0001752724-20-072692.txt : 20200420
0001752724-20-072692.hdr.sgml : 20200420
20200420084453
ACCESSION NUMBER: 0001752724-20-072692
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: 20801409
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
S000062808
Fidelity Series Investment Grade Securitized Fund
C000203455
Fidelity Series Investment Grade Securitized Fund
FHPFX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000795422
XXXXXXXX
S000062808
C000203455
FIDELITY ADVISOR SERIES II
811-04707
0000795422
EIVUM2R16VT371T5KS40
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Series Investment Grade Securitized Fund
S000062808
549300SCBY1VRBYHW061
2020-08-31
2020-02-29
N
286918464.01
143017653.32
143900810.69
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
89467814.13000000
0.00000000
0.00000000
0.00000000
USD
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2047#BH6709
3140GVN35
153285.22000000
PA
USD
165791.56000000
0.115212387758
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2050#TBA
01F022634
1385000.00000000
PA
USD
1412360.26000000
0.981481795153
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.02500000
N
N
N
N
N
N
PROVIDENT FDG MTG TR 2020-1
N/A
PROVIDENT FDG MTG TR 2020-1 3% 02/25/2050 144A
743874AE9
223000.00000000
PA
USD
228226.56000000
0.158599912610
Long
ABS-CBDO
CORP
US
N
2
2050-02-25
Fixed
0.03000000
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
85166.50000000
PA
USD
90887.43000000
0.063159776212
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 2.5% 03/01/2050 #TBA
21H022630
-2250000.00000000
PA
USD
-2309592.60000000
-1.60498929014
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/46#MA3663
36179SB89
655908.72200000
PA
USD
694581.23000000
0.482680553826
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
CONSUMER LN UNDERLYING BD CLUB CR TR 2018-P2
N/A
CONSUMER LN UNDERLYING BD CLUB CR TR 2018-P2 3.47% 10/15/2025
21052NAA0
27706.26000000
PA
USD
27910.18000000
0.019395429300
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
0.03470000
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC
549300P6OXWKM20QS303
SILVERSTONE MASTER ISSUER PLC STEP 01/21/2070 144A
82846GAV2
172000.00000000
PA
USD
172145.34000000
0.119627776365
Long
ABS-CBDO
CORP
GB
N
2
2070-01-21
Variable
0.02389130
N
N
N
N
N
N
BENCHMARK 2019-B12 MTG TR
N/A
BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A
08162FAK9
970895.68000000
PA
USD
73234.37000000
0.050892256721
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
0.01068290
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#BC2778
3140EXCQ4
47909.89100000
PA
USD
49555.67000000
0.034437380694
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 2.525 04/04/2022
N/A
6000000.00000000
NC
USD
16870.80000000
0.011723908933
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
6000000.00000000
USD
1.00000000
2.52500000
USD
2022-04-04
XXXX
-153229.20000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 01/01/2033#ZS8682
3132A9UF2
132503.85000000
PA
USD
137622.37000000
0.095636966421
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1578
3140X4XG6
189618.31100000
PA
USD
200796.97000000
0.139538456411
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 0% 06/01/2048#MA5266
36179TZ73
1397312.19200000
PA
USD
1504092.69000000
1.045228781400
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 09/45#MA3106
36179RNX3
7697.27600000
PA
USD
8223.10000000
0.005714422288
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.04000000
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
100000.00000000
PA
USD
99811.69000000
0.069361450794
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.02908500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/46#MA4195
36179SUU9
808122.47700000
PA
USD
843451.98000000
0.586134279546
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 15YR 3% 06/01/2034#CA3585
3140QA6X3
90685.15000000
PA
USD
95010.08000000
0.066024701003
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
0.03000000
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
32000.00000000
PA
USD
31919.67000000
0.022181716591
Long
ABS-MBS
CORP
US
N
2
2034-03-15
Variable
0.02608500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 12/20/2049#MA6337
36179VBE9
698384.13000000
PA
USD
717163.26000000
0.498373328517
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.02500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 8/
N/A
300000.00000000
NC
USD
2427.69000000
0.001687057903
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
0.00000000
USD
61.65000000
USD
300000.00000000
USD
2489.34000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2048#MA5137
36179TV69
136509.20400000
PA
USD
144170.80000000
0.100187621813
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2037#BM1951
3140J6EZ6
174639.39100000
PA
USD
180638.25000000
0.125529695860
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/20/2048#MA5264
36179TZ57
289176.00000000
PA
USD
305112.34000000
0.212029618552
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 15YR 3% 12/01/2032#BM5109
3140J9VB4
586339.47700000
PA
USD
609539.00000000
0.423582742221
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 3.5% 08/20/2047#MA4652
36179TEZ4
1603287.56900000
PA
USD
1687797.18000000
1.172889278320
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 15YR 3.5% 07/01/2034#CA3925
3140QBLF3
190094.31500000
PA
USD
202667.34000000
0.140838219762
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
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
100000.00000000
PA
USD
99937.28000000
0.069448726189
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.02608500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#BM5108
3140J9VA6
646384.52300000
PA
USD
671353.84000000
0.466539303552
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 20YR 3.5% 10/01/2034#C91793
3128P77E7
2149707.52500000
PA
USD
2271040.89000000
1.578198815635
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 20YR 3% 07/01/2033#C91714
3128P73X9
152040.12000000
PA
USD
158958.01000000
0.110463595887
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 20YR 3.0% 06/01/2033#C91709
3128P73S0
33547.18600000
PA
USD
35073.60000000
0.024373455459
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2046#MA3937
36179SLS4
1427091.73800000
PA
USD
1508111.59000000
1.048021607917
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.03500000
N
N
N
N
N
N
BX COML MTG TR 2019
N/A
BX COML MTG TR 2019-XCALM AL 1ML+88.72 11/25/2286 144A
05608FAA9
32000.00000000
PA
USD
32010.01000000
0.022244495945
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
0.02534500
N
N
N
N
N
N
BENCHMARK 2019-B MORTGAGE TRUST
N/A
BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061
08162YAK8
1211292.43000000
PA
USD
68917.94000000
0.047892669728
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.00791233
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 03/01/2033#ZS8690
3132A9UP0
176364.23000000
PA
USD
182901.47000000
0.127102459758
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
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
118015.62000000
PA
USD
117957.44000000
0.081971351957
Long
ABS-CBDO
CORP
GB
N
2
2060-08-25
Variable
0.02129250
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/01/2050 #TBA
21H030641
7500000.00000000
PA
USD
7741340.25000000
5.379636301477
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.67 02/07/2025
N/A
1900000.00000000
NC
USD
74702.68000000
0.051912619283
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 02/11/30 3MLV1.67%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-11
0.00000000
USD
0.00000000
USD
1900000.00000000
USD
1.00000000
1.67000000
USD
2025-02-07
XXXX
21312.68000000
N
N
N
VERIZON OWNER TR 2017-1
N/A
VERIZON OWNER TR 2017-1 2.06% 09/20/2021 144A
92348NAA5
11790.35000000
PA
USD
11797.20000000
0.008198147003
Long
ABS-CBDO
CORP
US
N
2
2021-09-20
Fixed
0.02060000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
97768.79900000
PA
USD
104997.59000000
0.072965252590
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2049#BO0274
3140JUJU9
497108.57000000
PA
USD
518248.71000000
0.360143009281
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2048#BJ9252
3140HBH68
274613.21100000
PA
USD
290362.72000000
0.201779766637
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
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
-1000000.00000000
NC
USD
-39785.34000000
-0.02764775251
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
-1000000.00000000
USD
1.00000000
1.68400000
USD
2025-01-27
XXXX
-11145.34000000
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)JUN20 TYM0
N/A
-13.00000000
NC
USD
-35048.19000000
-0.02435579746
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
-1716701.81000000
USD
-35048.19000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/42#Q10245
3132HLHW6
23263.17000000
PA
USD
24962.08000000
0.017346726457
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
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
41670.56200000
PA
USD
42083.32000000
0.029244671936
Long
ABS-CBDO
CORP
US
N
2
2026-04-15
Fixed
0.03520000
N
N
N
N
N
N
LANARK MASTER ISSUER PLC
213800KIOPB5OYXIVY33
LANARK MASTER ISSUER PLC STEP 12/22/2069 144A
513770BD8
418000.00000000
PA
USD
425029.51000000
0.295362832191
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02710000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2042#AB7124
31417D4J9
22137.21900000
PA
USD
23915.69000000
0.016619565856
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 4% 05/46#MA3664
36179SB97
76913.13000000
PA
USD
81902.88000000
0.056916204715
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04000000
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
117000.00000000
PA
USD
118019.30000000
0.082014339901
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
0.02300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 03/01/2033#G18680
3128MMXJ7
87660.01100000
PA
USD
90241.69000000
0.062711036558
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.02500000
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
164000.00000000
PA
USD
164174.17000000
0.114088426057
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02452750
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/45#MA3174
36179RQ36
7872.67100000
PA
USD
8410.47000000
0.005844630033
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/01/2050 #TBA
21H032639
17400000.00000000
PA
USD
18026431.32000000
12.52698385336
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 04/20/2047#MA4384
36179S2R7
126558.37400000
PA
USD
135173.19000000
0.093934974620
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2031#BC0919
3140EVAV9
35711.21500000
PA
USD
36937.95000000
0.025669035374
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2050#TBA
01F032633
-9550000.00000000
PA
USD
-9916872.80000000
-6.89146416371
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 2.525 04/04/2022
N/A
6000000.00000000
NC
USD
580777.92000000
0.403596002840
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
6000000.00000000
USD
1.00000000
2.52500000
USD
2022-04-04
XXXX
410677.92000000
N
N
N
METLIFE SECURITIZATION TRUST 2019-1
N/A
METLIFE SECURITIZATION TRUST 2019-1A A1A 3.75% 04/25/2058 144A
59166EAB1
84820.12000000
PA
USD
89427.35000000
0.062145132867
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 15YR 2.5% 12/01/2032#G18669
3128MMW74
438258.36800000
PA
USD
451439.43000000
0.313715696134
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2043#MA1376
36179NQ50
92858.48700000
PA
USD
99782.26000000
0.069340999207
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.04000000
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
2127.99100000
PA
USD
2151.13000000
0.001494869966
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Variable
0.03348000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/48#BJ6757
3140H8QK4
233537.63900000
PA
USD
252591.67000000
0.175531790813
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 30YR 4.5% 06/47#Q48876
3132WN2J0
61788.98400000
PA
USD
67731.93000000
0.047068483961
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/39 #G08368
3128MJMS6
77798.68500000
PA
USD
86253.96000000
0.059939870794
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 15YR 3% 02/01/2033#MA3283
31418CUH5
165278.10400000
PA
USD
171404.42000000
0.119112893928
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5345
3140J95F4
164925.32900000
PA
USD
172584.74000000
0.119933125583
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 2.755 02/15/2022
N/A
500000.00000000
NC
USD
56013.88000000
0.038925340122
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 2/29 3MLV2.755
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-02-17
0.00000000
USD
0.00000000
USD
500000.00000000
USD
1.00000000
2.75500000
USD
2022-02-15
XXXX
41113.88000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/49#CA4421
3140QB4F2
607908.04900000
PA
USD
635281.42000000
0.441471744984
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 4% 07/01/46#BC1443
3140EVS99
105999.10300000
PA
USD
115738.60000000
0.080429428746
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
CLUB 2019-HP1 A
N/A
CLUB 2019-HP1 A 2.59% 12/15/2026 144A
21055MAA9
549837.31000000
PA
USD
554544.69000000
0.385365924862
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 15YR 3.5% 11/01/2033#G16677
3128MFUA4
80627.95400000
PA
USD
85920.50000000
0.059708141731
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2047#CA1757
3140Q85T8
314856.16600000
PA
USD
340544.87000000
0.236652502767
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2043#MA1224
36179NLD8
7819.17000000
PA
USD
8311.96000000
0.005776173157
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.905 10/28/2024
N/A
2200000.00000000
NC
USD
102322.57000000
0.071106319352
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
2200000.00000000
USD
1.00000000
1.90500000
USD
2024-10-28
XXXX
42152.57000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4% 05/01/2038#MA3361
31418CWX8
1902717.05000000
PA
USD
2029381.49000000
1.410264111973
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 2.1675 06/20/2024
N/A
-3600000.00000000
NC
USD
-200431.55000000
-0.13928451760
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 6/29 2.1675V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-06-24
0.00000000
USD
0.00000000
USD
-3600000.00000000
USD
1.00000000
2.16750000
USD
2024-06-20
XXXX
-99001.55000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 04/01/2050 #TBA
21H022648
2250000.00000000
PA
USD
2307483.00000000
1.603523280331
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.02500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 2.755 02/15/2022
N/A
500000.00000000
NC
USD
862.93000000
0.000599670005
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 2/29 2.755V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-02-17
0.00000000
USD
0.00000000
USD
500000.00000000
USD
1.00000000
2.75500000
USD
2022-02-15
XXXX
-14037.07000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2046#MA3454
36179RZT9
124892.43200000
PA
USD
132256.11000000
0.091907828292
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/47#MA4262
36179SWX1
468275.59200000
PA
USD
493690.17000000
0.343076712099
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 02/01/2033#ZS8686
3132A9UK1
83714.93800000
PA
USD
86817.97000000
0.060331814382
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 4.5% 07/01/2047#Q49499
3132WPRV1
57400.82600000
PA
USD
62921.72000000
0.043725757831
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
NATIONSTAR HECM LOAN TRUST
N/A
NATIONSTAR HECM LOAN TRUST 2.2722% 11/25/2029 144A
63862UAA6
82163.73000000
PA
USD
81940.00000000
0.056942000261
Long
ABS-CBDO
CORP
US
N
2
2029-11-25
Fixed
0.02272200
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2050#TBA
01F032633
11800000.00000000
PA
USD
12253308.80000000
8.515107553074
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/01/2050 #TBA
21H030633
-8750000.00000000
PA
USD
-9040792.25000000
-6.28265553658
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2048#BJ2757
3140H4B37
155902.97100000
PA
USD
168622.89000000
0.117179944429
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.03500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 2.54 04/05/2022
N/A
5000000.00000000
NC
USD
488859.80000000
0.339719976319
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
5000000.00000000
USD
1.00000000
2.54000000
USD
2022-04-05
XXXX
351859.80000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2049#CA4142
3140QBS82
607250.33200000
PA
USD
636871.27000000
0.442576568503
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 05/01/2033#AT3000
3138WQKN1
27235.43900000
PA
USD
28453.31000000
0.019772862893
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
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
65616.04000000
PA
USD
68601.60000000
0.047672837749
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 II 3.5% 06/20/2042#783630
3622A2A77
84565.37300000
PA
USD
89974.19000000
0.062525144624
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2046#G08711
3128MJYH7
24449.73900000
PA
USD
25845.63000000
0.017960725777
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984
3617M76V5
43369.19100000
PA
USD
46115.99000000
0.032047067545
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.78 10/15/2024
N/A
3400000.00000000
NC
USD
55774.28000000
0.038758836543
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 1.78V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-17
0.00000000
USD
0.00000000
USD
3400000.00000000
USD
1.00000000
1.78000000
USD
2024-10-15
XXXX
-41720.72000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2045#G61419
31335BSG2
36371.45100000
PA
USD
39027.65000000
0.027121216213
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.03500000
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
26000.00000000
PA
USD
26993.55000000
0.018758441922
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03177090
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2050 #TBA
01F030637
10800000.00000000
PA
USD
11121722.28000000
7.728741920682
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 08/20/2047#MA4650
36179TEX9
31934.56500000
PA
USD
32972.90000000
0.022913630466
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2048#BM2007
3140J6GR2
764603.79500000
PA
USD
811680.68000000
0.564055668698
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL A 1ML+85 10/15/2036 144A
056054AA7
955400.54000000
PA
USD
959674.43000000
0.666899946844
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.02578500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 09/01/2038#C92014
3128P8GX3
585236.64500000
PA
USD
623557.00000000
0.433324174485
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.83 01/23/25
N/A
-1600000.00000000
NC
USD
-26516.34000000
-0.01842681766
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
-1600000.00000000
USD
1.00000000
1.83000000
USD
2025-01-23
XXXX
18163.66000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 04/48#784805
3622AAGN8
761841.39000000
PA
USD
828273.73000000
0.575586562736
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 4.0% 01/46#MA3377
36179RXE4
32954.97700000
PA
USD
35092.93000000
0.024386888323
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04000000
N
N
N
N
N
N
NEW RESIDENTIAL MTG LN TR 2020-1
N/A
NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A
64830TAD0
115178.82000000
PA
USD
120668.78000000
0.083855524803
Long
ABS-CBDO
CORP
US
N
2
2059-10-25
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 05/01/2033#G16550
3128MFQB7
41423.08800000
PA
USD
42976.73000000
0.029865523198
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2020
N/A
MARLETTE FUNDING TRUST 2020 2.24% 03/15/2030 144A
57109JAA6
100000.00000000
PA
USD
100451.68000000
0.069806194640
Long
ABS-CBDO
CORP
US
N
2
2030-03-15
Fixed
0.02240000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2047#MA4452
36179S5M5
625903.84800000
PA
USD
662988.71000000
0.460726181333
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2049#BN2615
3617K53Y8
281814.78700000
PA
USD
298688.48000000
0.207565529733
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT A2 3.92% 09/25/2028
3137FJKE8
500000.00000000
PA
USD
586080.00000000
0.407280540804
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Fixed
0.03920000
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
37086.49000000
PA
USD
37481.09000000
0.026046475916
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.03820000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2041#005258
36202FZX7
5967.10500000
PA
USD
6352.49000000
0.004414492155
Long
ABS-MBS
USGA
US
N
2
2041-12-20
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
2007432.26900000
PA
USD
2108494.24000000
1.465241390850
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
171326.28000000
PA
USD
177944.48000000
0.123657732813
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM1884
3140J6CW5
47371.78800000
PA
USD
49201.72000000
0.034191412657
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG7744
3617GSS91
54891.36600000
PA
USD
58469.60000000
0.040631876720
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2048#BK0920
3140HEAW2
527079.77400000
PA
USD
557061.55000000
0.387114949060
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2045#MA3105
36179RNW5
457779.76900000
PA
USD
485915.01000000
0.337673573672
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.03500000
N
N
N
N
N
N
BANK 2019-BN24
N/A
BANK 2019-BN24 2.96% 11/15/2062
06540VBB0
200000.00000000
PA
USD
217554.28000000
0.151183498520
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Fixed
0.02960000
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 3.859% 11/25/2028
3137FKSH0
300000.00000000
PA
USD
351112.23000000
0.243996005523
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Fixed
0.03859000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-NUGS
N/A
MORGAN STANLEY CAP I TR 2019-NUGS A 1ML+88.4 12/15/2021 144A
61692AAA0
1000000.00000000
PA
USD
998900.40000000
0.694158980210
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.02608500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 11/20/2049#MA6282
36179U6T4
1014779.74900000
PA
USD
1042066.57000000
0.724156149644
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/32#MA3125
31418CPK4
43150.77700000
PA
USD
44817.66000000
0.031144828013
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A
12653VAA4
1500000.00000000
PA
USD
1499998.35000000
1.042383529882
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.02638500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/20/2047#MA4512
36179TAM7
1985977.08500000
PA
USD
2118679.88000000
1.472319627555
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
83432.58000000
PA
USD
87422.26000000
0.060751749472
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
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
1500619.14500000
PA
USD
1603130.34000000
1.114052333904
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2046#BM4621
3140J9D32
1046536.49100000
PA
USD
1116224.00000000
0.775689862098
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV1.75 MAC 03/18/25
N/A
-1110000.00000000
NC
USD
-31729.92000000
-0.02204985492
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2025-03-18
0.00000000
USD
0.00000000
USD
-1121793.10000000
USD
-31729.92000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/50#CA5126
3140QCVU7
556830.89600000
PA
USD
582252.34000000
0.404620611383
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
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
1592585.89400000
PA
USD
1647291.22000000
1.144740750313
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
0.02500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN20 FVM0
N/A
-48.00000000
NC
USD
-116123.59000000
-0.08069696719
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
-5775876.41000000
USD
-116123.59000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#BO1835
3140JWBD1
58186.79500000
PA
USD
62035.33000000
0.043109784929
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
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
61062.13000000
PA
USD
61567.37000000
0.042784588707
Long
ABS-CBDO
CORP
US
N
2
2026-07-15
Fixed
0.02940000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 9/42 #MA0392
36179MNH9
194414.82300000
PA
USD
206728.12000000
0.143660149660
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
0.03500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT JUN20 USM0
N/A
-4.00000000
NC
USD
-27774.27000000
-0.01930098229
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
-653225.73000000
USD
-27774.27000000
N
N
N
RMF BUYOUT ISSUANCE TRUST 2020
N/A
RMF BUYOUT ISSUANCE TRUST 2020 2.1582% 02/25/2030 144A
74968QAA5
92402.20000000
PA
USD
93226.34000000
0.064785138841
Long
ABS-CBDO
CORP
US
N
2
2030-02-25
Fixed
0.02158200
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2049#FM1534
3140X4V45
2489451.65100000
PA
USD
2705867.90000000
1.880370157072
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 04/01/2033#K90336
3132J2LR2
32291.06500000
PA
USD
33750.23000000
0.023453815053
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/20/2048#MA5466
36179UCB6
3515272.90900000
PA
USD
3698012.61000000
2.569834452125
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2043 #MA1090
36179NF78
89467.35200000
PA
USD
95105.83000000
0.066091239892
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.03500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 05/01/2036#BM3697
3140J8DB6
500339.94300000
PA
USD
532406.08000000
0.369981292980
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
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#MA0699
36179MX47
7606.97700000
PA
USD
8088.77000000
0.005621073266
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/49#BR8986
3617M76X1
24915.65000000
PA
USD
26742.84000000
0.018584217748
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/20/2048#MA5265
36179TZ65
148695.33200000
PA
USD
157655.33000000
0.109558333440
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.04500000
N
N
N
N
N
N
LANARK MASTER ISSUER PLC
213800KIOPB5OYXIVY33
LANARK MASTER ISSUER PLC 2020-1A 1A 12/22/2069 144A
513770BE6
200000.00000000
PA
USD
201874.40000000
0.140287187425
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02277000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2048#BK5486
3140HKCY2
69605.10800000
PA
USD
75284.10000000
0.052316661483
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 2/42 #005304
36202F3M6
2076469.80000000
PA
USD
2210579.02000000
1.536182464435
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 2.767 02/01/22
N/A
400000.00000000
NC
USD
664.75000000
0.000461950142
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 2/3/29 2.767V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-02-03
0.00000000
USD
0.00000000
USD
400000.00000000
USD
1.00000000
2.76700000
USD
2022-02-01
XXXX
-11715.25000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2050#MA6599
36179VKL3
500000.00000000
PA
USD
517952.75000000
0.359937339835
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.03000000
N
N
N
N
N
N
PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2019
N/A
PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2019-2A A 3.2% 09/15/2025
74361PAA0
805903.08000000
PA
USD
809913.50000000
0.562827614463
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
0.03200000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV2.0 MAC 03/18/27
N/A
-1845000.00000000
NC
USD
-83715.53000000
-0.05817585710
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-03-18
0.00000000
USD
0.00000000
USD
-1886019.46000000
USD
-83715.53000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 07/20/2048#MA5330
36179T4P7
1003470.40900000
PA
USD
1058457.58000000
0.735546641415
Long
ABS-MBS
USGA
US
N
2
2048-07-20
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
17675000.00000000
PA
USD
18262400.35000000
12.69096418736
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
GS MTG SECS TR 2011-GC5
N/A
GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A
36191YAE8
100000.00000000
PA
USD
103693.42000000
0.072058954708
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Fixed
0.05209000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV2.0 MAC 03/18/30
N/A
-5960000.00000000
NC
USD
-314641.55000000
-0.21865168687
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2030-03-18
0.00000000
USD
0.00000000
USD
-6128714.45000000
USD
-314641.55000000
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2.5% 03/01/2035#TBA
01F022436
-400000.00000000
PA
USD
-410565.64000000
-0.28531155455
Short
ABS-MBS
USGA
US
N
2
2035-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
301259.98000000
PA
USD
319811.30000000
0.222244265662
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/01/2050 #TBA
21H032639
-17400000.00000000
PA
USD
-18026431.32000000
-12.5269838533
Short
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 4.5% 07/01/2047#G61047
31335BEU6
111959.74400000
PA
USD
123532.90000000
0.085845868002
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/41 #004922
36202FPF7
126215.51900000
PA
USD
136020.90000000
0.094524067896
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 30YR 4% 03/01/2047#FM1187
3140X4J98
843534.66000000
PA
USD
908915.18000000
0.631626170583
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2050 #TBA
01F030637
-6500000.00000000
PA
USD
-6693629.15000000
-4.65155763744
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0047
3140X3BR8
502120.00700000
PA
USD
526380.79000000
0.365794179668
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 2.645 04/14/2022
N/A
2000000.00000000
NC
USD
208288.50000000
0.144744493794
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
2000000.00000000
USD
1.00000000
2.64500000
USD
2022-04-14
XXXX
154808.50000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 10/01/2034#FM1579
3140X4XH4
136594.98400000
PA
USD
144348.93000000
0.100311408467
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
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
98492.13000000
PA
USD
100800.54000000
0.070048625519
Long
ABS-CBDO
CORP
US
N
2
2049-12-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/42 #MA0462
36179MQP8
168291.40700000
PA
USD
178950.18000000
0.124356616993
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.82 10/18/2024
N/A
1800000.00000000
NC
USD
78775.52000000
0.054742929954
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
1800000.00000000
USD
1.00000000
1.82000000
USD
2024-10-18
XXXX
27520.52000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.9 12/10/2024
N/A
-2100000.00000000
NC
USD
-97471.71000000
-0.06773534459
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
-2100000.00000000
USD
1.00000000
1.90000000
USD
2024-12-10
XXXX
-38146.71000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 12/01/2031#SB0093
3132CWC69
3154053.03000000
PA
USD
3249586.46000000
2.258212753922
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
0.02500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.4 02/26/2025
N/A
800000.00000000
NC
USD
25508.81000000
0.017726661773
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
800000.00000000
USD
1.00000000
1.40000000
USD
2025-02-26
XXXX
2968.81000000
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC A 1ML+105 04/15/34 144A
05608BAA8
103000.00000000
PA
USD
102937.78000000
0.071533843003
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.02658500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2286
3140X5RG0
398029.40200000
PA
USD
418007.17000000
0.290482845785
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 1.684 01/27/2025
N/A
-1000000.00000000
NC
USD
-18990.47000000
-0.01319691661
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
-1000000.00000000
USD
1.00000000
1.68400000
USD
2025-01-27
XXXX
9649.53000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
5217.24100000
PA
USD
5559.09000000
0.003863140154
Long
ABS-MBS
USGA
US
N
2
2040-12-20
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
6856.21700000
PA
USD
7286.17000000
0.005063327972
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
0.03500000
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019
N/A
MARLETTE FUNDING TRUST 2019-4A A 2.39% 12/17/2029 144A
57110AAA2
83854.84000000
PA
USD
84435.34000000
0.058676069714
Long
ABS-CBDO
CORP
US
N
2
2029-12-17
Fixed
0.02390000
N
N
N
N
N
N
CNH EQUIP TR 2018-A
N/A
CNH EQUIP TR 2018-A 3.12% 07/17/2023
12652VAC1
137708.08000000
PA
USD
139926.28000000
0.097238006741
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
0.03120000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#MA3333
31418CV35
2110079.39500000
PA
USD
2240657.02000000
1.557084361968
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
43185.54300000
PA
USD
46567.52000000
0.032360846180
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2047#MA4586
36179TCX1
288588.05800000
PA
USD
303799.59000000
0.211117358229
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2044#MA2149
36179QL66
280416.20200000
PA
USD
301149.50000000
0.209275749424
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
78852.01400000
PA
USD
82809.73000000
0.057546395745
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% 12/42#Q13785
3132HQF23
20094.48400000
PA
USD
21442.67000000
0.014901007087
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 2.54 04/05/2022
N/A
5000000.00000000
NC
USD
13697.90000000
0.009518987373
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
5000000.00000000
USD
1.00000000
2.54000000
USD
2022-04-05
XXXX
-123302.10000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0045
3140X3BP2
65191.23800000
PA
USD
68667.02000000
0.047718299619
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 07/01/2033#MA1490
31418AUQ9
148163.00200000
PA
USD
154834.60000000
0.107598142955
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2.5% 03/01/2035#TBA
01F022436
6700000.00000000
PA
USD
6876974.47000000
4.778968538832
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% 03/20/2049#MA5817
36179UPA4
1297935.53500000
PA
USD
1359019.76000000
0.944414248594
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
0.04000000
N
N
N
N
N
N
NATIONSTAR HECM LOAN TRUST
N/A
NATIONSTAR HECM LOAN TRUST 3.5545% 11/25/2028 144A
63863BAA7
55164.64300000
PA
USD
55089.12000000
0.038282703020
Long
ABS-CBDO
CORP
US
N
2
2028-11-25
Fixed
0.03554500
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.905 10/28/2024
N/A
2200000.00000000
NC
USD
32181.67000000
0.022363786448
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
2200000.00000000
USD
1.00000000
1.90500000
USD
2024-10-28
XXXX
-27988.33000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 08/01/2032#MA3090
31418CNG5
684765.52000000
PA
USD
711431.45000000
0.494390161242
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% 06/20/2045#MA2893
36179RGA1
1820498.09200000
PA
USD
1949412.30000000
1.354691673141
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.4025 02/26/2025
N/A
800000.00000000
NC
USD
19718.15000000
0.013702598272
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
800000.00000000
USD
1.00000000
1.40250000
USD
2025-02-26
XXXX
-2841.85000000
N
N
N
BX TR 2018-IND
N/A
BX TR 2018-EXCL A 1ML+108.763 09/15/2037 144A
12433WAA9
1179603.43600000
PA
USD
1178185.08000000
0.818748048986
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.02746127
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2049#FM1449
3140X4TF3
732128.34900000
PA
USD
763949.36000000
0.530886070993
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 3% 12/01/2032#SB0030
3132CWA79
135949.79600000
PA
USD
141328.88000000
0.098212705906
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
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
79402.13000000
PA
USD
83194.69000000
0.057813913348
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Fixed
0.03750000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+110 03/15/2036 144A
74952PAA5
21449.11000000
PA
USD
21455.75000000
0.014910096681
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.02808500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 01/20/2043#AB7786
36178UUK7
88590.98500000
PA
USD
93122.21000000
0.064712776497
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8987
3617M76Y9
24919.71500000
PA
USD
26825.08000000
0.018641368225
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
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
10116.35000000
PA
USD
10136.38000000
0.007044004791
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
0.03350000
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
62999.80900000
PA
USD
65847.48000000
0.045758936092
Long
ABS-CBDO
USGA
US
N
2
2046-02-20
Fixed
0.03000000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE 4.284% 04/15/2036 144A
12690CAA1
100000.00000000
PA
USD
107492.68000000
0.074699148312
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04284000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
653986.82200000
PA
USD
695202.84000000
0.483112524986
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2033#G18684
3128MMXN8
163183.28900000
PA
USD
169303.76000000
0.117653096732
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2048#BM5106
3140J9U82
167758.37300000
PA
USD
182509.92000000
0.126830362612
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 3.5% 05/01/2049#Q63646
3132VQBQ8
743463.26000000
PA
USD
789626.68000000
0.548729834261
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 10/01/2043#G61529
31335BVW3
245913.45300000
PA
USD
258796.49000000
0.179843663672
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
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
1725000.00000000
PA
USD
1720651.79000000
1.195720706332
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
0.03108500
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068
38380LGR8
96248.81000000
PA
USD
102507.10000000
0.071234553515
Long
ABS-CBDO
USGA
US
N
2
2068-08-20
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 08/01/2034#CA4087
3140QBRH3
229570.67100000
PA
USD
244754.70000000
0.170085699188
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
SECURITIZED TERM AUTO RECEIVABLES TRUST 2017-2
N/A
SECURITIZED TERM AUTO RECEIVABLES TRUST 2017-2A A4 2.289% 03/25/2022 144A
81376NAE5
55000.00000000
PA
USD
55298.19000000
0.038427990596
Long
ABS-CBDO
CORP
CA
N
2
2022-03-25
Fixed
0.02289000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM5110
3140J9VC2
125711.20200000
PA
USD
130645.89000000
0.090788849189
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2043#MA1521
36179NVN5
6992.08200000
PA
USD
7430.56000000
0.005163667921
Long
ABS-MBS
USGA
US
N
2
2043-12-20
Fixed
0.03500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV1.75 MAC 03/18/2022
N/A
12682000.00000000
NC
USD
178455.80000000
0.124013060902
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2022-03-18
0.00000000
USD
0.00000000
USD
12715126.76000000
USD
178455.80000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
529512.65300000
PA
USD
566251.72000000
0.393501410648
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 4.5% 12/01/2048#G61821
31335CAW4
156148.35300000
PA
USD
168629.51000000
0.117184544820
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2033#BM5111
3140J9VD0
297590.02400000
PA
USD
312061.59000000
0.216858813027
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2043#MA1375
36179NQ43
8075.27200000
PA
USD
8584.20000000
0.005965359026
Long
ABS-MBS
USGA
US
N
2
2043-10-20
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
4400000.00000000
PA
USD
4516536.64000000
3.138645722941
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.02500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 12/01/2036#BM3680
3140J8CS0
573982.76200000
PA
USD
615790.92000000
0.427927345959
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.78 10/15/24
N/A
3400000.00000000
NC
USD
144531.86000000
0.100438530753
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 3MLV1.78
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-17
0.00000000
USD
0.00000000
USD
3400000.00000000
USD
1.00000000
1.78000000
USD
2024-10-15
XXXX
47036.86000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.4 02/26/2025
N/A
800000.00000000
NC
USD
19759.47000000
0.013731312495
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
800000.00000000
USD
1.00000000
1.40000000
USD
2025-02-26
XXXX
-2780.53000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#BO4757
3140K0JB5
3546917.71200000
PA
USD
3719932.10000000
2.585066812454
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8985
3617M76W3
42951.57500000
PA
USD
45913.52000000
0.031906366461
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.82 10/18/2024
N/A
1800000.00000000
NC
USD
28468.60000000
0.019783488267
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
1800000.00000000
USD
1.00000000
1.82000000
USD
2024-10-18
XXXX
-22786.40000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/20/2048#MA5398
36179T7K5
1958940.85200000
PA
USD
2062611.92000000
1.433356705990
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2047#BM3132
3140J7PS8
1929964.81400000
PA
USD
2057875.55000000
1.430065292983
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 II 3.5% 05/20/2043#784314
3622A2YK2
14429.72600000
PA
USD
15167.77000000
0.010540434016
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2042#MA0535
36179MSY7
173472.04900000
PA
USD
186569.21000000
0.129651257074
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2046#G60440
31335APZ5
2262301.40200000
PA
USD
2437414.62000000
1.693815766785
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BK4845
3140HJL33
106840.83200000
PA
USD
110968.01000000
0.077114235470
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
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
17233.57240000
PA
USD
17268.66000000
0.012000391045
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
0.03760000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 2.645 04/14/22
N/A
2000000.00000000
NC
USD
4723.28000000
0.003282316463
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
2000000.00000000
USD
1.00000000
2.64500000
USD
2022-04-14
XXXX
-48756.72000000
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.287% 11/05/2032 144A
05492PAQ1
600000.00000000
PA
USD
633171.78000000
0.440005707378
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03287000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/42#G07184
3128M9J52
411452.56300000
PA
USD
447667.59000000
0.311094557322
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2019-4
N/A
FLAGSHIP CREDIT AUTO TRUST 2019-4 2.17% 06/17/2024 144A
33845FAA4
181228.05000000
PA
USD
182521.29000000
0.126838263888
Long
ABS-CBDO
CORP
US
N
2
2024-06-17
Fixed
0.02170000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
14515.00900000
PA
USD
15597.29000000
0.010838917394
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2040#004799
36202FKL9
8075.93700000
PA
USD
8612.67000000
0.005985143487
Long
ABS-MBS
USGA
US
N
2
2040-09-20
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
861522.78000000
PA
USD
909270.10000000
0.631872812696
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.83 01/23/25
N/A
-1600000.00000000
NC
USD
-70732.19000000
-0.04915343399
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
-1600000.00000000
USD
1.00000000
1.83000000
USD
2025-01-23
XXXX
-26052.19000000
N
N
N
CITIGROUP COML MTG TR 2017
N/A
CITIGROUP COML MTG TR 2017-P7 3.509% 04/14/2050
17325HBQ6
400000.00000000
PA
USD
429945.72000000
0.298779220171
Long
ABS-MBS
CORP
US
N
2
2050-04-14
Fixed
0.03509000
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
361479.97600000
PA
USD
383287.41000000
0.266355281921
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4% 05/29#BM5499
3140JADD7
169273.28000000
PA
USD
178087.32000000
0.123756995631
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 12
N/A
100000.00000000
NC
USD
809.23000000
0.000562352634
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
0.00000000
USD
38.98000000
USD
100000.00000000
USD
848.21000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2047#MA4383
36179S2Q9
2774328.42400000
PA
USD
2938707.66000000
2.042175889009
Long
ABS-MBS
USGA
US
N
2
2047-04-20
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
-1000000.00000000
PA
USD
-1032178.70000000
-0.71728484019
Short
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 08/01/2048#G08836
3128MJ4W7
65559.97500000
PA
USD
69261.16000000
0.048131181240
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
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 3.422% 02/25/2029
3137FLMV3
300000.00000000
PA
USD
341442.63000000
0.237276376945
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
0.03422000
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
179000.00000000
PA
USD
188559.76000000
0.131034536286
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03170000
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
155824.64000000
PA
USD
155735.20000000
0.108223990715
Long
ABS-CBDO
CORP
GB
N
2
2054-10-15
Variable
0.02251250
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/20/2045#MA3311
36179RVC0
41685.44800000
PA
USD
44533.09000000
0.030947073742
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/01/2047#G08793
3128MJ3B4
5315265.70700000
PA
USD
5660186.59000000
3.933394511719
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
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 3.854% 06/25/2028
3137FGR31
1200000.00000000
PA
USD
1394567.04000000
0.969116875237
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
0.03854000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/46#BC2843
3140EXER0
112546.49400000
PA
USD
122887.58000000
0.085397420216
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
FORD CR AUTO OWNER TR 2019-REV1
N/A
FORD CR AUTO OWNER TR 2019-1 A 3.52% 07/15/2030 144A
34532PAA8
100000.00000000
PA
USD
107685.72000000
0.074833296270
Long
ABS-CBDO
CORP
US
N
2
2030-07-15
Fixed
0.03520000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/48#BK3801
3140HHGK5
76734.20800000
PA
USD
82994.85000000
0.057675039912
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2047#CA0854
3140Q75Q6
4098490.84000000
PA
USD
4370123.24000000
3.036899666544
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2048#Q57433
3132Y1HK7
662994.36100000
PA
USD
701045.26000000
0.487172557707
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 20YR 4% 05/01/2038#C91994
3128P8GB1
1180213.98500000
PA
USD
1259336.59000000
0.875142109319
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.89 12/09/24
N/A
-2100000.00000000
NC
USD
-32064.59000000
-0.02228242484
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 3MLV1.89
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-11
0.00000000
USD
0.00000000
USD
-2100000.00000000
USD
1.00000000
1.89000000
USD
2024-12-09
XXXX
27785.41000000
N
N
N
FIDELITY REVERE STREET TRUST
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
5674414.08600000
NS
USD
5675548.97000000
3.944070184723
Long
STIV
RF
US
N
1
N
N
N
PERMANENT MASTER ISSUER PLC
213800MVYG7MLQM2LF25
PERMANENT MASTER ISSUER PLC 3ML+38 07/15/2058 144A
71419GAX8
1425000.00000000
PA
USD
1425052.73000000
0.990302085976
Long
ABS-CBDO
CORP
GB
N
2
2058-07-15
Variable
0.02211250
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 01/20/2050#MA6408
36179VDM9
149660.67000000
PA
USD
153684.96000000
0.106799231542
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 02/20/2050#BS8922
3617MK4F3
499061.00000000
PA
USD
521970.64000000
0.362729464481
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 1.57125 09/05/2024
N/A
600000.00000000
NC
USD
21681.25000000
0.015066801844
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 9/29 3MLV1.57125
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-09
0.00000000
USD
0.00000000
USD
600000.00000000
USD
1.00000000
1.57125000
USD
2024-09-05
XXXX
4450.00000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2048#BM3471
3140J72D6
2027745.20100000
PA
USD
2162136.45000000
1.502518602662
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.03500000
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
1200000.00000000
PA
USD
1200920.28000000
0.834547265051
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% 05/01/2045#G61807
31335CAG9
39057.51500000
PA
USD
42592.90000000
0.029598790858
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.89 12/09/2024
N/A
-2100000.00000000
NC
USD
-96803.05000000
-0.06727067730
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 1.89V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-11
0.00000000
USD
0.00000000
USD
-2100000.00000000
USD
1.00000000
1.89000000
USD
2024-12-09
XXXX
-36953.05000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 8/42 #MA0318
36179MK74
2236894.24700000
PA
USD
2379966.45000000
1.653893705385
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90684
3132J2XM0
43492.85900000
PA
USD
45471.80000000
0.031599405022
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 15YR 2.5% 10/01/2031#AS8010
3138WH3U4
34882.42200000
PA
USD
36146.09000000
0.025118753554
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
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
100000.00000000
PA
USD
100192.25000000
0.069625910736
Long
ABS-CBDO
CORP
US
N
2
2023-09-25
Variable
0.02256750
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 12
N/A
1100000.00000000
NC
USD
8901.53000000
0.006185878979
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
15.32000000
USD
0.00000000
USD
1100000.00000000
USD
8886.21000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.785 10/24/24
N/A
2100000.00000000
NC
USD
34433.93000000
0.023928933989
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
2100000.00000000
USD
1.00000000
1.78500000
USD
2024-10-24
XXXX
-23893.57000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 06/01/2033#AT6090
3138WTXU5
30091.40400000
PA
USD
31446.38000000
0.021852816429
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 15YR 3% 11/32#BJ6650
3140H8L86
69999.97900000
PA
USD
72704.02000000
0.050523704245
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT JUN20 TUM0
N/A
-49.00000000
NC
USD
-80563.45000000
-0.05598540384
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
-10617514.68000000
USD
-80563.45000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/01/2050 #TBA
21H032647
6800000.00000000
PA
USD
7038968.32000000
4.891541810117
Long
ABS-MBS
USGA
US
N
2
2050-04-01
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
27000.00000000
PA
USD
27090.92000000
0.018826106586
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
0.02200000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 2.767 02/01/22
N/A
400000.00000000
NC
USD
45189.82000000
0.031403450601
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 2/3/29 3MLV2.767
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-02-03
0.00000000
USD
0.00000000
USD
400000.00000000
USD
1.00000000
2.76700000
USD
2022-02-01
XXXX
32809.82000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG3507
3617GM3Q3
74435.99500000
PA
USD
79288.30000000
0.055099272630
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/49#CA4861
3140QCMK9
940681.72200000
PA
USD
999498.98000000
0.694574947290
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 30YR 4% 10/01/2046#BC4754
3140F0H80
102456.31400000
PA
USD
111870.29000000
0.077741250701
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 15YR 2.5% 12/01/2034#
3132D54D1
703002.02000000
PA
USD
721659.06000000
0.501497563870
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2043#MA1285
36179NNA2
8133.59100000
PA
USD
8646.19000000
0.006008437310
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2048#Q59935
3132Y4BD3
67571.87700000
PA
USD
73202.64000000
0.050870206810
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 20YR 3% 06/01/2033#K90632
3132J2VZ3
79005.41200000
PA
USD
82575.50000000
0.057383623903
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 2.1675 06/20/2024
N/A
-3600000.00000000
NC
USD
-36994.90000000
-0.02570861124
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 6/29 3MLV2.1675
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-06-24
0.00000000
USD
0.00000000
USD
-3600000.00000000
USD
1.00000000
2.16750000
USD
2024-06-20
XXXX
64435.10000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2518
3140X5YQ0
400285.00000000
PA
USD
414535.79000000
0.288070503572
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
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 3.9% 09/25/2051
3137FJEH8
300000.00000000
PA
USD
350980.56000000
0.243904504996
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Fixed
0.03900000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.785 10/24/24
N/A
2100000.00000000
NC
USD
89584.28000000
0.062254187151
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
2100000.00000000
USD
1.00000000
1.78500000
USD
2024-10-24
XXXX
31256.78000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2048#G67716
3132XCSD8
978767.39900000
PA
USD
1079023.91000000
0.749838659578
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2043#MA0783
36179M2Q2
7365.41300000
PA
USD
7829.60000000
0.005440970042
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2049#FM1338
3140X4PY6
4304907.01600000
PA
USD
4648205.27000000
3.230145297800
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2049#FM1277
3140X4M37
390249.21600000
PA
USD
416716.03000000
0.289585602750
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 1.57125 09/05/24
N/A
600000.00000000
NC
USD
11729.40000000
0.008151031216
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 9/29 1.57125V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-09
0.00000000
USD
0.00000000
USD
600000.00000000
USD
1.00000000
1.57125000
USD
2024-09-05
XXXX
-5501.85000000
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033
3136ADB57
229050.06700000
PA
USD
230086.45000000
0.159892393167
Long
ABS-CBDO
USGSE
US
N
2
2033-05-25
Fixed
0.01850000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2049#MA6219
36179U4C3
987941.27000000
PA
USD
1026354.50000000
0.713237468975
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/47#BH1302
3140GPNU8
126455.50500000
PA
USD
136772.85000000
0.095046615334
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/49#CA4558
3140QCB47
790253.87900000
PA
USD
835961.14000000
0.580928721660
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 10/01/2033#BM5832
3140JAPS1
341720.07000000
PA
USD
354386.51000000
0.246271378389
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.67 02/07/2025
N/A
1900000.00000000
NC
USD
36721.87000000
0.025518876387
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 02/11/30 1.67V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-11
0.00000000
USD
0.00000000
USD
1900000.00000000
USD
1.00000000
1.67000000
USD
2025-02-07
XXXX
-16668.13000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 10/01/2049#QA3257
31339STN5
324721.67800000
PA
USD
339343.51000000
0.235817649930
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 II 3.5% 08/20/2042#783646
3622A2BP6
92842.03100000
PA
USD
98780.23000000
0.068644665395
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 04/01/2035#G30917
3132J4G37
92710.44000000
PA
USD
96899.83000000
0.067337931965
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2044#MA1600
36179NX52
14364.00800000
PA
USD
15264.78000000
0.010607848508
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03500000
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
225064.85000000
PA
USD
225879.94000000
0.156969192124
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 15YR 2.5% 06/01/2031#J34501
31307RAA3
26341.59400000
PA
USD
27306.71000000
0.018976064046
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP B 1ML+165 03/15/2036 144A
74952PAG2
100000.00000000
PA
USD
100093.49000000
0.069557280129
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 15YR 3% 03/01/2033#MA3312
31418CVE1
81279.37000000
PA
USD
84292.13000000
0.058576549774
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 15YR 3% 12/01/2034#FM0046
3140X3BQ0
227094.34600000
PA
USD
238492.60000000
0.165734021133
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2049#CA4406
3140QB3Q9
607948.30200000
PA
USD
638933.18000000
0.444009437428
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
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
140000.00000000
PA
USD
139934.38000000
0.097243635618
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.02778500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/20/2050#MA6541
36179VHS2
700000.00000000
PA
USD
724915.10000000
0.503760261338
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 3.5% 11/01/2049#CA4557
3140QCB39
296582.86000000
PA
USD
315034.38000000
0.218924673522
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2050#BK0534
3140HDSY1
1394658.30200000
PA
USD
1443075.68000000
1.002826650580
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2042 #MA0625
36179MVS6
7490.78200000
PA
USD
7965.21000000
0.005535208566
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BM4980
3140J9RA1
968357.18100000
PA
USD
1049986.79000000
0.729660093619
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
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
50000.00000000
PA
USD
57401.22000000
0.039889434760
Long
ABS-CBDO
CORP
US
N
2
2030-11-15
Fixed
0.04060000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.9 12/10/2024
N/A
-2100000.00000000
NC
USD
-31764.60000000
-0.02207395486
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
-2100000.00000000
USD
1.00000000
1.90000000
USD
2024-12-10
XXXX
27560.40000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.4025 02/26/2025
N/A
800000.00000000
NC
USD
25561.32000000
0.017763152186
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
800000.00000000
USD
1.00000000
1.40250000
USD
2025-02-26
XXXX
3001.32000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2049#BN2228
3140JJPN3
482544.14000000
PA
USD
516048.77000000
0.358614220118
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
0.04500000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+215 03/15/2036 144A
74952PAJ6
100000.00000000
PA
USD
100220.38000000
0.069645458923
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.03758500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#BC0791
3140EU2Z1
1402276.30800000
PA
USD
1493899.22000000
1.038145103447
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
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
100000.00000000
PA
USD
105845.04000000
0.073554165186
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03112000
N
N
N
N
N
N
2020-03-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer