0001752724-20-072632.txt : 20200420
0001752724-20-072632.hdr.sgml : 20200420
20200420083907
ACCESSION NUMBER: 0001752724-20-072632
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200229
FILED AS OF DATE: 20200420
PERIOD START: 20200831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY ADVISOR SERIES II
CENTRAL INDEX KEY: 0000795422
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04707
FILM NUMBER: 20801355
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY DIVERSIFIED TRUST
DATE OF NAME CHANGE: 19930706
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH FUND
DATE OF NAME CHANGE: 19920130
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH INVESTMENT SERIES
DATE OF NAME CHANGE: 19911204
0000795422
S000005133
Fidelity Advisor Mortgage Securities Fund
C000014042
Class A
FMGAX
C000014044
Class C
FOMCX
C000014045
Class M
FMSAX
C000014046
Class I
FMSCX
C000014129
Fidelity Mortgage Securities Fund
FMSFX
C000204997
Class Z
FIKUX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000795422
XXXXXXXX
S000005133
C000014129
C000014046
C000014044
C000014045
C000014042
C000204997
FIDELITY ADVISOR SERIES II
811-04707
0000795422
EIVUM2R16VT371T5KS40
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Advisor Mortgage Securities Fund
S000005133
WIIX6BNCF8B12FQGCD90
2020-08-31
2020-02-29
N
1769885883.14
932141769.45
837744113.69
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
539382771.56000000
0.00000000
0.00000000
0.00000000
USD
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #469581
36209EUE0
4374.77440000
PA
USD
4932.37000000
0.000588768087
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2041#AJ2301
3138ATRX0
28015.14760000
PA
USD
30967.13000000
0.003696490311
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2019-P1
N/A
CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2019-P1 2.94% 07/15/2026 144A
21054AAA6
400567.51000000
PA
USD
403881.89000000
0.048210650889
Long
ABS-CBDO
CORP
US
N
2
2026-07-15
Fixed
0.02940000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS6967
36193SW47
94536.89820000
PA
USD
101233.44000000
0.012084052677
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/41 #005055
36202FTL0
815764.30960000
PA
USD
892962.04000000
0.106591264015
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2947 XZ 6% 3/35
31395RA81
275047.98010000
PA
USD
317600.02000000
0.037911340087
Long
ABS-CBDO
USGSE
US
N
2
2035-03-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AT4139
36194CS46
916759.69840000
PA
USD
977687.73000000
0.116704816425
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2357 ZB 6.5% 9/31
3133TUUS5
120073.41430000
PA
USD
139856.76000000
0.016694448545
Long
ABS-CBDO
USGSE
US
N
2
2031-09-15
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033
31394KF41
2043423.00360000
PA
USD
2328472.75000000
0.277945581705
Long
ABS-CBDO
USGSE
US
N
2
2033-10-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2041#656540
36294QLV1
26917.51160000
PA
USD
29212.51000000
0.003487044495
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 3.50% 5/42 #MA0088
36179MCZ1
505767.17200000
PA
USD
538116.14000000
0.064233950583
Long
ABS-MBS
USGA
US
N
2
2042-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 5/46#Q40310
3132WDKY9
364828.26700000
PA
USD
385081.16000000
0.045966441746
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2013-124 ES -1ML+866.667 04/20/2039
38378WVW0
183596.88820000
PA
USD
189708.44000000
0.022645153442
Long
ABS-CBDO
USGA
US
N
2
2039-04-20
Variable
0.06470670
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 5/27 #256738
31371NEK7
16053.05040000
PA
USD
17726.89000000
0.002116026804
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.47% 3/40 #AD0820
31418M4E9
34466.47750000
PA
USD
36153.92000000
0.004315628055
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Variable
0.03941000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 11/20/2043#MA1448
36179NTD0
27025.76100000
PA
USD
28729.00000000
0.003429328780
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2042 #MA0625
36179MVS6
517492.23650000
PA
USD
550267.71000000
0.065684461520
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #545934
36212WPT8
126731.11810000
PA
USD
139713.12000000
0.016677302498
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/26 #256469
31371M2A4
26481.37390000
PA
USD
29383.05000000
0.003507401546
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 5/39 #G05457
3128M7ME3
200933.02320000
PA
USD
222770.71000000
0.026591736827
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3415 PC 5% 12/37
31397R3R5
52942.54180000
PA
USD
59000.72000000
0.007042809258
Long
ABS-CBDO
USGSE
US
N
2
2037-12-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/22 #312996
36223NUV4
930.13260000
PA
USD
965.45000000
0.000115244020
Long
ABS-MBS
USGA
US
N
2
2022-02-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #644836
31390FLR8
10484.73400000
PA
USD
12331.00000000
0.001471929172
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2042#AQ8878
3138MQ2L6
41238.91540000
PA
USD
44229.82000000
0.005279633634
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2043#MA0934
36179NBB3
1082837.27140000
PA
USD
1151080.60000000
0.137402409779
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/21 #315419
36223RK87
2459.33660000
PA
USD
2532.32000000
0.000302278459
Long
ABS-MBS
USGA
US
N
2
2021-12-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/01/2050 #TBA
21H030633
-68650000.00000000
PA
USD
-70931472.91000000
-8.46696165939
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 8/36 #G02307
3128LXR44
389630.02360000
PA
USD
438430.05000000
0.052334602277
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/46#AS7009
36193SYE3
56563.16800000
PA
USD
60569.83000000
0.007230111081
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2002-42 ZA 6% 6/32
38373XGA8
143483.72320000
PA
USD
163492.23000000
0.019515771860
Long
ABS-CBDO
USGA
US
N
2
2032-06-20
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/41 #A97942
312946ZF6
102544.70440000
PA
USD
113465.09000000
0.013544122619
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 7.00% 8/26 #C90997
3128P7DA8
51036.61470000
PA
USD
56655.99000000
0.006762923078
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 6/41 #Q01393
3132GERN2
213055.61190000
PA
USD
235611.58000000
0.028124528259
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2041#AH5464
3138A7CA4
150342.57670000
PA
USD
166184.29000000
0.019837118194
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2042#AP8794
3138MCXY5
33176.83500000
PA
USD
35583.02000000
0.004247480754
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2046#G60440
31335APZ5
3824394.28840000
PA
USD
4120421.15000000
0.491847221922
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2844 SD -1ML+8645.0 8/24
31395EWX1
1929.82850000
PA
USD
2769.25000000
0.000330560365
Long
ABS-CBDO
USGSE
US
N
2
2024-08-15
Variable
0.64889491
N
N
N
N
N
N
LANARK MASTER ISSUER PLC
213800KIOPB5OYXIVY33
LANARK MASTER ISSUER PLC STEP 12/22/2069 144A
513770BD8
2972000.00000000
PA
USD
3021980.12000000
0.360728302427
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02710000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 12/01/2032#SB0030
3132CWA79
1827030.23110000
PA
USD
1899319.79000000
0.226718368886
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#BD5247
3140FCZM3
415310.14700000
PA
USD
443873.60000000
0.052984388997
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/28 #780977
36225BCN6
9089.89730000
PA
USD
10239.49000000
0.001222269405
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2046#Q40085
3132WDCX0
570616.04690000
PA
USD
610504.90000000
0.072874865967
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #648596
31390KRR1
818.48740000
PA
USD
975.32000000
0.000116422184
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/39 #932130
31412QST7
239089.42820000
PA
USD
264954.91000000
0.031627188501
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.4 02/26/2025
N/A
5000000.00000000
NC
USD
123496.70000000
0.014741577766
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 1.4%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
1.00000000
1.40000000
USD
2025-02-26
XXXX
-17378.30000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21524
3132JNVR5
25800.25650000
PA
USD
27958.25000000
0.003337325746
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8228
3138EDEA5
494178.41950000
PA
USD
537422.89000000
0.064151198584
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.182% 6/37 #848188
31300LCZ6
176395.16570000
PA
USD
184469.43000000
0.022019782292
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Variable
0.04096000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/46#MA4126
36179SSP3
540369.28000000
PA
USD
563993.14000000
0.067322841280
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 7.00% 12/26 #C91019
3128P7DY6
21928.49790000
PA
USD
24368.57000000
0.002908832136
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
0.07000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A
46645WAU7
899000.00000000
PA
USD
974139.68000000
0.116281292113
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04247500
N
N
N
N
N
N
NATIONSTAR HECM LOAN TRUST
N/A
NATIONSTAR HECM LOAN TRUST 3.5545% 11/25/2028 144A
63863BAA7
2389732.23500000
PA
USD
2386460.69000000
0.284867497246
Long
ABS-CBDO
CORP
US
N
2
2028-11-25
Fixed
0.03554500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 11/01/2033#G16677
3128MFUA4
2420855.66390000
PA
USD
2579764.50000000
0.307941823504
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.82% 6/37 #1N1614
3128QHYK0
30531.78020000
PA
USD
31963.83000000
0.003815464588
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Variable
0.03978000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25
N/A
MSBAM 2015-C25 XA CSTR 10/48
61765TAG8
10610405.37930000
PA
USD
491589.63000000
0.058680165215
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
0.01092459
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/39 #G08368
3128MJMS6
3868910.93240000
PA
USD
4289389.59000000
0.512016679067
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.844% 4/36 #883882
31410A6T8
44862.41410000
PA
USD
46761.43000000
0.005581827342
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Variable
0.04560000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #475838
36209MS39
947.00630000
PA
USD
1033.97000000
0.000123423129
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2043#MA1376
36179NQ50
3640858.03580000
PA
USD
3912329.88000000
0.467007743303
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2050#MA6599
36179VKL3
2900000.00000000
PA
USD
3004125.95000000
0.358597082439
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2047#Q50031
3132XSA91
81946.64400000
PA
USD
87162.95000000
0.010404483729
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 4/42 #C03856
31292LH99
149233.37670000
PA
USD
162788.24000000
0.019431737846
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-17 PG 6% 4/29
31359VSD6
199111.87080000
PA
USD
219947.97000000
0.026254791457
Long
ABS-CBDO
USGSE
US
N
2
2029-04-25
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 07/01/2024#
31356HXZ5
2724.39720000
PA
USD
2930.31000000
0.000349785805
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/46#G60551
31335ATG3
3472746.71220000
PA
USD
3764301.16000000
0.449337822669
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK1110
3138E5GU6
66415.72850000
PA
USD
72352.15000000
0.008636545314
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #476306
36209NDK5
1604.05490000
PA
USD
1816.59000000
0.000216843063
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#G67710
3132XCR72
1213637.31750000
PA
USD
1290891.28000000
0.154091357838
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
2497886.77380000
PA
USD
2651704.39000000
0.316529158088
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #778681
36176W2N0
130621.67380000
PA
USD
141554.43000000
0.016897096343
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2046#Q40647
3132WDWH3
877823.78500000
PA
USD
935621.81000000
0.111683483621
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/01/2050 #TBA
21H040632
-4100000.00000000
PA
USD
-4268604.30000000
-0.50953557658
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.775 12/03/2024
N/A
-8800000.00000000
NC
USD
-373347.04000000
-0.04456576105
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/29 1.775V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-05
0.00000000
USD
0.00000000
USD
-8800000.00000000
USD
1.00000000
1.77500000
USD
2024-12-03
XXXX
-121227.04000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 12/15/2040#746175
3620C16L5
31135.79990000
PA
USD
33790.45000000
0.004033504914
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 1/41 #004946
36202FP75
597829.54460000
PA
USD
654403.59000000
0.078114973212
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/40 #736729
3620AQPN7
334109.40620000
PA
USD
368334.71000000
0.043967448291
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 4/24 #400217
36205TSE4
1423.05240000
PA
USD
1555.72000000
0.000185703483
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2286
3140X5RG0
2885711.91900000
PA
USD
3030550.71000000
0.361751358257
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/22 #330869
36224KQW2
87.81650000
PA
USD
92.17000000
0.000011002166
Long
ABS-MBS
USGA
US
N
2
2022-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2046#MA3736
36179SEH6
159602.72370000
PA
USD
168663.80000000
0.020133092819
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24255
3132M4MC6
23506.04930000
PA
USD
25442.77000000
0.003037057447
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2043#G08546
3128MJTC4
22538.56700000
PA
USD
24423.75000000
0.002915418873
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AL1521
3138EHVP4
781075.18680000
PA
USD
850889.87000000
0.101569185159
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
3750716.07300000
PA
USD
4010951.26000000
0.478779999101
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2048#Q59935
3132Y4BD3
869243.98910000
PA
USD
941678.09000000
0.112406410813
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17564
3132J8Z60
46641.69100000
PA
USD
50047.93000000
0.005974130904
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
CLUB 2019-HP1 A
N/A
CLUB 2019-HP1 A 2.59% 12/15/2026 144A
21055MAA9
1802393.53000000
PA
USD
1817824.54000000
0.216990428257
Long
ABS-CBDO
CORP
US
N
2
2026-12-15
Fixed
0.02590000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/40 #A94662
312943FB4
86910.36290000
PA
USD
96192.95000000
0.011482378500
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#FM0046
3140X3BQ0
1419108.65800000
PA
USD
1490336.13000000
0.177898728937
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24971
3132M5FL1
24799.36620000
PA
USD
26842.65000000
0.003204158592
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 7.00% 11/26 #C91010
3128P7DP5
6609.93490000
PA
USD
7353.28000000
0.000877747737
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 3/37 #A58828
3128KMYZ2
5087.12620000
PA
USD
6079.10000000
0.000725651174
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2044#MA2304
36179QRZ6
1293398.58860000
PA
USD
1388221.00000000
0.165709430518
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAE2
165000.00000000
PA
USD
171305.19000000
0.020448390767
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03177090
N
N
N
N
N
N
LANARK MASTER ISSUER PLC
213800KIOPB5OYXIVY33
LANARK MASTER ISSUER PLC 2019-1A 1A1 3ML+77 12/22/2069 144A
513770BB2
574820.00000000
PA
USD
575430.46000000
0.068688093487
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02452750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 7.00% 11/34 #A45143
3128K5WC2
25189.87500000
PA
USD
29786.39000000
0.003555547513
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 02/47#MA4264
36179SWZ6
9914.89300000
PA
USD
10602.19000000
0.001265564248
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 5/33 #A45795
3128K6NL0
379577.27220000
PA
USD
435340.32000000
0.051965786794
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/40 #004800
36202FKM7
1627531.47980000
PA
USD
1754987.70000000
0.209489708291
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 02/01/2043#Q15789
3132J62X1
160635.87000000
PA
USD
170256.11000000
0.020323163985
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 3/24 #D50951
31356DBU9
22786.33430000
PA
USD
24353.33000000
0.002907012965
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/44#MA1997
36179QGE5
7053.93100000
PA
USD
7613.45000000
0.000908803759
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #650527
31390MVU5
808.62480000
PA
USD
951.06000000
0.000113526312
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #404745
31378PTA1
395.98920000
PA
USD
454.16000000
0.000054212257
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.25% 6/36 #886983
31410EM88
7977.44590000
PA
USD
8318.19000000
0.000992927298
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.04345000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A
61771LAA0
1140000.00000000
PA
USD
1200883.41000000
0.143347281153
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03170000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 11/01/2029#
31292G6T8
6735.52860000
PA
USD
7847.62000000
0.000936756208
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96695
312945NL8
43814.51030000
PA
USD
48480.49000000
0.005787028426
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/25 #405480
36206AM59
1758.93300000
PA
USD
1944.16000000
0.000232070863
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 7/33 #003426
36202DYX3
40838.90020000
PA
USD
43704.87000000
0.005216971302
Long
ABS-MBS
USGA
US
N
2
2033-07-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 11/28 #C00680
31292GXH4
9062.06020000
PA
USD
10154.85000000
0.001212166081
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#BM5108
3140J9VA6
5415318.50020000
PA
USD
5624507.92000000
0.671387339891
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 05/01/2046#V82275
3132L7Q44
2696603.99110000
PA
USD
2846301.92000000
0.339757913363
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 06/15/2042#AA7852
36178FWM4
41024.00300000
PA
USD
44278.15000000
0.005285402699
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 01/01/2024#
313988N52
3525.67620000
PA
USD
3787.66000000
0.000452126125
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/40 #737442
3620ARHT1
23262.17020000
PA
USD
25245.51000000
0.003013510878
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #335508
36224QU95
639.79050000
PA
USD
676.14000000
0.000080709609
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 11/01/2047#Q52082
3132XUJ48
166864.54440000
PA
USD
179889.39000000
0.021473071199
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2042#AA0565
36177WTW0
25988.27070000
PA
USD
28163.43000000
0.003361817712
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 02/01/2045#AX3982
3138Y5M86
140018.65340000
PA
USD
151308.75000000
0.018061451883
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2039#AS2011
3138WBGV1
91802.18310000
PA
USD
99319.20000000
0.011855553310
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/32 #632677
31389Q2J6
14943.50880000
PA
USD
17499.53000000
0.002088887252
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 6/39 #AA9805
31416T3P2
14446.27150000
PA
USD
15765.57000000
0.001881907582
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 6.50% 2/27 #D97196
3128E37H1
10749.79630000
PA
USD
11786.93000000
0.001406984520
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
930122.57680000
PA
USD
974600.29000000
0.116336274295
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 5/41 #Q00736
3132GDY97
119360.77910000
PA
USD
132071.97000000
0.015765192239
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 2/42 #Q06088
3132GRCZ2
99858.69480000
PA
USD
108835.24000000
0.012991465797
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H13 HA 2.5% 08/64
38376RCQ7
882712.72360000
PA
USD
885102.58000000
0.105653094487
Long
ABS-CBDO
USGA
US
N
2
2064-08-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #698329
36296QY29
13423.92210000
PA
USD
14832.59000000
0.001770539447
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 5/21 #G12103
3128M1GL7
16213.75140000
PA
USD
16558.02000000
0.001976500906
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2049#FM1338
3140X4PY6
3826584.00600000
PA
USD
4131738.01000000
0.493198095036
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 04/20/43#783976
3622A2MZ2
98696.43080000
PA
USD
104947.39000000
0.012527380173
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 12/01/2031#SB0093
3132CWC69
17439175.48000000
PA
USD
17967392.41000000
2.144735142436
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 07/15/2043#AC1095
36179AGC4
111523.91040000
PA
USD
117813.26000000
0.014063155810
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 11/39 #A89870
3129366F9
45647.82140000
PA
USD
50608.89000000
0.006041091685
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
0.04500000
N
N
N
N
N
N
BCAP LLC 2012-RR5 TR
N/A
BCAP 2012-RR5 8A5 CSTR 07/36 144A
05539DBX7
186563.39450000
PA
USD
184962.74000000
0.022078667814
Long
ABS-CBDO
CORP
US
N
2
2036-07-26
Variable
0.01857750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2042#Q09230
3132GUST2
1561545.97500000
PA
USD
1698989.35000000
0.202805286511
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035
31394FGT6
227824.60970000
PA
USD
263343.65000000
0.031434855309
Long
ABS-CBDO
USGSE
US
N
2
2035-09-25
Fixed
0.05900000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/24 #371049
36204JEW2
500.51490000
PA
USD
526.24000000
0.000062816317
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2045#G07949
3128MAEW5
1021722.34180000
PA
USD
1108458.91000000
0.132314735715
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 6/35 #003722
36202ED30
2949.59440000
PA
USD
3240.99000000
0.000386871115
Long
ABS-MBS
USGA
US
N
2
2035-06-20
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MTG LN TR 2014-8 VAR 06/27/2037 144A
17323AAD3
1630707.41510000
PA
USD
1664398.97000000
0.198676295398
Long
ABS-CBDO
CORP
US
N
2
2037-06-27
Variable
0.03450000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 3.50% 7/42 #MA0220
36179MG53
2793980.38720000
PA
USD
2972683.93000000
0.354843905367
Long
ABS-MBS
USGA
US
N
2
2042-07-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2042#AB9201
36178WGJ2
28961.22130000
PA
USD
31448.57000000
0.003753958934
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #487563
36210BTU9
32087.17530000
PA
USD
37426.73000000
0.004467561083
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2040#004799
36202FKL9
21652.88700000
PA
USD
23091.94000000
0.002756443121
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 13-149 MA 2.5% 5/20/40
38378UQY6
2256516.79510000
PA
USD
2340097.73000000
0.279333234547
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2029#MA1775
31418A6M5
162075.66170000
PA
USD
168488.46000000
0.020112162800
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90806
3132J23P6
176777.19970000
PA
USD
184820.63000000
0.022061704401
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 01/01/2036#G30933
3132J4HK8
1433573.61420000
PA
USD
1535953.56000000
0.183343999068
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2046#Q39717
3132QWYP8
186213.21070000
PA
USD
196550.56000000
0.023461884934
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
COMM 2013-CCRE7 MTG TR
549300FVY7JUBJ0PIH53
COMM MTG TR 2013-CC7 AM 3.314% 03/10/2046
12625FAS5
304000.00000000
PA
USD
317679.48000000
0.037920825083
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Fixed
0.03314000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 7.00% 3/26 #D96943
3128E3WC4
20799.80270000
PA
USD
23039.80000000
0.002750219264
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AA6146
36178DZK0
472190.06650000
PA
USD
492538.15000000
0.058793388333
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2048#BJ3436
3140H4ZA5
26471.63090000
PA
USD
27829.00000000
0.003321897408
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 2.54 04/05/2022
N/A
8000000.00000000
NC
USD
21916.64000000
0.002616149686
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 4/07/29 2.54V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-07
0.00000000
USD
0.00000000
USD
8000000.00000000
USD
1.00000000
2.54000000
USD
2022-04-05
XXXX
-197283.36000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2049#CA4142
3140QBS82
5176319.30600000
PA
USD
5428813.95000000
0.648027704556
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2.5% 03/01/2035#TBA
01F022436
-6200000.00000000
PA
USD
-6363767.42000000
-0.75963140964
Short
ABS-MBS
USGA
US
N
2
2035-03-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2587 IM 6.5% 3/33
31393NA66
60552.05150000
PA
USD
13384.26000000
0.001597654914
Long
ABS-CBDO
USGSE
US
N
2
2033-03-15
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2007-66 SB -1ML+3960 7/37
31396WYZ3
45125.66850000
PA
USD
84127.40000000
0.010042135614
Long
ABS-CBDO
USGSE
US
N
2
2037-07-25
Variable
0.29839500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2033#BM5111
3140J9VD0
9570611.08890000
PA
USD
10036022.25000000
1.197981828340
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #404244
36205YBM3
2278.68100000
PA
USD
2537.11000000
0.000302850232
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 3/32 #C64888
31287QND9
8492.93110000
PA
USD
9879.41000000
0.001179287307
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2046#Q45023
3132WJSM4
487771.85630000
PA
USD
519430.64000000
0.062003496236
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 08/01/2034#CA4087
3140QBRH3
1423338.58300000
PA
USD
1517479.62000000
0.181138798256
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2048#MA5595
36179UGC0
27482701.88500000
PA
USD
28866288.28000000
3.445716634504
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
0.04000000
N
N
N
N
N
N
COMM 2014-UBS6 MTG TR
N/A
COMM 2014-UBS6 XA CSTR 12/47
12592PBG7
10512956.79660000
PA
USD
360722.68000000
0.043058814034
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
0.00892030
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2027#MA1219
31418AK98
317524.63070000
PA
USD
329889.58000000
0.039378322641
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2037#BM1951
3140J6EZ6
749022.63300000
PA
USD
774751.56000000
0.092480692772
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 3/27 #256653
31371NBW4
4756.63590000
PA
USD
5252.38000000
0.000626967102
Long
ABS-MBS
USGSE
US
N
2
2027-03-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2047#MA4383
36179S2Q9
8260414.71100000
PA
USD
8749845.11000000
1.044453188869
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 6.50% 5/26 #C90975
3128P7CL5
11861.08360000
PA
USD
13018.77000000
0.001554027033
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/22 #303819
36223CPC6
79.43440000
PA
USD
83.37000000
0.000009951726
Long
ABS-MBS
USGA
US
N
2
2022-05-15
Fixed
0.07500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 12/01/2036#BM3680
3140J8CS0
599036.83050000
PA
USD
642669.89000000
0.076714342661
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047
38380HES7
2479447.15120000
PA
USD
2629027.73000000
0.313822286189
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.19% 10/36 #1G2541
3128QSZE9
373.35240000
PA
USD
392.38000000
0.000046837691
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
0.04530000
N
N
N
N
N
N
GS MTG SECS TR 2014-GC20
N/A
GS MTG SECS TR 2014-GC20 CSTR 04/10/2047
36252WAZ1
4254321.13640000
PA
USD
125538.64000000
0.014985320451
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
0.01057683
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2042#AL5881
3138ENRB7
152388.35830000
PA
USD
168588.51000000
0.020124105588
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 1/35 #G06928
3128M9A51
65646.54690000
PA
USD
73300.59000000
0.008749758882
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/46#Q43257
3132WGTP2
162321.75610000
PA
USD
173567.39000000
0.020718425490
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #751249
36230KL66
21295.68100000
PA
USD
23111.36000000
0.002758761252
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 3/23 #050740
313615LV6
147.06080000
PA
USD
158.07000000
0.000018868530
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
0.08500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/22 #124462
31365DFB6
253.36170000
PA
USD
266.35000000
0.000031793717
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737532
3620ARLM1
42345.95160000
PA
USD
45956.38000000
0.005485729979
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 8/41 #005139
36202FV86
47586.19660000
PA
USD
51283.05000000
0.006121564945
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AB3872
31417AJS9
593123.24520000
PA
USD
646138.26000000
0.077128355716
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.00% 6/20 #G18062
3128MMB85
1749.72240000
PA
USD
1757.23000000
0.000209757367
Long
ABS-MBS
USGSE
US
N
2
2020-06-01
Fixed
0.06000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP
N/A
GSAMP 2004-AR1 B4 STEP 6/34
36228F6Y7
21218.86590000
PA
USD
7219.38000000
0.000861764336
Long
ABS-CBDO
CORP
US
N
2
2034-06-25
Variable
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 7/26 #256384
31371MXM4
3152.16630000
PA
USD
3480.68000000
0.000415482477
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3548
3138E75J9
29547.08910000
PA
USD
32134.54000000
0.003835841932
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BK4845
3140HJL33
320643.40950000
PA
USD
333029.61000000
0.039753142344
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2046#BD1451
3140F8TH0
331806.09720000
PA
USD
355864.63000000
0.042478917390
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 12/34 #G05423
3128M7LC8
277146.52360000
PA
USD
310388.31000000
0.037050491304
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/42 #MA0462
36179MQP8
891992.81420000
PA
USD
948487.36000000
0.113219221060
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/32 #639704
31389YU58
6558.54290000
PA
USD
7707.47000000
0.000920026756
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2043#AD5682
36180HJ33
31903.00580000
PA
USD
34652.98000000
0.004136463561
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 8/23 #988915
31415TSC5
17518.09500000
PA
USD
18260.18000000
0.002179684667
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #462554
36208VZT5
1898.06290000
PA
USD
2123.89000000
0.000253524908
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 05/15/2042#AA1859
36177YB47
32105.47750000
PA
USD
34792.64000000
0.004153134522
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT0648
3138WMWJ6
463155.18940000
PA
USD
496746.08000000
0.059295681328
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 4.50% 7/25 #G13844
3128MCP58
196074.99430000
PA
USD
206647.16000000
0.024667097819
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2049#BN2615
3617K53Y8
1047661.10980000
PA
USD
1110389.92000000
0.132545236887
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04000000
N
N
N
N
N
N
TOWD PT MTG TR 2018-6
N/A
TOWD PT MTG TR 2018-6 3.75% 03/25/2058 144A
89176LAA2
4033628.71460000
PA
USD
4226290.96000000
0.504484709702
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Fixed
0.03750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2049#MA5817
36179UPA4
13072070.23400000
PA
USD
13687275.85000000
1.633825368191
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/28 #475419
36209MDY7
3892.33690000
PA
USD
4470.45000000
0.000533629532
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/49#CA4421
3140QB4F2
5181925.90400000
PA
USD
5415261.81000000
0.646410010110
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #467721
36209CSJ6
31956.76060000
PA
USD
35758.98000000
0.004268484781
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2049#FM1449
3140X4TF3
7850242.96700000
PA
USD
8191443.57000000
0.977797806769
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 06/01/2031#J34501
31307RAA3
185302.90430000
PA
USD
192092.12000000
0.022929689013
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 1/1/42 #Q05962
3132GMJF0
865043.86670000
PA
USD
942804.82000000
0.112540906536
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
CGDB COML MTG TR 2017-BIO
N/A
CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A
125284AA7
390000.00000000
PA
USD
389755.39000000
0.046524396128
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.02608500
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP B 1ML+165 03/15/2036 144A
74952PAG2
2917000.00000000
PA
USD
2919727.10000000
0.348522544329
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.03208500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK6409
3138EBDP7
113284.44190000
PA
USD
123197.71000000
0.014705887870
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/26 #256546
31371M5F0
3719.35340000
PA
USD
4148.30000000
0.000495175069
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15107
3132J6DM3
54117.89780000
PA
USD
58695.19000000
0.007006338694
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT JUN20 USM0
N/A
-47.00000000
NC
USD
-326663.32000000
-0.03899320981
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UNDERLYING TREASURY 20 YR NOTEGENERIC IV FOR FUTURES TRADING
2020-06-19
-7675086.68000000
USD
-326663.32000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2047#BJ4340
3140H5ZE4
382300.93200000
PA
USD
406914.54000000
0.048572652836
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#778869
36176XCE7
85170.95060000
PA
USD
92299.58000000
0.011017633963
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A97152
3129455M6
102732.25860000
PA
USD
113672.62000000
0.013568895100
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/29 #508656
36211CBZ4
8915.00190000
PA
USD
10188.49000000
0.001216181627
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 02/15/2043#796369
36177RCF6
1136074.68180000
PA
USD
1205823.53000000
0.143936974345
Long
ABS-MBS
USGA
US
N
2
2043-02-15
Fixed
0.03500000
N
N
N
N
N
N
WFRBS COML MTG TR 2013-C14
549300GADFYEKC4OLM57
WFRBS COML MTG TR 2013-C14 A3FL 1ML+72 06/15/2046 144A
92890PBS2
1288276.83950000
PA
USD
1289217.41000000
0.153891551003
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
0.02378250
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2520 BE 6% 11/32
31392XV96
121916.43170000
PA
USD
139550.80000000
0.016657926653
Long
ABS-CBDO
USGSE
US
N
2
2032-11-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 06/01/2027#
31292GSM9
4917.60530000
PA
USD
5587.47000000
0.000666966190
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3949 MK 4.5% 10/34
3137AFZS4
139295.78030000
PA
USD
150557.25000000
0.017971746687
Long
ABS-CBDO
USGSE
US
N
2
2034-10-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/01/2050 #TBA
21H022630
24775000.00000000
PA
USD
25431180.74000000
3.035674058989
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #484199
36209W3G5
283.91710000
PA
USD
323.45000000
0.000038609641
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/46#AS7533
3138WHLP5
3995292.89990000
PA
USD
4213900.54000000
0.503005687672
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #481544
36209T5D7
1144.24850000
PA
USD
1208.90000000
0.000144304207
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 01/01/2042#AJ8357
3138E1JB4
53746.64990000
PA
USD
56076.42000000
0.006693740855
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Variable
0.03813000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/29 #486378
36210AJX6
2342.32070000
PA
USD
2702.56000000
0.000322599700
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 07/01/2033#MA1490
31418AUQ9
399462.92200000
PA
USD
417450.26000000
0.049830282681
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE 4.284% 04/15/2036 144A
12690CAA1
672000.00000000
PA
USD
722350.81000000
0.086225709998
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04284000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#AP4736
3138M8HN6
92818.28800000
PA
USD
96432.79000000
0.011511007767
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 2.3275 06/11/24
N/A
11000000.00000000
NC
USD
94758.07000000
0.011311099469
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 6/29 2.3275V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-06-13
0.00000000
USD
0.00000000
USD
11000000.00000000
USD
1.00000000
2.32750000
USD
2024-06-11
XXXX
-209116.93000000
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2012-76 GS -1ML+670 6/42
38375C5E6
308283.24180000
PA
USD
67158.49000000
0.008016587511
Long
ABS-CBDO
USGA
US
N
2
2042-06-16
Variable
0.05041500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/41 #Q00114
3132GDDT6
139567.47300000
PA
USD
154430.56000000
0.018434096698
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 12/38 #782537
36241KZA9
5711.85220000
PA
USD
6521.52000000
0.000778462049
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2045#Q34458
3132QQ5U2
716244.84440000
PA
USD
776377.18000000
0.092674740092
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2039#AW0113
3138XPDT7
130984.98300000
PA
USD
141628.53000000
0.016905941526
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/32 #003216
36202DSD4
18364.28380000
PA
USD
21288.13000000
0.002541125583
Long
ABS-MBS
USGA
US
N
2
2032-03-20
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FGLMC 30YR 3.5% 09/46#Q43176
3132WGQ67
718450.56230000
PA
USD
765530.56000000
0.091379998676
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#796180
36177Q2N2
30807.42230000
PA
USD
33434.08000000
0.003990965672
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.753% 10/33 #746320
31403EDZ7
13833.14730000
PA
USD
14537.55000000
0.001735321055
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.04263000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96876
312945T99
121402.98500000
PA
USD
134331.66000000
0.016034927348
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/46#BC9077
3140F5CP6
2579428.34100000
PA
USD
2745546.62000000
0.327730935393
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/35 #810300
31406HGH4
19312.42310000
PA
USD
22881.47000000
0.002731319698
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #486253
36210AE29
3586.94000000
PA
USD
4013.71000000
0.000479109304
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #327738
36224GBF4
683.29570000
PA
USD
699.76000000
0.000083529085
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 09/01/2031#
31292HMA9
10666.58040000
PA
USD
12583.62000000
0.001502083965
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG 2013-51 GI 3% 10/25/2032
3136AECM7
189254.06620000
PA
USD
15136.10000000
0.001806768887
Long
ABS-CBDO
USGSE
US
N
2
2032-10-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2042#MA0154
36179ME30
202932.80300000
PA
USD
215912.43000000
0.025773076345
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2502 ZC 6 9/32
31392UTM6
112821.95590000
PA
USD
128796.50000000
0.015374205308
Long
ABS-CBDO
USGSE
US
N
2
2032-09-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 09/01/2030#
31283HHG3
1191.15220000
PA
USD
1397.78000000
0.000166850471
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
0.07500000
N
N
N
N
N
N
COMM 2006 FL12
N/A
COMM 2014-CR20 XA CSTR 11/10/2047
12592LBK7
4175825.73490000
PA
USD
170949.95000000
0.020405986411
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Variable
0.01027173
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/01/2044#AS9099
3138WKDD4
47679.55060000
PA
USD
53464.77000000
0.006381992917
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 8/22 #050618
313615G34
48.05030000
PA
USD
50.81000000
0.000006065097
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
0.08500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#738107
3620ASAG4
32738.57120000
PA
USD
35499.18000000
0.004237472925
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-32 PL 6% 7/29
31359WHX2
189227.85810000
PA
USD
211223.55000000
0.025213373218
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 04/01/2033#K90336
3132J2LR2
87175.18290000
PA
USD
91114.45000000
0.010876167138
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24546
3132M4WF8
65884.62630000
PA
USD
71313.03000000
0.008512507439
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/29 #488964
36210DFD8
1032.31680000
PA
USD
1196.25000000
0.000142794199
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1ML+ 05/25/2037
31396VYS1
43770.35960000
PA
USD
9533.47000000
0.001137993074
Long
ABS-CBDO
USGSE
US
N
2
2037-05-25
Variable
0.04813250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT0668
3138WMW64
76192.74790000
PA
USD
81718.72000000
0.009754615838
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.92% 7/35 #822003
31406WGL2
60.53880000
PA
USD
63.06000000
0.000007527358
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.0% 06/01/2033#C91709
3128P73S0
90458.56410000
PA
USD
94574.46000000
0.011289182275
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
FHLMC MFD HSG COP GTD (FREDMAC
N/A
FHR 2043 CJ 6.5% 4/28
3133TDML7
86902.82350000
PA
USD
98709.35000000
0.011782756618
Long
ABS-CBDO
USGSE
US
N
2
2028-04-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 3/41 #A97661
312946QN9
251620.93160000
PA
USD
278417.03000000
0.033234137423
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/32 #254335
31371KPU9
57701.58150000
PA
USD
68270.39000000
0.008149313004
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
HOLMES MASTER ISSUER PLC
N/A
HOLMES MASTER ISSUER PLC 18-2 A2 STEP 3ML+42 10/15/2054 144A
43641NCA0
955984.19000000
PA
USD
955435.46000000
0.114048603193
Long
ABS-CBDO
CORP
GB
N
2
2054-10-15
Variable
0.02251250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/01/2048#G67713
3132XCSA4
2429227.42800000
PA
USD
2628618.42000000
0.313773427594
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2048#BJ4680
3140H6FW4
186435.80960000
PA
USD
198439.07000000
0.023687312958
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 08/01/2034#C91782
3128P76T5
1455987.07410000
PA
USD
1538165.61000000
0.183608047477
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AB9858
31417G5U6
2903816.83170000
PA
USD
3068147.60000000
0.366239231032
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC
549300P6OXWKM20QS303
SILVERSTONE MASTER ISSUER PLC STEP 01/21/2070 144A
82846GAV2
1346760.00000000
PA
USD
1347898.01000000
0.160896148116
Long
ABS-CBDO
CORP
GB
N
2
2070-01-21
Variable
0.02389130
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/47#MA4262
36179SWX1
2811672.71510000
PA
USD
2964269.78000000
0.353839523496
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/20/2045#MA3311
36179RVC0
185691.85610000
PA
USD
198376.95000000
0.023679897806
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #434035
36207KEG1
479.09130000
PA
USD
551.27000000
0.000065804103
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/01/2050 #TBA
21H030641
-14100000.00000000
PA
USD
-14553719.67000000
-1.73725120023
Short
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2017
N/A
WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050
95001GAG8
15525553.54210000
PA
USD
919445.02000000
0.109752489450
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.00890024
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #743475
3620AX6L7
59283.43130000
PA
USD
66147.07000000
0.007895856135
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19988
3132JBRJ4
113341.94340000
PA
USD
122822.15000000
0.014661057952
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2013-133 IB 3% 04/32
3136AHQ94
451652.92570000
PA
USD
23972.02000000
0.002861496679
Long
ABS-CBDO
USGSE
US
N
2
2032-04-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2039#
312936C70
111389.71910000
PA
USD
123495.71000000
0.014741459591
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
TOWD PT MTG TR 2018-3
N/A
TOWD PT MTG TR 2018-3 3.75% 05/25/2058 144A
89175MAA1
806663.42120000
PA
USD
852121.41000000
0.101716191862
Long
ABS-CBDO
CORP
US
N
2
2058-05-25
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 11/33 #G01625
31283HYW9
755159.44810000
PA
USD
842182.66000000
0.100529821247
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK1510
3138E5VC9
91657.88080000
PA
USD
99850.52000000
0.011918976017
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/35 #809830
31406GVX4
2729.38320000
PA
USD
3220.26000000
0.000384396613
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3297 BI 1ML+676 4/37
31397GRY8
376571.85940000
PA
USD
94905.56000000
0.011328705084
Long
ABS-CBDO
USGSE
US
N
2
2037-04-15
Variable
0.05101500
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TR 2019-4
N/A
CARVANA AUTO RECEIVABLES TR 2019-4 2.3% 09/15/2023 144A
14686YAD9
704000.00000000
PA
USD
710133.25000000
0.084767321953
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
0.02300000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AD8812
36180MYH4
196886.45690000
PA
USD
205370.88000000
0.024514750583
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/23 #265603
31371YAC5
1388.95640000
PA
USD
1481.34000000
0.000176824877
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/20/2050#MA6541
36179VHS2
10800000.00000000
PA
USD
11184404.40000000
1.335062129023
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#BO4757
3140K0JB5
6100698.42300000
PA
USD
6398283.17000000
0.763751492304
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 5/20 #829994
31407GC71
432.57270000
PA
USD
432.62000000
0.000051641067
Long
ABS-MBS
USGSE
US
N
2
2020-05-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2039#AV6581
3138XJJ32
135900.89630000
PA
USD
147028.84000000
0.017550566765
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0047
3140X3BR8
3139997.10000000
PA
USD
3291711.40000000
0.392925637579
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2018-3PCK
N/A
GS MORTGAGE SECURITIES TRUST 2018-3PCK A 1ML+145 09/15/2021 144A
36255YAA9
9113000.00000000
PA
USD
9090028.86000000
1.085060307969
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
0.03108500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2047#BJ0197
3140H1GF1
62268.00580000
PA
USD
66276.99000000
0.007911364450
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #726298
3620AC3F9
92917.97210000
PA
USD
103849.92000000
0.012396377163
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2043#AU3741
3138X3EP3
2543023.32710000
PA
USD
2743353.04000000
0.327469091715
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2003-21 SK -1ML+810 3/33
31392JY37
32652.90340000
PA
USD
7428.69000000
0.000886749292
Long
ABS-CBDO
USGSE
US
N
2
2033-03-25
Variable
0.06473250
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/28 #493631
36210JLL0
1401.73440000
PA
USD
1600.71000000
0.000191073858
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #743101
3620AXRW0
10643.21510000
PA
USD
11855.49000000
0.001415168403
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/45#MA3174
36179RQ36
15408.41800000
PA
USD
16461.01000000
0.001964920998
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33547
3132QP5H3
5883822.37230000
PA
USD
6276743.44000000
0.749243514508
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/30 #535486
31384V2T8
580.34870000
PA
USD
680.06000000
0.000081177532
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 9/24 #G00320
31283GK97
16058.39050000
PA
USD
17180.75000000
0.002050835060
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 05/15/2041#770680
36176M6R9
284645.84470000
PA
USD
308648.01000000
0.036842754840
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.785 10/24/24
N/A
12300000.00000000
NC
USD
201684.45000000
0.024074708100
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 10/29 1.785V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-28
0.00000000
USD
0.00000000
USD
12300000.00000000
USD
1.00000000
1.78500000
USD
2024-10-24
XXXX
-139948.05000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 6/39 #A86958
312933WT7
895.00780000
PA
USD
949.21000000
0.000113305481
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2042#783607
3622A2AG7
99753.77950000
PA
USD
106134.05000000
0.012669029631
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#AL9776
3138ER2J8
1778105.00040000
PA
USD
1892617.10000000
0.225918280901
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.487 10/02/2020
N/A
-4100000.00000000
NC
USD
-34611.46000000
-0.00413150739
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/30 3MLV1.487
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-10-06
0.00000000
USD
0.00000000
USD
-4100000.00000000
USD
1.00000000
1.48700000
USD
2020-10-02
XXXX
75166.04000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 3/1/43#AR6743
3138W4P54
405433.10870000
PA
USD
434837.63000000
0.051905781597
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 9/22 #050627
313615HC3
229.59870000
PA
USD
243.23000000
0.000029033925
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
0.08500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16616
3132J7YN6
1546453.53140000
PA
USD
1635685.45000000
0.195248814437
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT2645
36194A5E3
52766.32940000
PA
USD
56504.04000000
0.006744785081
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BE4159
3140FPTR0
150622.17060000
PA
USD
162531.91000000
0.019401140198
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 10/01/2049#QA3257
31339STN5
1145065.59350000
PA
USD
1196626.52000000
0.142839143891
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2046#BD0711
3140F7YH6
249590.64530000
PA
USD
266756.54000000
0.031842245817
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21900
3132JPDD1
48054.19360000
PA
USD
52073.57000000
0.006215927888
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/41 #005202
36202FX76
28012.07000000
PA
USD
29821.24000000
0.003559707494
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/25 #410064
36206FQR6
410.03910000
PA
USD
456.66000000
0.000054510678
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/39 #726095
3620ACUU6
101185.58080000
PA
USD
112995.36000000
0.013488051799
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR9310
36193GKX2
34967.03950000
PA
USD
37443.94000000
0.004469615409
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045
3136ANY68
980376.21280000
PA
USD
202722.59000000
0.024198628995
Long
ABS-CBDO
USGSE
US
N
2
2045-06-25
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/30 #515311
36211KN42
2217.26000000
PA
USD
2561.95000000
0.000305815338
Long
ABS-MBS
USGA
US
N
2
2030-02-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 1/1/43 #Q14696
3132HRGD6
197928.72820000
PA
USD
209844.24000000
0.025048727477
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.417% 12/01/2040#848392
31300LKD6
351800.15510000
PA
USD
368029.61000000
0.043931029055
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Variable
0.03767000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1406
3138WAR41
415490.06100000
PA
USD
438872.26000000
0.052387388085
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 08/20/2046#MA3876
36179SJV0
8920.78300000
PA
USD
9628.38000000
0.001149322310
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #711223
36297GD49
1108982.19720000
PA
USD
1222583.45000000
0.145937575689
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
CORE 2019 CORE MTG TR
N/A
CORE 2019 CORE MTG TR 1ML+90 12/15/2020 144A
21871FAA6
2001000.00000000
PA
USD
2000399.50000000
0.238784071091
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Variable
0.02538500
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2802 OB 6% 5/34
31394YPA6
365838.05260000
PA
USD
403832.20000000
0.048204719484
Long
ABS-CBDO
USGSE
US
N
2
2034-05-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13121
3132HPPE8
171582.56190000
PA
USD
186255.87000000
0.022233026404
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AY3020
3138YGLA8
543776.51160000
PA
USD
587622.73000000
0.070143462711
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2043#Q19744
3132JBHW6
103457.33280000
PA
USD
112110.76000000
0.013382458696
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE4645
31419FET9
132537.36730000
PA
USD
144103.33000000
0.017201353927
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/27 #250990
31371FXT4
82.45730000
PA
USD
93.53000000
0.000011164506
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 3/35 #797507
31405SAG9
16811.32130000
PA
USD
19856.52000000
0.002370236886
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2049#BM5577
3140JAFT0
1376763.31000000
PA
USD
1540269.24000000
0.183859153986
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2042#Q11138
3132HMHP9
117109.00250000
PA
USD
127123.87000000
0.015174546490
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 6/36 #885763
31410DB82
58624.38100000
PA
USD
69626.54000000
0.008311194177
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #733812
3620AMGV8
86589.15850000
PA
USD
92067.62000000
0.010989945318
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 8/22 #125130
31365D4P7
24.44220000
PA
USD
25.99000000
0.000003102379
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
0.08500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 11/01/2040#A94862
312943MK6
739106.01420000
PA
USD
818047.27000000
0.097648823385
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK2525
3138E6YX8
76971.30810000
PA
USD
83711.71000000
0.009992515450
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.54% 02/01/2039#
3138ETWB8
313210.97690000
PA
USD
341921.77000000
0.040814583404
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Variable
0.06542000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 08/01/2041#AI5189
3138AJXT4
25994.75930000
PA
USD
28879.65000000
0.003447311598
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2003-118 S -1ML+81 12/33
31393UNH2
120095.35670000
PA
USD
32388.99000000
0.003866215168
Long
ABS-CBDO
USGSE
US
N
2
2033-12-25
Variable
0.06473250
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/22 #317003
36223TDG3
2133.27870000
PA
USD
2222.58000000
0.000265305355
Long
ABS-MBS
USGA
US
N
2
2022-04-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 02/01/2047#Q47737
3132WMS39
64001.77910000
PA
USD
69597.54000000
0.008307732500
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #254383
31371KRC7
4266.28220000
PA
USD
5060.48000000
0.000604060346
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/20/2043#MA1092
36179NF94
4982.32800000
PA
USD
5453.82000000
0.000651012631
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2043#MA1285
36179NNA2
179718.38540000
PA
USD
191044.72000000
0.022804662769
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2050#TBA
01F032633
82650000.00000000
PA
USD
85825082.40000000
10.24478489284
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 03/01/2032#
31287P6S7
15020.00980000
PA
USD
17468.57000000
0.002085191613
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2035#AB0067
31416VCD4
288095.18840000
PA
USD
320859.25000000
0.038300388478
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK5316
3138E94A5
74713.22810000
PA
USD
81391.31000000
0.009715533498
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AB2079
31416XJZ4
2026059.97310000
PA
USD
2202549.04000000
0.262914296144
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2041#A97673
312946Q25
61561.86310000
PA
USD
68117.83000000
0.008131102193
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/28 #399895
36205TGC1
4361.52580000
PA
USD
5014.02000000
0.000598514500
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/29 #495064
36210K5Z4
673.43690000
PA
USD
787.95000000
0.000094056166
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-139 NI 4.5% 2/40
31398SVQ3
197035.33060000
PA
USD
14044.52000000
0.001676468956
Long
ABS-CBDO
USGSE
US
N
2
2040-02-25
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2049#FM1534
3140X4V45
3036091.49000000
PA
USD
3300028.94000000
0.393918487288
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2047#BM3132
3140J7PS8
2503795.43630000
PA
USD
2669737.48000000
0.318681735433
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/22 #297620
362205SH0
948.55360000
PA
USD
995.56000000
0.000118838196
Long
ABS-MBS
USGA
US
N
2
2022-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #733726
3620AMD74
1120114.66870000
PA
USD
1249797.74000000
0.149186096276
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/27 #256630
31371NA70
19529.45940000
PA
USD
21762.55000000
0.002597756241
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2380 SY -1ML+820 11/31
31339GVS7
390617.65710000
PA
USD
59692.63000000
0.007125401303
Long
ABS-CBDO
USGSE
US
N
2
2031-11-15
Variable
0.06541500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #733255
3620ALTL8
80757.38200000
PA
USD
89029.96000000
0.010627345336
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 07/01/2029#
31293TF28
209.99130000
PA
USD
238.26000000
0.000028440665
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 03/01/2029#
31293MFF4
385.99930000
PA
USD
436.14000000
0.000052061243
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.06000000
N
N
N
N
N
N
PERMANENT MASTER ISSUER PLC
213800MVYG7MLQM2LF25
PERMANENT MASTER ISSUER PLC 3ML+38 07/15/2058 144A
71419GAX8
2024250.00000000
PA
USD
2024324.90000000
0.241640002826
Long
ABS-CBDO
CORP
GB
N
2
2058-07-15
Variable
0.02211250
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2018-C46
N/A
WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051
95001QAV3
10244966.71360000
PA
USD
585321.59000000
0.069868779790
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
0.00944130
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22486
3132JPXP2
13284.47160000
PA
USD
14395.62000000
0.001718379128
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2039#
312933G73
526292.81700000
PA
USD
583491.06000000
0.069650272734
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2015-70 JC 3% 10/45
3136AQCV0
1206281.21640000
PA
USD
1273383.02000000
0.152001428501
Long
ABS-CBDO
USGSE
US
N
2
2045-10-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 10/35 #835556
31407NH97
17313.57410000
PA
USD
20565.61000000
0.002454879677
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2049#CA4157
3140QBTP3
4018474.77480000
PA
USD
4248386.59000000
0.507122225101
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/44#MA1760
36179N5V6
8041.24900000
PA
USD
8545.52000000
0.001020063269
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2048#Q55504
3132XYDJ3
172658.18670000
PA
USD
184725.70000000
0.022050372778
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
CSMC SER 2014-3R
N/A
CSMC SER 2014-3R VAR 05/27/2037
12648GAJ6
139048.78780000
PA
USD
0.01000000
0.000000001193
Long
ABS-CBDO
CORP
US
N
2
2037-05-27
Variable
0.00000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2034#C91764
3128P75Z2
872508.81580000
PA
USD
921754.78000000
0.110028201325
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 6/21 #J02819
3128PEDY1
3341.68760000
PA
USD
3412.64000000
0.000407360665
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/29 #506350
31383LQB4
4959.61990000
PA
USD
5820.45000000
0.000694776591
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #710465
36297FJJ2
478661.46980000
PA
USD
528890.96000000
0.063132757527
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#V81064
3132L6FD8
14375.52910000
PA
USD
15758.19000000
0.001881026645
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4% 05/29#BM5499
3140JADD7
1306789.75050000
PA
USD
1374834.16000000
0.164111467634
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.487 10/02/2020
N/A
-4100000.00000000
NC
USD
-183432.73000000
-0.02189603328
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/30 1.487V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-10-06
0.00000000
USD
0.00000000
USD
-4100000.00000000
USD
1.00000000
1.48700000
USD
2020-10-02
XXXX
-73655.23000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 11/41 #005232
36202FY59
1122046.49500000
PA
USD
1194514.09000000
0.142586986942
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 2.643 04/22/22
N/A
3100000.00000000
NC
USD
322341.75000000
0.038477351822
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 4/29 3MLV2.643
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-26
0.00000000
USD
0.00000000
USD
3100000.00000000
USD
1.00000000
2.64300000
USD
2022-04-22
XXXX
238331.75000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 9/39 #710868
36297FW57
297753.33420000
PA
USD
339392.11000000
0.040512622464
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2046#AS9183
36193VFY3
72368.88960000
PA
USD
77495.15000000
0.009250455924
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-135 ZA 4.5% 12/40
31398SE82
121338.81330000
PA
USD
135248.68000000
0.016144390368
Long
ABS-CBDO
USGSE
US
N
2
2040-12-25
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 03/15/2042#773367
36176Q6C3
82399.87330000
PA
USD
89296.57000000
0.010659170090
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2154 PT 6% 5/29
3133TKW97
162000.63540000
PA
USD
181004.83000000
0.021606219255
Long
ABS-CBDO
USGSE
US
N
2
2029-05-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 09/39#G05624
3128M7SM9
146658.25260000
PA
USD
162597.28000000
0.019408943296
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 11/36 #995606
31416CAF3
10259.83200000
PA
USD
10748.02000000
0.001282971712
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.04184000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 09/20/2046#MA3939
36179SLU9
8852.42000000
PA
USD
9582.26000000
0.001143817049
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.91% 3/36 #865849
31409A5J4
20400.51260000
PA
USD
21373.10000000
0.002551268299
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.03798000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR0015
3138NWAR0
171176.86700000
PA
USD
181452.41000000
0.021659646070
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005203
36202FX84
2235737.94050000
PA
USD
2406632.38000000
0.287275355406
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
178076.80870000
PA
USD
189299.69000000
0.022596361694
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA FHAL 7% 12/28#252285
31371HF29
4659.23030000
PA
USD
5241.83000000
0.000625707768
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/24 #397521
36205QSJ9
2441.59630000
PA
USD
2653.74000000
0.000316772145
Long
ABS-MBS
USGA
US
N
2
2024-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 3/40 #678658
36295R5T1
56125.55600000
PA
USD
61051.16000000
0.007287566573
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2043#MA0783
36179M2Q2
862740.53360000
PA
USD
917112.77000000
0.109474092985
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #323348
36224BEV7
35.45250000
PA
USD
37.59000000
0.000004487050
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2027#MA1257
31418AMF2
110365.43830000
PA
USD
114663.26000000
0.013687146006
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 03/15/2041#763058
36176DQK2
457534.28050000
PA
USD
496114.90000000
0.059220338513
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
CHC COML MTG TR 2019-CHC
N/A
CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034
162665AA1
1308000.00000000
PA
USD
1307386.94000000
0.156060414944
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.02778500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1611
3138WAYH4
1242947.32050000
PA
USD
1312895.67000000
0.156717982083
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 11/40 #004854
36202FMB9
756926.64350000
PA
USD
829502.59000000
0.099016224219
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745232
3620C04R6
172139.42920000
PA
USD
189772.94000000
0.022652852690
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 5/1/43 #AT0347
3138WML58
329893.86890000
PA
USD
355984.75000000
0.042493255897
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24349
3132M4QA6
39747.61500000
PA
USD
43022.52000000
0.005135520416
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0170
3138MFFL6
77307.62900000
PA
USD
82914.46000000
0.009897349160
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #733234
3620ALSX3
53547.86110000
PA
USD
59033.16000000
0.007046681562
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479596
36209RXZ1
52057.26100000
PA
USD
56446.88000000
0.006737961995
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 09/45#MA3106
36179RNX3
12264.85700000
PA
USD
13102.70000000
0.001564045606
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2039#A89270
312936JP3
884252.73580000
PA
USD
980354.56000000
0.117023151100
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AP5129
3138M8VX8
167714.76080000
PA
USD
179878.48000000
0.021471768892
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 07/01/2029#
31293TGN1
204.48570000
PA
USD
231.97000000
0.000027689839
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2041#770824
36176ND57
314724.15550000
PA
USD
341262.61000000
0.040735900667
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.92 01/08/25
N/A
-3000000.00000000
NC
USD
-45282.18000000
-0.00540525194
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 01/10/30 3MLV1.92%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-10
0.00000000
USD
0.00000000
USD
-3000000.00000000
USD
1.00000000
1.92000000
USD
2025-01-08
XXXX
38417.82000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2045#AL9296
36184HKH6
238942.46350000
PA
USD
248204.18000000
0.029627684151
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #783143
36241LP42
194378.15690000
PA
USD
210950.92000000
0.025180829868
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2041#Q02721
3132GGAW5
20138.20300000
PA
USD
21961.06000000
0.002621452021
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 7.00% 4/32 #781432
36225BSV1
136765.48960000
PA
USD
158240.80000000
0.018888918157
Long
ABS-MBS
USGA
US
N
2
2032-04-20
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19597
3132JBDB6
122259.80940000
PA
USD
132485.93000000
0.015814605896
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AP4410
3138M73U7
373304.21840000
PA
USD
400378.55000000
0.047792463528
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/24 #385903
36205BU42
22.63250000
PA
USD
24.30000000
0.000002900647
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
0.08000000
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3 M55D 4% 08/25/2057
35563PGL7
373315.42590000
PA
USD
403173.49000000
0.048126090462
Long
ABS-CBDO
CORP
US
N
2
2057-08-25
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/29 #509410
36211C3T7
476.57640000
PA
USD
548.34000000
0.000065454354
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18136
3132J9PW2
25975.08830000
PA
USD
28172.06000000
0.003362847860
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q12164
3132HNMM8
52992.03110000
PA
USD
57523.78000000
0.006866509601
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2043#Q15174
3132J6FQ2
20886.92720000
PA
USD
22673.12000000
0.002706449335
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/01/2050 #TBA
21H032647
45350000.00000000
PA
USD
46943707.84000000
5.603585518879
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #337813
36224TGW4
1296.55390000
PA
USD
1363.19000000
0.000162721525
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
UBS BARCLAYS COML MTG TR 2013-C6
549300G1IXWLFE766Q13
UBS BARCLAYS COML MTG TR 2013-C6 A3FL 1ML+79 04/10/2046 144A
90349GAC9
1215431.09030000
PA
USD
1228274.79000000
0.146616940653
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
0.02447880
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/41 #Q03643
3132GJWC9
324325.70300000
PA
USD
359168.47000000
0.042873290797
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 8/41 #Q02511
3132GFYG6
34337.55220000
PA
USD
37972.83000000
0.004532748052
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT JUN20 TUM0
N/A
-411.00000000
NC
USD
-754750.01000000
-0.09009314391
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UNDERLYING TREASURY 2 YR NOTE GENERIC IV FOR FUTURES TRADING
2020-06-30
-88978109.37000000
USD
-754750.01000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP7148
3138MA5J3
90948.91990000
PA
USD
97545.10000000
0.011643782201
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042
3137AWAE5
120237.69580000
PA
USD
121128.71000000
0.014458915081
Long
ABS-CBDO
USGSE
US
N
2
2042-06-15
Fixed
0.01750000
N
N
N
N
N
N
WELLS FARGO MTG BACKED SECS 2003-I TR
N/A
WELLS FARGO MORTGAGE BACKED SECURITIES 2003-I TRUST VAR 09/25/2033
949802AA0
164926.65230000
PA
USD
166128.54000000
0.019830463417
Long
ABS-CBDO
CORP
US
N
2
2033-09-25
Variable
0.04666568
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2.5% 03/01/2035#TBA
01F022436
41500000.00000000
PA
USD
42596185.15000000
5.084629596784
Long
ABS-MBS
USGA
US
N
2
2035-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/39 #004540
36202FBH8
18511.00100000
PA
USD
20309.02000000
0.002424250993
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 359 19 6% 7/35
3136FCUL8
36523.27330000
PA
USD
7878.72000000
0.000940468559
Long
ABS-CBDO
USGSE
US
N
2
2035-07-25
Variable
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 06/15/2041#783838
3622A2HP0
49761.61140000
PA
USD
55931.08000000
0.006676391882
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2048#BJ4970
3140H6QY8
509349.25990000
PA
USD
541028.39000000
0.064581580599
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/47#BH1008
3140GPDN5
48128.64420000
PA
USD
51981.74000000
0.006204966307
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 04/48#784805
3622AAGN8
980988.34000000
PA
USD
1066530.23000000
0.127309785001
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 05/46#MA3665
36179SCA3
12932.50100000
PA
USD
13921.93000000
0.001661835609
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/47#Q48877
3132WN2K7
1175974.34930000
PA
USD
1273233.31000000
0.151983557889
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #339862
36224VQP3
2405.93570000
PA
USD
2542.62000000
0.000303507951
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7% 2/32 #003202
36202DRX1
38364.85750000
PA
USD
44470.41000000
0.005308352428
Long
ABS-MBS
USGA
US
N
2
2032-02-20
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2044#MA1600
36179NX52
77803.25080000
PA
USD
82682.31000000
0.009869637834
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049
17291EBB6
17517034.04370000
PA
USD
587650.95000000
0.070146831281
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
0.00793067
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 08/01/2028#
31293CM35
3007.08400000
PA
USD
3265.48000000
0.000389794442
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/01/2050 #TBA
21H032639
85050000.00000000
PA
USD
88111953.09000000
10.51776451187
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #748144
3620C4ER7
20309.80650000
PA
USD
22022.39000000
0.002628772872
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.83% 5/37 #1N1484
3128QHUH1
9780.00360000
PA
USD
10203.58000000
0.001217982893
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
0.03830000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#BJ6650
3140H8L86
210196.16580000
PA
USD
218315.88000000
0.026059971825
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22499
3132JPX49
157802.81720000
PA
USD
171001.84000000
0.020412180426
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 11/27 #780834
36225A4T4
8246.77490000
PA
USD
9397.27000000
0.001121735127
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.08500000
N
N
N
N
N
N
NATIONSTAR HECM LOAN TRUST
N/A
NATIONSTAR HECM LOAN TRUST 2018-2A 2 3.188% 07/25/2028 144A
63862TAA9
702932.20160000
PA
USD
703187.23000000
0.083938188106
Long
ABS-CBDO
CORP
US
N
2
2028-07-25
Fixed
0.03187700
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 12/01/2047#G61305
31335BNW2
4606339.24390000
PA
USD
4918211.44000000
0.587078006234
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/29 #514330
36211JLK1
368.57940000
PA
USD
422.84000000
0.000050473646
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR3124
36192XPH6
79870.60070000
PA
USD
85528.25000000
0.010209352546
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2218 ZB 6% 3/30
3133TNM84
41153.40310000
PA
USD
45319.79000000
0.005409741382
Long
ABS-CBDO
USGSE
US
N
2
2030-03-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 7/33 #A11628
31296KYZ0
118258.03630000
PA
USD
130115.17000000
0.015531612562
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 7.00% 8/21 #J03227
3128PESQ2
1940.73770000
PA
USD
1983.90000000
0.000236814555
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/39 #721187
3620A7F42
6978.73500000
PA
USD
7799.79000000
0.000931046828
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/40 #AE3832
31419EHJ1
100815.10650000
PA
USD
111532.59000000
0.013313443589
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 7.00% 7/26 #D97040
3128E3ZD9
9051.91530000
PA
USD
9916.37000000
0.001183699155
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 7.00% 8/26 #256430
31371MY35
16882.00100000
PA
USD
18711.74000000
0.002233586568
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2048#BK7608
3140HMN26
860504.58460000
PA
USD
907570.14000000
0.108335006497
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/42#G60488
31335ARH3
454332.00870000
PA
USD
495457.01000000
0.059141807373
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 5/1/43 #AT5066
3138WSTY4
406755.44600000
PA
USD
438925.21000000
0.052393708630
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2045#BA0270
3140E4JQ1
269448.32100000
PA
USD
291006.29000000
0.034736894625
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #754005
36230NNW1
22878.21250000
PA
USD
24857.42000000
0.002967185276
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE3874
31419EJU4
135331.72520000
PA
USD
149718.61000000
0.017871639746
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.905 10/28/2024
N/A
8000000.00000000
NC
USD
117024.24000000
0.013968971919
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/29 1.905V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-30
0.00000000
USD
0.00000000
USD
8000000.00000000
USD
1.00000000
1.90500000
USD
2024-10-28
XXXX
-101775.76000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #748112
3620C4DR8
39891.52690000
PA
USD
43255.30000000
0.005163306944
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
TOWD PT MTG TR 2019-1
N/A
TOWD PT MTG TR 2019-1 3.75% 03/25/2058 144A
89177BAA3
1607091.91950000
PA
USD
1715045.91000000
0.204721929044
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2049#CA4406
3140QB3Q9
5182269.00800000
PA
USD
5446390.08000000
0.650125735412
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2032#J36710
31307TN31
31741.25570000
PA
USD
33457.48000000
0.003993758888
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12ML+187.9 10/42#849255
31300MH89
66891.59860000
PA
USD
70063.88000000
0.008363398662
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Variable
0.04376000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 3/41 #004977
36202FQ66
250165.09280000
PA
USD
269599.82000000
0.032181643009
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/31 #528565
36212BFE8
340.48610000
PA
USD
340.94000000
0.000040697391
Long
ABS-MBS
USGA
US
N
2
2031-01-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 1658 GZ 7 1/24
3133T3TD0
92837.80760000
PA
USD
98864.44000000
0.011801269431
Long
ABS-CBDO
USGSE
US
N
2
2024-01-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2033#709252
31401H5M0
159391.09880000
PA
USD
177630.38000000
0.021203417260
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #338168
36224TTZ3
471.78960000
PA
USD
497.75000000
0.000059415517
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #737177
3620AQ6N8
353639.51460000
PA
USD
394582.70000000
0.047100623394
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2046#MA3937
36179SLS4
4921727.17410000
PA
USD
5201146.91000000
0.620851501670
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13654
3132HQBX9
53820.81440000
PA
USD
58423.44000000
0.006973900388
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479607
36209RYC1
199618.51950000
PA
USD
216450.93000000
0.025837356116
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 6/46#AT4134
36194CSX2
718248.46850000
PA
USD
765983.41000000
0.091434054561
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 12/25 #332726
31375ESP7
395.49500000
PA
USD
438.17000000
0.000052303560
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 1/22 #323924
36224BYV5
1116.87310000
PA
USD
1168.23000000
0.000139449502
Long
ABS-MBS
USGA
US
N
2
2022-01-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/42 #MA0090
36179MC32
52369.49920000
PA
USD
57227.16000000
0.006831102608
Long
ABS-MBS
USGA
US
N
2
2042-05-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 10/21 #889896
31410KUV4
2369.98530000
PA
USD
2378.74000000
0.000283945892
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 11/20/2044#MA2372
36179QT50
2835729.73960000
PA
USD
3043624.46000000
0.363311948154
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR3125
36192XPJ2
80771.07370000
PA
USD
86492.51000000
0.010324454518
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.34% 5/36 #872506
31409JKT6
106329.27560000
PA
USD
110892.79000000
0.013237071820
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.04484000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2039#AS3482
3138WC2Q5
70198.12400000
PA
USD
75858.40000000
0.009055080037
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2518
3140X5YQ0
1701211.00000000
PA
USD
1761776.83000000
0.210300114463
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
CONSUMER LENDING RECEIVABLES TRUST 2019-A CLRT 2019-A
N/A
CONSUMER LENDING RECEIVABLES TRUST 2019-A CLRT 2019-A A 3.52% 04/15/2026 144A
21053QAA2
715066.91240000
PA
USD
722149.79000000
0.086201714604
Long
ABS-CBDO
CORP
US
N
2
2026-04-15
Fixed
0.03520000
N
N
N
N
N
N
ASSET SECURITIZATION CORP
N/A
ASC 1997-D5 PS1 CSTR 2/43
045424FJ2
1416.48220000
PA
USD
1.58000000
0.000000188601
Long
ABS-MBS
CORP
US
N
2
2043-02-14
Variable
0.01823793
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.83 01/23/25
N/A
-6400000.00000000
NC
USD
-106065.34000000
-0.01266082784
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 01/27/30 3MLV1.83%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-27
0.00000000
USD
0.00000000
USD
-6400000.00000000
USD
1.00000000
1.83000000
USD
2025-01-23
XXXX
72654.66000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #462495
36208VXY6
168.49710000
PA
USD
190.15000000
0.000022697861
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2048#Q55725
3132XYLF2
212908.99220000
PA
USD
227789.73000000
0.027190848169
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 08/01/2032#J37452
31307UH50
73235.65400000
PA
USD
77264.11000000
0.009222877097
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 01/46#MA3377
36179RXE4
149286.04160000
PA
USD
158970.99000000
0.018976079616
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1578
3140X4XG6
1105635.12500000
PA
USD
1170816.19000000
0.139758211471
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 09/01/2033#AL7521
3138EQLB6
3400233.25660000
PA
USD
3794714.04000000
0.452968153161
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
BENCHMARK 2019-B MORTGAGE TRUST
N/A
BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061
08162YAK8
7315726.52000000
PA
USD
416237.04000000
0.049685462803
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.00791233
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 8/42 #MA0318
36179MK74
251531.41990000
PA
USD
267619.42000000
0.031945246242
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 9.50% 8/22 #190059
31368HB44
13.15730000
PA
USD
13.45000000
0.000001605502
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
0.09500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG 2012-14 CLASS JS 1ML+665 12/25/2030
3136A4WY1
228294.75620000
PA
USD
19124.48000000
0.002282854595
Long
ABS-CBDO
USGSE
US
N
2
2030-12-25
Variable
0.05023250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 11/01/2031#
31298YEV9
655.29850000
PA
USD
765.67000000
0.000091396643
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/48#G61343
31335BP42
1567260.23170000
PA
USD
1678269.27000000
0.200331968028
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2044#MA2149
36179QL66
178956.59070000
PA
USD
192188.21000000
0.022941159103
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
0.04000000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+215 03/15/2036 144A
74952PAJ6
600000.00000000
PA
USD
601322.28000000
0.071778753222
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.03758500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 07/01/2033#C91714
3128P73X9
410026.55640000
PA
USD
428682.93000000
0.051171106187
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT0228
36193XHD3
40345.27130000
PA
USD
43203.14000000
0.005157080699
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
NORTH CAROLINA ST ED ASSISTANCE AUTH REV
N/A
NCSEA 2011-2 A2 3ML+80 07/25
658262GC8
102648.44510000
PA
USD
102703.88000000
0.012259576441
Long
ABS-CBDO
MUN
US
N
2
2025-07-25
Variable
0.02594130
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2042#792254
36177LQG2
39671.86810000
PA
USD
43141.09000000
0.005149673903
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/25 #403151
36205WZQ2
59.64570000
PA
USD
60.39000000
0.000007208645
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 9/41 #Q03358
3132GJMF3
195768.94080000
PA
USD
213489.46000000
0.025483850797
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-135 LS -1ML+605 12/40
31398SD91
226459.79450000
PA
USD
43824.45000000
0.005231245350
Long
ABS-CBDO
USGSE
US
N
2
2040-12-25
Variable
0.04423250
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.9 12/10/2024
N/A
-7900000.00000000
NC
USD
-366679.29000000
-0.04376984379
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/12/29 1.9V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-12
0.00000000
USD
0.00000000
USD
-7900000.00000000
USD
1.00000000
1.90000000
USD
2024-12-10
XXXX
-143504.29000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745138
3620C0ZB7
762885.11640000
PA
USD
841033.08000000
0.100392597961
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8010
3138WH3U4
244795.21330000
PA
USD
253663.31000000
0.030279330627
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE7834
3140FTV40
422863.57340000
PA
USD
451550.09000000
0.053900717727
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #433864
36207J5Z2
317.63960000
PA
USD
355.78000000
0.000042468815
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 04/01/2024#
31335GEJ0
464.44370000
PA
USD
498.25000000
0.000059475201
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AS4297
36193NX21
231505.15910000
PA
USD
247903.87000000
0.029591836689
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
WFRBS COML MTG TR 2014-C24
N/A
WFRBS 2014-C24 XA CSTR 11/47
92939KAH1
6379283.69940000
PA
USD
197165.16000000
0.023535248625
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.00836924
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 5/25 #AB1004
31416WDJ8
64127.43570000
PA
USD
67454.91000000
0.008051970631
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033
3137AXRF2
90966.35550000
PA
USD
9637.49000000
0.001150409754
Long
ABS-CBDO
USGSE
US
N
2
2033-01-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #483492
36209WC59
2337.32470000
PA
USD
2699.17000000
0.000322195042
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3336 LI 1ML+658 6/37
31397J7J7
167963.23840000
PA
USD
35860.02000000
0.004280545743
Long
ABS-CBDO
USGSE
US
N
2
2037-06-15
Variable
0.04921500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2044#Q28059
3132M8TQ9
29449.92260000
PA
USD
31857.97000000
0.003802828271
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/39 #704628
36296XYZ1
123606.23470000
PA
USD
138148.71000000
0.016490561705
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.05000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV2.0 MAC 03/18/30
N/A
-12445000.00000000
NC
USD
-665690.57000000
-0.07946227960
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2030-03-18
0.00000000
USD
0.00000000
USD
-12788598.93000000
USD
-665690.57000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/26 #780299
36225AKL3
1657.21880000
PA
USD
1819.42000000
0.000217180875
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
333806.85020000
PA
USD
365813.05000000
0.043666442296
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 2.54 04/05/2022
N/A
8000000.00000000
NC
USD
782175.68000000
0.093366896552
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 4/07/29 3MLV2.54
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-07
0.00000000
USD
0.00000000
USD
8000000.00000000
USD
1.00000000
2.54000000
USD
2022-04-05
XXXX
562975.68000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19690
3132JBF81
119277.45760000
PA
USD
129254.12000000
0.015428830580
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/35 #255896
31371MGD3
17167.78320000
PA
USD
20335.09000000
0.002427362922
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A
05492PAA6
525000.00000000
PA
USD
555686.46000000
0.066331287909
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03112000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK7441
3138ECHT3
82157.16350000
PA
USD
89500.60000000
0.010683524782
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2047#MA4652
36179TEZ4
2118630.14500000
PA
USD
2230303.56000000
0.266227303009
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.87% 1/35 #735833
31402RPS2
43347.40040000
PA
USD
45265.78000000
0.005403294306
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.03549000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AR9166
36193GFF7
601979.46640000
PA
USD
641987.14000000
0.076632844028
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2042#794559
36177PB53
42626.91490000
PA
USD
46261.30000000
0.005522127728
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.08% 6/33 #1B0891
31336SRL4
150057.14070000
PA
USD
157260.83000000
0.018771940910
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
0.04821000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/25 #318167
31374MMQ4
366.25130000
PA
USD
406.96000000
0.000048578079
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-39 TE 5% 5/35
31394DTZ3
310189.21990000
PA
USD
343878.25000000
0.041048124884
Long
ABS-CBDO
USGSE
US
N
2
2035-05-25
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2046#MA3454
36179RZT9
13177429.54360000
PA
USD
13954373.42000000
1.665708322143
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AL2266
3138EJQU5
1208200.18190000
PA
USD
1295826.35000000
0.154680448220
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 10/41 #Q04113
3132GKGW0
116821.94400000
PA
USD
127323.36000000
0.015198359250
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 1/24 #267835
31372BPU8
264.86720000
PA
USD
277.13000000
0.000033080506
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 10/01/2034#FM1579
3140X4XH4
796339.46600000
PA
USD
841544.47000000
0.100453641660
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18481
3132J92P2
156500.19700000
PA
USD
169736.98000000
0.020261196375
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/22 #327731
36224GA81
569.69540000
PA
USD
582.26000000
0.000069503323
Long
ABS-MBS
USGA
US
N
2
2022-08-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 7.00% 12/33 #G03583
3128M5J43
74383.73310000
PA
USD
88293.62000000
0.010539449762
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 7/27 #256821
31371NG66
38612.21690000
PA
USD
42661.77000000
0.005092458341
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AY0356
3138YDME6
886151.72620000
PA
USD
957604.62000000
0.114307531900
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H19 FG 1ML+30 8/60
38375BFQ0
242930.56880000
PA
USD
241958.73000000
0.028882176078
Long
ABS-CBDO
USGA
US
N
2
2060-08-20
Variable
0.02034380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 05/01/2024#
31335GE50
1470.84720000
PA
USD
1577.97000000
0.000188359425
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AD2454
36180DWP8
286878.94500000
PA
USD
299164.19000000
0.035710688396
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #468760
36209DWV2
2094.26680000
PA
USD
2373.81000000
0.000283357407
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H13 FA 1ML+50 4/61
38375BLW0
92305.14630000
PA
USD
92383.34000000
0.011027632243
Long
ABS-CBDO
USGA
US
N
2
2061-04-20
Variable
0.02234380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3% 2/1/43 #Q15788
3132J62W3
91435.88740000
PA
USD
96968.99000000
0.011575012992
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2043#AD7475
36180KJU6
47026.46620000
PA
USD
51182.92000000
0.006109612608
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q33791
3132QQF98
1145244.31220000
PA
USD
1221723.61000000
0.145834938143
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/25 #406831
36206B4Q1
604.06410000
PA
USD
658.48000000
0.000078601566
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/01/2045#G61807
31335CAG9
435515.63710000
PA
USD
474937.42000000
0.056692421019
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.4025 02/26/2025
N/A
4500000.00000000
NC
USD
143782.43000000
0.017163048674
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 3MLV1.40250003%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
4500000.00000000
USD
1.00000000
1.40250000
USD
2025-02-26
XXXX
16882.43000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 2/37 #A57709
3128KLR66
4597.65560000
PA
USD
5429.31000000
0.000648086917
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/41 #AJ3485
3138AU2T3
64725.13400000
PA
USD
70510.45000000
0.008416704915
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-4 PZ 5% 2/41
31397QKY3
390104.98270000
PA
USD
449337.70000000
0.053636628733
Long
ABS-CBDO
USGSE
US
N
2
2041-02-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AE8265
31419KFF7
78001.71540000
PA
USD
84808.59000000
0.010123448033
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 9/41 #Q03529
3132GJSS9
19538.69170000
PA
USD
21607.23000000
0.002579215973
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/01/2028#MA1419
31418ASH2
139642.19370000
PA
USD
145167.37000000
0.017328366457
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #338185
36224TUJ7
9.59680000
PA
USD
10.02000000
0.000001196069
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719228
3620A5A58
515487.00670000
PA
USD
568292.16000000
0.067836007524
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 02/43 #Q15871
3132J66H2
190712.75960000
PA
USD
203746.53000000
0.024320854861
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 348 14 6.5% 8/34
3136FCEU6
65441.36340000
PA
USD
15526.77000000
0.001853402458
Long
ABS-CBDO
USGSE
US
N
2
2034-08-25
Variable
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/24 #389864
36205GB91
898.89310000
PA
USD
984.09000000
0.000117469043
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 4/42 #Q07441
3132GSS67
69426.40160000
PA
USD
75537.14000000
0.009016731811
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2019-AGLN
N/A
MORGAN STANLEY CAPITAL I TRUST 2019-AGLN 1ML+95 03/15/2034 144A
61691TAA0
1484000.00000000
PA
USD
1480274.57000000
0.176697698713
Long
ABS-MBS
CORP
US
N
2
2034-03-15
Variable
0.02608500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/40 #737790
3620ARUP4
21331.21550000
PA
USD
23149.92000000
0.002763364089
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#BO1835
3140JWBD1
360756.41100000
PA
USD
384617.20000000
0.045911059679
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #463389
36208WXS7
1020.36500000
PA
USD
1155.56000000
0.000137937107
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0206
3138MFGQ4
50628.68520000
PA
USD
54300.59000000
0.006481763239
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
6989.87100000
PA
USD
7447.87000000
0.000889038774
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 02/01/2032#
31287PHP1
331011.37530000
PA
USD
390738.44000000
0.046641741029
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2135 JE 6% 3/29
3133TJWJ8
110020.41950000
PA
USD
123305.17000000
0.014718715176
Long
ABS-CBDO
USGSE
US
N
2
2029-03-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.5% 07/32#BM3929
3140J8LK7
1992724.65040000
PA
USD
2102999.44000000
0.251031240403
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 12
N/A
33700000.00000000
NC
USD
272710.51000000
0.032552960449
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
469.40000000
USD
0.00000000
USD
33700000.00000000
USD
272241.11000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q02067
3132GFJL2
54624.94080000
PA
USD
60717.03000000
0.007247682079
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
BANK 2019-BN24
N/A
BANK 2019-BN24 2.96% 11/15/2062
06540VBB0
500000.00000000
PA
USD
543885.70000000
0.064922652527
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Fixed
0.02960000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AB1801
31416XAB6
720653.60390000
PA
USD
783541.95000000
0.093529985731
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2042#783582
36241L6T8
23942.79400000
PA
USD
25474.18000000
0.003040806802
Long
ABS-MBS
USGA
US
N
2
2042-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/35 #255816
31371MDV6
4075.37370000
PA
USD
4809.30000000
0.000574077444
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 04/01/2024#
31292GK47
913.32380000
PA
USD
978.50000000
0.000116801775
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 3/42 #005331
36202F4Q6
85106.93120000
PA
USD
90603.58000000
0.010815185510
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2049#CA4557
3140QCB39
2174950.83000000
PA
USD
2310262.57000000
0.275771865447
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046
38379WN73
648268.02870000
PA
USD
677570.59000000
0.080880376110
Long
ABS-CBDO
USGA
US
N
2
2046-02-20
Fixed
0.03000000
N
N
N
N
N
N
MERRILL LYNCH ALTERNATIVE NT ASSET SER 2007 OAR1
N/A
MANA 2007-OAR1 A1 1ML+17 2/37
59023TAA3
27073.08690000
PA
USD
27550.15000000
0.003288611587
Long
ABS-CBDO
CORP
US
N
2
2037-02-25
Variable
0.01830880
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 2/42 #005304
36202F3M6
23109.08600000
PA
USD
24601.59000000
0.002936647312
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2039#
312933CQ5
40105.53780000
PA
USD
44464.26000000
0.005307618313
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.7375 09/20/24
N/A
4200000.00000000
NC
USD
172682.87000000
0.020612841938
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/29 3MLV1.7375
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-24
0.00000000
USD
0.00000000
USD
4200000.00000000
USD
1.00000000
1.73750000
USD
2024-09-20
XXXX
54137.87000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0045
3140X3BP2
405918.47500000
PA
USD
427560.71000000
0.051037148815
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2042#779270
36176XQX0
322213.54690000
PA
USD
344325.48000000
0.041101509920
Long
ABS-MBS
USGA
US
N
2
2042-05-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 3/41 #A97528
312946LH7
110807.44960000
PA
USD
122607.77000000
0.014635467799
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+880 08/20/2039
38378WVT7
665205.19130000
PA
USD
689728.38000000
0.082331629518
Long
ABS-CBDO
USGA
US
N
2
2039-08-20
Variable
0.06604000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2043#Q23023
3132M3AY3
964783.66520000
PA
USD
1055429.91000000
0.125984759875
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2040#BM1518
3140J5VL0
1653326.61910000
PA
USD
1828103.08000000
0.218217358991
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027
3136A7HT2
186409.92830000
PA
USD
14279.69000000
0.001704540774
Long
ABS-CBDO
USGSE
US
N
2
2027-07-25
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/27 #257055
31371NQG3
6446.61700000
PA
USD
7177.00000000
0.000856705512
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #489861
36210EFA2
27967.29440000
PA
USD
30325.58000000
0.003619909648
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 01/01/2041#A96051
312944WL1
865813.20050000
PA
USD
958017.02000000
0.114356759342
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#V80950
3132L6BT7
127879.72560000
PA
USD
138416.06000000
0.016522474791
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP 4.5% 11/15/2040
3137BE3R3
1528879.67330000
PA
USD
1674213.75000000
0.199847867939
Long
ABS-CBDO
USGSE
US
N
2
2040-11-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 12/22 #196789
31368QRJ4
70.71240000
PA
USD
71.39000000
0.000008521695
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2045#AY9393
3138YPNK4
410088.49840000
PA
USD
442770.62000000
0.052852728269
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/33 #604574
36200MT78
1024.64010000
PA
USD
1121.04000000
0.000133816517
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17646
3132J85G1
1468927.70340000
PA
USD
1576203.35000000
0.188148543719
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
BANC AMER FDG 2015-R3 TR
N/A
BANC AMER FDG 2015-R3 TR 1ML+14 06/27/2036 144A
05990QBD4
999799.72000000
PA
USD
990241.63000000
0.118203352768
Long
ABS-CBDO
CORP
US
N
2
2036-06-27
Variable
0.01800880
N
N
N
N
N
N
WINWATER MORTGAGE LOAN TRUST 2015-1
N/A
WIN 2015-1 A9 2.5% 01/20/2045 144A
97652TAJ2
109730.22850000
PA
USD
109689.94000000
0.013093489790
Long
ABS-CBDO
CORP
US
N
2
2045-01-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 12/20/44#MA2446
36179QWF4
72539.17340000
PA
USD
77857.21000000
0.009293674372
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2048#BM3471
3140J72D6
3167031.41470000
PA
USD
3376930.22000000
0.403098054025
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 07/20/2043#635118
36291QSF2
139240.38470000
PA
USD
147101.92000000
0.017559290193
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 01/01/2024#
31335GC45
614.43990000
PA
USD
656.47000000
0.000078361636
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 9/37 #889631
31410KLL6
3766.08590000
PA
USD
4505.07000000
0.000537762059
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2050 #TBA
01F030637
76300000.00000000
PA
USD
78572908.33000000
9.379105987854
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
ARGENT SECS INC
N/A
ARGENT SECS INC 1ML+36 10/25/2035
040104NC1
1287226.40310000
PA
USD
1284306.46000000
0.153305339782
Long
ABS-CBDO
CORP
US
N
2
2035-10-25
Variable
0.01986750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/41 #AE6390
31419HC42
1557351.50640000
PA
USD
1693011.62000000
0.202091735690
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783295
36241LUU8
337238.27430000
PA
USD
371784.09000000
0.044379194544
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.50% 6/22 #G12688
3128MBF51
75423.56060000
PA
USD
77579.95000000
0.009260578347
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/21 #316843
36223S5C3
717.29740000
PA
USD
743.03000000
0.000088694147
Long
ABS-MBS
USGA
US
N
2
2021-12-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 02/01/2029#
31293KQ33
2547.74810000
PA
USD
2889.67000000
0.000344934682
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
0.06000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2018-BOP
N/A
MORGAN STANLEY CAP I TR 2018-BOP A 1ML+85 06/15/2035 144A
61768FAA8
2262000.00000000
PA
USD
2259277.23000000
0.269685837606
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.02508500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 8/41 #Q02849
3132GGEW1
25327.19430000
PA
USD
28008.56000000
0.003343331160
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/01/2050 #TBA
21H032639
-85050000.00000000
PA
USD
-88111953.09000000
-10.5177645118
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2104 PG 6% 12/28
3133THA56
62995.37760000
PA
USD
70306.61000000
0.008392372903
Long
ABS-CBDO
USGSE
US
N
2
2028-12-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2048#MA5137
36179TV69
234015.09300000
PA
USD
247149.21000000
0.029501754290
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/21 #318189
36223UNE4
328.70670000
PA
USD
340.50000000
0.000040644869
Long
ABS-MBS
USGA
US
N
2
2021-12-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9019
3138EEAV1
205117.33530000
PA
USD
223066.70000000
0.026627068618
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/20/2048#MA5265
36179TZ65
1166932.78790000
PA
USD
1237249.12000000
0.147688190198
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/46#AS7008
36193SYD5
103728.04300000
PA
USD
111075.64000000
0.013258898294
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745236
3620C04V7
331695.19580000
PA
USD
365673.19000000
0.043649747461
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/29 #494945
36210KZJ7
43362.83070000
PA
USD
49671.69000000
0.005929219816
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2047#Q51296
3132XTNN4
102060.50440000
PA
USD
110026.98000000
0.013133721646
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 07/01/2029#
31293SRE1
10582.99020000
PA
USD
12043.47000000
0.001437607236
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.06000000
N
N
N
N
N
N
UPGRADE RECEIVABLES TRUST 2018-1
549300UMBWHB16NVTN39
UPGRADE RECEIVABLES TRUST 2018-1A A 3.76% 11/15/2024 144A
91532UAA7
1294241.85980000
PA
USD
1296877.20000000
0.154805886285
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
0.03760000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/25 #387082
36205C6T2
1103.30950000
PA
USD
1231.71000000
0.000147026995
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.08000000
N
N
N
N
N
N
GOSFORTH FDG 2018-1 PLC
N/A
GOSFORTH FDG PLC 2018-1A A1 3ML+45 08/25/2060 144A
38312RAA1
719305.19000000
PA
USD
718950.57000000
0.085819829498
Long
ABS-CBDO
CORP
GB
N
2
2060-08-25
Variable
0.02129250
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/28 #465701
36209AKN9
4051.49580000
PA
USD
4522.18000000
0.000539804449
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 01/01/2048#V83906
3132L9KT1
1029580.30990000
PA
USD
1099288.04000000
0.131220025546
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-33 PK 6% 7/29
31359WKN0
141034.95830000
PA
USD
156262.18000000
0.018652733865
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Fixed
0.06000000
N
N
N
N
N
N
PERMANENT MASTER ISSUER PLC
213800MVYG7MLQM2LF25
PERMANENT MASTER ISSUER PLC 2.53613%/VAR 07/15/2058
71419GAY6
330000.00000000
PA
USD
330478.83000000
0.039448660348
Long
ABS-CBDO
CORP
GB
N
2
2058-07-15
Variable
0.02381250
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745068
3620C0W53
183265.61850000
PA
USD
202038.87000000
0.024117014575
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 9/39 #A88305
312935GN3
14731.36970000
PA
USD
16332.40000000
0.001949569054
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 06/01/2029#
31293RUJ8
1006.95820000
PA
USD
1139.42000000
0.000136010505
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/29 #513757
36211HWS6
462.58550000
PA
USD
522.49000000
0.000062368686
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2047#MA4196
36179SUV7
1434681.48890000
PA
USD
1512545.53000000
0.180549824854
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2047#MA4452
36179S5M5
4474169.33940000
PA
USD
4739264.32000000
0.565717412101
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2502
3140X5X81
2475599.00000000
PA
USD
2557545.29000000
0.305289556584
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-16 ZD 6.50% 4/32
31392CVK7
34190.66710000
PA
USD
39946.05000000
0.004768287756
Long
ABS-CBDO
USGSE
US
N
2
2032-04-25
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2844 SC -1ML+4680 8/24
31395EWW3
1425.45730000
PA
USD
1753.21000000
0.000209277507
Long
ABS-CBDO
USGSE
US
N
2
2024-08-15
Variable
0.36019750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2032#MA3060
31418CMJ0
4037368.93800000
PA
USD
4194590.95000000
0.500700736830
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 4/42 #C03811
31292LGU3
3111928.94310000
PA
USD
3364598.90000000
0.401626086655
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
BCAP LLC 2010-RR2 TR
N/A
BCAP 2010-RR2 5A2 5% 12/36
05532VBE6
73667.12170000
PA
USD
74377.52000000
0.008878310069
Long
ABS-CBDO
CORP
US
N
2
2036-12-26
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.5% 05/20/2065
38376REN2
513070.70390000
PA
USD
513733.23000000
0.061323406706
Long
ABS-CBDO
USGA
US
N
2
2065-05-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS4272
36193NW97
773394.55330000
PA
USD
824794.51000000
0.098454229223
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 10/21 #G18145
3128MMET6
5814.89420000
PA
USD
5979.33000000
0.000713741809
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2045#BC4834
3140F0LQ5
247915.57350000
PA
USD
264114.05000000
0.031526816564
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 5/41 #Q00753
3132GDZS4
113687.84720000
PA
USD
125794.91000000
0.015015910937
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2040#
312944LX7
68546.25130000
PA
USD
75867.43000000
0.009056157931
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/24 #366705
36204DKS7
708.66540000
PA
USD
727.16000000
0.000086799774
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 3/25 #780089
36225AC24
840.26130000
PA
USD
906.37000000
0.000108191747
Long
ABS-MBS
USGA
US
N
2
2025-03-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/46#MA4195
36179SUU9
1508668.58500000
PA
USD
1574624.56000000
0.187960086411
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.54% 4/37 #918912
31411Y3V3
35949.97220000
PA
USD
37517.62000000
0.004478410458
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Variable
0.04509000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#BC2778
3140EXCQ4
336833.90730000
PA
USD
348404.69000000
0.041588437842
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2028#MA1580
31418AXJ2
168488.88670000
PA
USD
175155.44000000
0.020907988147
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5345
3140J95F4
7710097.78340000
PA
USD
8068167.83000000
0.963082604598
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 2/42 #005306
36202F3P9
3601.84400000
PA
USD
3935.94000000
0.000469826040
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 2/22 #050536
313615EH5
80.82190000
PA
USD
84.43000000
0.000010078256
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
0.08500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #772072
36176PQZ2
123946.59540000
PA
USD
134398.13000000
0.016042861752
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2042#783604
3622A2AD4
658428.45920000
PA
USD
700541.68000000
0.083622393586
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/35#BO9279
3140K5JZ1
646541.00000000
PA
USD
669558.89000000
0.079924033969
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2047#MA4586
36179TCX1
381348.25500000
PA
USD
401449.20000000
0.047920265083
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #648177
31390KCN6
2149.06300000
PA
USD
2562.49000000
0.000305879797
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-73 AL -1ML+720 8/34
38374H2N9
64292.41880000
PA
USD
15350.85000000
0.001832403206
Long
ABS-CBDO
USGA
US
N
2
2034-08-17
Variable
0.05541500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
676323.46960000
PA
USD
710269.29000000
0.084783560802
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2046#Q40046
3132WDBQ6
3318761.23370000
PA
USD
3537276.44000000
0.422238292361
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #739706
3620ATYB7
72794.90580000
PA
USD
81086.36000000
0.009679132168
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.72% 8/37 #1N1651
3128QHZQ6
37845.54720000
PA
USD
39563.02000000
0.004722566157
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Variable
0.04083000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/49#CA4861
3140QCMK9
4703410.58500000
PA
USD
4997496.98000000
0.596542177776
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8237
3138EDEK3
744010.18310000
PA
USD
809116.88000000
0.096582818879
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2028#MA1358
31418AQL5
142025.16420000
PA
USD
147644.63000000
0.017624072504
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2048#BK0920
3140HEAW2
12987697.71100000
PA
USD
13726474.32000000
1.638504418674
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2162 PH 6 6/29
3133TLBA5
21631.27470000
PA
USD
23880.01000000
0.002850513612
Long
ABS-CBDO
USGSE
US
N
2
2029-06-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #737007
3620AQYC1
100010.16170000
PA
USD
110254.94000000
0.013160932819
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/23 #369344
36204GHV7
148.45830000
PA
USD
160.19000000
0.000019121590
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2042#MA0699
36179MX47
2887896.32010000
PA
USD
3070801.81000000
0.366556059280
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2028#MA1481
31418AUF3
158231.80110000
PA
USD
164492.51000000
0.019635173475
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.66% 8/35 #745071
31403CW80
85338.54960000
PA
USD
89371.53000000
0.010668117929
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Variable
0.04365000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.0% 11/01/2031#MA0908
31418AAJ7
3893417.98580000
PA
USD
4170854.39000000
0.497867346584
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2121 MG 6% 2/29
3133TJA60
91832.72570000
PA
USD
101841.21000000
0.012156601083
Long
ABS-CBDO
USGSE
US
N
2
2029-02-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2045#MA2523
36179QYU9
7740.76000000
PA
USD
8332.99000000
0.000994693948
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
0.04500000
N
N
N
N
N
N
METLIFE SECURITIZATION TRUST 2019-1
N/A
METLIFE SECURITIZATION TRUST 2019-1A A1A 3.75% 04/25/2058 144A
59166EAB1
508072.51000000
PA
USD
535669.79000000
0.063941934207
Long
ABS-CBDO
CORP
US
N
2
2058-04-25
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 7.00% 6/21 #C90450
31335HQB2
62.86470000
PA
USD
64.35000000
0.000007681343
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 9/39 #G06670
3128M8W75
119012.36250000
PA
USD
142456.14000000
0.017004731835
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 10/34 #A45794
3128K6NK2
127485.31070000
PA
USD
145963.21000000
0.017423364439
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.06000000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-GC33
N/A
CGCMT 2015-GC33 XA CSTR 09/58
29425AAK9
17287208.64300000
PA
USD
736260.49000000
0.087886083347
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Variable
0.00894245
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/29 #509256
36211CWR9
2570.65990000
PA
USD
3005.46000000
0.000358756325
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
N
N
N
N
N
N
BBCMS TR 2015-STP
N/A
BBCMS 2015-STP A 3.3228% 09/28 144A
05547GAA1
717784.19000000
PA
USD
721120.02000000
0.086078792821
Long
ABS-MBS
CORP
US
N
2
2028-09-10
Fixed
0.03322800
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.4025 02/26/2025
N/A
4500000.00000000
NC
USD
110914.61000000
0.013239676434
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 1.40250003%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
4500000.00000000
USD
1.00000000
1.40250000
USD
2025-02-26
XXXX
-15985.39000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2027#MA1294
31418ANL8
163015.13730000
PA
USD
169363.22000000
0.020216581320
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #468965
36209D6A7
37811.49270000
PA
USD
42746.08000000
0.005102522273
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/50#CA5126
3140QCVU7
3897817.27300000
PA
USD
4075767.44000000
0.486516989304
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #782989
36241LKA3
581637.64570000
PA
USD
641219.09000000
0.076541163288
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/23 #366649
36204DH28
1000.98890000
PA
USD
1059.64000000
0.000126487310
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 11/42 #MA0534
36179MSX9
489696.91070000
PA
USD
520711.96000000
0.062156445087
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 01/01/2024#
3139883S4
4743.10910000
PA
USD
5017.70000000
0.000598953775
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.06500000
N
N
N
N
N
N
FORD CR FLOORPLAN MAST OWN TR
N/A
FORD CR FLOORPLAN MAST OWN TR 4.06% 11/15/2030
34528PAK2
4023000.00000000
PA
USD
4618502.16000000
0.551302251430
Long
ABS-CBDO
CORP
US
N
2
2030-11-15
Fixed
0.04060000
N
N
N
N
N
N
NATIONSTAR HECM LN TR 2019-1
N/A
NATIONSTAR HECM LN TR 2019-1 2.6513% 06/25/2029 144A
63862VAA4
2316479.95770000
PA
USD
2324869.32000000
0.277515446782
Long
ABS-CBDO
CORP
US
N
2
2029-06-25
Fixed
0.02651300
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 7.00% 9/26 #G30299
3128CUKL9
48626.61080000
PA
USD
53924.96000000
0.006436924965
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2043#MA1157
36179NJA7
15608.02400000
PA
USD
16591.68000000
0.001980518839
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2048#Q55661
3132XYJF5
231379.91520000
PA
USD
247479.33000000
0.029541160117
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.82 10/18/2024
N/A
8400000.00000000
NC
USD
367619.11000000
0.043882028413
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 10/29 3MLV1.82
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-22
0.00000000
USD
0.00000000
USD
8400000.00000000
USD
1.00000000
1.82000000
USD
2024-10-18
XXXX
128429.11000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 02/01/2035#QN1578
3133G7XF5
1375868.00000000
PA
USD
1421411.43000000
0.169671312131
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2046#AS9175
36193VFQ0
101581.13810000
PA
USD
108776.66000000
0.012984473208
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 2.90% 5/34 #781630
31349SY31
2428.43490000
PA
USD
2543.72000000
0.000303639256
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
0.04731000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 4/32 #C01344
31292HP57
90772.25920000
PA
USD
104720.15000000
0.012500254945
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 2.3275 06/11/24
N/A
11000000.00000000
NC
USD
678183.99000000
0.080953596559
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 6/29 3MLV2.3275
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-06-13
0.00000000
USD
0.00000000
USD
11000000.00000000
USD
1.00000000
2.32750000
USD
2024-06-11
XXXX
374308.99000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2045#Q34467
3132QQ6D9
275852.98430000
PA
USD
299012.22000000
0.035692548012
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 9/21 #G12375
3128M1Q44
14735.88510000
PA
USD
15152.61000000
0.001808739655
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 05/01/2029#
31293P6F7
2048.39660000
PA
USD
2320.75000000
0.000277023731
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2049#BN7756
3140JQTN3
8487356.40230000
PA
USD
8869531.88000000
1.058739982180
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/39 #713327
36297JPL2
103673.81460000
PA
USD
115871.20000000
0.013831335619
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.05000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.7375 09/20/2024
N/A
4200000.00000000
NC
USD
70647.57000000
0.008433072682
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/29 1.7375V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-24
0.00000000
USD
0.00000000
USD
4200000.00000000
USD
1.00000000
1.73750000
USD
2024-09-20
XXXX
-47897.43000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2028#MA1320
31418APE2
151586.17500000
PA
USD
157489.20000000
0.018799201024
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#733816
3620AMGZ9
179232.92940000
PA
USD
194234.35000000
0.023185403135
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.5% 04/01/2020#
312972C42
22.98840000
PA
USD
23.01000000
0.000002746662
Long
ABS-MBS
USGSE
US
N
2
2020-04-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 08/15/43#AF5070
36181LT32
20573.43120000
PA
USD
22288.95000000
0.002660591657
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 351 12 5.5% 4/34
3136FCJB3
43008.01750000
PA
USD
8433.80000000
0.001006727455
Long
ABS-CBDO
USGSE
US
N
2
2034-04-25
Variable
0.05500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2050#TBA
01F022634
11350000.00000000
PA
USD
11574215.85000000
1.381593216933
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 11/22 #185781
31368CJ21
1928.24860000
PA
USD
1943.93000000
0.000232043408
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
0.08500000
N
N
N
N
N
N
UPGRADE RECEIVABLES TRUST 2019-1
549300W601N3GF6G0630
UPGRADE RECEIVABLES TRUST 2019-1 3.48% 03/15/2025 144A
91532HAA6
144468.03000000
PA
USD
144965.40000000
0.017304257664
Long
ABS-CBDO
CORP
US
N
2
2025-03-15
Fixed
0.03480000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/28 #460204
36208TGM6
457.80120000
PA
USD
524.80000000
0.000062644427
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/27 #437435
36207N4U5
666.96660000
PA
USD
748.79000000
0.000089381708
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 3/30 #G02183
3128LXM80
3448.33210000
PA
USD
3719.38000000
0.000443975665
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/45#C09071
31292SCG3
7178.88900000
PA
USD
7707.00000000
0.000919970653
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 6/41 #005082
36202FUF1
33247.53670000
PA
USD
36331.49000000
0.004336824264
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9701
3138EEX79
124967.26460000
PA
USD
135902.87000000
0.016222479845
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 9/21 #G12388
3128M1RH4
16312.54320000
PA
USD
16802.29000000
0.002005658974
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 4683 LM 3% 05/15/2047
3137BYKR0
1043538.37470000
PA
USD
1085939.22000000
0.129626601041
Long
ABS-CBDO
USGSE
US
N
2
2047-05-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/42#G07184
3128M9J52
8427543.95380000
PA
USD
9169315.30000000
1.094524586942
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q20358
3132JMMF3
57891.58150000
PA
USD
62733.78000000
0.007488417880
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/39 #AC5442
31417SBL3
625319.00220000
PA
USD
692968.08000000
0.082718346649
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AH0851
3138A15M9
63516.56610000
PA
USD
69059.38000000
0.008243493313
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/01/2040#A95150
312943WK5
2994215.42770000
PA
USD
3267115.71000000
0.389989694539
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 2.26 05/31/2022
N/A
-7000000.00000000
NC
USD
-35205.03000000
-0.00420236077
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 6/02/29 3MLV2.26
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-06-02
0.00000000
USD
0.00000000
USD
-7000000.00000000
USD
1.00000000
2.26000000
USD
2022-05-31
XXXX
175844.97000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/46#BM3928
3140J8LJ0
2700844.60820000
PA
USD
2993030.89000000
0.357272685189
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2114 ZM 6% 1/29
3133THQB6
30935.67400000
PA
USD
34495.46000000
0.004117660683
Long
ABS-CBDO
USGSE
US
N
2
2029-01-15
Fixed
0.06000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
54930070360RBP384M53
GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048
36250VAF9
8573442.71400000
PA
USD
489920.81000000
0.058480961190
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
0.01268206
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 10/20/44#MA2305
36179QR29
6137.98700000
PA
USD
6607.59000000
0.000788736070
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 11/41 #005234
36202FY75
3665.56400000
PA
USD
4005.57000000
0.000478137647
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/47#Q46995
3132WLXZ4
46403.56770000
PA
USD
50199.68000000
0.005992245028
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 03/15/2043#AD0818
36180B4B4
1032235.44850000
PA
USD
1095609.13000000
0.130780880712
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AR7380
36193EFV7
1237993.37740000
PA
USD
1320270.66000000
0.157598321304
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BD7599
3140FFNR8
133041.19770000
PA
USD
142687.72000000
0.017032375121
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2045#AZ4750
3138YWH42
505611.19600000
PA
USD
538805.18000000
0.064316200041
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 08/01/2028#MA1557
31418AWT1
163219.85640000
PA
USD
169677.93000000
0.020254147683
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2039#AS2599
3138WB3H6
84871.29830000
PA
USD
91767.75000000
0.010954150378
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 2.26 05/31/2022
N/A
-7000000.00000000
NC
USD
-563293.78000000
-0.06723935994
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 6/02/29 2.26V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-06-02
0.00000000
USD
0.00000000
USD
-7000000.00000000
USD
1.00000000
2.26000000
USD
2022-05-31
XXXX
-352243.78000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772063
36176PQQ2
252296.06390000
PA
USD
273570.40000000
0.032655603964
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #741372
3620AVT51
189268.71430000
PA
USD
208656.91000000
0.024906998042
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 10/32 #G01766
31283H6B6
75532.13900000
PA
USD
87555.38000000
0.010451327388
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 08/01/2032#J37406
31307UGP7
77088.26620000
PA
USD
81256.37000000
0.009699425955
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2048#BK4764
3140HJJJ1
4688624.39330000
PA
USD
4950930.89000000
0.590983667816
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #698474
36296Q6K0
482111.82540000
PA
USD
532703.39000000
0.063587840403
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#768109
36176KDN4
53740.82870000
PA
USD
58272.41000000
0.006955872210
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2015-C31
N/A
WFCM 2015-C31 XA CSTR 11/48
94989WAV9
9046456.33930000
PA
USD
436449.90000000
0.052098235352
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
0.01014187
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/41 #004945
36202FP67
326973.24400000
PA
USD
352375.01000000
0.042062367761
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/30 #590851
31387QL81
215624.34460000
PA
USD
246956.72000000
0.029478777106
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745083
3620C0XL7
294807.24730000
PA
USD
325006.54000000
0.038795442986
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 1ML+ 02/15/2036
31396HLM9
58955.73680000
PA
USD
14138.65000000
0.001687705084
Long
ABS-CBDO
USGSE
US
N
2
2036-02-15
Variable
0.04941500
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FGLMC 3871 KB 5.5% 06/41
3137AC7K9
693910.37020000
PA
USD
822650.59000000
0.098198313369
Long
ABS-CBDO
USGSE
US
N
2
2041-06-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2046#MA3597
36179R7J2
6275631.75560000
PA
USD
6645644.26000000
0.793278538326
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
2036504.77720000
PA
USD
2195988.76000000
0.262131207383
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/37 #908771
31411HT42
5117.13260000
PA
USD
6096.70000000
0.000727752054
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2048#BK0915
3140HEAR3
1811593.00840000
PA
USD
1914641.49000000
0.228547292509
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3287 SD -1ML+675 3/37
31397G6Z8
266672.36660000
PA
USD
65590.15000000
0.007829377602
Long
ABS-CBDO
USGSE
US
N
2
2037-03-15
Variable
0.05091500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2041#AH4043
3138A5P55
158040.51830000
PA
USD
174792.15000000
0.020864622877
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 7/21 #G12389
3128M1RJ0
4781.54770000
PA
USD
4857.03000000
0.000579774888
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/48#BJ1074
3140H2FQ6
68109.78440000
PA
USD
73370.98000000
0.008758161209
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 06/01/2029#
31293R3X7
4798.63680000
PA
USD
5445.23000000
0.000649987258
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2045#MA3105
36179RNW5
3848313.50160000
PA
USD
4084831.62000000
0.487598964080
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/39 #704775
36296X6L3
118565.62930000
PA
USD
132403.91000000
0.015804815317
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 12/01/2033#C91737
3128P74W0
649941.38030000
PA
USD
686828.35000000
0.081985458181
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2029#MA1837
31418BBF2
155931.90460000
PA
USD
162101.62000000
0.019349777259
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-52 HI 7% 4/41
38377VGY6
658796.35010000
PA
USD
140793.61000000
0.016806278635
Long
ABS-CBDO
USGA
US
N
2
2041-04-16
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 2/41 #A96807
312945R42
1328669.33390000
PA
USD
1449352.37000000
0.173006571614
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A
05492PAE8
118000.00000000
PA
USD
125082.09000000
0.014930822903
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03465000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 9.50% 6/22 #124702
31365DNT8
2.54270000
PA
USD
2.62000000
0.000000312744
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
0.09500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17578
3132J82L3
204488.93310000
PA
USD
219422.74000000
0.026192095702
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/21 #312179
36223MXG6
57.96310000
PA
USD
60.16000000
0.000007181190
Long
ABS-MBS
USGA
US
N
2
2021-11-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2008-12 SG -1ML+635 3/38
31396YMM1
240159.43480000
PA
USD
48561.29000000
0.005796673376
Long
ABS-CBDO
USGSE
US
N
2
2038-03-25
Variable
0.04723250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.472% 12/01/2040#AE0653
31419AWP8
829193.39950000
PA
USD
868869.31000000
0.103715358401
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Variable
0.04052000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 01/01/2027#
31283GW60
774.77620000
PA
USD
865.61000000
0.000103326300
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07500000
N
N
N
N
N
N
JP MORGAN RESECURITIZATION TR SER 2012-2
N/A
JPMRR 2012-2 6A1 1ML+21 06/36
46637JCC4
184717.63080000
PA
USD
184143.92000000
0.021980926752
Long
ABS-CBDO
CORP
US
N
2
2036-06-21
Variable
0.01863758
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-20 Z 6% 5/31
31359SXB1
195173.92990000
PA
USD
217842.64000000
0.026003482022
Long
ABS-CBDO
USGSE
US
N
2
2031-05-25
Fixed
0.06000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.83 01/23/25
N/A
-6400000.00000000
NC
USD
-282928.77000000
-0.03377269566
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 01/27/30 1.83V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-27
0.00000000
USD
0.00000000
USD
-6400000.00000000
USD
1.00000000
1.83000000
USD
2025-01-23
XXXX
-104208.77000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #338371
36224T2C3
301.30450000
PA
USD
317.34000000
0.000037880301
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2050 #TBA
01F030637
-60900000.00000000
PA
USD
-62714156.19000000
-7.48607542149
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS4758
36193PJB2
56892.16100000
PA
USD
60922.13000000
0.007272164495
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 4/35 #003700
36202EDD8
47078.84990000
PA
USD
51713.08000000
0.006172896849
Long
ABS-MBS
USGA
US
N
2
2035-04-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/28 #477463
36209PML8
1465.84650000
PA
USD
1688.25000000
0.000201523349
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q34164
3132QQTW2
7168145.88060000
PA
USD
7646833.95000000
0.912788741220
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 4/32 #C01343
31292HP40
6320.15940000
PA
USD
7326.79000000
0.000874585673
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/22 #324982
36224C6T9
504.67530000
PA
USD
521.85000000
0.000062292290
Long
ABS-MBS
USGA
US
N
2
2022-08-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2046#Q40165
3132WDFF6
198636.07780000
PA
USD
209663.06000000
0.025027100348
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2045#MA3035
36179RLQ0
2119895.12860000
PA
USD
2264710.68000000
0.270334418707
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.55% 4/37 #847748
3128JRTD8
27549.58600000
PA
USD
28964.08000000
0.003457389855
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Variable
0.03890000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2043#Q17518
3132J8YQ7
71127.54130000
PA
USD
77143.51000000
0.009208481293
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG2012-9 SH 1ML+655 06/25/2041
3136A3M81
270546.59150000
PA
USD
29076.89000000
0.003470855781
Long
ABS-CBDO
USGSE
US
N
2
2041-06-25
Variable
0.04923250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18363
3132J9WZ7
45888.31100000
PA
USD
49769.54000000
0.005940899994
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/32 #644942
31390FP37
241.93890000
PA
USD
267.66000000
0.000031950090
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 4/42 #G06973
3128M9CJ9
2614224.17080000
PA
USD
2849223.32000000
0.340106635599
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 9/21 #G18141
3128MMEP4
6733.29520000
PA
USD
6935.45000000
0.000827872125
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 7.00% 1/36 #A54473
3128KG6J2
22882.58910000
PA
USD
26799.51000000
0.003199009048
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 10/20/2046#MA4003
36179SNU7
531949.42760000
PA
USD
555205.19000000
0.066273839580
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 03/01/2033#AB0066
31416VCC6
154842.43880000
PA
USD
171953.04000000
0.020525723450
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 4/21 #J01628
3128PCYZ9
2255.61970000
PA
USD
2291.23000000
0.000273499981
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
0.06500000
N
N
N
N
N
N
PROVIDENT FDG MTG TR 2019-1
N/A
PROVIDENT FDG MTG TR 2019-1 3% 12/25/2049 144A
74387LAE1
405787.55000000
PA
USD
415298.20000000
0.049573395170
Long
ABS-CBDO
CORP
US
N
2
2049-12-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 04/01/2037#BM1257
3140J5MF3
15197942.92030000
PA
USD
15719992.26000000
1.876467050393
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 04/01/2050 #TBA
21H022648
12550000.00000000
PA
USD
12870627.40000000
1.536343519420
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.00% 3/37 #922475
31412D2G2
11328.94210000
PA
USD
13745.14000000
0.001640732507
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 3/35 #255661
31371L5W5
1279.96000000
PA
USD
1510.08000000
0.000180255518
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 9/22 #180010
31367U3T0
2252.25440000
PA
USD
2399.17000000
0.000286384584
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
0.08500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #458908
36208RYD0
638.82280000
PA
USD
711.99000000
0.000084988958
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
403752.24910000
PA
USD
433604.72000000
0.051758611360
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2043#MA1224
36179NLD8
66538.37980000
PA
USD
70731.81000000
0.008443128258
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/32 #654060
31390RTR4
14601.72220000
PA
USD
17426.40000000
0.002080157856
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2043#AV0047
3138XBBR4
56389.37500000
PA
USD
61890.63000000
0.007387772589
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 11/01/2033#G30872
3132J4FN4
1318075.53670000
PA
USD
1382579.39000000
0.165036001734
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 9.00% 10/30 #567024
31386L4H2
83359.14180000
PA
USD
98681.18000000
0.011779394016
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
0.09000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/29 #499333
36210QV25
323.93450000
PA
USD
366.86000000
0.000043791414
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.5% 06/15/2041#366975
36204DT82
1522503.23280000
PA
USD
1677512.94000000
0.200241686284
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04500000
N
N
N
N
N
N
PROSPER MARKETPLACE ISSUANCE TR SER 2018-2
54930091UL0OQ4F85R54
PROSPER MARKETPLACE ISSUANCE TR SER 2018-2A A 3.35% 10/15/2024 144A
74360PAA1
129084.53480000
PA
USD
129340.06000000
0.015439089082
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
0.03350000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2007-57 SA 4062-6*1ML 6/37
31396WJV9
158794.68440000
PA
USD
338832.54000000
0.040445827605
Long
ABS-CBDO
USGSE
US
N
2
2037-06-25
Variable
0.30859500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 02/01/2024#
31335GEQ4
1349.61300000
PA
USD
1445.92000000
0.000172596855
Long
ABS-MBS
USGSE
US
N
2
2024-02-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2038#G31067
3132J4MR7
709205.99100000
PA
USD
748791.60000000
0.089381899289
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042
3136AA2T1
159680.46030000
PA
USD
160747.57000000
0.019188146759
Long
ABS-CBDO
USGSE
US
N
2
2042-06-25
Fixed
0.01750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #737104
3620AQ3M3
179842.74880000
PA
USD
198265.37000000
0.023666578703
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2045#AY8060
3138YM5W5
328692.36420000
PA
USD
354990.32000000
0.042374552586
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745094
3620C0XX1
395342.28780000
PA
USD
435840.12000000
0.052025447016
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/26 #442193
36207UGA0
119.73710000
PA
USD
133.49000000
0.000015934459
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 12/01/2032#J38057
31307U5S3
746820.21780000
PA
USD
775997.89000000
0.092629464930
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.82 10/18/2024
N/A
8400000.00000000
NC
USD
132853.48000000
0.015858479675
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 10/29 1.82V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-22
0.00000000
USD
0.00000000
USD
8400000.00000000
USD
1.00000000
1.82000000
USD
2024-10-18
XXXX
-106336.52000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #757631
36230SPQ1
23086.62990000
PA
USD
25033.36000000
0.002988186916
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/32 #638123
31389W4G7
21423.86760000
PA
USD
25525.11000000
0.003046886224
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 9.50% 6/22 #124695
31365DNL5
4.45920000
PA
USD
4.60000000
0.000000549093
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
0.09500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 05/01/2033#AT3000
3138WQKN1
73581.71920000
PA
USD
76872.02000000
0.009176074023
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AU2962
3138X2JG0
212236.68930000
PA
USD
224247.44000000
0.026768011417
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2044#Q26541
3132M65A4
35749.22240000
PA
USD
38672.35000000
0.004616248490
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 2/27 #256628
31371NA54
10069.11900000
PA
USD
11058.75000000
0.001320062990
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719230
3620A5A74
148334.15770000
PA
USD
163529.12000000
0.019520175352
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745192
3620C02Z0
479095.14270000
PA
USD
528172.40000000
0.063046984320
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2042#794507
36177PAH8
253265.25650000
PA
USD
265060.78000000
0.031639826012
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
7414915.34100000
PA
USD
7939984.78000000
0.947781625707
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AR3062
36192XMK2
78700.01200000
PA
USD
84274.74000000
0.010059723323
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4% 05/01/2048#MA5192
36179TXV2
5577204.35800000
PA
USD
5886304.18000000
0.702637486054
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2996 ZD 5.5% 06/35
31395UZR5
353170.26970000
PA
USD
417191.18000000
0.049799356770
Long
ABS-CBDO
USGSE
US
N
2
2035-06-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP6486
3138MAF45
50072.11990000
PA
USD
53703.66000000
0.006410508784
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2017-PANW D 1ML+1000 12/20/2040
38377RBW4
1013000.00000000
PA
USD
1234316.69000000
0.147338151331
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Variable
0.06706000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.00% 9/33 #615817
36290SDW8
1987.88800000
PA
USD
2186.70000000
0.000261022424
Long
ABS-MBS
USGA
US
N
2
2033-09-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AC2222
36179BPF5
268127.99030000
PA
USD
279610.25000000
0.033376569937
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #484239
36209W4Y5
163.55100000
PA
USD
185.70000000
0.000022166673
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22677
3132JP6N7
51496.82110000
PA
USD
55804.14000000
0.006661239283
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
2057128.86990000
PA
USD
2136594.11000000
0.255041375413
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 7.00% 8/34 #G08018
3128MJAU4
13122.73790000
PA
USD
15690.42000000
0.001872937063
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2043#MA0852
36179M5M8
666483.20020000
PA
USD
708486.77000000
0.084570784613
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1ML+ 06/25/2035
31394D4V9
235854.26930000
PA
USD
50919.95000000
0.006078222355
Long
ABS-CBDO
USGSE
US
N
2
2035-06-25
Variable
0.05093250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1614
3138WAYL5
163662.83800000
PA
USD
172873.16000000
0.020635556511
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21255
3132JNMC8
136451.48320000
PA
USD
147864.63000000
0.017650333506
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF 1ML+65 05/20/2061
38375BWC2
21003.55880000
PA
USD
21063.91000000
0.002514360847
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.02384380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2031#BC0919
3140EVAV9
251082.76470000
PA
USD
259707.86000000
0.031000857631
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-31 ZC 6.5% 7/31
313920CW8
90703.24190000
PA
USD
103983.22000000
0.012412288943
Long
ABS-CBDO
USGSE
US
N
2
2031-07-25
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2042#C04038
31292LPX7
166634.51820000
PA
USD
177970.65000000
0.021244034674
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/25 #409199
36206ERU1
8176.21990000
PA
USD
9105.90000000
0.001086954817
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-74 SV -1ML+755 11/32
31392FRK5
71850.95330000
PA
USD
10670.11000000
0.001273671736
Long
ABS-CBDO
USGSE
US
N
2
2032-11-25
Variable
0.05923250
N
N
N
N
N
N
GS MTG SECS TR 2013-GCJ12
549300SSCQUZ3RRV2T53
GSMS 2013-GC12 XA CSTR 6/46
36197XAM6
5377046.50050000
PA
USD
203668.54000000
0.024311545336
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
0.01417633
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.252% 08/01/2041#
3138EPH64
386351.40480000
PA
USD
426926.65000000
0.050961462220
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Variable
0.05245000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745127
3620C0YY8
113058.78040000
PA
USD
124640.23000000
0.014878078874
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-150 ZC 4.75% 01/41
31397QAV0
862582.60700000
PA
USD
980448.22000000
0.117034331125
Long
ABS-CBDO
USGSE
US
N
2
2041-01-25
Fixed
0.04750000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 2004-24 ZM 5% 04/34
38374F2L7
299845.90590000
PA
USD
335318.64000000
0.040026379716
Long
ABS-CBDO
USGA
US
N
2
2034-04-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 06/01/2033#AT6090
3138WTXU5
81176.37380000
PA
USD
84831.65000000
0.010126200663
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #737191
3620AQ7C1
167999.32000000
PA
USD
187449.71000000
0.022375532926
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #454249
36208LTE7
1619.46540000
PA
USD
1850.80000000
0.000220926649
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 06/20/2042#783637
3622A2BE1
1100839.15630000
PA
USD
1157909.96000000
0.138217618133
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 03/20/2046#MA3523
36179R4G1
24765.30000000
PA
USD
26729.68000000
0.003190673567
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2044#AX5347
3138Y65H3
833353.67600000
PA
USD
900549.32000000
0.107496943909
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #344179
36203BJY1
603.39590000
PA
USD
635.50000000
0.000075858485
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 8/27 #928600
31412LUZ1
123344.48340000
PA
USD
135928.32000000
0.016225517765
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.06500000
N
N
N
N
N
N
CGDB COML MTG TR 2017-BIO
N/A
CGDBB COML MTG TR 2019-MOB B 1ML+125 11/15/36 144A
125284AC3
500000.00000000
PA
USD
499058.45000000
0.059571704753
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.02908500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/32 #641058
31390BE79
9556.47070000
PA
USD
11372.80000000
0.001357550571
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 2.643 04/22/2022
N/A
3100000.00000000
NC
USD
7527.42000000
0.000898534513
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 4/29 2.643V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-26
0.00000000
USD
0.00000000
USD
3100000.00000000
USD
1.00000000
2.64300000
USD
2022-04-22
XXXX
-76482.58000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90632
3132J2VZ3
213042.18370000
PA
USD
222669.11000000
0.026579609019
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2046#BC6148
3140F1ZN5
314545.40570000
PA
USD
337352.40000000
0.040269145970
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
HERTZ FLEET LEASE FDG LP
549300FESQ105M6ZTE59
HERTZ FLEET LEASE FDG LP 2017-1 A1 1ML+65 04/10/2031 144A
428041AW7
783232.54570000
PA
USD
783294.34000000
0.093500428973
Long
ABS-CBDO
CORP
US
N
2
2031-04-10
Variable
0.02320880
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.785 10/24/24
N/A
12300000.00000000
NC
USD
524707.91000000
0.062633434413
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 10/29 3MLV1.785
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-28
0.00000000
USD
0.00000000
USD
12300000.00000000
USD
1.00000000
1.78500000
USD
2024-10-24
XXXX
183075.41000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 05/20/2041#783578
36241L6P6
5945.02400000
PA
USD
6507.62000000
0.000776802831
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA 1ML+605 01/25/2044
3136AHTW0
214643.37050000
PA
USD
35899.04000000
0.004285203490
Long
ABS-CBDO
USGSE
US
N
2
2044-01-25
Variable
0.04423250
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+110 03/15/2036 144A
74952PAA5
430698.12120000
PA
USD
430831.42000000
0.051427567554
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.02808500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 7.00% 7/29 #C47273
31298GCJ7
47386.75150000
PA
USD
54753.57000000
0.006535834642
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07000000
N
N
N
N
N
N
UBS COML MTG TR 2017-C7
N/A
UBSCM 2017-C7 XA CSTR 12/50
90276WAT4
13248721.45320000
PA
USD
849913.43000000
0.101452629282
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.01055812
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
964964.11480000
PA
USD
1046332.69000000
0.124898841173
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #768770
36176K2B2
31426.31910000
PA
USD
34076.28000000
0.004067623925
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM5110
3140J9VC2
2318455.51530000
PA
USD
2409464.63000000
0.287613435967
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
5078.93040000
PA
USD
5327.63000000
0.000635949559
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.04873000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 07/01/2032#J37270
31307UCF3
58802.78710000
PA
USD
61982.21000000
0.007398704328
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.4 02/26/2025
N/A
5000000.00000000
NC
USD
159430.05000000
0.019030876779
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 3MLV1.4%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
1.00000000
1.40000000
USD
2025-02-26
XXXX
18555.05000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H18 AF 1ML+30 9/60
38375BER9
230152.65280000
PA
USD
229192.23000000
0.027358262058
Long
ABS-CBDO
USGA
US
N
2
2060-09-20
Variable
0.02034380
N
N
N
N
N
N
THORNBURG MTG SECS TR
N/A
TMST 2003-4 A1 1ML+64 9/43
885220DW0
1210958.00590000
PA
USD
1212763.67000000
0.144765406307
Long
ABS-CBDO
CORP
US
N
2
2043-09-25
Variable
0.02266750
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-32 GS 650-1ML 5/34
38374GZM7
165362.88870000
PA
USD
33029.50000000
0.003942671689
Long
ABS-CBDO
USGA
US
N
2
2034-05-16
Variable
0.04841500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90684
3132J2XM0
117102.10430000
PA
USD
122430.30000000
0.014614283526
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BM4980
3140J9RA1
1278330.43820000
PA
USD
1386089.86000000
0.165455040190
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.293% 3/35 #815586
31406PCX5
4418.26370000
PA
USD
4646.80000000
0.000554680113
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Variable
0.04833000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2046#BM4548
3140J9BS9
831698.34530000
PA
USD
920114.78000000
0.109832437490
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 09/01/2031#
31298VAV9
210.13960000
PA
USD
249.48000000
0.000029779976
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2017-30 AI 5.5% 05/47
3136AWQD2
535562.45390000
PA
USD
107071.57000000
0.012780939698
Long
ABS-CBDO
USGSE
US
N
2
2047-05-25
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 351 13 6% 3/34
3136FCJC1
58978.99770000
PA
USD
11546.06000000
0.001378232304
Long
ABS-CBDO
USGSE
US
N
2
2034-03-25
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 11/01/2029#
31293YAH9
886.09060000
PA
USD
1031.84000000
0.000123168874
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% #AL9282
3138ERJ43
135776.14000000
PA
USD
145917.98000000
0.017417965416
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/41 #004922
36202FPF7
4849184.09630000
PA
USD
5225905.57000000
0.623806898144
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #646424
31390HD51
3055.71400000
PA
USD
3612.97000000
0.000431273695
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2047#BE9249
3140FVH33
287719.82930000
PA
USD
307238.37000000
0.036674488662
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 06/01/2032#C91456
3128P7TM5
3203444.40210000
PA
USD
3382250.42000000
0.403733116679
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 10/15/2041#775540
36176TLV8
77056.47620000
PA
USD
83505.94000000
0.009967953058
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-160 DY 4% 12/20/2040
38377RLW3
1938039.40240000
PA
USD
2171981.69000000
0.259265526848
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2047#CA0854
3140Q75Q6
8731462.03230000
PA
USD
9310150.16000000
1.111335789515
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #476120
36209M4D3
1664.88580000
PA
USD
1890.36000000
0.000225648854
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2050#TBA
01F032633
-59500000.00000000
PA
USD
-61785752.00000000
-7.37525349212
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/27 #455361
36208MZ24
1357.12240000
PA
USD
1524.43000000
0.000181968452
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-97 CI 4.5% IO 8/25
31398NGJ7
9660.77700000
PA
USD
59.70000000
0.000007126281
Long
ABS-CBDO
USGSE
US
N
2
2025-08-25
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 12/40 #004882
36202FM78
15278.87560000
PA
USD
16475.40000000
0.001966638706
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034
3137B9ED3
132489.53030000
PA
USD
10286.77000000
0.001227913133
Long
ABS-CBDO
USGSE
US
N
2
2034-03-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 7.00% 9/21 #897833
31410UPS5
2948.60170000
PA
USD
3039.80000000
0.000362855429
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/24 #403684
36205XM92
8368.36400000
PA
USD
9199.87000000
0.001098171846
Long
ABS-MBS
USGA
US
N
2
2024-12-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/29 #509609
36211DDN7
322.28200000
PA
USD
324.50000000
0.000038734978
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AU2287
36194PRG1
42665.46370000
PA
USD
45687.68000000
0.005453655746
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#MA1162
31418AJG4
94147.38750000
PA
USD
97813.65000000
0.011675838528
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
JPMCC 2018-WPT XAFX CSTR 07/23 144A
46645WAW3
7720000.00000000
PA
USD
276671.68000000
0.033025798149
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
0.01116000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 2011-83 DI 6% 9/26
3136A0U39
40178.61310000
PA
USD
1991.36000000
0.000237705042
Long
ABS-CBDO
USGSE
US
N
2
2026-09-25
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2032#J36729
31307TPN5
43051.21730000
PA
USD
45378.96000000
0.005416804398
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 7.00% 2/27 #D97194
3128E37F5
9803.54420000
PA
USD
10776.39000000
0.001286358187
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2044#AL5512
3138ENDS5
340305.17050000
PA
USD
372015.93000000
0.044406868866
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #481326
36209TVT3
6859.04820000
PA
USD
7767.86000000
0.000927235401
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 4/35 #820389
31406UNE4
2573.17090000
PA
USD
3046.58000000
0.000363664745
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/28 #433997
36207KDA5
2188.53450000
PA
USD
2445.68000000
0.000291936399
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2046#BD7792
3140FFUS8
625346.18060000
PA
USD
668355.11000000
0.079780340927
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #768127
36176KD87
31297.76620000
PA
USD
33936.88000000
0.004050983999
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS6968
36193SW54
77221.96040000
PA
USD
82691.99000000
0.009870793318
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#CA3925
3140QBLF3
1178584.38000000
PA
USD
1256537.13000000
0.149990565074
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
N
N
N
N
N
N
JPMBB COML MTG SECS TR 2014-C19
N/A
JPMBB COML MTG SES TR 2014-C19 VAR 04/15/2047
46641WAX5
3492502.51220000
PA
USD
71710.86000000
0.008559995687
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Variable
0.00750493
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15400
3132J6NS9
100662.51390000
PA
USD
109176.55000000
0.013032207354
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
CONSUMER LN UNDERLYING BD CLUB CR TR 18-P3
N/A
CONSUMER LN UNDERLYING BD CLUB CR TR 18-P3 3.82% 01/15/2026 144A
21053NAA9
1147084.99420000
PA
USD
1159289.98000000
0.138382348625
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.03820000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552554
36213EZT6
253714.90180000
PA
USD
274950.31000000
0.032820321325
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/20/2048#MA5398
36179T7K5
14104373.64400000
PA
USD
14850805.31000000
1.772713775879
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/29 #510100
36211DUZ1
109.67170000
PA
USD
124.63000000
0.000014876857
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 01/01/2024#
31335GDZ5
472.81960000
PA
USD
499.42000000
0.000059614862
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 04/01/2024#
31356DP83
505.70340000
PA
USD
533.37000000
0.000063667412
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2046#BC9014
3140F5AQ6
2984737.60010000
PA
USD
3187218.32000000
0.380452487569
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.29% 3/36 #1G1852
3128QSBV7
88179.52100000
PA
USD
92056.38000000
0.010988603619
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.04285000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 12/21 #G12483
3128M1UG2
22934.64920000
PA
USD
23623.52000000
0.002819896865
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.500000000000001% 04/01/2020#
312972EN8
41.09440000
PA
USD
41.13000000
0.000004909613
Long
ABS-MBS
USGSE
US
N
2
2020-04-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 02/01/2041#
3132GE5T3
81953.47380000
PA
USD
90706.63000000
0.010827486402
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2274 ZM 6.5% 1/31
3133TR4H5
59878.64500000
PA
USD
68373.07000000
0.008161569730
Long
ABS-CBDO
USGSE
US
N
2
2031-01-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/22 #339502
36224VDF9
2550.70670000
PA
USD
2702.20000000
0.000322556727
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 5/42 #Q08167
3132GTMQ7
173591.90700000
PA
USD
188871.03000000
0.022545193324
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#AS7822
3138WHVQ2
722295.89880000
PA
USD
769264.06000000
0.091825659820
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #251298
31371GDB3
1891.72810000
PA
USD
2150.37000000
0.000256685778
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
CITIGROUP MTG LN TR 2009-5
N/A
CMLTI 2009-5 5A1 CSTR 01/37 144A
17315GAJ7
73653.05950000
PA
USD
74463.69000000
0.008888596026
Long
ABS-CBDO
CORP
US
N
2
2037-01-25
Variable
0.04354090
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.50% 6/21 #G18134
3128MMEG4
3914.55420000
PA
USD
4011.50000000
0.000478845501
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 6.50% 1/27 #D97164
3128E35Z3
31625.79430000
PA
USD
34931.30000000
0.004169686116
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2032#C91403
3128P7RY1
1023751.85090000
PA
USD
1080894.40000000
0.129024410000
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 07/15/2043#AD2512
36180DYH4
76715.39460000
PA
USD
80000.64000000
0.009549531735
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 7.50% 7/34 #G02115
3128LXK41
284021.95700000
PA
USD
328518.94000000
0.039214711823
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.07500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 2.525 04/04/2022
N/A
5000000.00000000
NC
USD
483981.60000000
0.057772008432
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 4/6/29 3MLV2.525
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-06
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
1.00000000
2.52500000
USD
2022-04-04
XXXX
342231.60000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/25 #407541
36206CWA3
743.15750000
PA
USD
824.61000000
0.000098432204
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/23 #330297
36224J3E0
3124.45300000
PA
USD
3366.31000000
0.000401830337
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2042#AP4319
3138M7YR0
48877.87390000
PA
USD
52422.80000000
0.006257614842
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #490635
36210FBC9
1323.60930000
PA
USD
1506.66000000
0.000179847279
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16470
3132J7T44
99247.35280000
PA
USD
105191.13000000
0.012556474976
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/29 #490013
36210EK24
748.99520000
PA
USD
857.97000000
0.000102414327
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 04/01/2030#
31292HCG7
75.83880000
PA
USD
89.05000000
0.000010629737
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#AD0793
36180B3A7
245916.47980000
PA
USD
256754.95000000
0.030648374104
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2046#G60553
31335ATJ7
5943865.56430000
PA
USD
6398377.51000000
0.763762753499
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/01/2050 #TBA
21H022630
-12550000.00000000
PA
USD
-12882394.28000000
-1.53774811060
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2028#MA1514
31418AVG0
146535.80040000
PA
USD
152333.74000000
0.018183803086
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2043#AC9441
36179KP24
69077.19590000
PA
USD
74815.64000000
0.008930607661
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3806 UP 4.5% 2/41
3137A6ZL9
543963.40250000
PA
USD
595312.73000000
0.071061404105
Long
ABS-CBDO
USGSE
US
N
2
2041-02-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 5/33 #G01785
31283H6W0
90896.47440000
PA
USD
103907.10000000
0.012403202636
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-73 SA -1ML+1755 8/35
31394EB64
14735.98490000
PA
USD
19557.49000000
0.002334542216
Long
ABS-CBDO
USGSE
US
N
2
2035-08-25
Variable
0.13320450
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #451439
36208HPY6
277.15800000
PA
USD
313.24000000
0.000037390892
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT1323
36193YPG5
118457.56730000
PA
USD
126848.53000000
0.015141679652
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/31 #556294
36213J7F6
3905.57600000
PA
USD
4545.46000000
0.000542583340
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2048#Q55141
3132XXWB1
162588.10450000
PA
USD
172732.38000000
0.020618751857
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AP3391
3138M6XV4
60198.61580000
PA
USD
64564.59000000
0.007706958359
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 1993-165SH -2.81ML+2K 9/23
31359D5R0
7232.33620000
PA
USD
8613.64000000
0.001028194631
Long
ABS-CBDO
USGSE
US
N
2
2023-09-25
Variable
0.15198481
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12M+1.75 9/1/41 #1B8787
3128UHEK7
119868.44310000
PA
USD
125020.98000000
0.014923528313
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04007000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2049#CA4628
3140QCEA0
353833.59800000
PA
USD
382032.47000000
0.045602525133
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.967% 8/41#AI8879
3138AN2M4
18408.12720000
PA
USD
19204.54000000
0.002292411213
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Variable
0.04116000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034
3137BGB32
739316.42530000
PA
USD
55301.90000000
0.006601287803
Long
ABS-CBDO
USGSE
US
N
2
2034-02-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #481798
36209UGF7
2941.10910000
PA
USD
3339.42000000
0.000398620526
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 7/36 #658019
36294SAU1
1961.79560000
PA
USD
2296.55000000
0.000274135020
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2933 ZM 5.75% 02/15/2035
31395MT74
491993.05520000
PA
USD
584704.13000000
0.069795074706
Long
ABS-CBDO
USGSE
US
N
2
2035-02-15
Fixed
0.05750000
N
N
N
N
N
N
MORGAN STANLEY CAP CITIGROUP TR 2016-SNR
N/A
MORGAN STANLEY CAP CITIGROUP TR 2016-SNR A CSTR 11/15/2034 144A
61691CAA7
82395.65240000
PA
USD
83291.62000000
0.009942370067
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Variable
0.03348000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2039#
312938BB8
44618.28190000
PA
USD
49467.46000000
0.005904841250
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2042#AB8144
36178VBM2
33542.21780000
PA
USD
36328.67000000
0.004336487646
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #458927
36208RYY4
573.96640000
PA
USD
655.44000000
0.000078238687
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#G67708
3132XCR56
8011813.65790000
PA
USD
8546841.77000000
1.020221047254
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-52 YZ 6.5% 10/31
313921MN5
17904.01450000
PA
USD
20866.15000000
0.002490754594
Long
ABS-CBDO
USGSE
US
N
2
2031-10-25
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21605
3132JNYA9
102610.67590000
PA
USD
111193.29000000
0.013272941961
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AP0495
3138M3RR7
60468.78160000
PA
USD
64854.35000000
0.007741546486
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A
12653VAA4
9093000.00000000
PA
USD
9092990.00000000
1.085413773896
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.02638500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 10/28 #780881
36225A6S4
31998.06910000
PA
USD
36107.06000000
0.004310034461
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.08500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/28 #458840
36208RV92
1361.72260000
PA
USD
1565.44000000
0.000186863742
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3244 SG -1ML+666 11/36
31397CDA4
191969.48010000
PA
USD
44248.70000000
0.005281887306
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Variable
0.05001500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 04/20/2047#MA4384
36179S2R7
8105357.67330000
PA
USD
8657088.56000000
1.033381007222
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3.0% 11/15/2021
3137AJAX2
113065.46840000
PA
USD
2008.13000000
0.000239706846
Long
ABS-CBDO
USGSE
US
N
2
2021-11-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 3/41 #004978
36202FQ74
60389.99450000
PA
USD
66104.84000000
0.007890815216
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/22 #327284
36224FRD4
1025.33660000
PA
USD
1079.90000000
0.000128905710
Long
ABS-MBS
USGA
US
N
2
2022-09-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13425
3132HPYW8
167979.32510000
PA
USD
182344.50000000
0.021766133240
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 8/40 #A93505
3129413N5
494020.63230000
PA
USD
546785.20000000
0.065268760599
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13381
3132HPXJ8
39203.39680000
PA
USD
42431.01000000
0.005064912937
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #783008
36241LKV7
309391.06940000
PA
USD
341084.29000000
0.040714614931
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
GS MTG SECS CORP TR 2018-HART
N/A
GS MTG SECS CORP TR 2018-HART 1ML+100 10/15/2031 144A
36259DAA1
562000.00000000
PA
USD
562431.00000000
0.067136371453
Long
ABS-MBS
CORP
US
N
2
2031-10-15
Variable
0.02748500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2041#
3132GEQJ2
26776.18840000
PA
USD
29610.95000000
0.003534605557
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 12/01/2042#C04320
31292LYR0
1127724.61280000
PA
USD
1194909.93000000
0.142634237647
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2044#Q27808
3132M8KV7
88700.34710000
PA
USD
95953.15000000
0.011453754008
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 12/20/2042#AA5872
36178DQZ7
723287.18660000
PA
USD
754455.80000000
0.090058024600
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
CIT MTG LN TR 2007-1
N/A
CIT MORTGAGE LOAN TRUST 2007-1 1A 1ML+135 10/25/2037 144A
12559QAA0
2261967.92920000
PA
USD
2281325.40000000
0.272317687790
Long
ABS-CBDO
CORP
US
N
2
2037-10-25
Variable
0.02976750
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 10/34 #605525
36200NVS7
95982.69570000
PA
USD
111395.26000000
0.013297050755
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#AE0698
31419AX44
420336.41940000
PA
USD
465021.67000000
0.055508795872
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 7/22 #165556
31367CZV0
7164.00330000
PA
USD
7603.50000000
0.000907616045
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
0.08500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3002 NE 5% 7/35
31395WMR5
193932.03140000
PA
USD
212790.93000000
0.025400468534
Long
ABS-CBDO
USGSE
US
N
2
2035-07-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/46#AS7319
36193TDY0
50638.44080000
PA
USD
54383.67000000
0.006491680348
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#794219
36177NVM9
292786.12750000
PA
USD
315644.79000000
0.037677947817
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
NAVISTAR FINL DEALER NT MASTER OWNER TR II
N/A
NAVISTAR FINL DEALER NT MASTER OWNER TR II 2018-1 A 1ML+63 09/25/2023 144A
63938PBD0
3969000.00000000
PA
USD
3976630.40000000
0.474683180104
Long
ABS-CBDO
CORP
US
N
2
2023-09-25
Variable
0.02256750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2041#AH1582
3138A2XL8
62617.39430000
PA
USD
68052.40000000
0.008123291932
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/25 #377663
36204RQQ4
15.16780000
PA
USD
15.23000000
0.000001817977
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.08000000
N
N
N
N
N
N
FIRSTKEY MTG TR 2015-1
N/A
FIRSTKEY MORTGAGE TRUST 2015-1 A9 VAR 03/25/2045 144A
33767CAP2
859525.33810000
PA
USD
869098.30000000
0.103742692523
Long
ABS-CBDO
CORP
US
N
2
2045-03-25
Variable
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/41 #AK0300
3138E4KN0
48501.85450000
PA
USD
52837.09000000
0.006307067890
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AI5034
3138AJSY9
26719.48640000
PA
USD
29726.56000000
0.003548405714
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 7.00% 12/26 #256589
31371M7A9
6368.28510000
PA
USD
7021.63000000
0.000838159276
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/24 #362182
36203XJ31
1726.22440000
PA
USD
1862.68000000
0.000222344743
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/35 #830779
31407G6Q6
8341.19680000
PA
USD
9905.49000000
0.001182400429
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT1745
3138WN5F2
423067.52240000
PA
USD
453751.00000000
0.054163436374
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2046#G60603
31335AU48
2859258.63700000
PA
USD
3059134.83000000
0.365163392975
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3455
3138E7ZV9
144309.77500000
PA
USD
156677.58000000
0.018702319412
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 11
N/A
270000.00000000
NC
USD
497.15000000
0.000059343896
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S11 PRC INDX
CMBX0AAA
Y
2054-11-18
1376.27000000
USD
0.00000000
USD
270000.00000000
USD
-879.12000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/24 #403657
36205XME1
852.37430000
PA
USD
901.43000000
0.000107602069
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/24 #371277
36204JM29
180.47940000
PA
USD
191.81000000
0.000022896012
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
0.07000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV1.75 MAC 03/18/2022
N/A
44942000.00000000
NC
USD
626226.93000000
0.074751576258
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2022-03-18
0.00000000
USD
0.00000000
USD
45065571.47000000
USD
626226.93000000
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN20 FVM0
N/A
-69.00000000
NC
USD
-118340.37000000
-0.01412607597
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UNDERLYING TREAS 5 YEAR NOTE GENERIC IV FOR FUTURES TRADING
2020-06-30
-8351409.63000000
USD
-118340.37000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031
3137AQ6B9
401992.58150000
PA
USD
23512.55000000
0.002806650576
Long
ABS-CBDO
USGSE
US
N
2
2031-05-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2046#G08687
3128MJXR6
434321.74570000
PA
USD
459525.39000000
0.054852714867
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#Q49738
3132WPZC4
37846.40190000
PA
USD
40895.17000000
0.004881582494
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.691% 02/01/2042#AK2344
3138E6TA4
51272.31960000
PA
USD
53626.73000000
0.006401325789
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Variable
0.04388000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/23 #337602
36224TAB6
63.74840000
PA
USD
66.29000000
0.000007912917
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2046#BM5199
3140J9X55
910038.03920000
PA
USD
1006498.25000000
0.120143876101
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2041#AH5580
3138A7FW3
806908.01890000
PA
USD
892689.04000000
0.106558676499
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 1/32 #C62372
31287MT59
133009.51490000
PA
USD
154183.67000000
0.018404625885
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.06500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.92 01/08/25
N/A
-3000000.00000000
NC
USD
-141250.80000000
-0.01686085257
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 01/10/30 1.92V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-10
0.00000000
USD
0.00000000
USD
-3000000.00000000
USD
1.00000000
1.92000000
USD
2025-01-08
XXXX
-57550.80000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#769036
36176LEH4
17330.07790000
PA
USD
18785.98000000
0.002242448462
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 05/01/2036#BM3697
3140J8DB6
522544.59640000
PA
USD
556033.80000000
0.066372749257
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 3/42 #Q07242
3132GSLX5
262909.78960000
PA
USD
286050.45000000
0.034145324965
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BD9690
3140FHXU6
263491.36390000
PA
USD
280460.52000000
0.033478065129
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 01/01/2024#
313987P94
7368.56300000
PA
USD
7905.65000000
0.000943683145
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#AL9489
3138ERRK8
546317.01040000
PA
USD
581500.48000000
0.069412660799
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2028#MA1387
31418ARH3
147912.59010000
PA
USD
153765.00000000
0.018354650004
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3786 HI 4% 3/38
3137A5SJ4
151358.95450000
PA
USD
5405.24000000
0.000645213724
Long
ABS-CBDO
USGSE
US
N
2
2038-03-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 07/01/2032#C91467
3128P7TY9
2719112.69930000
PA
USD
2870884.87000000
0.342692335653
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 2.525 04/04/2022
N/A
5000000.00000000
NC
USD
14059.00000000
0.001678197407
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 4/6/29 2.525V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-06
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
1.00000000
2.52500000
USD
2022-04-04
XXXX
-127691.00000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNMA 2017-H06 FA 12ML+35 08/66
38376RV60
3311584.14420000
PA
USD
3312860.76000000
0.395450198439
Long
ABS-CBDO
USGA
US
N
2
2066-08-20
Variable
0.01880000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/2045#AV2186
3138XDNC0
84035.51710000
PA
USD
90732.75000000
0.010830604299
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2010-95 ZC 5% 09/25/2040
31398NFC3
1846100.51650000
PA
USD
2114454.30000000
0.252398586328
Long
ABS-CBDO
USGSE
US
N
2
2040-09-25
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/28 #433734
36207JY72
3016.48130000
PA
USD
3416.43000000
0.000407813071
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.775 12/03/24
N/A
-8800000.00000000
NC
USD
-149220.90000000
-0.01781222900
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/29 3MLV1.775
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-05
0.00000000
USD
0.00000000
USD
-8800000.00000000
USD
1.00000000
1.77500000
USD
2024-12-03
XXXX
102899.10000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 3/42 #Q06886
3132GR6X4
247410.09020000
PA
USD
269650.40000000
0.032187680652
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040
3137BJGM9
1069179.32600000
PA
USD
1123616.70000000
0.134124093698
Long
ABS-CBDO
USGSE
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 1.684 01/27/2025
N/A
-10000000.00000000
NC
USD
-397853.40000000
-0.04749104093
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/29/30 1.684V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-29
0.00000000
USD
0.00000000
USD
-10000000.00000000
USD
1.00000000
1.68400000
USD
2025-01-27
XXXX
-111453.40000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3189 PD 6% 7/36
31396UAR1
173677.32390000
PA
USD
205714.21000000
0.024555733264
Long
ABS-CBDO
USGSE
US
N
2
2036-07-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/46#BC1776
3140EV6N2
296707.90920000
PA
USD
320261.41000000
0.038229025398
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2007-37 TS -1ML+669 6/37
38375KNC2
93731.04180000
PA
USD
21781.24000000
0.002599987232
Long
ABS-CBDO
USGA
US
N
2
2037-06-16
Variable
0.05031500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/46#MA3663
36179SB89
4057161.77870000
PA
USD
4296372.85000000
0.512850258186
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2048#Q55720
3132XYLA3
65851.25100000
PA
USD
70433.18000000
0.008407481335
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2043#AB8941
31417F5B0
1384735.01290000
PA
USD
1494251.90000000
0.178366147321
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.58% 7/35 #995273
31416BT65
10301.59940000
PA
USD
10812.09000000
0.001290619632
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04075000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 04/01/2032#
31287SCS4
6454.42740000
PA
USD
7486.38000000
0.000893635643
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036
31397CDM8
524341.84940000
PA
USD
606399.41000000
0.072384801049
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2044#MA1838
36179QBF7
15897.24400000
PA
USD
16894.16000000
0.002016625330
Long
ABS-MBS
USGA
US
N
2
2044-04-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #486530
36210APP6
8895.63210000
PA
USD
10065.45000000
0.001201494565
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
3520044.16240000
PA
USD
3659320.69000000
0.436806493796
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2017-134 BA 2.5% 11/46
38380GF25
174838.49780000
PA
USD
180361.38000000
0.021529411792
Long
ABS-CBDO
USGA
US
N
2
2046-11-20
Fixed
0.02500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.9 12/10/2024
N/A
-7900000.00000000
NC
USD
-119495.40000000
-0.01426394982
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/12/29 3MLV1.9
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-12
0.00000000
USD
0.00000000
USD
-7900000.00000000
USD
1.00000000
1.90000000
USD
2024-12-10
XXXX
103679.60000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP7882
3138MBXL5
272996.46300000
PA
USD
292795.86000000
0.034950512359
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.869% 5/36 #995608
31416CAH9
6259.02080000
PA
USD
6538.73000000
0.000780516376
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.04567000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/49#BJ9513
3140HBSB5
3530044.12000000
PA
USD
3747454.95000000
0.447326921044
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03500000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TR 2019-4
N/A
CARVANA AUTO RECEIVABLES TR 2019-4 2.2% 07/15/2022 144A
14686YAC1
171000.00000000
PA
USD
171575.84000000
0.020480697768
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
0.02200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AX7918
3138Y9YQ5
194277.20730000
PA
USD
209942.32000000
0.025060435110
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 09/01/2033#
31283HX75
115506.41560000
PA
USD
133269.47000000
0.015908135649
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2041#AH7219
3138A9AV6
380329.32390000
PA
USD
420642.63000000
0.050211350115
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/32 #626296
31389HXZ6
42414.79610000
PA
USD
47835.07000000
0.005709985808
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 7.00% 9/36 #C02621
31292J4E7
29385.42340000
PA
USD
34677.47000000
0.004139386888
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96766
312945QT8
107657.42530000
PA
USD
119122.28000000
0.014219411160
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2043#MA1375
36179NQ43
12313.50800000
PA
USD
13089.54000000
0.001562474720
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1612
3138WAYJ0
846056.54930000
PA
USD
893669.40000000
0.106675700299
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 05/01/2031#
31298MDZ7
13619.62770000
PA
USD
15830.37000000
0.001889642641
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/01/2042#G07368
3128M9QV7
836031.29680000
PA
USD
909616.68000000
0.108579298276
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719216
3620A5AR0
211000.91160000
PA
USD
232615.30000000
0.027766867734
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/40 #004696
36202FGD2
69722.62320000
PA
USD
76407.80000000
0.009120660921
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#770540
36176MZD8
8025.79770000
PA
USD
8720.11000000
0.001040903762
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2046#AZ6451
3138YYEZ2
328628.45520000
PA
USD
351435.66000000
0.041950239250
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2046#BD1489
3140F8UP0
355455.83400000
PA
USD
380895.91000000
0.045466856021
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 7.00% 9/35 #A47784
3128K8UH7
60978.62630000
PA
USD
71485.57000000
0.008533103227
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/40 #004853
36202FMA1
1128042.42330000
PA
USD
1216382.36000000
0.145197362789
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 11/39 #004577
36202FCN4
10052.04400000
PA
USD
11028.42000000
0.001316442553
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/26 #256507
31371M3Q8
18647.18800000
PA
USD
20584.62000000
0.002457148867
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.265% 11/35 #1J1243
3128NHLY7
25882.12880000
PA
USD
27036.46000000
0.003227293341
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Variable
0.03390000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BE5877
3140FRQ73
627106.86680000
PA
USD
669648.98000000
0.079934787849
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/35 #A47209
3128K8AJ5
42457.92360000
PA
USD
46714.93000000
0.005576276721
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2041#792596
36177L3E2
15884.53110000
PA
USD
17214.03000000
0.002054807633
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2044#AS3651
3138WDBV2
254808.04670000
PA
USD
279173.00000000
0.033324376195
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043
3136AA4A0
151625.92140000
PA
USD
152648.77000000
0.018221407647
Long
ABS-CBDO
USGSE
US
N
2
2043-01-25
Fixed
0.01750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 6/46#V82414
3132L7VF3
2616887.00770000
PA
USD
2761341.79000000
0.329616376274
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737559
3620ARMG3
670267.66960000
PA
USD
727414.96000000
0.086830208426
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/46#BC1354
3140EVQG5
583725.45310000
PA
USD
624236.70000000
0.074514006102
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027
3136A8PY0
633634.64380000
PA
USD
46896.88000000
0.005597995764
Long
ABS-CBDO
USGSE
US
N
2
2027-09-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/32 #648009
31390J3S8
1259.36120000
PA
USD
1501.63000000
0.000179246857
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.36% 7/36 #1B7105
3128QPH96
37315.68320000
PA
USD
39219.35000000
0.004681542891
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
0.04784000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/20/2048#MA5264
36179TZ57
495729.67000000
PA
USD
523049.08000000
0.062435422875
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.00% 12/29 #252926
31371H4K1
71.78600000
PA
USD
83.05000000
0.000009913528
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
0.08000000
N
N
N
N
N
N
FIDELITY REVERE STREET TRUST
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
35575193.70500000
NS
USD
35582308.74000000
4.247395852567
Long
STIV
RF
US
N
1
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2095 PE 6% 11/28
3133TGWC9
224603.44580000
PA
USD
249081.47000000
0.029732404672
Long
ABS-CBDO
USGSE
US
N
2
2028-11-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/32 #663318
31391C4B8
59750.64550000
PA
USD
71107.01000000
0.008487915204
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19764
3132JBJJ3
54441.49550000
PA
USD
58995.12000000
0.007042140796
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/01/2050 #TBA
21H030641
43550000.00000000
PA
USD
44951382.39000000
5.365765232536
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA STRIPPED MTG BKD SECS
N/A
FNS 384 6 5% 7/37
3136FER61
130316.04430000
PA
USD
24319.46000000
0.002902969964
Long
ABS-CBDO
USGSE
US
N
2
2037-07-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT3073
3138WQMX7
61928.17820000
PA
USD
66419.59000000
0.007928386355
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2048#V83994
3132L9NK7
995635.88290000
PA
USD
1060867.46000000
0.126633830386
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 9/42 #MA0392
36179MNH9
524426.26780000
PA
USD
557640.91000000
0.066564587072
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028
3137B6MF5
403894.75420000
PA
USD
24611.85000000
0.002937872030
Long
ABS-CBDO
USGSE
US
N
2
2028-12-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3832 PE 5% 3/41
3137A7WV8
762000.00000000
PA
USD
847715.70000000
0.101190290226
Long
ABS-CBDO
USGSE
US
N
2
2041-03-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2048#G61821
31335CAW4
5759135.56350000
PA
USD
6219471.33000000
0.742407046300
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 5.5% 02/15/2035
31395MRB7
651792.26160000
PA
USD
738264.43000000
0.088125290042
Long
ABS-CBDO
USGSE
US
N
2
2035-02-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/01/2050 #TBA
21H040632
4900000.00000000
PA
USD
5101502.70000000
0.608957152504
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 2/1/43 #AR5859
3138W3QM8
48971.67320000
PA
USD
52523.40000000
0.006269623282
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AE9338
31419LLU5
58873.87450000
PA
USD
64002.35000000
0.007639844787
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
CSMC SER 2015-1R
N/A
CSMC SER 2015-1R 1ML+28 05/27/2037 144A
12649MBC6
1292444.38020000
PA
USD
1253513.50000000
0.149629639828
Long
ABS-CBDO
CORP
US
N
2
2037-05-27
Variable
0.02007250
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #510903
36211ERY6
4766.22370000
PA
USD
5459.66000000
0.000651709741
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #711188
36297GCZ1
9900.05500000
PA
USD
10914.19000000
0.001302807124
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2045#BM4643
3140J9ER8
589101.66510000
PA
USD
647892.48000000
0.077337753785
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 3/35 #808134
31406EY73
1074.52140000
PA
USD
1257.98000000
0.000150162797
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2041#AI7563
3138AMMM4
45091.48670000
PA
USD
49842.81000000
0.005949646101
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2047#784391
3622A22Y7
4299289.47790000
PA
USD
4617265.79000000
0.551154668179
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-136 WI 4.5% 5/40
38377YTR1
133854.10180000
PA
USD
10147.23000000
0.001211256496
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2048#BM2007
3140J6GR2
3905892.57730000
PA
USD
4146379.56000000
0.494945830384
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/01/2050 #TBA
21H030633
94925000.00000000
PA
USD
98079680.50000000
11.70759410865
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.39% 12/36 #1J1448
3128NHTD5
80107.27900000
PA
USD
84471.61000000
0.010083223339
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
0.04325000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 2.645 04/14/22
N/A
4000000.00000000
NC
USD
9446.56000000
0.001127618785
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 4/29 2.645V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-20
0.00000000
USD
0.00000000
USD
4000000.00000000
USD
1.00000000
2.64500000
USD
2022-04-14
XXXX
-97513.44000000
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-67 AI IO 4% 7/26
31397U4B2
60398.26400000
PA
USD
4014.10000000
0.000479155858
Long
ABS-CBDO
USGSE
US
N
2
2026-07-25
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2045#Q33114
3132QPN83
72467.36370000
PA
USD
77306.73000000
0.009227964570
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03500000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 1.684 01/27/2025
N/A
-10000000.00000000
NC
USD
-189904.70000000
-0.02266858064
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Written
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/29/30 3MLV1.684%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-29
0.00000000
USD
0.00000000
USD
-10000000.00000000
USD
1.00000000
1.68400000
USD
2025-01-27
XXXX
96495.30000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H17 FA 1ML+33 7/60
38375BDY5
188714.22780000
PA
USD
188001.79000000
0.022441433717
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Variable
0.01989500
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.905 10/28/2024
N/A
8000000.00000000
NC
USD
372082.08000000
0.044414765072
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/29 3MLV1.905
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-30
0.00000000
USD
0.00000000
USD
8000000.00000000
USD
1.00000000
1.90500000
USD
2024-10-28
XXXX
153282.08000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/32 #638545
31389XL27
3940.39930000
PA
USD
4690.35000000
0.000559878598
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2044#MA1677
36179N2J6
7974.75000000
PA
USD
8474.85000000
0.001011627519
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.37% 6/36 #916726
31411WPK7
87565.97270000
PA
USD
92050.44000000
0.010987894572
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.04182000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/22 #174330
31367NST9
142.86520000
PA
USD
150.20000000
0.000017929102
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/22 #322930
36224AVX6
448.37540000
PA
USD
469.74000000
0.000056072014
Long
ABS-MBS
USGA
US
N
2
2022-10-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33801
3132QQGK2
116345.63690000
PA
USD
124115.19000000
0.014815405798
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-170 B 4% 12/40
38377NRP1
431154.50430000
PA
USD
483145.01000000
0.057672146196
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
144170.60320000
PA
USD
154920.34000000
0.018492560851
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
COMM 2014-LC17 MTG TR
N/A
COMM 2014-LC17 XA CSTR 10/47
12592MBL3
14637081.97420000
PA
USD
413333.63000000
0.049338888002
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
0.00768071
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 05/01/2028#MA1449
31418ATF5
156780.78020000
PA
USD
162984.08000000
0.019455114913
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.5% 03/01/2024#
31356A4S8
891.29000000
PA
USD
961.24000000
0.000114741480
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
0.06500000
N
N
N
N
N
N
WFRBS COML MTG TR 2014-LC14
N/A
WFRBS COML MTG TR 2014-LC14 VAR 03/15/2047
96221TAH0
7377080.94840000
PA
USD
278867.68000000
0.033287930698
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
0.01207548
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2585 KS -1ML+760 3/23
31393MHY0
2509.21760000
PA
USD
53.17000000
0.000006346806
Long
ABS-CBDO
USGSE
US
N
2
2023-03-15
Variable
0.05941500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/45#G08624
3128MJVS6
8260.75300000
PA
USD
8931.05000000
0.001066083288
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #738002
3620AR3K5
67336.17830000
PA
USD
73014.16000000
0.008715568251
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 9/36 #C02622
31292J4F4
165522.63030000
PA
USD
196218.27000000
0.023422220078
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1ML+ 12/25/2036
31396LZK9
79673.13390000
PA
USD
20503.90000000
0.002447513466
Long
ABS-CBDO
USGSE
US
N
2
2036-12-25
Variable
0.05013250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 6.50% 11/26 #D97105
3128E33N2
21105.42640000
PA
USD
23208.98000000
0.002770413974
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/41 #489862
36210EFB0
432276.83130000
PA
USD
468727.67000000
0.055951174390
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AR9028
36193GA54
783083.76860000
PA
USD
835127.67000000
0.099687679847
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)JUN20 TYM0
N/A
-468.00000000
NC
USD
-1590534.54000000
-0.18985923195
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UNDERLYING TREASURY 10 YR NOTEGENERIC IV FOR FUTURES TRADING
2020-06-19
-61472465.46000000
USD
-1590534.54000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2043#AQ9947
3138MSBR9
87886.32110000
PA
USD
94260.38000000
0.011251691114
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 6/41 #Q01208
3132GEKV1
54845.12250000
PA
USD
60651.52000000
0.007239862269
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 2.645 04/14/2022
N/A
4000000.00000000
NC
USD
416577.00000000
0.049726043214
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 4/29 3MLV2.645
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-20
0.00000000
USD
0.00000000
USD
4000000.00000000
USD
1.00000000
2.64500000
USD
2022-04-14
XXXX
309617.00000000
N
N
N
2020-03-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer