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
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58987191.000000000000
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-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
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-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
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0.000000000000
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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
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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
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446421.660000000000
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36777530.400000000000
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2064-07-20
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2058-10-25
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2064-07-20
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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