3010303.980000000000 0.0146742979 Long ABS-CBDO USGA US N 2 2058-07-25 Fixed 3.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2SF 6.5 754314 01-20-39 36230NYK5 430480.540000000000 PA USD 446421.660000000000 0.0021761671 Long ABS-MBS USGA US N 2 2039-01-20 Fixed 6.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RM FRN 892950 07-20-60 3620E0DY9 157173.550000000000 PA USD 157239.090000000000 0.0007664918 Long ABS-MBS USGA US N 2 2060-07-20 Variable 5.9910000000000000 N N N N N N FREDDIE MAC - SLST SLST_19-2 N/A SLST 19-2 A1C 2.75% 09-25-29 35564CCZ8 36777530.400000000000 PA USD 33789870.940000000000 0.1647151363 Long ABS-CBDO USGA US N 2 2029-09-25 Fixed 2.750000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_19-4 N/A SCRT 19-4 MA 3.0% 02-25-59 35563PML0 11753988.810000000000 PA USD 10683270.950000000000 0.0520776310 Long ABS-CBDO USGA US N 2 2059-02-25 Fixed 3.000000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 4.899 AG8150 07-20-64 36182DBT1 1634.020000000000 PA USD 1602.540000000000 0.0000078119 Long ABS-MBS USGA US N 2 2064-07-20 Fixed 4.899000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RF 5.19 AG8155 07-20-64 36182DBY0 2174.000000000000 PA USD 2150.300000000000 0.0000104820 Long ABS-MBS USGA US N 2 2064-07-20 Fixed 5.190000000000 N N N N N N FREDDIE MAC - SLST SLST_19-3 N/A SLST 19-3 A1C 2.75% 11-25-2029 35564CEE3 20245281.070000000000 PA USD 18716802.840000000000 0.0912386063 Long ABS-CBDO USGA US N 2 2029-11-25 Fixed 2.750000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_19-3 N/A SCRT 19-3 MT 3.5% 10-25-58 35563PLG2 4267043.320000000000 PA USD 3766604.480000000000 0.0183610281 Long ABS-CBDO USGA US N 2 2058-10-25 Fixed 3.500000000000 N N N N N N GINNIE MAE II POOL 549300M8ZYFG0OCMTT87 G2RM FRN AG8156 07-20-64 36182DBZ7 37868.780000000000 PA USD 37901.840000000000 0.0001847597 Long ABS-MBS USGA US N 2 2064-07-20 Variable 5.9470000000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_19-2 N/A SCRT 19-2 MT 3.5% 08-25-58 35563PKF5 9603392.970000000000 PA USD 8466821.810000000000 0.0412731292 Long ABS-CBDO USGA US N 2 2058-08-26 Fixed 3.500000000000 N N N N N N STRUCTURED AGENCY CREDIT RISK STACR_19-3SC N/A SCRT 19-3 MA 3.5% 10-25-58 35563PLH0 447768.020000000000 PA USD 419563.560000000000 0.0020452422 Long ABS-CBDO USGA US N 2 2058-10-25 Fixed 3.500000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_19-1 N/A SCRT 19-1 MT 3.5% 07-25-58 35563PJE0 8276796.400000000000 PA USD 7314883.680000000000 0.0356577882 Long ABS-CBDO USGA US N 2 2058-07-25 Fixed 3.500000000000 N N N N N N SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1 N/A SLST 20-1 A1D 2.0% 07-25-30 35564CEV5 14095590.080000000000 PA USD 12584077.670000000000 0.0613434740 Long ABS-CBDO USGA US N 2 2030-07-25 Fixed 2.000000000000 N N N N N N SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1 N/A SLST 20-1 A2D 2.0% 07-25-30 35564CEZ6 4381000.000000000000 PA USD 3647524.220000000000 0.0177805488 Long ABS-CBDO USGA US N 2 2030-07-25 Fixed 2.000000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCI 2.5 UMBS TBA 04-01-39 01F022444 27500000.000000000000 PA USD 24968487.500000000000 0.1217136292 Long ABS-MBS USGA US N 2 2039-04-01 Fixed 2.500000000000 N N N N N N UNIFORM MBS B1V7KEBTPIMZEU4LTD58 FNCL 4.0 UMBS TBA 05-01-54 01F040651 32500000.000000000000 PA USD 29939812.500000000000 0.1459472961 Long ABS-MBS USGA US N 2 2054-05-01 Fixed 4.000000000000 N N N N N N CAPITAL GROUP CENTRAL CASH FUND 549300YD0SRETB6WWP29 CAPITAL GROUP CENTRAL CASH FUND 14020B102 29052826.590000000000 NS USD 2905282659.000000000000 14.1623514974 Long STIV RF US N 1 N N N RISKLESS ISSUER N/A FSWP: OIS PAYFIX USD 0.11% 05-18-23/05-18-24 LCH N/A 1.000000000000 NC USD 8363035.590000000000 0.0407672036 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2024-05-18 0.000000000000 USD 0.000000000000 USD 718900000.000000000000 USD 8363035.590000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.16% 06-20-23/06-20-28 LCH N/A 1.000000000000 NC USD -1401051.960000000000 -0.0068296936 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2028-06-20 0.000000000000 USD 0.000000000000 USD 39600000.000000000000 USD -1401051.960000000000 N N N RISKLESS ISSUER N/A FSWP: OIS PAYFIX USD 3.1% 06-20-23/06-20-33 LCH N/A 1.000000000000 NC USD 1281543.280000000000 0.0062471258 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2033-06-20 0.000000000000 USD 0.000000000000 USD 21400000.000000000000 USD 1281543.280000000000 N N N RISKLESS ISSUER N/A FSWP: OIS PAYFIX USD 3.175% 02-01-28/02-01-38 LCH N/A 1.000000000000 NC USD 3723166.400000000000 0.0181492810 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2038-02-01 0.000000000000 USD 0.000000000000 USD 92000000.000000000000 USD 3723166.400000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.5405% 01-23-25/01-23-27 LCH N/A 1.000000000000 NC USD -959886.360000000000 -0.0046791482 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2027-01-23 0.000000000000 USD 0.000000000000 USD 160200000.000000000000 USD -959886.360000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.535% 01-23-25/01-23-27 LCH N/A 1.000000000000 NC USD -1057048.750000000000 -0.0051527847 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2027-01-23 0.000000000000 USD 0.000000000000 USD 173500000.000000000000 USD -1057048.750000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.53% 01-23-25/01-23-27 LCH N/A 1.000000000000 NC USD -598620.880000000000 -0.0029180910 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2027-01-23 0.000000000000 USD 0.000000000000 USD 96800000.000000000000 USD -598620.880000000000 N N N RISKLESS ISSUER N/A FSWP: OIS PAYFIX USD 3.5485% 01-29-25/01-29-30 LCH N/A 1.000000000000 NC USD 487102.560000000000 0.0023744738 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-01-29 0.000000000000 USD 0.000000000000 USD 69600000.000000000000 USD 487102.560000000000 N N N RISKLESS ISSUER N/A FSWP: OIS PAYFIX USD 3.529% 01-29-25/01-29-30 LCH N/A 1.000000000000 NC USD 501971.200000000000 0.0024469538 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-01-29 0.000000000000 USD 0.000000000000 USD 64000000.000000000000 USD 501971.200000000000 N N N RISKLESS ISSUER N/A FSWP: OIS PAYFIX USD 3.528% 01-29-25/01-29-30 LCH N/A 1.000000000000 NC USD 413257.840000000000 0.0020145037 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-01-29 0.000000000000 USD 0.000000000000 USD 52400000.000000000000 USD 413257.840000000000 N N N RISKLESS ISSUER N/A FSWP: OIS PAYFIX USD 3.3985% 03-17-26/03-17-56 LCH N/A 1.000000000000 NC USD 62847.900000000000 0.0003063640 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2056-03-17 0.000000000000 USD 0.000000000000 USD 4393391.000000000000 USD 62847.900000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.355% 03-17-26/03-17-28 LCH N/A 1.000000000000 NC USD -195185.970000000000 -0.0009514710 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2028-03-17 0.000000000000 USD 0.000000000000 USD 42700000.000000000000 USD -195185.970000000000 N N N RISKLESS ISSUER N/A FSWP: OIS PAYFIX USD 3.413% 03-17-26/03-17-56 LCH N/A 1.000000000000 NC USD 49930.440000000000 0.0002433954 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2056-03-17 0.000000000000 USD 0.000000000000 USD 4200000.000000000000 USD 49930.440000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.379% 03-17-26/03-17-28 LCH N/A 1.000000000000 NC USD -176265.200000000000 -0.0008592382 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2028-03-17 0.000000000000 USD 0.000000000000 USD 42474565.000000000000 USD -176265.200000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.624% 02-20-26/02-20-28 LCH N/A 1.000000000000 NC USD 9203.600000000000 0.0000448647 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2028-02-20 0.000000000000 USD 0.000000000000 USD 133000000.000000000000 USD 9203.600000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.7645% 02-20-25/02-20-27 LCH N/A 1.000000000000 NC USD -401000.000000000000 -0.0019547506 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2027-02-20 0.000000000000 USD 0.000000000000 USD 320800000.000000000000 USD -401000.000000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.761% 02-20-25/02-20-27 LCH N/A 1.000000000000 NC USD -211028.400000000000 -0.0010286980 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2027-02-20 0.000000000000 USD 0.000000000000 USD 160600000.000000000000 USD -211028.400000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.616% 02-20-26/02-20-28 LCH N/A 1.000000000000 NC USD -4588.800000000000 -0.0000223690 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2028-02-20 0.000000000000 USD 0.000000000000 USD 64000000.000000000000 USD -4588.800000000000 N N N RISKLESS ISSUER N/A FSWP: OIS RECFIX USD 3.6475% 02-27-26/02-27-28 LCH N/A 1.000000000000 NC USD 135854.720000000000 0.0006622496 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2028-02-27 0.000000000000 USD 0.000000000000 USD 268700000.000000000000 USD 135854.720000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 2.32625% 04-18-19/04-18-29 LCH N/A 1.000000000000 NC USD 4534886.400000000000 0.0221061641 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2029-04-18 0.000000000000 USD 0.000000000000 USD 60500000.000000000000 USD 4534886.400000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 0.5385% 03-26-20/03-26-30 LCH N/A 1.000000000000 NC USD 41946406.920000000000 0.2044757184 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-03-26 0.000000000000 USD 0.000000000000 USD 233200000.000000000000 USD 41946406.920000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 0.1275% 06-25-20/06-25-25 LCH N/A 1.000000000000 NC USD 8862851.970000000000 0.0432036533 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2025-06-25 0.000000000000 USD 0.000000000000 USD 148100000.000000000000 USD 8862851.970000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 0.126% 06-25-20/06-25-25 LCH N/A 1.000000000000 NC USD 8865651.060000000000 0.0432172980 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2025-06-25 0.000000000000 USD 0.000000000000 USD 148100000.000000000000 USD 8865651.060000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 0.106% 06-30-20/06-30-25 LCH N/A 1.000000000000 NC USD 10021835.320000000000 0.0488533376 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2025-06-30 0.000000000000 USD 0.000000000000 USD 165373000.000000000000 USD 10021835.320000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 0.666% 11-19-20/11-19-30 LCH N/A 1.000000000000 NC USD 20931267.210000000000 0.1020334330 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-11-19 0.000000000000 USD 0.000000000000 USD 111300000.000000000000 USD 20931267.210000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.1605% 05-19-23/05-19-53 LCH N/A 1.000000000000 NC USD 1103650.560000000000 0.0053799540 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2053-05-19 0.000000000000 USD 0.000000000000 USD 12800000.000000000000 USD 1103650.560000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 3.29% 05-19-23/05-19-30 LCH N/A 1.000000000000 NC USD -1406658.340000000000 -0.0068570229 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2030-05-19 0.000000000000 USD 0.000000000000 USD 39700000.000000000000 USD -1406658.340000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.0135% 08-21-23/08-21-33 LCH N/A 1.000000000000 NC USD 164824.500000000000 0.0008034683 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2033-08-21 0.000000000000 USD 0.000000000000 USD 15000000.000000000000 USD 164824.500000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.912% 08-24-23/08-24-25 LCH N/A 1.000000000000 NC USD 264828.400000000000 0.0012909563 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2025-08-24 0.000000000000 USD 0.000000000000 USD 178000000.000000000000 USD 264828.400000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 4.061% 08-24-23/08-24-33 LCH N/A 1.000000000000 NC USD -603761.900000000000 -0.0029431519 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2033-08-24 0.000000000000 USD 0.000000000000 USD 41000000.000000000000 USD -603761.900000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.9519% 08-25-23/08-25-33 LCH N/A 1.000000000000 NC USD -252650.200000000000 -0.0012315913 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2033-08-25 0.000000000000 USD 0.000000000000 USD 41000000.000000000000 USD -252650.200000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.8189% 08-25-23/08-25-25 LCH N/A 1.000000000000 NC USD 31274.600000000000 0.0001524540 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2025-08-25 0.000000000000 USD 0.000000000000 USD 178000000.000000000000 USD 31274.600000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.8195% 09-01-23/09-01-25 LCH N/A 1.000000000000 NC USD 46540.000000000000 0.0002268681 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2025-09-01 0.000000000000 USD 0.000000000000 USD 130000000.000000000000 USD 46540.000000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.8275% 09-01-23/09-01-33 LCH N/A 1.000000000000 NC USD 105987.000000000000 0.0005166537 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2033-09-01 0.000000000000 USD 0.000000000000 USD 29400000.000000000000 USD 105987.000000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 4.1615% 11-10-23/05-15-33 LCH N/A 1.000000000000 NC USD -99932.400000000000 -0.0004871394 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2033-05-15 0.000000000000 USD 0.000000000000 USD 4500000.000000000000 USD -99932.400000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 4.15% 11-10-23/05-15-33 LCH N/A 1.000000000000 NC USD -230311.080000000000 -0.0011226951 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2033-05-15 0.000000000000 USD 0.000000000000 USD 10800000.000000000000 USD -230311.080000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.6038% 01-08-24/01-08-34 LCH N/A 1.000000000000 NC USD 1325471.840000000000 0.0064612639 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2034-01-08 0.000000000000 USD 0.000000000000 USD 61600000.000000000000 USD 1325471.840000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.184% 01-10-24/01-10-26 LCH N/A 1.000000000000 NC USD -1810599.960000000000 -0.0088261130 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-01-10 0.000000000000 USD 0.000000000000 USD 244751742.000000000000 USD -1810599.960000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.2035% 01-10-24/01-10-26 LCH N/A 1.000000000000 NC USD -1726160.620000000000 -0.0084144974 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-01-10 0.000000000000 USD 0.000000000000 USD 244751743.000000000000 USD -1726160.620000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.2045% 01-10-24/01-10-26 LCH N/A 1.000000000000 NC USD -94947.980000000000 -0.0004628419 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-01-10 0.000000000000 USD 0.000000000000 USD 13496515.000000000000 USD -94947.980000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.486% 01-17-24/01-17-54 LCH N/A 1.000000000000 NC USD 186750.410000000000 0.0009103503 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2054-01-17 0.000000000000 USD 0.000000000000 USD 6976160.000000000000 USD 186750.410000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.6765% 02-20-24/02-20-54 LCH N/A 1.000000000000 NC USD -304461.260000000000 -0.0014841542 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2054-02-20 0.000000000000 USD 0.000000000000 USD 39763512.000000000000 USD -304461.260000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.6815% 02-20-24/02-20-54 LCH N/A 1.000000000000 NC USD -308709.150000000000 -0.0015048613 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2054-02-20 0.000000000000 USD 0.000000000000 USD 36100000.000000000000 USD -308709.150000000000 N N N RISKLESS ISSUER N/A OIS PAYFIX USD 3.7205% 02-21-24/02-21-54 LCH N/A 1.000000000000 NC USD -469035.260000000000 -0.0022864014 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2054-02-21 0.000000000000 USD 0.000000000000 USD 30136488.000000000000 USD -469035.260000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.568% 03-01-24/03-01-26 LCH N/A 1.000000000000 NC USD 225190.350000000000 0.0010977331 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-03-01 0.000000000000 USD 0.000000000000 USD 368500000.000000000000 USD 225190.350000000000 N N N RISKLESS ISSUER N/A OIS RECFIX USD 4.56% 03-01-24/03-01-26 LCH N/A 1.000000000000 NC USD 172350.000000000000 0.0008401528 N/A DIR CORP US N 2 LCH.CLEARNET (US) LLC WAM6YERMS7OXFZUOY219 Y 2026-03-01 0.000000000000 USD 0.000000000000 USD 375000000.000000000000 USD 172350.000000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 SOFR 90DAY FUT OPT 2QM4C C @ 96 06-14-24 N/A 3342.000000000000 NC USD -3905962.500000000000 -0.0190403552 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Call Written CME CHICAGO MERCANTILE EXCHANGE SOFR 90DAY FUT SFRM6 09-15-26 1000000.000000000000 96.000000000000 USD 2024-06-14 XXXX 101006.360000000000 N N N CME CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 SOFR 90DAY FUT OPT 0QM4C C @ 96 06-14-24 N/A 3341.000000000000 NC USD 2651918.750000000000 0.0129272811 N/A DIR US N 1 CME Clearing SNZ2OJLFK8MNNCLQOF39 Call Purchased CME CHICAGO MERCANTILE EXCHANGE SOFR 90DAY FUT SFRM5 09-16-25 1000000.000000000000 96.000000000000 USD 2024-06-14 XXXX -1231298.220000000000 N N N US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT N/A HUD 15-A 12 3.10% 08-01-26 911759MH8 875000.000000000000 PA USD 843309.600000000000 0.0041108726 Long DBT USGA US N 2 2026-08-01 Fixed 3.100000000000 N N N N N N US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT N/A HUD 15-A 18 3.60% 08-01-32 911759MP0 800000.000000000000 PA USD 725268.800000000000 0.0035354604 Long DBT USGA US N 2 2032-08-01 Fixed 3.600000000000 N N N N N N US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT N/A HUD 15-A 15 3.35% 08-01-29 911759ML9 850000.000000000000 PA USD 800585.510000000000 0.0039026060 Long DBT USGA US N 2 2029-08-01 Fixed 3.350000000000 N N N N N N US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT N/A HUD 15-A 14 3.25% 08-01-28 911759MK1 1250000.000000000000 PA USD 1186777.880000000000 0.0057851739 Long DBT USGA US N 2 2028-08-01 Fixed 3.250000000000 N N N N N N US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT N/A HUD 15-A 19 3.65% 08-01-33 911759MQ8 675000.000000000000 PA USD 609063.980000000000 0.0029689979 Long DBT USGA US N 2 2033-08-01 Fixed 3.650000000000 N N N N N N US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT N/A HUD 15-A 17 3.55% 08-01-31 911759MN5 825000.000000000000 PA USD 752497.350000000000 0.0036681911 Long DBT USGA US N 2 2031-08-01 Fixed 3.550000000000 N N N N N N US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT N/A HUD 15-A 11 2.95% 08-01-25 911759MG0 875000.000000000000 PA USD 851736.550000000000 0.0041519514 Long DBT USGA US N 2 2025-08-01 Fixed 2.950000000000 N N N N N N US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT N/A HUD 15-A 16 3.50% 08-01-30 911759MM7 825000.000000000000 PA USD 769052.630000000000 0.0037488929 Long DBT USGA US N 2 2030-08-01 Fixed 3.500000000000 N N N N N N SEASONED CREDIT RISK TRANSFER SCRT_18-4 N/A SCRT 18-4 MT 3.5% 03-15-57 35563PHE2 1654854.560000000000 PA USD 1462105.380000000000 0.0071273101 Long ABS-CBDO USGA US N 2 2057-11-25 Fixed 3.500000000000 N N N N N N ETHIOPIAN LEASING 2012 LLC N/A ETHAIR SR SEC SF 2.646% 05-12-26 29766DAF1 403087.500000000000 PA USD 390022.180000000000 0.0019012371 Long DBT USGA ET N 2 2026-05-12 Fixed 2.646000000000 N N N N N N SOUTHAVEN COMBINED CYCLE GENERATION LLC N/A TVA SOUTHAVEN STRUCTURED SR SEC 1ST LIEN SF 3.846% 08-15-33 841215AA4 1342933.560000000000 PA USD 1248531.510000000000 0.0060862037 Long DBT USGA US N 2 2033-08-15 Fixed 3.846000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNMA 7.125% 01-15-30 31359MFJ7 5000000.000000000000 PA USD 5713939.000000000000 0.0278536797 Long DBT USGA US N 2 2030-01-15 Fixed 7.125000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 MA4501 12-01-41 31418EAB6 47300429.450000000000 PA USD 39481763.060000000000 0.1924613443 Long ABS-MBS USGA US N 2 2041-12-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 RB5138 12-01-41 3133KYV71 44377080.590000000000 PA USD 37033206.280000000000 0.1805253898 Long ABS-MBS USGA US N 2 2041-12-01 Fixed 2.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCT UMBS 2.0 QK1181 11-01-41 3133D4J20 6726865.280000000000 PA USD 5616098.380000000000 0.0273767370 Long ABS-MBS USGA US N 2 2041-11-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM5166 12-01-50 3140X8W45 3000106.890000000000 PA USD 2594096.420000000000 0.0126454151 Long ABS-MBS USGA US N 2 2050-12-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 AH0351 02-01-41 3138A1L90 192681.280000000000 PA USD 188011.460000000000 0.0009164975 Long ABS-MBS USGA US N 2 2041-02-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.0 MA4305 04-01-51 31418DYB2 119920.630000000000 PA USD 94711.160000000000 0.0004616875 Long ABS-MBS USGA US N 2 2051-04-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 2.0 MA4152 10-01-40 31418DTJ1 3058296.430000000000 PA USD 2566161.490000000000 0.0125092410 Long ABS-MBS USGA US N 2 2040-10-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 555254 01-01-33 31385WZT9 273.210000000000 PA USD 281.740000000000 0.0000013734 Long ABS-MBS USGA US N 2 2033-01-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 AI3510 06-01-41 3138AG3U0 293247.150000000000 PA USD 290849.270000000000 0.0014177999 Long ABS-MBS USGA US N 2 2041-06-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 AI1862 05-01-41 3138AFB82 548565.870000000000 PA USD 543967.240000000000 0.0026516715 Long ABS-MBS USGA US N 2 2041-05-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 AJ0704 09-01-41 3138ARYA6 263724.870000000000 PA USD 261786.760000000000 0.0012761292 Long ABS-MBS USGA US N 2 2041-09-01 Fixed 5.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.0 AJ5391 11-01-41 3138AW7D9 181524.240000000000 PA USD 179964.950000000000 0.0008772733 Long ABS-MBS USGA US N 2 2041-11-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 5.0 G06459 05-01-41 3128M8QL1 1011793.540000000000 PA USD 1005099.510000000000 0.0048995482 Long ABS-MBS USGA US N 2 2041-05-01 Fixed 5.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 2.0 SD8128 02-01-51 3132DWA52 415586.110000000000 PA USD 328629.700000000000 0.0016019678 Long ABS-MBS USGA US N 2 2051-02-01 Fixed 2.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 BX2476 12-01-52 3140N6XE7 867175.400000000000 PA USD 860838.080000000000 0.0041963185 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 6.5 AL5156 02-01-29 3138EMWS6 217085.500000000000 PA USD 220912.280000000000 0.0010768788 Long ABS-MBS USGA US N 2 2029-02-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 BX7703 02-01-53 3140NCRZ4 6417693.720000000000 PA USD 6534258.290000000000 0.0318524817 Long ABS-MBS USGA US N 2 2053-02-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA4942 03-01-53 31418EP46 50777529.280000000000 PA USD 51041775.540000000000 0.2488128183 Long ABS-MBS USGA US N 2 2053-03-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 CB5778 12-01-52 3140QRM42 466361.150000000000 PA USD 469278.240000000000 0.0022875858 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 MA4917 02-01-53 31418EPB0 1242127.980000000000 PA USD 1176604.490000000000 0.0057355818 Long ABS-MBS USGA US N 2 2053-02-01 Fixed 4.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 QF6121 01-01-53 3133BTYS3 866173.720000000000 PA USD 872385.920000000000 0.0042526107 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.5 SD8314 04-01-53 3132DWGX5 785117.990000000000 PA USD 743689.670000000000 0.0036252564 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 MA4977 04-01-53 31418EQ78 1135084.960000000000 PA USD 1075205.820000000000 0.0052412948 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 4.5 BT8034 01-01-53 3140LW4U8 153140.130000000000 PA USD 145062.450000000000 0.0007071344 Long ABS-MBS USGA US N 2 2053-01-01 Fixed 4.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.5 CB6106 04-01-53 3140QRYC1 5708587.890000000000 PA USD 5880085.290000000000 0.0286635913 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 4.0 SD1968 11-01-52 3132DPFH6 48348278.280000000000 PA USD 44531568.500000000000 0.2170775790 Long ABS-MBS USGA US N 2 2052-11-01 Fixed 4.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 5.5 SD8324 05-01-53 3132DWG98 23230425.650000000000 PA USD 22998191.080000000000 0.1121090455 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 5.5 MA5010 05-01-53 31418ER85 14218403.970000000000 PA USD 14079077.830000000000 0.0686311359 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 5.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FM9810 11-01-51 3140XD3U8 4108157.500000000000 PA USD 3543737.740000000000 0.0172746219 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FS0454 01-01-52 3140XFQG9 4246817.100000000000 PA USD 3665432.090000000000 0.0178678441 Long ABS-MBS USGA US N 2 2052-01-01 Fixed 3.000000000000 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K751 N/A FHMS K751 A2 (MF) 4.412% 03-25-30 3137HA4B9 50000000.000000000000 PA USD 49130900.000000000000 0.2394978929 Long ABS-CBDO USGA US N 2 2030-03-25 Fixed 4.412000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 2.5 BR2095 07-01-51 3140L0KH9 19485109.700000000000 PA USD 16101539.890000000000 0.0784900109 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 2.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 SD2880 10-01-51 3132DQFV3 18348148.590000000000 PA USD 15828489.080000000000 0.0771589729 Long ABS-MBS USGA US N 2 2051-10-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 FS4628 10-01-51 3140XLEA2 9145105.260000000000 PA USD 7893186.080000000000 0.0384768330 Long ABS-MBS USGA US N 2 2051-10-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA4980 04-01-53 31418ERA0 152674135.650000000000 PA USD 153410177.660000000000 0.7478270152 Long ABS-MBS USGA US N 2 2053-04-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 6.0 MA5011 05-01-53 31418ER93 156803993.170000000000 PA USD 157615453.830000000000 0.7683264317 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 SD8325 05-01-53 3132DWHA4 111664156.910000000000 PA USD 112252738.680000000000 0.5471972707 Long ABS-MBS USGA US N 2 2053-05-01 Fixed 6.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 6.0 SD3240 06-01-53 3132DQS56 26056675.430000000000 PA USD 26208950.640000000000 0.1277605021 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 6.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CA6349 07-01-50 3140QEBT8 4917552.150000000000 PA USD 4253579.340000000000 0.0207348795 Long ABS-MBS USGA US N 2 2050-07-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 CA7381 10-01-50 3140QFFX2 4455682.080000000000 PA USD 3852681.260000000000 0.0187806257 Long ABS-MBS USGA US N 2 2050-10-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 RA5267 05-01-51 3133KLZ83 3289220.640000000000 PA USD 2836709.400000000000 0.0138280781 Long ABS-MBS USGA US N 2 2051-05-01 Fixed 3.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FNCL UMBS 3.0 RA3506 09-01-50 3133KJ3P5 4987808.710000000000 PA USD 4311930.700000000000 0.0210193242 Long ABS-MBS USGA US N 2 2050-09-01 Fixed 3.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 8.0 735571 11-01-31 31402RFL8 30289.650000000000 PA USD 30305.340000000000 0.0001477291 Long ABS-MBS USGA US N 2 2031-11-01 Fixed 8.000000000000 N N N N N N US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT N/A HUD 15-A 10 2.85% 08-01-24 911759MF2 750000.000000000000 PA USD 742033.050000000000 0.0036171809 Long DBT USGA US N 2 2024-08-01 Fixed 2.850000000000 N N N N N N US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT N/A HUD 15-A 13 3.15% 08-01-27 911759MJ4 3850000.000000000000 PA USD 3678487.120000000000 0.0179314833 Long DBT USGA US N 2 2027-08-01 Fixed 3.150000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 3.875% 02-15-43 912810TQ1 11970400.000000000000 PA USD 10964138.250000000000 0.0534467720 Long DBT UST US N 2 2043-02-15 Fixed 3.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY I/L 1.5% 02-15-53 912810TP3 7244148.600000000000 PA USD 6309484.740000000000 0.0307567804 Long DBT UST US N 2 2053-02-15 Fixed 1.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 4.625% 02-28-25 91282CGN5 486000000.000000000000 PA USD 483997145.400000000000 2.3593359068 Long DBT UST US N 2 2025-02-28 Fixed 4.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.5% 04-30-28 91282CHA2 118216200.000000000000 PA USD 114581973.940000000000 0.5585515699 Long DBT UST US N 2 2028-04-30 Fixed 3.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.875% 04-30-25 91282CGX3 60000000.000000000000 PA USD 59277666.000000000000 0.2889602288 Long DBT UST US N 2 2025-04-30 Fixed 3.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 3.75% 05-15-43 912810TS7 19984700.000000000000 PA USD 18276633.670000000000 0.0890929182 Long DBT UST US N 2 2043-05-15 Fixed 3.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.75% 05-31-30 91282CHF1 35000000.000000000000 PA USD 33992381.500000000000 0.1657023125 Long DBT UST US N 2 2030-05-31 Fixed 3.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 3.625% 05-31-28 91282CHE4 63200000.000000000000 PA USD 61515043.760000000000 0.2998667511 Long DBT UST US N 2 2028-05-31 Fixed 3.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 4.0% 06-30-28 91282CHK0 84653100.000000000000 PA USD 83651154.370000000000 0.4077734219 Long DBT UST US N 2 2028-06-30 Fixed 4.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 4.5% 07-15-26 91282CHM6 173407800.000000000000 PA USD 173299420.130000000000 0.8447809009 Long DBT UST US N 2 2026-07-15 Fixed 4.500000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY NOTE 4.125% 07-31-28 91282CHQ7 224000000.000000000000 PA USD 222477494.400000000000 1.0845087538 Long DBT UST US N 2 2028-07-31 Fixed 4.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 4.125% 08-15-53 912810TT5 62346900.000000000000 PA USD 59711770.860000000000 0.2910763553 Long DBT UST US N 2 2053-08-15 Fixed 4.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 3.875% 08-15-33 91282CHT1 185840900.000000000000 PA USD 180309234.110000000000 0.8789515691 Long DBT UST US N 2 2033-08-15 Fixed 3.875000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 5.0% 08-31-25 91282CHV6 32825000.000000000000 PA USD 32912311.220000000000 0.1604373050 Long DBT UST US N 2 2025-08-31 Fixed 5.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.625% 09-30-30 91282CHZ7 193819500.000000000000 PA USD 197623808.530000000000 0.9633547469 Long DBT UST US N 2 2030-09-30 Fixed 4.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.625% 09-30-28 91282CJA0 45485000.000000000000 PA USD 46112197.210000000000 0.2247826535 Long DBT UST US N 2 2028-09-30 Fixed 4.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TREASURY BILL 0.0% 03-28-24 912797GY7 200000000.000000000000 PA USD 199208760.000000000000 0.9710808935 Long DBT UST US N 2 2024-03-28 Fixed 0.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TREASURY BILL 0.0% 03-05-24 912797JG3 150000000.000000000000 PA USD 149912325.000000000000 0.7307760689 Long DBT UST US N 2 2024-03-05 Fixed 0.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.625% 11-15-26 91282CJK8 39692200.000000000000 PA USD 39843343.930000000000 0.1942239389 Long DBT UST US N 2 2026-11-15 Fixed 4.625000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.75% 11-15-53 912810TV0 80815900.000000000000 PA USD 85999480.320000000000 0.4192207822 Long DBT UST US N 2 2053-11-15 Fixed 4.750000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 4.375% 11-30-28 91282CJN2 235840000.000000000000 PA USD 236917859.550000000000 1.1549010533 Long DBT UST US N 2 2028-11-30 Fixed 4.375000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TREASURY BILL 0.0% 03-26-24 912797JK4 350000000.000000000000 PA USD 348714835.000000000000 1.6998766197 Long DBT UST US N 2 2024-03-26 Fixed 0.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 TREASURY BILL 0.0% 05-30-24 912797HS9 150000000.000000000000 PA USD 148039695.000000000000 0.7216475787 Long DBT UST US N 2 2024-05-30 Fixed 0.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY N/B 3.125% 11-15-41 912810QT8 100000.000000000000 PA USD 83296.880000000000 0.0004060464 Long DBT UST US N 2 2041-11-15 Fixed 3.125000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 3.0% 05-15-42 912810QW1 16358300.000000000000 PA USD 13265558.910000000000 0.0646654836 Long DBT UST US N 2 2042-05-15 Fixed 3.000000000000 N N N N N N UNITED STATES TREASURY 254900HROIFWPRGM1V77 US TREASURY BOND 2.75% 08-15-42 912810QX9 6000000.000000000000 PA USD 4668750.600000000000 0.0227587105 Long DBT UST US N 2 2042-08-15 Fixed 2.750000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCT UMBS 4.0 MA2856 12-01-36 31418CE67 7853.270000000000 PA USD 7568.230000000000 0.0000368928 Long ABS-MBS USGA US N 2 2036-12-01 Fixed 4.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNR 06-56 OG PAC PO 0.0% 07-25-36 31395NXW2 206828.750000000000 PA USD 175675.170000000000 0.0008563619 Long ABS-CBDO USGA US N 2 2036-07-25 Fixed 0.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNR 06-83 AO PAC PO .0% 09-25-36 31396KD74 301794.730000000000 PA USD 259334.630000000000 0.0012641759 Long ABS-CBDO USGA US N 2 2036-09-25 Fixed 0.000000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FHR 3213 OG PAC PO .0% 09-15-36 31397B2P5 153101.230000000000 PA USD 137995.190000000000 0.0006726837 Long ABS-CBDO USGA US N 2 2036-09-15 Fixed 0.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNR 01-25 ZA 6.5% 06-25-31 31359SU65 65141.560000000000 PA USD 65131.590000000000 0.0003174963 Long ABS-CBDO USGA US N 2 2031-06-25 Fixed 6.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FHR 3156 PF PAC1 FRN (SOFR30A+36.45) 05-15-36 31396RAR8 430567.670000000000 PA USD 424626.700000000000 0.0020699234 Long ABS-CBDO USGA US N 2 2036-05-15 Variable 5.6891900000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNR 06-65 PF PAC1 FRN (SOFR30A+39.45) 07-25-36 31396KAC6 230166.900000000000 PA USD 228042.460000000000 0.0011116362 Long ABS-CBDO USGA US N 2 2036-07-25 Variable 5.7161300000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNCL UMBS 3.0 MA2833 12-01-46 31418CEF7 6028777.140000000000 PA USD 5269995.250000000000 0.0256895916 Long ABS-MBS USGA US N 2 2046-12-01 Fixed 3.000000000000 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K058 N/A FHLMC K058 A2 (MF) 2.653% 08-25-26 3137BSP72 3507000.000000000000 PA USD 3334076.840000000000 0.0162525901 Long ABS-MBS USGA US N 2 2026-08-25 Fixed 2.653000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP - GOLD N/A FGLMC 3.5 G60744 200K MAX 07-01-46 31335AZH4 1716464.530000000000 PA USD 1558249.410000000000 0.0075959824 Long ABS-MBS USGA US N 2 2046-07-01 Fixed 3.500000000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORP S6XOOCT0IEG5ABCC6L87 FHARM FRN 760014 08-01-45 31342WAP6 621149.100000000000 PA USD 598634.930000000000 0.0029181595 Long ABS-MBS USGA US N 2 2045-08-01 Variable 2.7040000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNIONP 6.5 888372 04-01-37 31410F6H3 11729.150000000000 PA USD 11932.160000000000 0.0000581656 Long ABS-MBS USGA US N 2 2037-04-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNIONP 6.5 256810 07-01-37 31371NGT6 25038.400000000000 PA USD 25543.780000000000 0.0001245180 Long ABS-MBS USGA US N 2 2037-07-01 Fixed 6.500000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNIONP 7.0 256828 07-01-37 31371NHD0 13139.700000000000 PA USD 13278.180000000000 0.0000647270 Long ABS-MBS USGA US N 2 2037-07-01 Fixed 7.000000000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 FNIONP 6.5 256860 08-01-37 31371NJD8 34295.800000000000 PA USD 35241.950000000000 0.0001717936 Long ABS-MBS USGA US N 2 2037-08-01 Fixed 6.500000000000 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K065 N/A FHMS K065 A2 (MF) 3.243% 04-25-27/04-26-27 3137F1G44 1370000.000000000000 PA USD 1313721.770000000000 0.0064039860 Long ABS-CBDO USGA US N 2 2027-04-25 Fixed 3.243000000000 N N N N N N FNMA_17-M10 N/A FNA 17-M10 AV2 (MF) FRN 07-25-24 3136AXVB8 877734.190000000000 PA USD 868406.510000000000 0.0042332123 Long ABS-CBDO USGA US N 2 2024-07-25 Variable 2.5840400000000000 N N N N N N 2024-04-04 AMERICAN FUNDS INCOME SERIES Scott Lewis Scott Lewis Lead Analyst