0001752724-21-225986.txt : 20211026
0001752724-21-225986.hdr.sgml : 20211026
20211026093132
ACCESSION NUMBER: 0001752724-21-225986
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210831
FILED AS OF DATE: 20211026
PERIOD START: 20210831
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: 211346455
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
C000014045
C000014046
C000014129
C000014042
C000204997
C000014044
Fidelity Advisor Series II
811-04707
0000795422
EIVUM2R16VT371T5KS40
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Advisor Mortgage Securities Fund
S000005133
WIIX6BNCF8B12FQGCD90
2021-08-31
2021-08-31
N
2829234711.07
1600105270.18
1229129440.89
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
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0.00000000
0.00000000
49.38000000
USD
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/51#BT1461
3140LPTT9
270286.42000000
PA
USD
275881.21000000
0.022445252779
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2046#AS9175
36193VFQ0
73279.92810000
PA
USD
79293.51000000
0.006451192800
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3% 06/01/2033#K90632
3132J2VZ3
141520.12370000
PA
USD
150824.18000000
0.012270813388
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 4.50% 6/40 #745127
3620C0YY8
66613.44040000
PA
USD
75701.19000000
0.006158927406
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2032#J36710
31307TN31
15484.21570000
PA
USD
16518.15000000
0.001343890191
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 03/20/2047#784299
3622A2X49
131406.89900000
PA
USD
141034.78000000
0.011474363505
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 2/42 #005304
36202F3M6
13049.28600000
PA
USD
14148.70000000
0.001151115539
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
0.03500000
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
951308.67000000
0.077396947656
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04247500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9019
3138EEAV1
144952.36530000
PA
USD
158941.75000000
0.012931245864
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/27 #437435
36207N4U5
513.24660000
PA
USD
571.00000000
0.000046455644
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479607
36209RYC1
125591.97950000
PA
USD
138489.86000000
0.011267312895
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
GOVERNMENT NAT MTG AS REMIC PT 1ML+50 08/20/2049
38381YCS1
658859.73900000
PA
USD
667065.05000000
0.054271342611
Long
ABS-CBDO
USGA
US
N
2
2049-08-20
Variable
0.00588380
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.182% 6/37 #848188
31300LCZ6
161994.56570000
PA
USD
170671.95000000
0.013885596123
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Variable
0.02255000
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
546918.70000000
0.044496428269
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03112000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 01/01/2024#
313987P94
3757.47300000
PA
USD
3965.78000000
0.000322649500
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 7.50% 5/32 #626296
31389HXZ6
33728.66610000
PA
USD
37475.32000000
0.003048931931
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005203
36202FX84
1295803.67050000
PA
USD
1416255.36000000
0.115224264661
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18136
3132J9PW2
16930.00830000
PA
USD
18583.56000000
0.001511928636
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 30YR 3% 09/01/2049#CA4142
3140QBS82
3065889.54600000
PA
USD
3242107.99000000
0.263772706286
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 30YR 2.5% 01/01/2051#FM7062
3140XAZ47
9315055.03300000
PA
USD
9700310.81000000
0.789201729882
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2042#Q12164
3132HNMM8
22420.59110000
PA
USD
24582.38000000
0.001999983010
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+215 03/15/2036 144A
74952PAJ6
329270.65000000
PA
USD
328458.80000000
0.026722881176
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.02196000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
550744.40480000
PA
USD
607304.04000000
0.049409282683
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 4.00% 11/40 #004853
36202FMA1
629223.53330000
PA
USD
688919.67000000
0.056049399443
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.87% 1/35 #735833
31402RPS2
17172.33040000
PA
USD
17987.78000000
0.001463456931
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.02016000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 8/23 #988915
31415TSC5
2513.27500000
PA
USD
2599.27000000
0.000211472438
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP7148
3138MA5J3
64265.40990000
PA
USD
69592.99000000
0.005661974051
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2047#ZM3411
3131XWYG2
382694.74100000
PA
USD
412811.94000000
0.033585717359
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
GS MTG SECS TR 2015-GC34
54930070360RBP384M53
GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048
36250VAF9
8138334.52400000
PA
USD
337222.47000000
0.027435879312
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
0.01374820
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR9310
36193GKX2
23352.56950000
PA
USD
25268.95000000
0.002055841244
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 4% 03/01/2048#BJ4970
3140H6QY8
336456.58990000
PA
USD
361331.53000000
0.029397353767
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 15YR 3% 06/01/2028#MA1481
31418AUF3
90999.58110000
PA
USD
95332.47000000
0.007756096862
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1ML+ 02/15/2036
31396HLM9
38095.40680000
PA
USD
7512.31000000
0.000611189493
Long
ABS-CBDO
USGSE
US
N
2
2036-02-15
Variable
0.06504500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2048#890877
31410LXE7
38194.17300000
PA
USD
40617.46000000
0.003304571402
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #757631
36230SPQ1
14970.57990000
PA
USD
16546.00000000
0.001346156023
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2044#MA2304
36179QRZ6
730327.46860000
PA
USD
795476.48000000
0.064718690606
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 11/01/2033#G16677
3128MFUA4
1380200.57390000
PA
USD
1486810.03000000
0.120964479454
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2050#SD7514
3132DVK38
11345640.60200000
PA
USD
12191348.06000000
0.991868525350
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745236
3620C04V7
209016.07580000
PA
USD
237531.11000000
0.019325150150
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 3.5% 02/15/2043#796369
36177RCF6
877962.52180000
PA
USD
951020.94000000
0.077373538405
Long
ABS-MBS
USGA
US
N
2
2043-02-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 11/01/2050#SD7530
3132DVLK9
11608117.43000000
PA
USD
12121220.60000000
0.986163067676
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 4/42 #G06973
3128M9CJ9
1743346.73080000
PA
USD
1911984.84000000
0.155556020089
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% 09/01/2051 #TBA
21H040699
18300000.00000000
PA
USD
19386939.48000000
1.577290302798
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7% 2/32 #003202
36202DRX1
28696.75750000
PA
USD
33246.15000000
0.002704853442
Long
ABS-MBS
USGA
US
N
2
2032-02-20
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 6.50% 9/21 #G12388
3128M1RH4
276.88320000
PA
USD
276.85000000
0.000022524071
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.39% 12/36 #1J1448
3128NHTD5
59167.92900000
PA
USD
62780.63000000
0.005107731367
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
0.02575000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8228
3138EDEA5
316497.53950000
PA
USD
347042.78000000
0.028234843984
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 05/01/2038#G31067
3132J4MR7
394390.25100000
PA
USD
422499.08000000
0.034373847533
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/39 #004540
36202FBH8
10859.05100000
PA
USD
12064.89000000
0.000981580100
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #751249
36230KL66
11153.84100000
PA
USD
12300.61000000
0.001000757901
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
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
10155130.30360000
PA
USD
441781.68000000
0.035942648943
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
0.01101839
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2049#MA5817
36179UPA4
524138.43800000
PA
USD
555784.40000000
0.045217727402
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/20/2051#MA7255
36179WBY3
26884414.52800000
PA
USD
27902223.51000000
2.270080154438
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2048#CA2432
3140Q9V26
3200757.10000000
PA
USD
3536266.22000000
0.287704948100
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 9/36 #C02621
31292J4E7
21229.48340000
PA
USD
25095.22000000
0.002041706850
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.07000000
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
121923.58870000
PA
USD
23174.69000000
0.001885455610
Long
ABS-CBDO
USGA
US
N
2
2034-05-16
Variable
0.06404500
N
N
N
N
N
N
CSMC SER 2015-1R
N/A
CSMC SER 2015-1R 1ML+28 05/27/2037 144A
12649MBC6
759044.03020000
PA
USD
745991.28000000
0.060692654099
Long
ABS-CBDO
CORP
US
N
2
2037-05-27
Variable
0.00381560
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 3/42 #005331
36202F4Q6
47834.24120000
PA
USD
51864.30000000
0.004219596266
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/01/2051 #TBA
21H032696
15200000.00000000
PA
USD
15994437.12000000
1.301281751775
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 11/27 #780834
36225A4T4
5902.65490000
PA
USD
6665.31000000
0.000542278931
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.08500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 03/15/2043#AD0818
36180B4B4
453904.91850000
PA
USD
491675.98000000
0.040001969169
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 30YR 4.0% 03/15/2041#763058
36176DQK2
204444.55050000
PA
USD
224806.98000000
0.018289935341
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 2/42 #Q06088
3132GRCZ2
68708.89480000
PA
USD
75355.27000000
0.006130783910
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2017-30 AI 5.5% 05/47
3136AWQD2
381903.38390000
PA
USD
74191.57000000
0.006036107144
Long
ABS-CBDO
USGSE
US
N
2
2047-05-25
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.5% 06/15/2041#366975
36204DT82
957002.22280000
PA
USD
1087262.28000000
0.088457915320
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #698329
36296QY29
7843.60210000
PA
USD
8867.76000000
0.000721466731
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
1000000.00000000
NC
USD
-1958.30000000
-0.00015932414
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
0.00000000
USD
2329.24000000
USD
1000000.00000000
USD
370.94000000
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
141665.09000000
0.011525644516
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
0.01294783
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC
549300P6OXWKM20QS303
SILVERSTONE MASTER ISSUER PLC STEP 01/21/2070 144A
82846GAV2
861300.02000000
PA
USD
861739.28000000
0.070109725740
Long
ABS-CBDO
CORP
GB
N
2
2070-01-21
Variable
0.00704250
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2043#AC9441
36179KP24
60322.42590000
PA
USD
66479.64000000
0.005408676888
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 09/46#Q43257
3132WGTP2
93586.60610000
PA
USD
101081.11000000
0.008223796993
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 4.0% 08/15/43#AF5070
36181LT32
13057.85120000
PA
USD
14386.61000000
0.001170471515
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-135 ZA 4.5% 12/40
31398SE82
59317.10330000
PA
USD
66300.03000000
0.005394064107
Long
ABS-CBDO
USGSE
US
N
2
2040-12-25
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2041#AI7563
3138AMMM4
18079.30670000
PA
USD
20167.92000000
0.001640829625
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 7.00% 9/28 #481326
36209TVT3
2117.04820000
PA
USD
2371.38000000
0.000192931673
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 8.00% 3/37 #922475
31412D2G2
10849.38210000
PA
USD
13173.23000000
0.001071752865
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 02/01/2043#Q15789
3132J62X1
98720.88000000
PA
USD
105958.97000000
0.008620651859
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 II 3.5% 05/20/2046#AT0228
36193XHD3
19222.30130000
PA
USD
20799.74000000
0.001692233487
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% 12/47#MA4901
36179TNS0
173549.06600000
PA
USD
185695.14000000
0.015107858767
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2050#CA5555
3140QDE59
3262825.74400000
PA
USD
3513939.99000000
0.285888521835
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.25% 6/36 #886983
31410EM88
3510.15590000
PA
USD
3690.07000000
0.000300218176
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.01803000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21524
3132JNVR5
20937.70650000
PA
USD
22936.89000000
0.001866108583
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2044#Q24349
3132M4QA6
27671.49500000
PA
USD
30313.64000000
0.002466269132
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 8/
N/A
2270000.00000000
NC
USD
-12248.47000000
-0.00099651587
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
30812.47000000
USD
0.00000000
USD
2270000.00000000
USD
-43060.94000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP6486
3138MAF45
20183.36990000
PA
USD
21856.57000000
0.001778215481
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 3/40 #678658
36295R5T1
53136.60600000
PA
USD
58774.64000000
0.004781810446
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 02/51#CA8950
3140QG5L7
4901886.93000000
PA
USD
5113812.17000000
0.416051556481
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#QC0031
3133AJA86
35384.27100000
PA
USD
34891.73000000
0.002838735192
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.34% 5/36 #872506
31409JKT6
61154.34560000
PA
USD
64273.66000000
0.005229201893
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.01896000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/27 #250990
31371FXT4
33.31730000
PA
USD
37.32000000
0.000003036295
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 4/42 #Q07441
3132GSS67
46682.10160000
PA
USD
51197.77000000
0.004165368454
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 10/01/2049#RA1544
3133KGWD6
769566.97600000
PA
USD
813703.80000000
0.066201636127
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03500000
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
15381325.24210000
PA
USD
724438.89000000
0.058939186215
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.01028873
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034
3137BGB32
399468.66530000
PA
USD
30371.60000000
0.002470984665
Long
ABS-CBDO
USGSE
US
N
2
2034-02-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2046#BM5199
3140J9X55
617926.62920000
PA
USD
689312.54000000
0.056081362716
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 3% 02/01/2050#CA5122
3140QCVQ6
1845035.31500000
PA
USD
1951947.55000000
0.158807322082
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 5.00% 7/40 #743101
3620AXRW0
7369.38510000
PA
USD
8405.21000000
0.000683834405
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3415 PC 5% 12/37
31397R3R5
41388.88180000
PA
USD
46275.35000000
0.003764888258
Long
ABS-CBDO
USGSE
US
N
2
2037-12-15
Fixed
0.05000000
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
118386.86230000
PA
USD
117539.57000000
0.009562830902
Long
ABS-CBDO
CORP
US
N
2
2033-09-25
Variable
0.02400207
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 2/41 #A96807
312945R42
611578.84390000
PA
USD
671413.15000000
0.054625097053
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
BFLD TR 2020 -OBRK
N/A
BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A
05553JAA6
550000.00000000
PA
USD
556004.57000000
0.045235640080
Long
ABS-MBS
CORP
US
N
2
2028-11-15
Variable
0.02146000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#796180
36177Q2N2
17413.08230000
PA
USD
19201.35000000
0.001562191040
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 8/26 #C90997
3128P7DA8
31111.91470000
PA
USD
34413.48000000
0.002799825539
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+23 04/25/2031
3137H0H92
6200000.00000000
PA
USD
6200000.00000000
0.504422056273
Long
ABS-MBS
USGSE
US
N
2
2031-04-25
Variable
0.00280000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.5% 07/32#BM3929
3140J8LK7
1201192.27040000
PA
USD
1286506.59000000
0.104668112828
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #487563
36210BTU9
15750.45530000
PA
USD
18248.99000000
0.001484708558
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2041#AH5464
3138A7CA4
39421.28670000
PA
USD
43975.43000000
0.003577770455
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% 02/01/2050#FM2439
3140X5V91
4580453.96000000
PA
USD
4874500.32000000
0.396581528180
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 09/20/2046#MA3939
36179SLU9
4844.80000000
PA
USD
5402.07000000
0.000439503751
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 20YR 6.50% 8/27 #928600
31412LUZ1
67664.28340000
PA
USD
75311.94000000
0.006127258651
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 9/39 #710868
36297FW57
201592.56420000
PA
USD
233179.42000000
0.018971103631
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 6.50% 2/27 #D97196
3128E37H1
7829.62630000
PA
USD
8577.69000000
0.000697867101
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 4.00% 9/40 #737442
3620ARHT1
12635.19020000
PA
USD
13934.26000000
0.001133669045
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
NATIONSTAR HECM LOAN TRUST 2020-1
N/A
NATIONSTAR HECM LOAN TRUST 2020-1 1.2686% 09/25/2030 144A
63862XAA0
985440.79000000
PA
USD
984919.49000000
0.080131470066
Long
ABS-CBDO
CORP
US
N
2
2030-09-25
Fixed
0.01268600
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/48#BM5673
3140JAJT6
34460.08500000
PA
USD
36493.00000000
0.002969011951
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
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 1ML+ 05/25/2037
31396VYS1
32415.67960000
PA
USD
7136.78000000
0.000580636974
Long
ABS-CBDO
USGSE
US
N
2
2037-05-25
Variable
0.06355620
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2042#794559
36177PB53
26565.52490000
PA
USD
29293.72000000
0.002383290077
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2045#BA0270
3140E4JQ1
113826.82100000
PA
USD
124100.85000000
0.010096646119
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13425
3132HPYW8
98663.19510000
PA
USD
108145.46000000
0.008798541179
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 30YR 4.0% 03/15/2042#773367
36176Q6C3
41240.91330000
PA
USD
45476.22000000
0.003699872323
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2039#
312938BB8
27059.75190000
PA
USD
29874.34000000
0.002430528389
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2048#G67713
3132XCSA4
1198962.72800000
PA
USD
1309602.17000000
0.106547132176
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 4.5% 09/01/2049#FM1534
3140X4V45
1434043.29000000
PA
USD
1576855.93000000
0.128290469460
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/24 #371049
36204JEW2
70.62490000
PA
USD
72.82000000
0.000005924518
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
0.07500000
N
N
N
N
N
N
RMF BUYOUT ISSUANCE TRUST 2020-2
N/A
RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A
76971EAA2
1399766.29000000
PA
USD
1419078.59000000
0.115453958126
Long
ABS-CBDO
CORP
US
N
2
2050-10-25
Fixed
0.01718800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2047#BJ0197
3140H1GF1
24735.74580000
PA
USD
26968.40000000
0.002194105771
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/41 #005055
36202FTL0
464588.15960000
PA
USD
518026.81000000
0.042145830436
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 3/42 #Q07242
3132GSLX5
160936.12960000
PA
USD
176503.87000000
0.014360071781
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 7.50% 6/32 #254383
31371KRC7
3072.24220000
PA
USD
3631.47000000
0.000295450574
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96766
312945QT8
47321.71530000
PA
USD
52801.40000000
0.004295837219
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 15YR 3.0% 08/01/2028#MA1557
31418AWT1
103515.17640000
PA
USD
108522.58000000
0.008829223057
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS6967
36193SW47
49984.44820000
PA
USD
54086.33000000
0.004400377063
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 8.00% 6/25 #407541
36206CWA3
508.67750000
PA
USD
556.05000000
0.000045239336
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2042#C04320
31292LYR0
781394.41280000
PA
USD
838685.24000000
0.068234086020
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
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
89445.65830000
PA
USD
4971.78000000
0.000404496046
Long
ABS-CBDO
USGSE
US
N
2
2027-07-25
Fixed
0.04500000
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
132545.61780000
PA
USD
137864.06000000
0.011216398811
Long
ABS-CBDO
USGA
US
N
2
2046-11-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 04/01/2032#
31287SCS4
3696.06740000
PA
USD
4302.36000000
0.000350033109
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A97152
3129455M6
56050.67860000
PA
USD
62541.15000000
0.005088247658
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% 1/29 #499333
36210QV25
271.65450000
PA
USD
305.57000000
0.000024860685
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 8.00% 12/21 #316843
36223S5C3
30.97740000
PA
USD
31.05000000
0.000002526178
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
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 11/28 #C00680
31292GXH4
5735.48020000
PA
USD
6406.29000000
0.000521205479
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/28 #433997
36207KDA5
51.80450000
PA
USD
51.92000000
0.000004224127
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21255
3132JNMC8
56211.49320000
PA
USD
61596.27000000
0.005011373737
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 4.0% 07/20/2044#MA2074
36179QJT9
225609.93910000
PA
USD
246088.03000000
0.020021327438
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 1/22 #323924
36224BYV5
226.35310000
PA
USD
228.08000000
0.000018556222
Long
ABS-MBS
USGA
US
N
2
2022-01-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 06/01/2027#
31292GSM9
3322.14530000
PA
USD
3727.91000000
0.000303296778
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #462554
36208VZT5
1489.38290000
PA
USD
1655.33000000
0.000134674993
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 7.50% 5/29 #486378
36210AJX6
2011.24070000
PA
USD
2299.45000000
0.000187079564
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 10/01/2051 #TBA
01F0326A7
12550000.00000000
PA
USD
13282899.92000000
1.080675434019
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2041#A97673
312946Q25
35669.90310000
PA
USD
39800.35000000
0.003238092643
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 30YR 4% 12/15/2041#792596
36177L3E2
3811.87110000
PA
USD
4236.69000000
0.000344690303
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 3.50% 8/42 #MA0318
36179MK74
141615.82990000
PA
USD
153458.54000000
0.012485140693
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03500000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP
N/A
GSAMP 2004-AR1 B4 STEP 6/34
36228F6Y7
21218.86590000
PA
USD
19802.11000000
0.001611067910
Long
ABS-CBDO
CORP
US
N
3
2034-06-25
Variable
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0206
3138MFGQ4
42657.34520000
PA
USD
46193.63000000
0.003758239650
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
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 2013-124 ES -1ML+866.667 04/20/2039
38378WVW0
23702.49820000
PA
USD
24466.88000000
0.001990586116
Long
ABS-CBDO
USGA
US
N
2
2039-04-20
Variable
0.08548830
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/29 #510100
36211DUZ1
71.62170000
PA
USD
81.12000000
0.000006599793
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
1408995.95300000
PA
USD
1525494.70000000
0.124111802162
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AB9858
31417G5U6
1926885.13170000
PA
USD
2062626.29000000
0.167811966858
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2844 SC -1ML+4680 8/24
31395EWW3
74.04730000
PA
USD
81.43000000
0.000006625014
Long
ABS-CBDO
USGSE
US
N
2
2024-08-15
Variable
0.46179250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 3/26 #D96943
3128E3WC4
16182.34270000
PA
USD
17802.19000000
0.001448357626
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 7.50% 11/29 #509256
36211CWR9
2289.45990000
PA
USD
2659.56000000
0.000216377536
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
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
1196461.35000000
0.097342176519
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 02/01/2032#
31287PHP1
252778.68530000
PA
USD
297506.76000000
0.024204672844
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
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036
31397CDM8
398006.27940000
PA
USD
452503.61000000
0.036814967972
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
1090886.87990000
PA
USD
1151818.80000000
0.093710130250
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 3.50% 11/42 #AQ0170
3138MFFL6
52323.81900000
PA
USD
56661.45000000
0.004609884696
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2034#SB0179
3132CWFU3
2324919.86300000
PA
USD
2449693.43000000
0.199303128580
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/28 #475419
36209MDY7
3266.61690000
PA
USD
3711.04000000
0.000301924262
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031
3137AQ6B9
188037.77150000
PA
USD
8189.68000000
0.000666299229
Long
ABS-CBDO
USGSE
US
N
2
2031-05-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/28 #780977
36225BCN6
5991.10730000
PA
USD
6685.62000000
0.000543931320
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/30 #535486
31384V2T8
313.55870000
PA
USD
366.17000000
0.000029791003
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/28 #465701
36209AKN9
3152.13580000
PA
USD
3471.74000000
0.000282455198
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q17646
3132J85G1
932034.18340000
PA
USD
1009002.41000000
0.082090817812
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 30YR 4% 10/15/2041#775540
36176TLV8
43708.04620000
PA
USD
48196.72000000
0.003921207840
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 5.00% 11/39 #704775
36296X6L3
89817.71930000
PA
USD
102262.86000000
0.008319942277
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.05000000
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
64386.46630000
PA
USD
64635.44000000
0.005258635734
Long
ABS-CBDO
USGA
US
N
2
2061-04-20
Variable
0.00602880
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #335508
36224QU95
226.90050000
PA
USD
231.83000000
0.000018861316
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 30YR 3.0% 06/15/2042#794507
36177PAH8
151382.04650000
PA
USD
161529.09000000
0.013141747697
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2043#AD5682
36180HJ33
25704.60580000
PA
USD
28336.35000000
0.002305399989
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #489861
36210EFA2
10342.30440000
PA
USD
11404.42000000
0.000927845320
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NATL MTG ASSN 1ML+40 03/20/2050
38382DRU5
1850220.56700000
PA
USD
1864475.78000000
0.151690759164
Long
ABS-CBDO
USGA
US
N
2
2050-03-20
Variable
0.00488380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2040#A95150
312943WK5
1693670.81770000
PA
USD
1860227.42000000
0.151345119408
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2048#G67710
3132XCR72
623336.95750000
PA
USD
670088.97000000
0.054517363892
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #733812
3620AMGV8
38573.36850000
PA
USD
41807.31000000
0.003401375689
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 2.90% 5/34 #781630
31349SY31
1733.93490000
PA
USD
1827.79000000
0.000148706062
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
0.02356000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2044#V80950
3132L6BT7
69916.40560000
PA
USD
76592.19000000
0.006231417737
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 30YR 3.5% 06/01/2042#AB5379
31417B6R3
64892.37900000
PA
USD
70271.94000000
0.005717212334
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/45#C09071
31292SCG3
2963.79900000
PA
USD
3219.93000000
0.000261968340
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #468965
36209D6A7
31706.51270000
PA
USD
35628.14000000
0.002898648329
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #733726
3620AMD74
785120.80870000
PA
USD
901854.93000000
0.073373470685
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-67 AI IO 4% 7/26
31397U4B2
28196.22400000
PA
USD
1273.87000000
0.000103640020
Long
ABS-CBDO
USGSE
US
N
2
2026-07-25
Fixed
0.04000000
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
329034.68870000
PA
USD
348644.53000000
0.028365159795
Long
ABS-CBDO
USGA
US
N
2
2046-02-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 10/01/2050#SD0450
3132DMQB4
3430332.97900000
PA
USD
3575957.82000000
0.290934193018
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.0% 11/15/2021
3137AJAX2
5533.02840000
PA
USD
10.24000000
0.000000833109
Long
ABS-CBDO
USGSE
US
N
2
2021-11-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2028#MA1358
31418AQL5
85530.53420000
PA
USD
89435.24000000
0.007276307687
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 05/20/2041#783578
36241L6P6
3383.22400000
PA
USD
3772.37000000
0.000306913972
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 07/51#QC4163
3133ANTU8
352783.89000000
PA
USD
360086.34000000
0.029296047106
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.869% 5/36 #995608
31416CAH9
5798.48080000
PA
USD
6114.56000000
0.000497470794
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.01988000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #451439
36208HPY6
202.31800000
PA
USD
226.06000000
0.000018391879
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.0% 07/01/2041#Q02067
3132GFJL2
39801.33080000
PA
USD
45217.41000000
0.003678815956
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2049#FM4216
3140X7VJ5
10870137.60800000
PA
USD
11514800.90000000
0.936825733477
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 06/01/2043#Q19744
3132JBHW6
50110.89280000
PA
USD
54911.26000000
0.004467492045
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 15YR 3% 03/01/2033#BK4845
3140HJL33
155783.42950000
PA
USD
164387.41000000
0.013374296028
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% 07/01/2028#MA1514
31418AVG0
88026.68040000
PA
USD
92217.23000000
0.007502645932
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.03000000
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
87675.21620000
PA
USD
4915.35000000
0.000399904992
Long
ABS-CBDO
USGSE
US
N
2
2030-12-25
Variable
0.06565620
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 7/33 #A11628
31296KYZ0
90330.34630000
PA
USD
99651.44000000
0.008107481334
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
PRPM 2021-RPL1 LLC
N/A
PRPM 2021-RPL1 LLC 1.484% 07/25/2051 144A
69360GAA1
463190.07000000
PA
USD
463920.20000000
0.037743803424
Long
ABS-CBDO
CORP
US
N
2
2051-07-25
Fixed
0.01319000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2042#783604
3622A2AD4
368742.66920000
PA
USD
399579.00000000
0.032509106584
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 2% 07/51#BT1835
3140LQBD1
568455.01000000
PA
USD
580221.74000000
0.047205910191
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 3/24 #D50951
31356DBU9
9400.64430000
PA
USD
9897.43000000
0.000805239031
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% 08/20/2048#MA5398
36179T7K5
5072511.16400000
PA
USD
5398192.76000000
0.439188305187
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 II 3.5% 06/20/2046#AU2287
36194PRG1
27329.75370000
PA
USD
29572.52000000
0.002405972797
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)DEC21 TYZ1
N/A
-116.00000000
NC
USD
22697.14000000
0.001846602908
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2021-12-21
-15503259.64000000
USD
22697.14000000
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
3230000.00000000
NC
USD
-6325.31000000
-0.00051461707
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
0.00000000
USD
14762.98000000
USD
3230000.00000000
USD
8437.67000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #743475
3620AX6L7
38713.05130000
PA
USD
44154.48000000
0.003592337676
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 30YR 5% 07/01/2033#709252
31401H5M0
102875.46880000
PA
USD
115578.84000000
0.009403309053
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2042#MA0699
36179MX47
1752567.39010000
PA
USD
1898579.21000000
0.154465359533
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 30YR 3.5% 12/01/2046#BD9690
3140FHXU6
189759.47390000
PA
USD
204007.98000000
0.016597762059
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22486
3132JPXP2
12758.33160000
PA
USD
13976.53000000
0.001137108064
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 30YR 3% 05/50#FM3269
3140X6T35
515309.40500000
PA
USD
545169.47000000
0.044354113721
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2048#MA5137
36179TV69
78911.04300000
PA
USD
84267.30000000
0.006855852377
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 09/01/2031#
31292HMA9
6873.52040000
PA
USD
8079.27000000
0.000657316449
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 07/01/2029#
31293TF28
180.33130000
PA
USD
203.88000000
0.000016587349
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 7.50% 10/23 #369344
36204GHV7
91.59830000
PA
USD
96.65000000
0.000007863288
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2044#Q24971
3132M5FL1
20018.57620000
PA
USD
21930.00000000
0.001784189628
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 II 3.5% 05/20/2046#AR3062
36192XMK2
53914.23200000
PA
USD
58338.60000000
0.004746334930
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 4.50% 7/40 #719230
3620A5A74
85113.52770000
PA
USD
96725.15000000
0.007869403073
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.08% 6/33 #1B0891
31336SRL4
115943.26070000
PA
USD
122514.53000000
0.009967585668
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
0.02211000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96695
312945NL8
34277.17030000
PA
USD
38246.35000000
0.003111661695
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 4.00% 7/41 #768127
36176KD87
22511.27620000
PA
USD
24836.16000000
0.002020630144
Long
ABS-MBS
USGA
US
N
2
2041-07-15
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 1ML+ 12/25/2036
31396LZK9
56816.08390000
PA
USD
14546.37000000
0.001183469333
Long
ABS-CBDO
USGSE
US
N
2
2036-12-25
Variable
0.06555620
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2044#Q28059
3132M8TQ9
20810.88260000
PA
USD
22784.95000000
0.001853746988
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 04/01/2024#
31335GEJ0
256.28370000
PA
USD
271.41000000
0.000022081482
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 08/01/2051#QC5848
3133AQP92
8949000.00000000
PA
USD
9306531.34000000
0.757164463757
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/29 #509410
36211C3T7
419.87640000
PA
USD
481.08000000
0.000039139897
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07000000
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR 1ML+70 03/15/2038 144A
53218CAA8
1443000.00000000
PA
USD
1444358.15000000
0.117510662583
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.00796000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2121 MG 6% 2/29
3133TJA60
55384.51570000
PA
USD
61454.73000000
0.004999858270
Long
ABS-CBDO
USGSE
US
N
2
2029-02-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2042#783582
36241L6T8
13465.15400000
PA
USD
14599.60000000
0.001187800040
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
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 3/37 #A58828
3128KMYZ2
3009.25620000
PA
USD
3594.20000000
0.000292418347
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 08/01/2034#CA4087
3140QBRH3
905676.19300000
PA
USD
979765.40000000
0.079712141569
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
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
9069874.55000000
0.737910446879
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
0.01546000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/01/2044#AS9099
3138WKDD4
35959.64060000
PA
USD
40718.58000000
0.003312798363
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 8/34 #G08018
3128MJAU4
12225.36790000
PA
USD
14708.90000000
0.001196692513
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 06/01/2050#RA2677
3133KH6N1
5448351.97900000
PA
USD
5556022.31000000
0.452029064243
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 5/25 #AB1004
31416WDJ8
41302.49570000
PA
USD
43310.29000000
0.003523655732
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 05/15/2041#770680
36176M6R9
195034.90470000
PA
USD
214686.84000000
0.017466576981
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 06/01/2051#CB0788
3140QK2W7
357770.20400000
PA
USD
352790.15000000
0.028702440789
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2049#CA4789
3140QCKB1
8571741.05700000
PA
USD
9109957.25000000
0.741171511065
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #733255
3620ALTL8
48714.58200000
PA
USD
55360.47000000
0.004504039050
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
4142506.06100000
PA
USD
4505566.48000000
0.366565662664
Long
ABS-MBS
USGA
US
N
2
2045-06-20
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
1232046.32470000
PA
USD
1300909.46000000
0.105839907232
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Variable
0.03715833
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 09/01/2051 #TBA
01F012692
69050000.00000000
PA
USD
67872952.99000000
5.522034598801
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q34164
3132QQTW2
3897089.51060000
PA
USD
4195775.70000000
0.341361581654
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM5110
3140J9VC2
1518156.79530000
PA
USD
1604377.32000000
0.130529565611
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2046#Q40046
3132WDBQ6
1740176.97370000
PA
USD
1871918.64000000
0.152296298317
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 15YR 3% 01/01/2029#MA1775
31418A6M5
96289.47170000
PA
USD
101758.03000000
0.008278870118
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 11/01/2040#A94862
312943MK6
344212.48420000
PA
USD
384071.09000000
0.031247407898
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 7.50% 9/32 #654060
31390RTR4
13484.70220000
PA
USD
15977.71000000
0.001299920860
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 7.50% 9/22 #124462
31365DFB6
59.76170000
PA
USD
61.23000000
0.000004981574
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2049#CA4628
3140QCEA0
194812.82800000
PA
USD
211620.46000000
0.017217101223
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS6968
36193SW54
63775.75040000
PA
USD
69009.39000000
0.005614493291
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 05/01/2046#V82275
3132L7Q44
1648633.46110000
PA
USD
1763841.95000000
0.143503352154
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST 2020-HB5
N/A
CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A
12526PAA2
921296.85000000
PA
USD
921442.23000000
0.074967061999
Long
ABS-CBDO
CORP
US
N
2
2031-02-25
Fixed
0.00800600
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2135 JE 6% 3/29
3133TJWJ8
78955.23950000
PA
USD
87515.47000000
0.007120118279
Long
ABS-CBDO
USGSE
US
N
2
2029-03-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 06/01/2031#J34501
31307RAA3
137507.19430000
PA
USD
144249.12000000
0.011735877052
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22499
3132JPX49
117998.56720000
PA
USD
129265.35000000
0.010516821556
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2048#V83994
3132L9NK7
551139.38290000
PA
USD
593731.05000000
0.048305005986
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 06/01/2050#SD7518
3132DVK79
3186138.70400000
PA
USD
3390675.75000000
0.275859940963
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.03000000
N
N
N
N
N
N
COMM 2014-UBS6 MTG TR
N/A
COMM 2014-UBS6 XA CSTR 12/47
12592PBG7
10056323.37660000
PA
USD
227052.67000000
0.018472641078
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
0.01025712
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 04/01/2024#
31292GK47
469.53380000
PA
USD
495.54000000
0.000040316339
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 7.00% 7/28 #458908
36208RYD0
480.84280000
PA
USD
528.27000000
0.000042979199
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2015-70 JC 3% 10/45
3136AQCV0
852773.83640000
PA
USD
901800.06000000
0.073369006550
Long
ABS-CBDO
USGSE
US
N
2
2045-10-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 11/41 #005232
36202FY59
647961.37500000
PA
USD
702552.51000000
0.057158545441
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028
3137B6MF5
182119.60420000
PA
USD
7378.76000000
0.000600324079
Long
ABS-CBDO
USGSE
US
N
2
2028-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/28 #460204
36208TGM6
389.96120000
PA
USD
443.01000000
0.000036042583
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 8.00% 8/25 #409199
36206ERU1
6254.61990000
PA
USD
6870.04000000
0.000558935436
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.08000000
N
N
N
N
N
N
MSC 2021-L6
N/A
MSC 2021-L6 XA 1.35631% 06/15/2054
61692CBK3
2206948.26000000
PA
USD
193757.26000000
0.015763779920
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Fixed
0.01356311
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK1110
3138E5GU6
46581.98850000
PA
USD
51077.63000000
0.004155594057
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 2.5% 09/01/2050#FM4342
3140X7ZG7
14705163.74400000
PA
USD
15412145.37000000
1.253907428890
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
0.02500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV1.25% MAC 09/15/51
N/A
837000.00000000
NC
USD
61666.32000000
0.005017072893
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2051-09-15
0.00000000
USD
0.00000000
USD
691894.33000000
USD
61666.32000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/48#BJ1074
3140H2FQ6
51183.97440000
PA
USD
55813.40000000
0.004540888708
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/01/2041#
3132GEQJ2
9282.52840000
PA
USD
10357.41000000
0.000842662266
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 3% 01/01/2028#MA1320
31418APE2
89885.69500000
PA
USD
93989.15000000
0.007646806501
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.03000000
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
5396.53880000
PA
USD
5442.17000000
0.000442766222
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.00752880
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 10/20/44#MA2305
36179QR29
3647.06700000
PA
USD
4020.98000000
0.000327140483
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% 06/20/2048#MA5264
36179TZ57
173191.66000000
PA
USD
184649.73000000
0.015022805886
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 4/35 #003700
36202EDD8
29010.13990000
PA
USD
31938.04000000
0.002598427711
Long
ABS-MBS
USGA
US
N
2
2035-04-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19988
3132JBRJ4
67139.49340000
PA
USD
73571.11000000
0.005985627514
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 3/41 #A97661
312946QN9
148450.55160000
PA
USD
165640.61000000
0.013476254370
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
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
2736236.34630000
PA
USD
2995990.27000000
0.243748963317
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2003-118 S -1ML+81 12/33
31393UNH2
88941.27670000
PA
USD
22778.79000000
0.001853245821
Long
ABS-CBDO
USGSE
US
N
2
2033-12-25
Variable
0.08015620
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2043#MA1157
36179NJA7
9344.44400000
PA
USD
10120.04000000
0.000823350223
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2114 ZM 6% 1/29
3133THQB6
20290.00400000
PA
USD
22555.94000000
0.001835115102
Long
ABS-CBDO
USGSE
US
N
2
2029-01-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #476120
36209M4D3
1393.57580000
PA
USD
1572.31000000
0.000127920619
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
S6XOOCT0IEG5ABCC6L87
FHLG 7.50% 7/34 #G02115
3128LXK41
201442.66700000
PA
USD
230574.04000000
0.018759134093
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.07500000
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
40950.10360000
PA
USD
41807.52000000
0.003401392775
Long
ABS-CBDO
USGA
US
N
2
2064-08-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 09/01/2051 #TBA
21H020691
-11700000.00000000
PA
USD
-11947104.00000000
-0.97199722035
Short
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772063
36176PQQ2
182031.72390000
PA
USD
201064.27000000
0.016358266534
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 06/01/2045#Q34467
3132QQ6D9
238977.96430000
PA
USD
261945.52000000
0.021311467391
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #481544
36209T5D7
504.57850000
PA
USD
519.15000000
0.000042237211
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 7.50% 12/25 #332726
31375ESP7
288.93500000
PA
USD
314.19000000
0.000025561994
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2048#G61821
31335CAW4
2491550.54350000
PA
USD
2725171.28000000
0.221715564637
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 4.00% 11/41 #AB3872
31417AJS9
341260.59520000
PA
USD
374195.72000000
0.030443963634
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/28 #493631
36210JLL0
504.71440000
PA
USD
573.79000000
0.000046682634
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 7.00% 2/24 #371277
36204JM29
60.97940000
PA
USD
63.50000000
0.000005166258
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 10/01/2051 #TBA
21H0206A8
11700000.00000000
PA
USD
11926080.27000000
0.970286763399
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #648177
31390KCN6
1961.58300000
PA
USD
2320.64000000
0.000188803548
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745138
3620C0ZB7
390672.35640000
PA
USD
443969.87000000
0.036120676572
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 30YR 4.0% 01/01/2045#AY0356
3138YDME6
561262.80620000
PA
USD
612799.47000000
0.049856382054
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 II 3.5% 05/20/2046#AT2645
36194A5E3
23218.43940000
PA
USD
24983.05000000
0.002032580879
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 2.5% 02/01/2035#FM2518
3140X5YQ0
1055439.20700000
PA
USD
1110613.14000000
0.090357703839
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/46#G60551
31335ATG3
1998563.47220000
PA
USD
2190640.21000000
0.178226974077
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 11/39 #A89870
3129366F9
24996.65140000
PA
USD
27833.68000000
0.002264503564
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 02/01/2035#QN1578
3133G7XF5
1047775.69300000
PA
USD
1100257.00000000
0.089515144898
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
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
2179286.13000000
PA
USD
2179285.69000000
0.177303188541
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.00946000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #733234
3620ALSX3
23401.20110000
PA
USD
26593.71000000
0.002163621593
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 4.5% 06/44#MA1997
36179QGE5
4186.59100000
PA
USD
4651.14000000
0.000378409290
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 15YR 3% 12/01/2034#FM0046
3140X3BQ0
1000235.88800000
PA
USD
1065481.68000000
0.086685880636
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3244 SG -1ML+666 11/36
31397CDA4
137160.61010000
PA
USD
31973.36000000
0.002601301289
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Variable
0.06564500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 3/41 #004977
36202FQ66
144198.09280000
PA
USD
157893.49000000
0.012845961112
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2044#MA1677
36179N2J6
4255.30000000
PA
USD
4595.19000000
0.000373857288
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2048#ZM7210
3131Y2AK4
1976194.40100000
PA
USD
2116740.56000000
0.172214617076
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#FM6195
3140X93D5
3413767.51200000
PA
USD
3628116.61000000
0.295177748518
Long
ABS-MBS
USGSE
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% 12/01/2046#BE5877
3140FRQ73
461075.24680000
PA
USD
497857.39000000
0.040504878773
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 07/01/2024#
31356HXZ5
1745.25720000
PA
USD
1845.02000000
0.000150107868
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/22 #327284
36224FRD4
315.05660000
PA
USD
322.64000000
0.000026249472
Long
ABS-MBS
USGA
US
N
2
2022-09-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 8/41 #005139
36202FV86
27330.88660000
PA
USD
29946.99000000
0.002436439076
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
0.04000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A 1ML+120 12/31/2049 144A
95003EAA4
925000.00000000
PA
USD
928467.73000000
0.075538645411
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Variable
0.01296000
N
N
N
N
N
N
CSMC SER 2014-3R
N/A
CSMC SER 2014-3R VAR 05/27/2037
12648GAJ6
141477.48990000
PA
USD
14.15000000
0.000001151221
Long
ABS-CBDO
CORP
US
N
3
2037-05-27
Variable
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.54% 02/01/2039#
3138ETWB8
171757.29690000
PA
USD
190379.86000000
0.015489000073
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Variable
0.06612000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 3/23 #050740
313615LV6
43.70080000
PA
USD
45.70000000
0.000003718078
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
0.08500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-17 PG 6% 4/29
31359VSD6
119030.16080000
PA
USD
131530.58000000
0.010701117036
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
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 10/34 #A45794
3128K6NK2
95903.52070000
PA
USD
109574.01000000
0.008914765715
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/37 #908771
31411HT42
4827.53260000
PA
USD
5739.90000000
0.000466989058
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 2.5% 06/01/2051#FM7507
3140XBKV1
8778609.33200000
PA
USD
9222605.93000000
0.750336427001
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 03/01/2032#
31287P6S7
9142.04980000
PA
USD
10646.57000000
0.000866187859
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2032#J38057
31307U5S3
365984.48780000
PA
USD
386305.23000000
0.031429173946
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 6.50% 8/35 #830779
31407G6Q6
7854.05680000
PA
USD
9335.08000000
0.000759487136
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR3124
36192XPH6
55563.05070000
PA
USD
60122.73000000
0.004891488886
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 4.5% 03/01/2046#BM4548
3140J9BS9
447608.44530000
PA
USD
499318.37000000
0.040623741762
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 09/01/2051 #TBA
01F022691
93500000.00000000
PA
USD
97123143.70000000
7.901783202725
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2041#770824
36176ND57
299295.90550000
PA
USD
330648.59000000
0.026901038979
Long
ABS-MBS
USGA
US
N
2
2041-06-15
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
30560.17750000
PA
USD
5510.06000000
0.000448289644
Long
ABS-CBDO
USGSE
US
N
2
2034-04-25
Variable
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 05/01/2034#C91764
3128P75Z2
491817.12580000
PA
USD
528252.95000000
0.042977812785
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #490635
36210FBC9
1124.28930000
PA
USD
1272.21000000
0.000103504965
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3832 PE 5% 3/41
3137A7WV8
594110.41000000
PA
USD
662547.12000000
0.053903771072
Long
ABS-CBDO
USGSE
US
N
2
2041-03-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 10/35 #835556
31407NH97
16314.77410000
PA
USD
19395.15000000
0.001577958297
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 4/42 #C03856
31292LH99
83394.16670000
PA
USD
91653.66000000
0.007456794780
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 09/01/2051 #TBA
01F012692
-48750000.00000000
PA
USD
-47918992.88000000
-3.89861240694
Short
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745192
3620C02Z0
327808.67270000
PA
USD
372530.00000000
0.030308443326
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 11/01/2047#Q52082
3132XUJ48
117488.11440000
PA
USD
128008.76000000
0.010414587409
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.91% 3/36 #865849
31409A5J4
18607.51260000
PA
USD
19539.30000000
0.001589686110
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.01910000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AP5129
3138M8VX8
116119.41080000
PA
USD
125745.68000000
0.010230466850
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 4.50% 6/40 #745068
3620C0W53
111456.64850000
PA
USD
126662.13000000
0.010305027752
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/01/2045#G61807
31335CAG9
223855.10710000
PA
USD
245895.03000000
0.020005625267
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/35#BO9279
3140K5JZ1
481125.18900000
PA
USD
506276.39000000
0.041189835110
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 10/01/2051 #TBA
01F0126A9
17350000.00000000
PA
USD
17023070.48000000
1.384969712195
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 09/01/2051 #TBA
21H022697
-8950000.00000000
PA
USD
-9280885.08000000
-0.75507792517
Short
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2947 XZ 6% 3/35
31395RA81
221696.95010000
PA
USD
255663.49000000
0.020800371506
Long
ABS-CBDO
USGSE
US
N
2
2035-03-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2032#SB0030
3132CWA79
1094965.33110000
PA
USD
1157151.59000000
0.094143997491
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV1.0% MAC 09/15/31
N/A
-4491000.00000000
NC
USD
1720.42000000
0.000139970611
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2031-09-15
0.00000000
USD
0.00000000
USD
-4353122.31000000
USD
1720.42000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 03/20/2046#MA3523
36179R4G1
14007.51000000
PA
USD
15561.80000000
0.001266083089
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/39 #G08368
3128MJMS6
2150789.21240000
PA
USD
2395537.41000000
0.194897081650
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18481
3132J92P2
78047.76700000
PA
USD
85524.35000000
0.006958123949
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 15YR 2.5% 10/01/2031#AS8010
3138WH3U4
165000.75330000
PA
USD
173162.24000000
0.014088202124
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.29% 3/36 #1G1852
3128QSBV7
69279.60100000
PA
USD
72653.19000000
0.005910947015
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.01910000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/23 #330297
36224J3E0
1888.64300000
PA
USD
1988.91000000
0.000161814527
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 3.50% 7/42 #MA0220
36179MG53
1572770.60720000
PA
USD
1704294.49000000
0.138658666313
Long
ABS-MBS
USGA
US
N
2
2042-07-20
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 2012-149 DA 1.75% 01/25/2043
3136AA4A0
100896.69140000
PA
USD
103340.40000000
0.008407609203
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/41 #Q00753
3132GDZS4
75612.30720000
PA
USD
84367.95000000
0.006864041100
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
AJAX MTG LN TR 2021-E
N/A
AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A
009740AA9
4949771.46000000
PA
USD
5027347.25000000
0.409016909265
Long
ABS-CBDO
CORP
US
N
2
2060-12-25
Fixed
0.01740000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 9/41 #Q03358
3132GJMF3
112145.14080000
PA
USD
122993.21000000
0.010006530305
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 01/01/2041#A96051
312944WL1
529034.51050000
PA
USD
590294.86000000
0.048025443078
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2039#
312933CQ5
23952.32780000
PA
USD
26691.46000000
0.002171574377
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q20358
3132JMMF3
39866.52150000
PA
USD
43685.53000000
0.003554184656
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 30YR 2% 07/51#BQ1010
3140KLDQ2
593695.50000000
PA
USD
605242.58000000
0.049241565604
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #737007
3620AQYC1
71058.70170000
PA
USD
80292.40000000
0.006532460888
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2047#ZS4698
3132A5GF6
4498655.51700000
PA
USD
4813953.69000000
0.391655551470
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
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
21918.22340000
PA
USD
4907.11000000
0.000399234599
Long
ABS-CBDO
USGSE
US
N
2
2033-03-25
Variable
0.08015620
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/27 #256630
31371NA70
13271.89940000
PA
USD
14752.64000000
0.001200251129
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2047#CA0862
3140Q75Y9
151013.79600000
PA
USD
160217.57000000
0.013035044533
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #486253
36210AE29
2116.45000000
PA
USD
2385.51000000
0.000194081267
Long
ABS-MBS
USGA
US
N
2
2028-10-15
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
26867.74760000
PA
USD
29971.64000000
0.002438444561
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 03/01/2024#
31356A4S8
592.42000000
PA
USD
628.44000000
0.000051128870
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1406
3138WAR41
268614.27100000
PA
USD
288783.76000000
0.023494983554
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 1/24 #267835
31372BPU8
30.59720000
PA
USD
30.79000000
0.000002505025
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 4.0% 03/01/2045#AV2186
3138XDNC0
22519.61710000
PA
USD
24967.45000000
0.002031311688
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
2176279.13240000
PA
USD
2299876.34000000
0.187114250418
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
UBS COML MTG TR 2017-C7
N/A
UBSCM 2017-C7 XA CSTR 12/50
90276WAT4
12890230.63320000
PA
USD
620128.37000000
0.050452649604
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.01173908
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/47#MA4720
36179TG58
31396.47800000
PA
USD
33606.07000000
0.002734135956
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/01/2051 #TBA
21H030690
56500000.00000000
PA
USD
59064568.90000000
4.805398596361
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2046#Q40085
3132WDCX0
329251.00690000
PA
USD
355617.72000000
0.028932487349
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/41 #Q01208
3132GEKV1
35888.04250000
PA
USD
40043.75000000
0.003257895276
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2048#ZM6780
3131Y1Q94
1825844.49300000
PA
USD
1957980.13000000
0.159298123115
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #469581
36209EUE0
2996.23440000
PA
USD
3396.88000000
0.000276364708
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #739706
3620ATYB7
44343.93580000
PA
USD
50576.83000000
0.004114849772
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2048#Q59935
3132Y4BD3
429712.47910000
PA
USD
470742.46000000
0.038298851556
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 8/22 #125130
31365D4P7
10.10220000
PA
USD
10.41000000
0.000000846940
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 7.50% 12/22 #338371
36224T2C3
93.34450000
PA
USD
95.81000000
0.000007794947
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 12
N/A
19150000.00000000
NC
USD
-103329.57000000
-0.00840672809
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
257.09000000
USD
0.00000000
USD
19150000.00000000
USD
-103586.66000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #476306
36209NDK5
1082.09490000
PA
USD
1217.19000000
0.000099028626
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/40 #A94662
312943FB4
57747.24290000
PA
USD
64434.17000000
0.005242260729
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 06/01/2029#
31293R3X7
4142.66680000
PA
USD
4684.20000000
0.000381098999
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 9/22 #050627
313615HC3
68.84870000
PA
USD
70.74000000
0.000005755292
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
0.08500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-150 ZC 4.75% 01/41
31397QAV0
636097.25700000
PA
USD
720352.85000000
0.058606752554
Long
ABS-CBDO
USGSE
US
N
2
2041-01-25
Fixed
0.04750000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
790000.00000000
NC
USD
-1547.06000000
-0.00012586632
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
0.00000000
USD
4625.97000000
USD
790000.00000000
USD
3078.91000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034
3137B9ED3
67731.66030000
PA
USD
3916.39000000
0.000318631209
Long
ABS-CBDO
USGSE
US
N
2
2034-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT1323
36193YPG5
79898.17730000
PA
USD
86454.87000000
0.007033829564
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% 5/40 #004696
36202FGD2
38231.88320000
PA
USD
42629.46000000
0.003468264495
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2046#Q40647
3132WDWH3
479772.63500000
PA
USD
516094.25000000
0.041988600454
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 08/01/2050#SD7523
3132DVLC7
4450709.37000000
PA
USD
4663295.72000000
0.379398260660
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.02500000
N
N
N
N
N
N
AJAXM 2021-C
N/A
AJAXM 2021-C 2.115% 01/25/2061 144A
009733AA4
815626.67000000
PA
USD
815519.90000000
0.066349391111
Long
ABS-CBDO
CORP
US
N
2
2061-01-25
Fixed
0.02115000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 09/01/2051 #TBA
21H020691
71600000.00000000
PA
USD
73112192.00000000
5.948290681822
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2048#BJ3436
3140H4ZA5
14172.65090000
PA
USD
15017.60000000
0.001221807850
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/29 #495064
36210K5Z4
600.48690000
PA
USD
698.15000000
0.000056800364
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13654
3132HQBX9
27440.57440000
PA
USD
30077.82000000
0.002447083195
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 30YR 4% 11/15/2042#AB9201
36178WGJ2
19064.54130000
PA
USD
21016.45000000
0.001709864665
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033
31394KF41
1415326.15360000
PA
USD
1606749.16000000
0.130722534710
Long
ABS-CBDO
USGSE
US
N
2
2033-10-15
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 4/32 #C01343
31292HP40
4251.89940000
PA
USD
4934.88000000
0.000401493922
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.252% 08/01/2041#
3138EPH64
276784.37480000
PA
USD
312368.83000000
0.025413827023
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Variable
0.05261000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 07/50#MA6766
36179VQT0
465624.86500000
PA
USD
486354.58000000
0.039569028600
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
0.03000000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING 2018-4- A2 1ML+41 09/15/2023 144A
361886BY9
325000.00000000
PA
USD
325046.44000000
0.026445257040
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Variable
0.00505500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/45#MA3174
36179RQ36
7693.55800000
PA
USD
8348.61000000
0.000679229519
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5.5% 02/15/2035
31395MRB7
488823.31160000
PA
USD
546225.30000000
0.044440014357
Long
ABS-CBDO
USGSE
US
N
2
2035-02-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 04/48#784805
3622AAGN8
491673.58000000
PA
USD
541194.50000000
0.044030716537
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
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
389999.92000000
0.031729767998
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.01045500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 03/01/2029#
31293MFF4
332.18930000
PA
USD
374.19000000
0.000030443498
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H18 AF 1ML+30 9/60
38375BER9
194903.86280000
PA
USD
194812.18000000
0.015849606519
Long
ABS-CBDO
USGA
US
N
2
2060-09-20
Variable
0.00402880
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/29 #494945
36210KZJ7
31246.08070000
PA
USD
35649.16000000
0.002900358482
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 07/01/2029#
31293TGN1
177.14570000
PA
USD
200.43000000
0.000016306663
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2046#BD1451
3140F8TH0
178595.75720000
PA
USD
194157.73000000
0.015796361517
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2286
3140X5RG0
2014049.57900000
PA
USD
2145426.84000000
0.174548486809
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/41 #005202
36202FX76
16782.49000000
PA
USD
18196.42000000
0.001480431547
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.417% 12/01/2040#848392
31300LKD6
215053.53510000
PA
USD
226697.52000000
0.018443746643
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Variable
0.02178000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/35 #809830
31406GVX4
1414.57320000
PA
USD
1665.31000000
0.000135486950
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-139 NI 4.5% 2/40
31398SVQ3
101840.13060000
PA
USD
4852.54000000
0.000394794871
Long
ABS-CBDO
USGSE
US
N
2
2040-02-25
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
561999.83000000
0.045723404818
Long
ABS-MBS
CORP
US
N
2
2031-10-15
Variable
0.01190000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2044#MA1838
36179QBF7
8086.10400000
PA
USD
8714.30000000
0.000708981471
Long
ABS-MBS
USGA
US
N
2
2044-04-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2357 ZB 6.5% 9/31
3133TUUS5
85891.21430000
PA
USD
99187.07000000
0.008069700936
Long
ABS-CBDO
USGSE
US
N
2
2031-09-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 05/01/2051#SD7540
3132DVLV5
3079144.68800000
PA
USD
3233194.91000000
0.263047552392
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/41 #AE6390
31419HC42
999075.78640000
PA
USD
1096278.77000000
0.089191482485
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/35 #255896
31371MGD3
11643.08320000
PA
USD
13807.43000000
0.001123350360
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/48#G61343
31335BP42
733988.26170000
PA
USD
796157.87000000
0.064774127403
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 4/41 #Q00114
3132GDDT6
68824.29300000
PA
USD
76793.91000000
0.006247829353
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2050#BO9354
3140K5MC8
11162.01500000
PA
USD
11815.27000000
0.000961271417
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03500000
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
269155.95590000
PA
USD
291281.19000000
0.023698170453
Long
ABS-CBDO
CORP
US
N
2
2057-08-25
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 9/36 #C02622
31292J4F4
125779.36030000
PA
USD
149035.13000000
0.012125259150
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2042#AP8794
3138MCXY5
13561.96500000
PA
USD
14677.77000000
0.001194159826
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 10/01/2051 #TBA
01F0226A8
16450000.00000000
PA
USD
17054027.55000000
1.387488329760
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 7/27 #256821
31371NG66
27968.95690000
PA
USD
31059.34000000
0.002526938088
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15107
3132J6DM3
20956.92780000
PA
USD
22971.04000000
0.001868886972
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 08/01/2034#C91782
3128P76T5
789800.79410000
PA
USD
848312.48000000
0.069017342826
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
EFF 2021-1
N/A
EFF 2021-1 0.44% 12/21/2026 144A
29374EAB2
1267000.00000000
PA
USD
1268685.36000000
0.103218206137
Long
ABS-CBDO
CORP
US
N
2
2026-12-21
Fixed
0.00440000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 12/01/2047#ZA5103
31329NU48
32550.73100000
PA
USD
34514.24000000
0.002808023211
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2039#AS3482
3138WC2Q5
29366.04400000
PA
USD
32145.11000000
0.002615274594
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2043#AD7475
36180KJU6
39329.60620000
PA
USD
43540.69000000
0.003542400706
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#738107
3620ASAG4
20713.37120000
PA
USD
22857.22000000
0.001859626760
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AC2222
36179BPF5
235158.69030000
PA
USD
250774.26000000
0.020402591595
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #648596
31390KRR1
755.31740000
PA
USD
893.29000000
0.000072676641
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/28 #399895
36205TGC1
1813.42580000
PA
USD
2068.99000000
0.000168329708
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 7.00% 6/28 #475838
36209MS39
367.74630000
PA
USD
395.28000000
0.000032159346
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 9/26 #G30299
3128CUKL9
27988.49080000
PA
USD
30958.82000000
0.002518759942
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#AL9776
3138ER2J8
1000227.54040000
PA
USD
1075331.83000000
0.087487273042
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 6.50% 1/27 #D97164
3128E35Z3
19959.44430000
PA
USD
22094.10000000
0.001797540540
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/39 #721187
3620A7F42
3077.92500000
PA
USD
3515.67000000
0.000286029272
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/29 #508656
36211CBZ4
4740.32190000
PA
USD
5164.69000000
0.000420190895
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 4.00% 7/33 #003426
36202DYX3
24489.84020000
PA
USD
26389.51000000
0.002147008209
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13121
3132HPPE8
111692.31190000
PA
USD
122426.77000000
0.009960445655
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 II 5.00% 9/33 #615817
36290SDW8
1830.61800000
PA
USD
2031.21000000
0.000165255987
Long
ABS-MBS
USGA
US
N
2
2033-09-20
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#RA2976
3133KJJV5
3692378.00000000
PA
USD
3849127.20000000
0.313158815658
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+24 03/25/2031
3137H0H27
4999783.31000000
PA
USD
5004293.61000000
0.407141302089
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Variable
0.00290000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/23 #366649
36204DH28
175.31890000
PA
USD
181.95000000
0.000014803160
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/01/2043#G08546
3128MJTC4
10512.62700000
PA
USD
11516.40000000
0.000936955833
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #463389
36208WXS7
866.80500000
PA
USD
976.02000000
0.000079407421
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
CSMC 2020-RPL4 TR
N/A
CSMC 2020-RPL4 TR 2% 01/25/2060 144A
126405AA7
398901.31000000
PA
USD
406243.81000000
0.033051344836
Long
ABS-CBDO
CORP
US
N
2
2060-01-25
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 01/01/2024#
31335GDZ5
217.05960000
PA
USD
223.99000000
0.000018223467
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2013-133 IB 3% 04/32
3136AHQ94
182641.70570000
PA
USD
6299.62000000
0.000512526979
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 09/01/2033#
31283HX75
83220.35560000
PA
USD
96132.28000000
0.007821168121
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #778681
36176W2N0
81909.46380000
PA
USD
90321.30000000
0.007348396108
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% 09/01/2046#BD1489
3140F8UP0
168955.41400000
PA
USD
183360.59000000
0.014917923523
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
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
19257.13670000
PA
USD
21472.16000000
0.001746940499
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19690
3132JBF81
78159.37760000
PA
USD
85646.65000000
0.006968074081
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
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
3021893.94000000
0.245856444363
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 20YR 6.50% 5/27 #256738
31371NEK7
9845.71040000
PA
USD
10935.90000000
0.000889727284
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.06500000
N
N
N
N
N
N
UPSTART SECURITIZATION TR 2021-1
N/A
UPSTART SECURITIZATION TR 2021-1 0.91% 06/20/2031 144A
91680FAA0
1833020.72000000
PA
USD
1834954.01000000
0.149288915305
Long
ABS-CBDO
CORP
US
N
2
2031-06-20
Fixed
0.00910000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/46#AS7008
36193SYD5
70951.34300000
PA
USD
76773.83000000
0.006246195676
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 20YR 6.50% 2/27 #256628
31371NA54
5666.77900000
PA
USD
6248.10000000
0.000508335395
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 5.00% 4/40 #737191
3620AQ7C1
117658.08000000
PA
USD
134438.06000000
0.010937664946
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CMBX AAACDSIGEN 12/72
N/A
2880000.00000000
NC
USD
-5639.90000000
-0.00045885321
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
3624.53000000
USD
0.00000000
USD
2880000.00000000
USD
-9264.43000000
N
N
N
MHC COML MTG TR 2021-MHC
N/A
MHC COML MTG TR 2021-MHC A 1ML+80.096 04/15/2026 144A
55316VAA2
7000000.00000000
PA
USD
7004169.90000000
0.569848029588
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Variable
0.00896462
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 11/01/2029#
31292G6T8
4915.50860000
PA
USD
5671.43000000
0.000461418448
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040
3137BJGM9
598588.15600000
PA
USD
640841.54000000
0.052137839895
Long
ABS-CBDO
USGSE
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2044#Q24546
3132M4WF8
42285.58630000
PA
USD
46323.12000000
0.003768774748
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
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
316014.58940000
PA
USD
342014.59000000
0.027825758510
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
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
6078294.80940000
PA
USD
140043.30000000
0.011393698282
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.00997728
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 07/01/2033#MA1490
31418AUQ9
255740.97200000
PA
USD
272478.17000000
0.022168386903
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CMBX AAACDSIGEN 8/61
N/A
1210000.00000000
NC
USD
-6528.92000000
-0.00053118245
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
32773.48000000
USD
0.00000000
USD
1210000.00000000
USD
-39302.40000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS4758
36193PJB2
37169.93100000
PA
USD
40220.21000000
0.003272251779
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2032#J36729
31307TPN5
34021.89730000
PA
USD
36293.66000000
0.002952793968
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 12/20/2042#AA5872
36178DQZ7
538807.33660000
PA
USD
576644.17000000
0.046914844833
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2844 SD -1ML+8645.0 8/24
31395EWX1
100.26850000
PA
USD
118.20000000
0.000009616562
Long
ABS-CBDO
USGSE
US
N
2
2024-08-15
Variable
0.85208488
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 11/20/2044#MA2372
36179QT50
1571957.65960000
PA
USD
1712184.46000000
0.139300581618
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 11/26 #C91010
3128P7DP5
4164.82490000
PA
USD
4618.74000000
0.000375773278
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.07000000
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
775142.30510000
PA
USD
775416.32000000
0.063086628161
Long
ABS-CBDO
CORP
US
N
2
2037-06-27
Variable
0.03450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2050#CA7323
3140QFD55
2601659.89200000
PA
USD
2663643.14000000
0.216709733847
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2050#MA6657
36179VME7
23395375.47600000
PA
USD
24637171.59000000
2.004440766804
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22677
3132JP6N7
41623.34110000
PA
USD
45597.64000000
0.003709750859
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 4.00% 12/41 #552554
36213EZT6
176756.94180000
PA
USD
194909.30000000
0.015857508047
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 3.5% 11/01/2046#BC9014
3140F5AQ6
1719807.68010000
PA
USD
1857004.82000000
0.151082933840
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2047#BJ4340
3140H5ZE4
188729.59200000
PA
USD
203095.61000000
0.016523533099
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% 9/28 #484199
36209W3G5
244.46710000
PA
USD
277.16000000
0.000022549293
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 20YR 3.5% 01/01/2034#AS1614
3138WAYL5
106585.89800000
PA
USD
114589.13000000
0.009322787835
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AB2079
31416XJZ4
1123060.52310000
PA
USD
1232159.68000000
0.100246535394
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 30YR 3.0% 05/15/2043#AD0793
36180B3A7
148175.04980000
PA
USD
158014.53000000
0.012855808732
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 6/35 #003722
36202ED30
2044.42440000
PA
USD
2252.99000000
0.000183299652
Long
ABS-MBS
USGA
US
N
2
2035-06-20
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-135 LS -1ML+605 12/40
31398SD91
166150.28450000
PA
USD
30933.03000000
0.002516661709
Long
ABS-CBDO
USGSE
US
N
2
2040-12-25
Variable
0.05965620
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2% 09/01/2036 #TBA
01F020497
5900000.00000000
PA
USD
6105983.16000000
0.496772996957
Long
ABS-MBS
USGA
US
N
2
2036-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #646424
31390HD51
2227.11400000
PA
USD
2626.65000000
0.000213700031
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 4.00% 10/40 #AE4645
31419FET9
58699.79730000
PA
USD
64324.85000000
0.005233366630
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
4079.04100000
PA
USD
4418.74000000
0.000359501599
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 08/01/2032#J37406
31307UGP7
62588.64620000
PA
USD
66826.59000000
0.005436904184
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/01/2048#ZM8154
3131Y3BX3
145216.19500000
PA
USD
156859.93000000
0.012761872328
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 3.5% 05/20/2046#AS9183
36193VFY3
31973.33960000
PA
USD
34597.17000000
0.002814770263
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 3.5% 09/01/2049#CA4157
3140QBTP3
1993896.14480000
PA
USD
2136290.84000000
0.173805196501
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03500000
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
41673.63880000
PA
USD
9380.13000000
0.000763152332
Long
ABS-CBDO
USGA
US
N
2
2034-08-17
Variable
0.07104500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 01/20/2051#MA7136
36179V4V9
8340665.97400000
PA
USD
8651871.23000000
0.703902367169
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/35 #255816
31371MDV6
3264.28370000
PA
USD
3871.35000000
0.000314966827
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/41 #Q01393
3132GERN2
108366.49190000
PA
USD
120914.95000000
0.009837446405
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 20YR 3.5% 01/01/2034#AS1611
3138WAYH4
719480.78050000
PA
USD
773504.58000000
0.062931092061
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9701
3138EEX79
83636.44460000
PA
USD
91708.21000000
0.007461232881
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% 06/20/2043#MA1092
36179NF94
3316.74800000
PA
USD
3698.25000000
0.000300883688
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.55% 4/37 #847748
3128JRTD8
5642.16600000
PA
USD
5962.37000000
0.000485088860
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Variable
0.02168000
N
N
N
N
N
N
NEW YORK MORTGAGE TRUST 2021-SP1
N/A
NEW YORK MORTGAGE TRUST 2021-SP1 1.6696% 08/25/2061 144A
62955RAA3
945000.00000000
PA
USD
945408.24000000
0.076916898135
Long
ABS-CBDO
CORP
US
N
2
2061-08-25
Fixed
0.01669600
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2933 ZM 5.75% 02/15/2035
31395MT74
412889.23520000
PA
USD
480806.34000000
0.039117632692
Long
ABS-CBDO
USGSE
US
N
2
2035-02-15
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/28 #477463
36209PML8
1262.42650000
PA
USD
1441.84000000
0.000117305789
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 02/01/2050#SD7512
3132DVKZ7
13152349.22300000
PA
USD
13972015.46000000
1.136740769131
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 30YR 3.5% 10/01/2047#CA0607
3140Q7U96
8838897.20700000
PA
USD
9499132.78000000
0.772834208016
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 05/01/2029#
31293P6F7
1732.86660000
PA
USD
1962.79000000
0.000159689446
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 3.5% 01/01/2043#AQ9947
3138MSBR9
64851.14110000
PA
USD
70186.75000000
0.005710281412
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 02/01/2041#
3132GE5T3
42173.19380000
PA
USD
47056.70000000
0.003828457641
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% 02/46#BC1354
3140EVQG5
436080.80310000
PA
USD
470869.02000000
0.038309148274
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-GC33
N/A
CGCMT 2015-GC33 XA CSTR 09/58
29425AAK9
16689228.93300000
PA
USD
509457.07000000
0.041448610134
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Variable
0.01034120
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.66% 8/35 #745071
31403CW80
51560.63960000
PA
USD
54332.57000000
0.004420410755
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Variable
0.01950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 11/32#ZK9037
3131XDBE4
3434944.20400000
PA
USD
3624657.55000000
0.294896324944
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2045#BC4834
3140F0LQ5
82219.55350000
PA
USD
88418.88000000
0.007193618268
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
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 2013-134 SA 1ML+605 01/25/2044
3136AHTW0
113662.61050000
PA
USD
21075.84000000
0.001714696540
Long
ABS-CBDO
USGSE
US
N
2
2044-01-25
Variable
0.05965620
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 10/41 #Q04113
3132GKGW0
60368.93400000
PA
USD
66208.57000000
0.005386623068
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#770540
36176MZD8
7295.13770000
PA
USD
8018.36000000
0.000652360909
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 4.00% 12/40 #AH0851
3138A15M9
30656.73610000
PA
USD
33630.45000000
0.002736119474
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
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
231758.73520000
PA
USD
250247.22000000
0.020359712465
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 3% 12/01/2027#MA1294
31418ANL8
95115.09730000
PA
USD
99379.10000000
0.008085324189
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q17564
3132J8Z60
34683.09100000
PA
USD
37547.25000000
0.003054784040
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 05/51#MA7368
36179WFH6
7762591.13200000
PA
USD
8136685.92000000
0.661987716615
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2049#BN6567
3140JPJM8
123511.63100000
PA
USD
130498.88000000
0.010617179579
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AX7918
3138Y9YQ5
128518.54730000
PA
USD
140319.47000000
0.011416167031
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE7834
3140FTV40
312071.83340000
PA
USD
336967.27000000
0.027415116650
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 8.00% 9/24 #403657
36205XME1
149.58430000
PA
USD
151.12000000
0.000012294880
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2104 PG 6% 12/28
3133THA56
43913.57760000
PA
USD
48865.36000000
0.003975607318
Long
ABS-CBDO
USGSE
US
N
2
2028-12-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6416
3140QEDW9
8709023.95200000
PA
USD
9223882.29000000
0.750440269604
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 09/01/2051 #TBA
01F032690
-30350000.00000000
PA
USD
-32104609.38000000
-2.61197952892
Short
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 2011-83 DI 6% 9/26
3136A0U39
6617.35310000
PA
USD
141.03000000
0.000011473974
Long
ABS-CBDO
USGSE
US
N
2
2026-09-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.293% 3/35 #815586
31406PCX5
4012.41370000
PA
USD
4246.42000000
0.000345481920
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Variable
0.02333000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#AP4736
3138M8HN6
55617.11800000
PA
USD
58063.02000000
0.004723914184
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-39 TE 5% 5/35
31394DTZ3
211774.58990000
PA
USD
237124.03000000
0.019292030774
Long
ABS-CBDO
USGSE
US
N
2
2035-05-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 3/1/43#AR6743
3138W4P54
306736.14870000
PA
USD
331972.77000000
0.027008772140
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2042#792254
36177LQG2
28109.64810000
PA
USD
31242.38000000
0.002541829929
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AE9338
31419LLU5
48063.71450000
PA
USD
52711.88000000
0.004288554016
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
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
106177.47870000
PA
USD
114990.27000000
0.009355423942
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
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 12/33 #G03583
3128M5J43
44958.21310000
PA
USD
53544.81000000
0.004356319864
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 ARM 3.47% 3/40 #AD0820
31418M4E9
18228.20750000
PA
USD
19215.00000000
0.001563301582
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Variable
0.02126000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 06/20/2051#MA7419
36179WG44
6976585.79400000
PA
USD
7318252.22000000
0.595401263409
Long
ABS-MBS
USGA
US
N
2
2051-06-20
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
8077984.95030000
PA
USD
8448680.45000000
0.687371091191
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479596
36209RXZ1
19796.35100000
PA
USD
21875.86000000
0.001779784884
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/32 #663318
31391C4B8
54873.92550000
PA
USD
64830.27000000
0.005274486790
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 6/36 #885763
31410DB82
48070.87100000
PA
USD
56999.04000000
0.004637350477
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 7.00% 12/28 #454249
36208LTE7
1252.05540000
PA
USD
1408.37000000
0.000114582724
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 30YR 4.0% 06/15/2042#AA0565
36177WTW0
12118.62070000
PA
USD
13359.38000000
0.001086897730
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
S6XOOCT0IEG5ABCC6L87
FHLG 3.5% 02/43 #Q15871
3132J66H2
114199.28960000
PA
USD
123629.97000000
0.010058336078
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 8.00% 12/29 #252926
31371H4K1
39.47600000
PA
USD
45.35000000
0.000003689603
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/44#MA1760
36179N5V6
4328.69900000
PA
USD
4674.46000000
0.000380306568
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
0.03500000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY451600 12/16/72 B
N/A
1570000.00000000
NC
USD
-3074.53000000
-0.00025013882
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
0.00000000
USD
8265.56000000
USD
1570000.00000000
USD
5191.03000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 10/01/2051 #TBA
21H0306A7
2600000.00000000
PA
USD
2713140.56000000
0.220736764553
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 11/21 #312179
36223MXG6
2.24310000
PA
USD
2.25000000
0.000000183056
Long
ABS-MBS
USGA
US
N
2
2021-11-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/01/2050#FM3897
3140X7KK4
995580.97700000
PA
USD
1015255.65000000
0.082599571389
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 9.00% 10/30 #567024
31386L4H2
40106.93180000
PA
USD
47349.00000000
0.003852238700
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 8.00% 3/25 #780089
36225AC24
284.69130000
PA
USD
301.79000000
0.000024553150
Long
ABS-MBS
USGA
US
N
2
2025-03-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2045#Q34458
3132QQ5U2
526252.30440000
PA
USD
576829.05000000
0.046929886374
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #737104
3620AQ3M3
123569.64880000
PA
USD
140038.02000000
0.011393268710
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
188783.09020000
PA
USD
210497.62000000
0.017125748761
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/39 #AC5442
31417SBL3
351805.43220000
PA
USD
391536.02000000
0.031854742631
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 7.00% 7/26 #256384
31371MXM4
2431.85630000
PA
USD
2664.27000000
0.000216760734
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/29 #490013
36210EK24
651.22520000
PA
USD
741.69000000
0.000060342708
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
0.07000000
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
6188082.45840000
PA
USD
153168.04000000
0.012461506079
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
0.01428517
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #510903
36211ERY6
4171.83370000
PA
USD
4759.71000000
0.000387242371
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#AE0698
31419AX44
248025.91940000
PA
USD
276679.09000000
0.022510167017
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2045#Q33801
3132QQGK2
68149.20690000
PA
USD
73414.99000000
0.005972925841
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 09/01/2051 #TBA
01F032690
57650000.00000000
PA
USD
60982890.63000000
4.961470175658
Long
ABS-MBS
USGA
US
N
2
2051-09-01
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
109478.02030000
PA
USD
112178.19000000
0.009126637624
Long
ABS-CBDO
USGSE
US
N
2
2042-06-25
Fixed
0.01750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 6/39 #AA9805
31416T3P2
9947.86150000
PA
USD
10891.41000000
0.000886107649
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#MA1162
31418AJG4
52158.09750000
PA
USD
54452.97000000
0.004430206306
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2050#FM3237
3140X6S36
762088.88900000
PA
USD
817168.63000000
0.066483529139
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
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
1405070.59120000
PA
USD
1500590.24000000
0.122085615239
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2044#V81064
3132L6FD8
7058.15910000
PA
USD
7842.38000000
0.000638043458
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 ARM 5.844% 4/36 #883882
31410A6T8
40514.69410000
PA
USD
42636.80000000
0.003468861665
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Variable
0.01935000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2015-C31
N/A
WFCM 2015-C31 XA CSTR 11/48
94989WAV9
8375996.89930000
PA
USD
282827.26000000
0.023010372267
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
0.01123935
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5345
3140J95F4
5087082.15340000
PA
USD
5398248.29000000
0.439192823018
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 6.50% 9/21 #G12375
3128M1Q44
40.27510000
PA
USD
40.27000000
0.000003276302
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 12/26 #C91019
3128P7DY6
16983.91790000
PA
USD
18761.11000000
0.001526373820
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2802 OB 6% 5/34
31394YPA6
221799.78260000
PA
USD
248693.09000000
0.020233270941
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/46#ZM1028
3131XUD95
122755.12400000
PA
USD
131397.05000000
0.010690253249
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 8.00% 11/22 #339502
36224VDF9
1108.17670000
PA
USD
1139.11000000
0.000092676162
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/29 #506350
31383LQB4
4393.90990000
PA
USD
5104.52000000
0.000415295560
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK7441
3138ECHT3
64603.08350000
PA
USD
70837.94000000
0.005763261186
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 FHAL 7% 12/28#252285
31371HF29
3856.66030000
PA
USD
4351.90000000
0.000354063604
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT3073
3138WQMX7
47880.32820000
PA
USD
51819.67000000
0.004215965241
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 30YR 3.5% 08/01/2046#AS7822
3138WHVQ2
371824.01880000
PA
USD
399859.44000000
0.032531922733
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 4.00% 10/41 #772072
36176PQZ2
75725.46540000
PA
USD
83502.22000000
0.006793606696
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2007-66 SB -1ML+3960 7/37
31396WYZ3
29889.57850000
PA
USD
54510.37000000
0.004434876278
Long
ABS-CBDO
USGSE
US
N
2
2037-07-25
Variable
0.39093720
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#778869
36176XCE7
47728.13060000
PA
USD
52629.65000000
0.004281863915
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2050#CA7616
3140QFPA1
1539635.46500000
PA
USD
1563325.84000000
0.127189683038
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2046#G08687
3128MJXR6
178430.89570000
PA
USD
191207.33000000
0.015556321705
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 09/01/2051 #TBA
01F020695
244300000.00000000
PA
USD
247779418.32000000
20.15893607922
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2044#AL5512
3138ENDS5
168195.15050000
PA
USD
186837.46000000
0.015200796090
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/32 #641058
31390BE79
8786.96070000
PA
USD
10381.27000000
0.000844603477
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 03/01/2033#AB0066
31416VCC6
107792.39880000
PA
USD
120424.96000000
0.009797581604
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3002 NE 5% 7/35
31395WMR5
137106.85140000
PA
USD
152748.76000000
0.012427394131
Long
ABS-CBDO
USGSE
US
N
2
2035-07-15
Fixed
0.05000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.25% MAC 09/15/23
N/A
37381000.00000000
NC
USD
38461.04000000
0.003129128529
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2023-09-15
0.00000000
USD
0.00000000
USD
37300372.07000000
USD
38461.04000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 9/35 #A47784
3128K8UH7
52065.78630000
PA
USD
61376.75000000
0.004993513942
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #344179
36203BJY1
208.33590000
PA
USD
213.84000000
0.000017397679
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% 3/27 #256653
31371NBW4
2238.70590000
PA
USD
2477.72000000
0.000201583325
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 4.50% 11/39 #004577
36202FCN4
5620.84400000
PA
USD
6246.38000000
0.000508195458
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
0.04500000
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
706897.23000000
0.057512024892
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 ARM 2.691% 02/01/2042#AK2344
3138E6TA4
18158.39960000
PA
USD
19140.75000000
0.001557260721
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Variable
0.02193000
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
1050949.46330000
PA
USD
1142284.22000000
0.092934412113
Long
ABS-CBDO
USGSE
US
N
2
2040-11-15
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CMBX AAA CY400081 08/17/61 B
N/A
4200000.00000000
NC
USD
-22662.36000000
-0.00184377326
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
31897.89000000
USD
0.00000000
USD
4200000.00000000
USD
-54560.25000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2042#C04038
31292LPX7
97388.20820000
PA
USD
105487.68000000
0.008582308460
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 3/30 #G02183
3128LXM80
1869.94210000
PA
USD
2011.12000000
0.000163621497
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #754005
36230NNW1
20010.92250000
PA
USD
21985.21000000
0.001788681425
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
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
16513162.06370000
PA
USD
389104.59000000
0.031656925386
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
0.00858787
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 2/27 #D97194
3128E37F5
3970.46420000
PA
USD
4330.98000000
0.000352361586
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 4.00% 12/41 #AK0300
3138E4KN0
11167.65450000
PA
USD
12245.45000000
0.000996270172
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 11/01/2050#QB6612
3133ADKZ8
169486.06900000
PA
USD
167020.94000000
0.013588555805
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.50% 4/42 #C03811
31292LGU3
2028188.86310000
PA
USD
2224913.04000000
0.181015356559
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #433864
36207J5Z2
212.51960000
PA
USD
240.94000000
0.000019602491
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 2% 10/01/2051 #TBA
01F0206A2
84100000.00000000
PA
USD
85140098.34000000
6.926861850965
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2996 ZD 5.5% 06/35
31395UZR5
285457.19970000
PA
USD
329443.13000000
0.026802964687
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 30YR 3.5% 11/01/2045#AS6262
3138WF5Y8
12748.92400000
PA
USD
13658.40000000
0.001111225518
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #741372
3620AVT51
103715.23430000
PA
USD
117864.60000000
0.009589274821
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #467721
36209CSJ6
18563.79060000
PA
USD
20965.38000000
0.001705709691
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/51#SD7541
3132DVLW3
13559150.19000000
PA
USD
13856766.76000000
1.127364319738
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #710465
36297FJJ2
355651.47980000
PA
USD
401238.96000000
0.032644158267
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2040#004799
36202FKL9
15423.75700000
PA
USD
16709.99000000
0.001359497986
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/40 #737790
3620ARUP4
13575.91550000
PA
USD
14981.03000000
0.001218832573
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
4374.98040000
PA
USD
4631.18000000
0.000376785377
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.02906000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 04/20/43#783976
3622A2MZ2
57519.41080000
PA
USD
62311.53000000
0.005069566143
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 12/01/2033#C91737
3128P74W0
423848.92030000
PA
USD
455779.20000000
0.037081464721
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.03500000
N
N
N
N
N
N
JPMBB COML MTG SECS TR 2013-C14
N/A
JPMBB COML MTG SEC TR 2013 C14 AS 4.409% 08/15/2046
46640LAH5
700000.00000000
PA
USD
735719.88000000
0.059856989469
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Fixed
0.04409300
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 3/42 #Q06886
3132GR6X4
155539.30020000
PA
USD
170584.99000000
0.013878521197
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 GTD MTG 2013-51 GI 3% 10/25/2032
3136AECM7
129117.30620000
PA
USD
8722.69000000
0.000709664068
Long
ABS-CBDO
USGSE
US
N
2
2032-10-25
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNMA 2017-H06 FA 12ML+35 08/66
38376RV60
2447823.78420000
PA
USD
2425525.09000000
0.197336831200
Long
ABS-CBDO
USGA
US
N
2
2066-08-20
Variable
0.00430000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 12/01/2036#BM3680
3140J8CS0
434222.88050000
PA
USD
472255.25000000
0.038421929724
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/22 #303819
36223CPC6
24.50440000
PA
USD
24.86000000
0.000002022569
Long
ABS-MBS
USGA
US
N
2
2022-05-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AE8265
31419KFF7
33027.74540000
PA
USD
36138.85000000
0.002940198875
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 03/01/2043#Q16470
3132J7T44
73816.63280000
PA
USD
79228.77000000
0.006445925657
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/39 #932130
31412QST7
174674.71820000
PA
USD
193971.26000000
0.015781190617
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 30YR 3% 10/01/2027#MA1219
31418AK98
182518.46070000
PA
USD
190624.95000000
0.015508940202
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 ARM 0.0% 01/01/2042#AJ8357
3138E1JB4
34367.53990000
PA
USD
36144.21000000
0.002940634956
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Variable
0.02175000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2042#MA0154
36179ME30
113649.38300000
PA
USD
123153.38000000
0.010019561480
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19764
3132JBJJ3
35211.86550000
PA
USD
38584.98000000
0.003139212089
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2587 IM 6.5% 3/33
31393NA66
41580.39150000
PA
USD
8424.00000000
0.000685363129
Long
ABS-CBDO
USGSE
US
N
2
2033-03-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #748112
3620C4DR8
34406.30690000
PA
USD
37896.47000000
0.003083196019
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 03/01/2049#ZN6553
3131YDH64
2294639.93600000
PA
USD
2458550.89000000
0.200023757320
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
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
892651.97290000
PA
USD
973347.44000000
0.079189986637
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 8.50% 9/22 #180010
31367U3T0
1005.83440000
PA
USD
1038.88000000
0.000084521610
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19597
3132JBDB6
91781.88940000
PA
USD
100574.13000000
0.008182549913
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 3.5% 12/20/2042 #MA0625
36179MVS6
312220.26650000
PA
USD
338232.30000000
0.027518037461
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 6.50% 3/35 #808134
31406EY73
964.81140000
PA
USD
1126.89000000
0.000091681963
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% 03/01/2039#AV6581
3138XJJ32
103969.94630000
PA
USD
113874.14000000
0.009264617395
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 30YR 4.5% 10/01/2044#AS3651
3138WDBV2
142035.04670000
PA
USD
156978.89000000
0.012771550723
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2048#MA3276
31418CUA0
2921282.15800000
PA
USD
3093618.52000000
0.251691841158
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 09/01/2051 #TBA
01F020695
-145500000.00000000
PA
USD
-147572269.20000000
-12.0062431417
Short
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 04/20/2051#MA7312
36179WDR6
4922165.35000000
PA
USD
5108896.55000000
0.415651629522
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
82782.90320000
PA
USD
90400.40000000
0.007354831557
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 11/33 #G01625
31283HYW9
491590.18810000
PA
USD
552359.93000000
0.044939118015
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 09/01/2051 #TBA
01F030694
-113550000.00000000
PA
USD
-118775071.38000000
-9.66334931282
Short
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2047#Q50031
3132XSA91
45694.99400000
PA
USD
49122.25000000
0.003996507476
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/32 #632677
31389Q2J6
13178.05880000
PA
USD
15272.26000000
0.001242526579
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12M+1.75 9/1/41 #1B8787
3128UHEK7
68171.83310000
PA
USD
71760.63000000
0.005838329765
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.02267000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 3/41 #004978
36202FQ74
34486.84450000
PA
USD
38453.65000000
0.003128527291
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18363
3132J9WZ7
19862.56100000
PA
USD
21765.29000000
0.001770789086
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/42#G07184
3128M9J52
5069920.93380000
PA
USD
5560346.55000000
0.452380877474
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 08/01/2048#ZS4785
3132A5J63
732785.96800000
PA
USD
784901.41000000
0.063858319871
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 10/32 #G01766
31283H6B6
57866.33900000
PA
USD
67157.25000000
0.005463806151
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
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 11/34 #A45143
3128K5WC2
16703.31500000
PA
USD
19775.63000000
0.001608913540
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 30YR 4.5% 04/01/2041#AH4043
3138A5P55
89135.18830000
PA
USD
99432.52000000
0.008089670354
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2218 ZB 6% 3/30
3133TNM84
28885.02310000
PA
USD
32072.64000000
0.002609378551
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2039#
312936C70
22580.72910000
PA
USD
25188.43000000
0.002049290266
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
CFMT 2020-HB4 LLC
N/A
CFMT 2020-HB4 A LLC 0% 12/26/2030 144A
12529LAA8
644299.83000000
PA
USD
645444.49000000
0.052512328525
Long
ABS-CBDO
CORP
US
N
2
2030-12-26
Fixed
0.00946100
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/41 #Q03529
3132GJSS9
18600.92170000
PA
USD
20754.84000000
0.001688580495
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 ARM 11/36 #995606
31416CAF3
6742.18200000
PA
USD
7093.97000000
0.000577154021
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.02000000
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
74836.46150000
PA
USD
3355.50000000
0.000272998098
Long
ABS-CBDO
USGSE
US
N
2
2041-06-25
Variable
0.06465620
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BM4980
3140J9RA1
721052.40820000
PA
USD
790641.32000000
0.064325309743
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 20YR 7.00% 12/26 #256589
31371M7A9
4446.32510000
PA
USD
4855.99000000
0.000395075558
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.92% 7/35 #822003
31406WGL2
55.92880000
PA
USD
58.46000000
0.000004756211
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.01725000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 5/42 #Q08167
3132GTMQ7
108492.60700000
PA
USD
118987.36000000
0.009680620774
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 ARM 3.753% 10/33 #746320
31403EDZ7
9565.49730000
PA
USD
10069.58000000
0.000819244878
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.02417000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 01/01/2036#G30933
3132J4HK8
870533.38420000
PA
USD
950955.09000000
0.077368180955
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2095 PE 6% 11/28
3133TGWC9
146635.31580000
PA
USD
163051.90000000
0.013265641076
Long
ABS-CBDO
USGSE
US
N
2
2028-11-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2043#MA0852
36179M5M8
397381.05020000
PA
USD
430488.10000000
0.035023821387
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745083
3620C0XL7
191514.89730000
PA
USD
217642.34000000
0.017707031721
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 01/01/2024#
3139883S4
2108.26910000
PA
USD
2205.12000000
0.000179405026
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 7.00% 8/29 #513757
36211HWS6
368.39550000
PA
USD
414.81000000
0.000033748276
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.0% 11/01/2031#MA0908
31418AAJ7
2510588.52580000
PA
USD
2719934.45000000
0.221289504548
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/51#QC1514
3133AKVF4
640472.00600000
PA
USD
652628.68000000
0.053096822701
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2028#MA1387
31418ARH3
92471.77010000
PA
USD
96767.76000000
0.007872869754
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 10/34 #605525
36200NVS7
86617.47570000
PA
USD
100751.65000000
0.008196992655
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
0.06500000
N
N
N
N
N
N
THORNBURG MTG SECS TR
N/A
TMST 2003-4 A1 1ML+64 9/43
885220DW0
882942.78590000
PA
USD
871625.84000000
0.070914080405
Long
ABS-CBDO
CORP
US
N
2
2043-09-25
Variable
0.00724380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 02/01/2024#
31335GEQ4
797.19300000
PA
USD
839.88000000
0.000068331289
Long
ABS-MBS
USGSE
US
N
2
2024-02-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/31 #556294
36213J7F6
3556.42600000
PA
USD
4132.82000000
0.000336239606
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
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 3/32 #C64888
31287QND9
6547.96110000
PA
USD
7617.26000000
0.000619728056
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.06500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT DEC21 FVZ1
N/A
-197.00000000
NC
USD
-17001.10000000
-0.00138318222
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2021-12-31
-24355592.65000000
USD
-17001.10000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #711188
36297GCZ1
5573.21500000
PA
USD
6315.97000000
0.000513857189
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 20YR 3.5% 01/01/2034#AS1612
3138WAYJ0
473428.03930000
PA
USD
508976.43000000
0.041409506034
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 3.50% 10/42 #MA0462
36179MQP8
516153.48420000
PA
USD
559317.13000000
0.045505144648
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 ARM 5.37% 6/36 #916726
31411WPK7
55903.45270000
PA
USD
58938.60000000
0.004795149968
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.02395000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 10/01/2051 #TBA
01F0306A1
61600000.00000000
PA
USD
64400878.08000000
5.239552152730
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2047#Q51296
3132XTNN4
74531.89440000
PA
USD
81211.79000000
0.006607260984
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2039#
312933G73
328966.30700000
PA
USD
366322.40000000
0.029803402946
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 5/46#Q40310
3132WDKY9
236821.05700000
PA
USD
253370.40000000
0.020613809381
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2045#G07949
3128MAEW5
615512.60180000
PA
USD
674860.27000000
0.054905549208
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13381
3132HPXJ8
9883.53680000
PA
USD
10807.16000000
0.000879253204
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 15YR 2.5% 05/01/2031#BC0919
3140EVAV9
171698.44470000
PA
USD
180083.90000000
0.014651337280
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.02500000
N
N
N
N
N
N
UPSTART SECURITIZATION TR 2021-1
N/A
UPSTART SECURITIZATION TR 2021-1 0.87% 03/20/2031 144A
91681NAA2
124846.01000000
PA
USD
125094.80000000
0.010177512297
Long
ABS-CBDO
CORP
US
N
2
2031-03-20
Fixed
0.00870000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 05/01/2024#
31335GE50
614.74720000
PA
USD
651.03000000
0.000052966756
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 6.50% 7/36 #658019
36294SAU1
1458.12560000
PA
USD
1721.78000000
0.000140081259
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.0% 06/01/2033#C91709
3128P73S0
59450.08410000
PA
USD
63358.55000000
0.005154750011
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
FNR 1993-165SH -2.81ML+2K 9/23
31359D5R0
3047.70620000
PA
USD
3437.99000000
0.000279709352
Long
ABS-CBDO
USGSE
US
N
2
2023-09-25
Variable
0.19561147
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2044#AX5347
3138Y65H3
441808.90600000
PA
USD
482929.25000000
0.039290349245
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 4.00% 7/41 #748144
3620C4ER7
15185.74650000
PA
USD
16759.16000000
0.001363498378
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 7.00% 7/28 #481798
36209UGF7
2473.74910000
PA
USD
2788.24000000
0.000226846734
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2047#BE8671
3140FUT57
31382.32500000
PA
USD
33324.39000000
0.002711218923
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 07/01/2032#C91467
3128P7TY9
1754585.66930000
PA
USD
1881831.03000000
0.153102754469
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6417
3140QEDX7
5616213.16800000
PA
USD
5927170.54000000
0.482225088979
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/47#BH1008
3140GPDN5
29713.67420000
PA
USD
32396.54000000
0.002635730535
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
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
9714065.11930000
PA
USD
329638.06000000
0.026818823879
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
0.01198693
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 11/41 #005234
36202FY75
2230.93400000
PA
USD
2487.54000000
0.000202382264
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/32 #638545
31389XL27
3624.47930000
PA
USD
4282.85000000
0.000348445807
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 30YR 3% 04/01/2051#CB0189
3140QKF78
1305178.59100000
PA
USD
1373364.78000000
0.111734755861
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
1164996.13380000
PA
USD
1248338.56000000
0.101562823122
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3949 MK 4.5% 10/34
3137AFZS4
97328.34030000
PA
USD
106797.84000000
0.008688900977
Long
ABS-CBDO
USGSE
US
N
2
2034-10-15
Fixed
0.04500000
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
117582.95000000
0.009566360229
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 30YR 2.5% 05/01/2051#FM7352
3140XBE22
4244961.01900000
PA
USD
4452031.07000000
0.362210107568
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 11/20/2043#MA1448
36179NTD0
15175.94100000
PA
USD
16411.84000000
0.001335240980
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AI5034
3138AJSY9
25330.92640000
PA
USD
28771.49000000
0.002340802281
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2048#ZM8580
3131Y3Q90
744257.06900000
PA
USD
796955.75000000
0.064839041640
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 3/35 #255661
31371L5W5
1099.03000000
PA
USD
1296.66000000
0.000105494177
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#768109
36176KDN4
24125.14870000
PA
USD
26611.19000000
0.002165043738
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/29 #514330
36211JLK1
323.29940000
PA
USD
369.49000000
0.000030061113
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2046#G60440
31335APZ5
2332291.29840000
PA
USD
2533640.11000000
0.206132895829
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 7.50% 8/25 #318167
31374MMQ4
273.22130000
PA
USD
298.13000000
0.000024255378
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
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
31035.48540000
PA
USD
33588.92000000
0.002732740660
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 4.50% 1/41 #004946
36202FP75
346990.79460000
PA
USD
386902.96000000
0.031477804300
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 06/01/2029#
31293RUJ8
869.71820000
PA
USD
981.33000000
0.000079839434
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#AL9489
3138ERRK8
357970.20040000
PA
USD
384849.18000000
0.031310712053
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 11/01/2029#
31293YAH9
770.10060000
PA
USD
886.15000000
0.000072095742
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+50 10/20/2049
38382AFL4
451613.91500000
PA
USD
455579.76000000
0.037065238602
Long
ABS-CBDO
USGA
US
N
2
2049-10-20
Variable
0.00588380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2046#BD0711
3140F7YH6
165060.27530000
PA
USD
178227.91000000
0.014500336910
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2042#Q09230
3132GUST2
990193.63500000
PA
USD
1085668.01000000
0.088328208070
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/46#BC1776
3140EV6N2
112481.26920000
PA
USD
122950.20000000
0.010003031081
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 30YR 3.5% 10/01/2047#BH4101
3140GSRX2
2707567.29700000
PA
USD
2872584.32000000
0.233708853147
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
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
2848970.32220000
PA
USD
42816.61000000
0.003483490719
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Variable
0.00815656
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/41 #Q02849
3132GGEW1
11030.15430000
PA
USD
12307.41000000
0.001001311138
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% 06/20/2046#AR3125
36192XPJ2
48473.27370000
PA
USD
52451.14000000
0.004267340627
Long
ABS-MBS
USGA
US
N
2
2046-06-20
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
9722.70510000
PA
USD
9743.51000000
0.000792716346
Long
ABS-CBDO
MUN
US
N
2
2025-07-25
Variable
0.00925250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2042#AL5881
3138ENRB7
94260.27830000
PA
USD
105149.69000000
0.008554810136
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 12/01/2050#QB7301
3133AEDE1
116347.13200000
PA
USD
114654.90000000
0.009328138777
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2049#FM2190
3140X5NG4
303833.03600000
PA
USD
321163.76000000
0.026129368422
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 3.50% 5/42 #MA0088
36179MCZ1
284437.93200000
PA
USD
308402.00000000
0.025091092096
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
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 1/35 #G06928
3128M9A51
47439.45690000
PA
USD
53397.63000000
0.004344345536
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/32 #254335
31371KPU9
40162.56150000
PA
USD
47369.62000000
0.003853916310
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #782989
36241LKA3
354610.23570000
PA
USD
401933.50000000
0.032700664928
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
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
499701.70000000
0.040654928876
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.01345500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2046#G60603
31335AU48
1808281.63700000
PA
USD
1953090.46000000
0.158900307406
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
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
290567.78000000
PA
USD
298724.02000000
0.024303707165
Long
ABS-CBDO
CORP
US
N
2
2058-04-25
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783295
36241LUU8
197947.68430000
PA
USD
224952.72000000
0.018301792513
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/25 #406831
36206B4Q1
397.51410000
PA
USD
424.70000000
0.000034552910
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 2/1/43 #AR5859
3138W3QM8
41158.35320000
PA
USD
44544.64000000
0.003624080468
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 15YR 3% 05/01/2028#MA1449
31418ATF5
93388.94020000
PA
USD
97834.44000000
0.007959653128
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
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 1ML+40 05/20/2049
38381VKY5
207701.66000000
PA
USD
210522.04000000
0.017127735533
Long
ABS-CBDO
USGA
US
N
2
2049-05-20
Variable
0.00488380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK5316
3138E94A5
41667.66810000
PA
USD
45689.02000000
0.003717185389
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 06/15/2041#783838
3622A2HP0
32504.23140000
PA
USD
37023.02000000
0.003012133528
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2048#MA5192
36179TXV2
1929070.83400000
PA
USD
2057599.23000000
0.167402973319
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 7.00% 4/32 #781432
36225BSV1
102337.73960000
PA
USD
118160.49000000
0.009613347957
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 1/1/43 #Q14696
3132HRGD6
146575.19820000
PA
USD
158008.97000000
0.012855356380
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3548
3138E75J9
21573.08910000
PA
USD
23655.11000000
0.001924541810
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 5.0% 09/01/2033#AL7521
3138EQLB6
2322432.95660000
PA
USD
2612332.28000000
0.212535164572
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 351 13 6% 3/34
3136FCJC1
44021.84770000
PA
USD
8008.28000000
0.000651540816
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 6.50% 9/21 #G18141
3128MMEP4
114.27520000
PA
USD
114.26000000
0.000009296010
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 4.50% 7/25 #G13844
3128MCP58
96632.72430000
PA
USD
101560.75000000
0.008262819734
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1ML+24 03/25/2031
3137FYZC3
6100000.00000000
PA
USD
6105439.37000000
0.496728755075
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Variable
0.00290000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745232
3620C04R6
115790.11920000
PA
USD
131586.80000000
0.010705691005
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 2.5% 06/01/2050#CA5966
3140QDTY0
3856348.23700000
PA
USD
4040545.17000000
0.328732274696
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK1510
3138E5VC9
53079.96080000
PA
USD
58202.72000000
0.004735279952
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 07/20/2043#635118
36291QSF2
103956.44470000
PA
USD
113851.86000000
0.009262804730
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #783143
36241LP42
115002.37690000
PA
USD
126879.42000000
0.010322706118
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #462495
36208VXY6
136.71710000
PA
USD
153.79000000
0.000012512107
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 6.50% 5/26 #C90975
3128P7CL5
6940.98360000
PA
USD
7594.11000000
0.000617844609
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 01/01/2027#
31283GW60
412.97620000
PA
USD
457.70000000
0.000037237737
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07500000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
325768574.20700000
NS
USD
325833727.92000000
26.50930952268
Long
STIV
RF
US
N
1
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2274 ZM 6.5% 1/31
3133TR4H5
43846.49500000
PA
USD
49493.41000000
0.004026704458
Long
ABS-CBDO
USGSE
US
N
2
2031-01-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2048#ZA5490
31329PC35
75769.57400000
PA
USD
80209.88000000
0.006525747194
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 1/32 #C62372
31287MT59
73128.25490000
PA
USD
84984.74000000
0.006914222145
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-20 Z 6% 5/31
31359SXB1
128893.61990000
PA
USD
143817.75000000
0.011700781481
Long
ABS-CBDO
USGSE
US
N
2
2031-05-25
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 09/39#G05624
3128M7SM9
96614.31260000
PA
USD
107587.28000000
0.008753128549
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 30YR 3.5% 09/01/2046#BD7792
3140FFUS8
502935.49060000
PA
USD
543057.02000000
0.044182248177
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AL1521
3138EHVP4
472009.46680000
PA
USD
517563.19000000
0.042108111056
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 2.5% 07/20/2051#MA7472
36179WJR0
2350161.53600000
PA
USD
2439870.02000000
0.198503911698
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #545934
36212WPT8
84841.71810000
PA
USD
96237.96000000
0.007829766076
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/24 #403684
36205XM92
5943.40400000
PA
USD
6420.20000000
0.000522337175
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 4.00% 10/40 #737559
3620ARMG3
342119.32960000
PA
USD
377566.72000000
0.030718222787
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% 10/40 #004833
36202FLN4
1118989.41720000
PA
USD
1225082.59000000
0.099670754702
Long
ABS-MBS
USGA
US
N
2
2040-10-20
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 1ML+ 06/25/2035
31394D4V9
172927.93930000
PA
USD
32295.26000000
0.002627490557
Long
ABS-CBDO
USGSE
US
N
2
2035-06-25
Variable
0.06635620
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP7882
3138MBXL5
177979.13300000
PA
USD
192733.55000000
0.015680492516
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CMBX AAACDSIGEN 8/61
N/A
2200000.00000000
NC
USD
-11870.76000000
-0.00096578599
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
23901.38000000
USD
0.00000000
USD
2200000.00000000
USD
-35772.14000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2520 BE 6% 11/32
31392XV96
88959.81170000
PA
USD
101782.99000000
0.008280900824
Long
ABS-CBDO
USGSE
US
N
2
2032-11-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/32 #003216
36202DSD4
13837.80380000
PA
USD
16032.49000000
0.001304377673
Long
ABS-MBS
USGA
US
N
2
2032-03-20
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 5/1/43 #AT0347
3138WML58
238646.39890000
PA
USD
260145.38000000
0.021165010888
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2041#Q02721
3132GGAW5
10635.67300000
PA
USD
11664.49000000
0.000949004198
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04000000
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
38942.30180000
PA
USD
2525.47000000
0.000205468188
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 3.50% 9/42 #AP3391
3138M6XV4
44663.69580000
PA
USD
48366.30000000
0.003935004596
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
COMM 2006 FL12
N/A
COMM 2014-CR20 XA CSTR 11/10/2047
12592LBK7
3885430.23490000
PA
USD
105650.68000000
0.008595569879
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Variable
0.01151482
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2049#BM5577
3140JAFT0
845853.06000000
PA
USD
955295.62000000
0.077721319514
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/47#Q46995
3132WLXZ4
32254.95770000
PA
USD
35312.11000000
0.002872936635
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.04500000
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
169823.16000000
0.013816539930
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03283000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 02/01/2047#Q47737
3132WMS39
30233.49910000
PA
USD
33117.95000000
0.002694423296
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2042#Q11138
3132HMHP9
67518.37250000
PA
USD
74028.49000000
0.006022839217
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
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
1366238.76920000
PA
USD
1378245.00000000
0.112131802733
Long
ABS-CBDO
CORP
US
N
2
2037-10-25
Variable
0.01434380
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2042#AB8144
36178VBM2
15821.57780000
PA
USD
17436.51000000
0.001418606488
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-52 HI 7% 4/41
38377VGY6
493113.18010000
PA
USD
93598.50000000
0.007615023844
Long
ABS-CBDO
USGA
US
N
2
2041-04-16
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/46#BM3928
3140J8LJ0
1700362.11820000
PA
USD
1892938.84000000
0.154006468076
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55720
3132XYLA3
33101.52100000
PA
USD
35801.81000000
0.002912777841
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3297 BI 1ML+676 4/37
31397GRY8
281385.41940000
PA
USD
64371.11000000
0.005237130269
Long
ABS-CBDO
USGSE
US
N
2
2037-04-15
Variable
0.06664500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/26 #256507
31371M3Q8
13416.73800000
PA
USD
14737.81000000
0.001199044584
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3% 04/01/2033#K90336
3132J2LR2
55548.12290000
PA
USD
59130.63000000
0.004810773221
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
S6XOOCT0IEG5ABCC6L87
FGLMC 30YR 3.5% 09/46#Q43176
3132WGQ67
432481.34230000
PA
USD
465222.73000000
0.037849775176
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 10/01/2051 #TBA
01F0306A1
-61600000.00000000
PA
USD
-64400878.08000000
-5.23955215273
Short
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
0.03000000
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
328622.60000000
PA
USD
328848.63000000
0.026754597120
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Variable
0.00976000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2502
3140X5X81
1488023.29800000
PA
USD
1562555.86000000
0.127127038700
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 12/15/2040#746175
3620C16L5
22534.67990000
PA
USD
24859.42000000
0.002022522540
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/25 #387082
36205C6T2
853.34950000
PA
USD
940.23000000
0.000076495604
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/24 #385903
36205BU42
12.15250000
PA
USD
12.72000000
0.000001034878
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 12/20/44#MA2446
36179QWF4
41645.59340000
PA
USD
45360.60000000
0.003690465665
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2043#MA1375
36179NQ43
7047.34800000
PA
USD
7621.27000000
0.000620054304
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 3.5% 04/20/2043#MA0934
36179NBB3
634195.38140000
PA
USD
687032.16000000
0.055895834656
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/46#BC9077
3140F5CP6
1642708.25100000
PA
USD
1772214.77000000
0.144184551361
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 30YR 3% 07/46#AS7533
3138WHLP5
2422029.13990000
PA
USD
2590380.51000000
0.210749203771
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 04/01/2030#
31292HCG7
65.38880000
PA
USD
76.01000000
0.000006184051
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#BC2778
3140EXCQ4
242249.77730000
PA
USD
254232.25000000
0.020683928115
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 07/15/2043#AC1095
36179AGC4
75260.72040000
PA
USD
81187.11000000
0.006605253059
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03500000
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
113691.63440000
PA
USD
236527.04000000
0.019243460625
Long
ABS-CBDO
USGSE
US
N
2
2037-06-25
Variable
0.40113720
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/22 #297620
362205SH0
311.87360000
PA
USD
317.16000000
0.000025803628
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21605
3132JNYA9
81073.99590000
PA
USD
88840.47000000
0.007227918154
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% 09/01/2049#BN7756
3140JQTN3
5402941.04230000
PA
USD
5693225.40000000
0.463191687596
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 06/01/2044#Q26541
3132M65A4
34521.90240000
PA
USD
37818.14000000
0.003076823216
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 12/01/2047#G61305
31335BNW2
2173147.42390000
PA
USD
2344652.00000000
0.190757126304
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 II 3.5% 06/20/2046#AS4297
36193NX21
151728.48910000
PA
USD
164179.80000000
0.013357405212
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% 8/39 #698474
36296Q6K0
297435.73540000
PA
USD
336629.85000000
0.027387664700
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/41 #Q02511
3132GFYG6
14143.42220000
PA
USD
15781.18000000
0.001283931494
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% 04/20/46#AS7319
36193TDY0
38310.42080000
PA
USD
41597.96000000
0.003384343309
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/39 #G05457
3128M7ME3
131917.64320000
PA
USD
146760.58000000
0.011940205410
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK2525
3138E6YX8
58847.51810000
PA
USD
64526.90000000
0.005249805094
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 4% 10/01/2046#BE4159
3140FPTR0
107936.66060000
PA
USD
117915.16000000
0.009593388302
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
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
224795.02270000
PA
USD
274991.12000000
0.022372836485
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 4.00% 10/41 #AJ3485
3138AU2T3
39144.64400000
PA
USD
42922.50000000
0.003492105759
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 30YR 4% 06/01/2039#AS2599
3138WB3H6
51494.75830000
PA
USD
56400.16000000
0.004588626561
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 07/01/2029#
31293SRE1
9263.68020000
PA
USD
10517.83000000
0.000855713780
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-170 B 4% 12/40
38377NRP1
240498.55430000
PA
USD
260611.79000000
0.021202957258
Long
ABS-CBDO
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
S6XOOCT0IEG5ABCC6L87
FHR 3336 LI 1ML+658 6/37
31397J7J7
124052.26840000
PA
USD
25206.01000000
0.002050720547
Long
ABS-CBDO
USGSE
US
N
2
2037-06-15
Variable
0.06484500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 11/40 #004854
36202FMB9
441200.76350000
PA
USD
491949.31000000
0.040024206860
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% #AL9282
3138ERJ43
63317.49000000
PA
USD
68894.03000000
0.005605107786
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #323348
36224BEV7
16.44250000
PA
USD
16.95000000
0.000001379024
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 4.5% 03/01/2041#AH7219
3138A9AV6
240264.55390000
PA
USD
268021.09000000
0.021805766022
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 5.00% 5/39 #713327
36297JPL2
69415.65460000
PA
USD
79202.94000000
0.006443824170
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 7/29 #C47273
31298GCJ7
39394.96150000
PA
USD
45459.67000000
0.003698525841
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07000000
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
1116250.79510000
PA
USD
1148364.10000000
0.093429061398
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 30YR 3.5% 08/01/2043#AU3741
3138X3EP3
1695004.64710000
PA
USD
1847702.87000000
0.150326142107
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 1658 GZ 7 1/24
3133T3TD0
44868.24760000
PA
USD
47814.90000000
0.003890143577
Long
ABS-CBDO
USGSE
US
N
2
2024-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2045#MA3035
36179RLQ0
1054058.67860000
PA
USD
1144792.26000000
0.093138462225
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 12/34 #G05423
3128M7LC8
198177.37360000
PA
USD
223741.50000000
0.018203249597
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 12/38 #782537
36241KZA9
3651.34220000
PA
USD
4201.62000000
0.000341837064
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
0.05500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE FUT (CBT)DEC21 TUZ1
N/A
-508.00000000
NC
USD
-71752.62000000
-0.00583767808
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2021-12-31
-111854934.88000000
USD
-71752.62000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/01/2048#ZM8169
3131Y3CE4
778298.08000000
PA
USD
840703.65000000
0.068398300620
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/41 #489862
36210EFB0
308492.76130000
PA
USD
340173.95000000
0.027676006991
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2028#MA1580
31418AXJ2
105054.77670000
PA
USD
110174.42000000
0.008963614110
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2043#Q23023
3132M3AY3
629186.09520000
PA
USD
694398.97000000
0.056495186503
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2045#AL9296
36184HKH6
85254.18350000
PA
USD
90302.67000000
0.007346880401
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/47#Q48877
3132WN2K7
576867.11930000
PA
USD
630866.15000000
0.051326258163
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 4.50% 5/40 #736729
3620AQPN7
232887.91620000
PA
USD
264659.67000000
0.021532286282
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.04500000
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
1298521.96000000
PA
USD
1298521.57000000
0.105645632331
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01216000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/32 #644942
31390FP37
119.85890000
PA
USD
126.91000000
0.000010325194
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 03/01/2040#MA3965
31418DMP4
1252501.01500000
PA
USD
1302912.93000000
0.106002906338
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 01/01/2024#
31335GC45
319.02990000
PA
USD
335.52000000
0.000027297369
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 7.50% 12/22 #337813
36224TGW4
423.28390000
PA
USD
437.39000000
0.000035585348
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 7.50% 11/22 #339862
36224VQP3
148.77570000
PA
USD
150.58000000
0.000012250947
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
COMM 2014-LC17 MTG TR
N/A
COMM 2014-LC17 XA CSTR 10/47
12592MBL3
12634786.65420000
PA
USD
222259.80000000
0.018082700861
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
0.00880863
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2037#BM1951
3140J6EZ6
445552.45300000
PA
USD
465998.68000000
0.037912905223
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 4.50% 5/42 #MA0090
36179MC32
32603.41920000
PA
USD
36353.59000000
0.002957669777
Long
ABS-MBS
USGA
US
N
2
2042-05-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/01/2051 #TBA
21H040699
-18300000.00000000
PA
USD
-19386939.48000000
-1.57729030279
Short
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/29 #488964
36210DFD8
902.77680000
PA
USD
1038.31000000
0.000084475236
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/33 #604574
36200MT78
635.77010000
PA
USD
705.05000000
0.000057361737
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.04500000
N
N
N
N
N
N
FAHB 2021-HB1
N/A
FAHB 2021-HB1 VAR 02/25/2031 144A
31735RAA5
792097.69000000
PA
USD
792084.78000000
0.064442747333
Long
ABS-CBDO
CORP
US
N
2
2031-02-25
Variable
0.00875400
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2043#AV0047
3138XBBR4
31469.75500000
PA
USD
35065.96000000
0.002852910265
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY451600 12/16/72 B
N/A
1270000.00000000
NC
USD
-2487.04000000
-0.00020234158
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
0.00000000
USD
3455.00000000
USD
1270000.00000000
USD
967.96000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/49#CA4421
3140QB4F2
3002364.32400000
PA
USD
3163672.65000000
0.257391332820
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 8.50% 8/22 #050618
313615G34
12.21030000
PA
USD
12.55000000
0.000001021047
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 7.50% 10/28 #483492
36209WC59
2026.88470000
PA
USD
2322.04000000
0.000188917450
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #434035
36207KEG1
412.24130000
PA
USD
470.34000000
0.000038266108
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2041#656540
36294QLV1
5918.35160000
PA
USD
6526.15000000
0.000530957097
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 4/32 #C01344
31292HP57
67108.68920000
PA
USD
77409.61000000
0.006297921717
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 7.00% 8/26 #256430
31371MY35
10525.00100000
PA
USD
11622.01000000
0.000945548093
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 7.50% 3/32 #639704
31389YU58
5027.74290000
PA
USD
5950.29000000
0.000484106051
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
461194.49960000
PA
USD
490846.03000000
0.039934445768
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #768770
36176K2B2
29870.58910000
PA
USD
32996.73000000
0.002684561031
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 06/20/2050#MA6710
36179VN30
3588705.58100000
PA
USD
3748475.47000000
0.304969952333
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 4/41 #A97942
312946ZF6
56423.76440000
PA
USD
62957.44000000
0.005122116345
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55141
3132XXWB1
31937.70450000
PA
USD
34276.08000000
0.002788646895
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 7.00% 11/26 #256546
31371M5F0
2982.31340000
PA
USD
3310.55000000
0.000269341038
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.07000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2012-C6
N/A
JPMCC 2012-C6 AS 4.1166% 5/45
46634SAF2
200000.00000000
PA
USD
203464.36000000
0.016553534007
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Fixed
0.04116600
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 12/40 #004882
36202FM78
8416.13560000
PA
USD
9214.37000000
0.000749666364
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 04/01/2046#Q39717
3132QWYP8
94880.34070000
PA
USD
101510.69000000
0.008258746932
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA STRIPPED MTG BKD SECS
N/A
FNS 384 6 5% 7/37
3136FER61
89841.48430000
PA
USD
15548.00000000
0.001264960343
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% 11/01/2027#MA1257
31418AMF2
55900.49830000
PA
USD
58383.95000000
0.004750024534
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2049#FM5425
3140X9A39
16994.40700000
PA
USD
17996.96000000
0.001464203801
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/49#BJ9513
3140HBSB5
2302001.98000000
PA
USD
2472874.52000000
0.201189104884
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
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 1/36 #A54473
3128KG6J2
20154.92910000
PA
USD
23726.60000000
0.001930358122
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2043#Q15174
3132J6FQ2
17647.10720000
PA
USD
19343.12000000
0.001573725220
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% 06/20/2050#MA6711
36179VN48
39741392.79500000
PA
USD
41825975.89000000
3.402894316786
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2046#BC6148
3140F1ZN5
201927.51570000
PA
USD
219522.51000000
0.017859999337
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#769036
36176LEH4
16563.56790000
PA
USD
18305.06000000
0.001489270323
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT0668
3138WMW64
52133.16790000
PA
USD
56422.41000000
0.004590436785
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 4.00% 4/42 #AK6409
3138EBDP7
71168.48190000
PA
USD
78036.97000000
0.006348962721
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745094
3620C0XX1
264140.29780000
PA
USD
300175.66000000
0.024421810267
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
AFFRM 2021-A
N/A
AFFRM 2021-A 0.88% 08/15/2025 144A
00833MAA2
450000.00000000
PA
USD
450892.26000000
0.036683871120
Long
ABS-CBDO
CORP
US
N
2
2025-08-15
Fixed
0.00880000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FGLMC 3871 KB 5.5% 06/41
3137AC7K9
507521.22020000
PA
USD
590873.36000000
0.048072508911
Long
ABS-CBDO
USGSE
US
N
2
2041-06-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2047#MA3057
31418CMF8
2683227.50600000
PA
USD
2861015.75000000
0.232767652846
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3786 HI 4% 3/38
3137A5SJ4
25613.73450000
PA
USD
148.05000000
0.000012045110
Long
ABS-CBDO
USGSE
US
N
2
2038-03-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.36% 7/36 #1B7105
3128QPH96
31409.23320000
PA
USD
33249.69000000
0.002705141451
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
0.02295000
N
N
N
N
N
N
CLUB 2019-HP1 A
N/A
CLUB 2019-HP1 A 2.59% 12/15/2026 144A
21055MAA9
487239.13700000
PA
USD
490710.67000000
0.039923433096
Long
ABS-CBDO
CORP
US
N
2
2026-12-15
Fixed
0.02590000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 348 14 6.5% 8/34
3136FCEU6
49563.87340000
PA
USD
10867.98000000
0.000884201422
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 7.50% 2/22 #312996
36223NUV4
132.55260000
PA
USD
133.83000000
0.000010888194
Long
ABS-MBS
USGA
US
N
2
2022-02-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/41 #Q03643
3132GJWC9
223919.28300000
PA
USD
249848.35000000
0.020327261042
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 10/01/2049#QA3257
31339STN5
677261.96350000
PA
USD
713649.28000000
0.058061360850
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2154 PT 6% 5/29
3133TKW97
108489.30540000
PA
USD
120875.83000000
0.009834263664
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55504
3132XYDJ3
84685.69670000
PA
USD
91594.03000000
0.007451943379
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 06/01/2032#C91456
3128P7TM5
1886225.27210000
PA
USD
2023017.35000000
0.164589447026
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
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 2005-79 ZC 5.9% 09/25/2035
31394FGT6
176465.61970000
PA
USD
201855.33000000
0.016422625907
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% 4/28 #458840
36208RV92
1166.88260000
PA
USD
1329.93000000
0.000108200971
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#SD7521
3132DVLA1
6444260.13000000
PA
USD
6774219.78000000
0.551139656625
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2051#RA5574
3133KMFP5
4536093.64800000
PA
USD
4744253.17000000
0.385984828950
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02500000
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
66766.12180000
PA
USD
14580.59000000
0.001186253417
Long
ABS-CBDO
USGA
US
N
2
2037-06-16
Variable
0.06594500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 05/15/2042#AA1859
36177YB47
20740.92750000
PA
USD
22870.95000000
0.001860743810
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% 12/01/2049#FM2077
3140X5JX2
13481373.85100000
PA
USD
14416335.44000000
1.172889930092
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/40 #AE3832
31419EHJ1
62361.71650000
PA
USD
69566.05000000
0.005659782256
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 06/20/2042#783637
3622A2BE1
649218.52630000
PA
USD
692577.10000000
0.056346962082
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 05/51#FM7750
3140XBTG5
841141.95800000
PA
USD
858027.46000000
0.069807738018
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #711223
36297GD49
717807.33720000
PA
USD
813077.17000000
0.066150654516
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 06/01/2051#QC3131
3133AMPQ3
107456.05000000
PA
USD
105960.29000000
0.008620759252
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2049#BN2615
3617K53Y8
589291.65980000
PA
USD
644253.54000000
0.052415434743
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H17 FA 1ML+33 7/60
38375BDY5
159965.82780000
PA
USD
160003.40000000
0.013017620006
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Variable
0.00416130
N
N
N
N
N
N
BENCHMARK 2019-B14 MTG TR
N/A
BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061
08162YAK8
7272201.74000000
PA
USD
332773.77000000
0.027073940215
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.00910503
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2048#ZN1277
3131Y7M20
152865.22700000
PA
USD
165026.74000000
0.013426310892
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2049#CA4406
3140QB3Q9
3474549.01800000
PA
USD
3692714.56000000
0.300433334126
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% 11/01/2042#AP4319
3138M7YR0
27252.02390000
PA
USD
29494.18000000
0.002399599181
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-33 PK 6% 7/29
31359WKN0
93349.50830000
PA
USD
103616.48000000
0.008430070629
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #650527
31390MVU5
561.98480000
PA
USD
661.79000000
0.000053842173
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
438492.64680000
PA
USD
465151.68000000
0.037843994662
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 07/01/2032#J37270
31307UCF3
44901.33710000
PA
USD
47941.65000000
0.003900455753
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q33791
3132QQF98
581228.94220000
PA
USD
626139.57000000
0.050941711195
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#BP2186
3140K9NC9
6640084.35400000
PA
USD
7066350.55000000
0.574906947545
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3% 2/1/43 #Q15788
3132J62W3
69009.01740000
PA
USD
74392.15000000
0.006052426011
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#Q49738
3132WPZC4
28869.19190000
PA
USD
31492.67000000
0.002562193122
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2040#
312944LX7
43264.11130000
PA
USD
48273.94000000
0.003927490335
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 9/42 #MA0392
36179MNH9
303661.26780000
PA
USD
329055.12000000
0.026771396815
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-32 PL 6% 7/29
31359WHX2
134956.84810000
PA
USD
149629.91000000
0.012173649497
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #484239
36209W4Y5
139.85100000
PA
USD
157.94000000
0.000012849745
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 3.5% 05/01/2047#MA3026
31418CLG7
5889.78500000
PA
USD
6295.22000000
0.000512169002
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
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
573714.67000000
PA
USD
683974.31000000
0.055647052885
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Variable
0.09823240
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 11/42 #MA0534
36179MSX9
285838.76070000
PA
USD
309742.20000000
0.025200128619
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 08/01/2041#AI5189
3138AJXT4
13715.24930000
PA
USD
15573.83000000
0.001267061831
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/32 #638123
31389W4G7
19728.82760000
PA
USD
23335.95000000
0.001898575465
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.07500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CMBX AAACDSIGEN 08/61
N/A
1100000.00000000
NC
USD
-5935.38000000
-0.00048289299
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
0.00000000
USD
4254.29000000
USD
1100000.00000000
USD
-1681.09000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #404745
31378PTA1
174.46920000
PA
USD
197.40000000
0.000016060147
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
1720000.00000000
NC
USD
-3368.28000000
-0.00027403785
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
0.00000000
USD
9447.93000000
USD
1720000.00000000
USD
6079.65000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #726298
3620AC3F9
65939.11210000
PA
USD
75263.69000000
0.006123333108
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 7.50% 6/32 #644836
31390FLR8
4981.10400000
PA
USD
5843.61000000
0.000475426737
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 15YR 3% 02/01/2033#BM5108
3140J9VA6
2864415.04020000
PA
USD
3024408.09000000
0.246060991575
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/30 #515311
36211KN42
720.53000000
PA
USD
829.52000000
0.000067488416
Long
ABS-MBS
USGA
US
N
2
2030-02-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #251298
31371GDB3
1305.50810000
PA
USD
1467.80000000
0.000119417853
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 04/01/2046#Q40165
3132WDFF6
116662.13780000
PA
USD
124814.63000000
0.010154718115
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2042#G07368
3128M9QV7
522050.61680000
PA
USD
572386.69000000
0.046568463089
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 2.5% 08/01/2051#CB1384
3140QLRE8
6644375.88600000
PA
USD
6953436.37000000
0.565720430955
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/49#CA4861
3140QCMK9
2741373.42500000
PA
USD
2947429.58000000
0.239798143462
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2044#Q24255
3132M4MC6
5621.75930000
PA
USD
6158.54000000
0.000501048937
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
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
5925.72700000
PA
USD
6435.81000000
0.000523607179
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.04000000
N
N
N
N
N
N
BRASS NO 10 PLC
213800UCE3NFG8SQKH09
BRASS NO 10 PLC VAR 04/16/2069 144A
10554PAA1
822754.47000000
PA
USD
823301.60000000
0.066982497742
Long
ABS-CBDO
CORP
GB
N
2
2069-04-16
Variable
0.00669000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2050#BK2249
3140HFQB8
7282900.81900000
PA
USD
7750433.19000000
0.630562813985
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2045#BM4643
3140J9ER8
355374.79510000
PA
USD
392199.87000000
0.031908752402
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04500000
N
N
N
N
N
N
BANK 2021-BNK33
N/A
BANK 2021-BNK33 VAR 05/15/2064
06541CBR6
7338690.83000000
PA
USD
590813.78000000
0.048067661577
Long
ABS-MBS
CORP
US
N
2
2064-05-15
Variable
0.01176630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2049#CA4557
3140QCB39
1293747.51000000
PA
USD
1390992.43000000
0.113168913193
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AD8812
36180MYH4
141269.32690000
PA
USD
151587.05000000
0.012332879268
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21900
3132JPDD1
26120.98360000
PA
USD
28615.08000000
0.002328077015
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 06/15/2042#AA7852
36178FWM4
9713.90300000
PA
USD
10708.45000000
0.000871222317
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 3.5% 10/01/2045#AZ4750
3138YWH42
266846.80600000
PA
USD
286966.98000000
0.023347173247
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 10/28 #780881
36225A6S4
19779.83910000
PA
USD
22202.58000000
0.001806366299
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.08500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 05/01/2033#AT3000
3138WQKN1
56725.34920000
PA
USD
60437.79000000
0.004917121662
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 6.50% 12/23 #265603
31371YAC5
707.84640000
PA
USD
741.52000000
0.000060328877
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#BJ6650
3140H8L86
132692.81580000
PA
USD
140104.43000000
0.011398671721
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.54% 4/37 #918912
31411Y3V3
25136.55220000
PA
USD
26350.50000000
0.002143834418
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Variable
0.01779000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #737177
3620AQ6N8
260693.14460000
PA
USD
297611.83000000
0.024213221170
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2049#CA3726
3140QBD88
1950049.61200000
PA
USD
2095102.30000000
0.170454162946
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719228
3620A5A58
290283.18670000
PA
USD
329885.10000000
0.026838922657
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 7.50% 11/22 #338168
36224TTZ3
186.97960000
PA
USD
192.35000000
0.000015649287
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 6/46#V82414
3132L7VF3
1604190.02770000
PA
USD
1716292.75000000
0.139634825503
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 II 3.5% 11/20/2047#784391
3622A22Y7
2851934.83790000
PA
USD
3099341.90000000
0.252157486176
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/22 #174330
31367NST9
32.83520000
PA
USD
33.40000000
0.000002717370
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2039#A89270
312936JP3
504288.80580000
PA
USD
562013.23000000
0.045724495020
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/40 #004800
36202FKM7
876686.63980000
PA
USD
959766.02000000
0.078085024088
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 5.50% 6/22 #G12688
3128MBF51
8946.29060000
PA
USD
9048.66000000
0.000736184465
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 7.00% 9/28 #458927
36208RYY4
498.25640000
PA
USD
566.45000000
0.000046085463
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2045#Q33547
3132QP5H3
3190916.28230000
PA
USD
3437473.28000000
0.279667312948
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 4/24 #400217
36205TSE4
964.30240000
PA
USD
1034.13000000
0.000084135158
Long
ABS-MBS
USGA
US
N
2
2024-04-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 8/36 #G02307
3128LXR44
262485.73360000
PA
USD
298149.75000000
0.024256985479
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2050#MA6600
36179VKM1
11108870.89200000
PA
USD
11695043.80000000
0.951490006742
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/27 #257055
31371NQG3
4102.11700000
PA
USD
4597.53000000
0.000374047667
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2502 ZC 6 9/32
31392UTM6
80774.00590000
PA
USD
92228.66000000
0.007503575858
Long
ABS-CBDO
USGSE
US
N
2
2032-09-15
Fixed
0.06000000
N
N
N
N
N
N
STORE MASTER FUNDING
N/A
STORE MASTER FUNDING 2.12% 06/20/2051 144A
86190BAA2
1998333.35000000
PA
USD
2031305.45000000
0.165263753549
Long
ABS-CBDO
CORP
US
N
2
2051-06-20
Fixed
0.02120000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2043#MA0783
36179M2Q2
523857.55360000
PA
USD
567501.75000000
0.046171032205
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
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
3329403.06640000
PA
USD
69942.77000000
0.005690431591
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
0.01157730
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/39 #A88305
312935GN3
6903.03970000
PA
USD
7679.75000000
0.000624812143
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
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 9/24 #G00320
31283GK97
7913.31050000
PA
USD
8351.53000000
0.000679467086
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/26 #256469
31371M2A4
14122.80390000
PA
USD
15616.33000000
0.001270519562
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2047#BH7779
3140GWUD3
70777.70300000
PA
USD
75268.31000000
0.006123708984
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 6/24 #389864
36205GB91
617.87310000
PA
USD
663.84000000
0.000054008957
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
0.08000000
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
1180442.00030000
PA
USD
1177646.83000000
0.095811457347
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
0.00886500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 6.50% 10/21 #G18145
3128MMET6
83.26420000
PA
USD
83.25000000
0.000006773086
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
0.06500000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST
N/A
CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A
12527LAA0
924300.12000000
PA
USD
924555.60000000
0.075220360788
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Fixed
0.00898300
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 09/01/2051 #TBA
21H022697
8950000.00000000
PA
USD
9280885.08000000
0.755077925176
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2047#BE9249
3140FVH33
230516.26930000
PA
USD
248905.64000000
0.020250563668
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AP4410
3138M73U7
256282.32840000
PA
USD
277528.06000000
0.022579237854
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% 8/24 #397521
36205QSJ9
1580.58630000
PA
USD
1682.19000000
0.000136860280
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 30YR 4% 03/15/2042#733816
3620AMGZ9
156696.50940000
PA
USD
172788.72000000
0.014057813136
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/01/2051 #TBA
21H030690
-47525000.00000000
PA
USD
-49682188.27000000
-4.04206315601
Short
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 1/1/42 #Q05962
3132GMJF0
441094.06670000
PA
USD
483762.15000000
0.039358112653
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR0015
3138NWAR0
130607.84700000
PA
USD
140747.38000000
0.011450981102
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
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
1067541.82240000
PA
USD
1156643.03000000
0.094102621865
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 7/26 #D97040
3128E3ZD9
4546.71530000
PA
USD
4952.13000000
0.000402897354
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 30YR 3.5% 04/01/2047#MA2959
31418CJD7
9661.35300000
PA
USD
10329.43000000
0.000840385858
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 9/39 #G06670
3128M8W75
86832.34250000
PA
USD
103769.03000000
0.008442481853
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2045#AY9393
3138YPNK4
315931.72840000
PA
USD
344941.43000000
0.028063881518
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.58% 7/35 #995273
31416BT65
5479.06940000
PA
USD
5767.16000000
0.000469206888
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.02111000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2032#C91403
3128P7RY1
605063.56090000
PA
USD
648187.41000000
0.052735488097
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 02/01/2051#SD7535
3132DVLQ6
7398063.43300000
PA
USD
7780328.03000000
0.632995010221
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2049#FM1338
3140X4PY6
1722299.43600000
PA
USD
1877537.69000000
0.152753455213
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 5.00% 11/39 #726095
3620ACUU6
68098.09080000
PA
USD
77796.65000000
0.006329410671
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2032#MA3060
31418CMJ0
1911778.60800000
PA
USD
2018561.77000000
0.164226948183
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-74 SV -1ML+755 11/32
31392FRK5
43009.60330000
PA
USD
5606.33000000
0.000456122017
Long
ABS-CBDO
USGSE
US
N
2
2032-11-25
Variable
0.07465620
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
314996.50000000
0.025627610040
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Fixed
0.03314000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/32 #648009
31390J3S8
1161.41120000
PA
USD
1374.80000000
0.000111851523
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15400
3132J6NS9
65203.24390000
PA
USD
71469.76000000
0.005814665048
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2041#AH5580
3138A7FW3
524836.55890000
PA
USD
585468.25000000
0.047632757830
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/40 #A93505
3129413N5
272297.75230000
PA
USD
303828.88000000
0.024719030387
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
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 5/33 #A45795
3128K6NL0
208552.64220000
PA
USD
238604.04000000
0.019412442014
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2045#Q33114
3132QPN83
23213.83370000
PA
USD
25007.53000000
0.002034572533
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 04/01/2043#Q17518
3132J8YQ7
31623.82130000
PA
USD
34653.22000000
0.002819330401
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2048#BJ4680
3140H6FW4
120437.49960000
PA
USD
129605.15000000
0.010544467139
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2035#AB0067
31416VCD4
193383.42840000
PA
USD
216814.54000000
0.017639683241
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 20YR 3% 06/01/2033#AT6090
3138WTXU5
56075.14380000
PA
USD
59745.03000000
0.004860759820
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT DEC21 USZ1
N/A
-75.00000000
NC
USD
33229.50000000
0.002703498825
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2021-12-21
-12255885.75000000
USD
33229.50000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#FM2870
3140X6FL0
6254262.26200000
PA
USD
6646964.89000000
0.540786402869
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2380 SY -1ML+820 11/31
31339GVS7
243865.66710000
PA
USD
28975.56000000
0.002357405089
Long
ABS-CBDO
USGSE
US
N
2
2031-11-15
Variable
0.08104500
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+40 01/20/2049
38381BSP0
254170.12100000
PA
USD
256992.55000000
0.020908501696
Long
ABS-CBDO
USGA
US
N
2
2049-01-20
Variable
0.00488380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/35 #A47209
3128K8AJ5
27952.83360000
PA
USD
30957.96000000
0.002518689974
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 5/33 #G01785
31283H6W0
65634.27440000
PA
USD
75119.21000000
0.006111578447
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0045
3140X3BP2
286896.76500000
PA
USD
306687.02000000
0.024951564074
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/41 #004945
36202FP67
187310.91400000
PA
USD
205112.21000000
0.016687600441
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2044#MA1600
36179NX52
41757.29080000
PA
USD
45092.68000000
0.003668668123
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3% 06/01/2033#K90806
3132J23P6
93249.63970000
PA
USD
99380.22000000
0.008085415310
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
BLOX 2021-BLOX
N/A
BLOX 2021-BLOX A 1ML+80 09/15/2026 144A
055522AA4
1525000.00000000
PA
USD
1525000.00000000
0.124071554164
Long
ABS-MBS
CORP
US
N
2
2026-09-15
Variable
0.00850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 9/37 #889631
31410KLL6
3175.94590000
PA
USD
3793.51000000
0.000308633889
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#794219
36177NVM9
217959.67750000
PA
USD
240343.42000000
0.019553955181
Long
ABS-MBS
USGA
US
N
2
2042-02-15
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
181021.24880000
PA
USD
180940.68000000
0.014721043527
Long
ABS-CBDO
USGA
US
N
2
2060-08-20
Variable
0.00402880
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3% 06/01/2033#K90684
3132J2XM0
65587.25430000
PA
USD
69899.20000000
0.005686886805
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 09/01/2030#
31283HHG3
1004.35220000
PA
USD
1169.67000000
0.000095162475
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-31 ZC 6.5% 7/31
313920CW8
53111.61190000
PA
USD
60228.24000000
0.004900073010
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2044#Q27808
3132M8KV7
49960.23710000
PA
USD
54699.34000000
0.004450250574
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 4.50% 6/40 #783008
36241LKV7
237103.39940000
PA
USD
268787.34000000
0.021868106894
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 30YR 2.5% 07/01/2050#CA6399
3140QEDD1
3828838.26700000
PA
USD
4000952.59000000
0.325511085887
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3455
3138E7ZV9
126718.49500000
PA
USD
138948.12000000
0.011304596194
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
MERIT 2021
N/A
MERIT 2021-STOR A 1ML+75 07/15/2038 144A
55293BAB1
673000.00000000
PA
USD
673200.08000000
0.054770478812
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.00796000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 05/01/2031#
31298MDZ7
12399.85770000
PA
USD
14428.45000000
0.001173875551
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2048#ZS4788
3132A5J97
2432527.60300000
PA
USD
2554478.48000000
0.207828272191
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/01/2028#MA1419
31418ASH2
84366.27370000
PA
USD
88350.81000000
0.007188080202
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT1745
3138WN5F2
278366.41240000
PA
USD
301268.93000000
0.024510756961
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 30YR 3.5% 06/01/2049#FM1634
3140X4Y83
7151.89900000
PA
USD
7558.45000000
0.000614943369
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 2004-24 ZM 5% 04/34
38374F2L7
202750.98590000
PA
USD
226033.92000000
0.018389757211
Long
ABS-CBDO
USGA
US
N
2
2034-04-20
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2050#RA2010
3133KHGT7
94110.30800000
PA
USD
99529.86000000
0.008097589780
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12ML+187.9 10/42#849255
31300MH89
30980.72860000
PA
USD
32783.19000000
0.002667187759
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Variable
0.02305000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/39 #704628
36296XYZ1
89618.80470000
PA
USD
102216.61000000
0.008316179451
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3% 11/01/2033#G30872
3132J4FN4
899707.24670000
PA
USD
958295.01000000
0.077965345074
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-16 ZD 6.50% 4/32
31392CVK7
23865.30710000
PA
USD
27658.29000000
0.002250234115
Long
ABS-CBDO
USGSE
US
N
2
2032-04-25
Fixed
0.06500000
N
N
N
N
N
N
BCAP LLC 2012-RR5 TR
N/A
BCAP 2012-RR5 8A5 CSTR 07/36 144A
05539DBX7
23510.41450000
PA
USD
23379.33000000
0.001902104792
Long
ABS-CBDO
CORP
US
N
2
2036-07-26
Variable
0.00483630
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 09/01/2051 #TBA
01F022691
-45750000.00000000
PA
USD
-47522821.65000000
-3.86638055106
Short
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 3/35 #797507
31405SAG9
14155.37130000
PA
USD
16709.95000000
0.001359494732
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 01/46#MA3377
36179RXE4
76491.73160000
PA
USD
82884.93000000
0.006743384971
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55725
3132XYLF2
76919.28220000
PA
USD
83290.21000000
0.006776357902
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 3/41 #A97528
312946LH7
79454.13960000
PA
USD
88654.65000000
0.007212800137
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 01/01/2024#
313988N52
2258.63620000
PA
USD
2383.79000000
0.000193941331
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% 07/01/2034#BO1835
3140JWBD1
249733.22100000
PA
USD
270162.75000000
0.021980008045
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% 12/27 #455361
36208MZ24
782.32240000
PA
USD
874.41000000
0.000071140595
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 4683 LM 3% 05/15/2047
3137BYKR0
773296.66470000
PA
USD
816624.79000000
0.066439283189
Long
ABS-CBDO
USGSE
US
N
2
2047-05-15
Fixed
0.03000000
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
671540.59280000
PA
USD
129737.88000000
0.010555265839
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 30YR 3.0% 07/15/2043#AD2512
36180DYH4
38076.89460000
PA
USD
40605.37000000
0.003303587779
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AL2266
3138EJQU5
841995.10190000
PA
USD
911796.24000000
0.074182279723
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/42#G60488
31335ARH3
238032.23870000
PA
USD
261510.07000000
0.021276039878
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2020-JGDN
N/A
BAMLL COML MTG SECS TR 2020-JGDN VAR 1ML+275 11/15/2025 144A
05493DAA2
959000.00000000
PA
USD
974016.41000000
0.079244412963
Long
ABS-MBS
CORP
US
N
2
2030-11-15
Variable
0.02846000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2047#MA4452
36179S5M5
1834829.81940000
PA
USD
1969263.58000000
0.160216126510
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 7.50% 12/26 #442193
36207UGA0
80.06710000
PA
USD
89.46000000
0.000007278322
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AB1801
31416XAB6
425378.54390000
PA
USD
466627.33000000
0.037964051179
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2039#AW0113
3138XPDT7
84010.77300000
PA
USD
92013.66000000
0.007486083803
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
FHLMC MFD HSG COP GTD (FREDMAC
N/A
FHR 2043 CJ 6.5% 4/28
3133TDML7
57200.91350000
PA
USD
64300.87000000
0.005231415655
Long
ABS-CBDO
USGSE
US
N
2
2028-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737532
3620ARLM1
27095.80160000
PA
USD
29891.08000000
0.002431890328
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 ARM 3.472% 12/01/2040#AE0653
31419AWP8
495348.57950000
PA
USD
523469.96000000
0.042588676390
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Variable
0.02240000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719216
3620A5AR0
147656.17160000
PA
USD
167800.18000000
0.013651953522
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 II 3.5% 06/46#AS7009
36193SYE3
42219.52800000
PA
USD
45684.19000000
0.003716792428
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 2/42 #005306
36202F3P9
2477.20400000
PA
USD
2762.14000000
0.000224723280
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/25 #405480
36206AM59
633.84300000
PA
USD
694.00000000
0.000056462726
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/26 #780299
36225AKL3
1024.27880000
PA
USD
1115.98000000
0.000090794342
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2162 PH 6 6/29
3133TLBA5
14626.21470000
PA
USD
16184.61000000
0.001316753912
Long
ABS-CBDO
USGSE
US
N
2
2029-06-15
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 12/20/2049
38382BUU5
1965362.32100000
PA
USD
1983967.82000000
0.161412439894
Long
ABS-CBDO
USGA
US
N
2
2049-12-20
Variable
0.00538380
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/20/2045#MA3311
36179RVC0
96293.01610000
PA
USD
104341.21000000
0.008489033500
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 08/01/2032#J37452
31307UH50
48602.26400000
PA
USD
51893.17000000
0.004221945083
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2012-76 GS -1ML+670 6/42
38375C5E6
221286.33180000
PA
USD
46014.68000000
0.003743680565
Long
ABS-CBDO
USGA
US
N
2
2042-06-16
Variable
0.06604500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 10/01/2050#CA7229
3140QFA74
1347967.28300000
PA
USD
1412773.64000000
0.114940997506
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2048#BH7106
3140GV3Q6
2091324.74500000
PA
USD
2215352.64000000
0.180237537748
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2045#MA2523
36179QYU9
4644.81000000
PA
USD
5144.24000000
0.000418527115
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3287 SD -1ML+675 3/37
31397G6Z8
202279.39660000
PA
USD
49293.26000000
0.004010420575
Long
ABS-CBDO
USGSE
US
N
2
2037-03-15
Variable
0.06654500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 05/46#MA3665
36179SCA3
6845.83100000
PA
USD
7581.92000000
0.000616852851
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #738002
3620AR3K5
44145.25830000
PA
USD
48709.40000000
0.003962918662
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 12/01/2050#BQ9522
3140KVSL5
46955.90900000
PA
USD
46302.30000000
0.003767080867
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/01/2050#CA6275
3140QD6M1
1711448.53400000
PA
USD
1742596.04000000
0.141774818992
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #468760
36209DWV2
1711.96680000
PA
USD
1923.71000000
0.000156509960
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24
5493007OD9MH69ES1S63
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049
95000HBE1
900000.00000000
PA
USD
948988.17000000
0.077208155498
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Fixed
0.02684000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-73 SA -1ML+1755 8/35
31394EB64
8869.35490000
PA
USD
11866.56000000
0.000965444289
Long
ABS-CBDO
USGSE
US
N
2
2035-08-25
Variable
0.17330612
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/30 #590851
31387QL81
164118.23460000
PA
USD
187789.98000000
0.015278291590
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 02/20/2049
38381RQS1
900194.73600000
PA
USD
912174.89000000
0.074213086079
Long
ABS-CBDO
USGA
US
N
2
2049-02-20
Variable
0.00538380
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AA6146
36178DZK0
336058.45650000
PA
USD
360602.75000000
0.029338061395
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 4.0% 01/01/2041#AH1582
3138A2XL8
18220.04430000
PA
USD
20003.09000000
0.001627419320
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.72% 8/37 #1N1651
3128QHZQ6
7664.65720000
PA
USD
8057.35000000
0.000655533073
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Variable
0.01970000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2043#MA1285
36179NNA2
103519.81540000
PA
USD
112047.32000000
0.009115990250
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AP0495
3138M3RR7
41929.16160000
PA
USD
45405.08000000
0.003694084486
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2045#AY8060
3138YM5W5
113017.24420000
PA
USD
123394.79000000
0.010039202210
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
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 3% 09/25/2027
3136A8PY0
366832.15380000
PA
USD
25808.55000000
0.002099742235
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 30YR 3.0% 07/01/2043#AU2962
3138X2JG0
155236.40930000
PA
USD
166172.18000000
0.013519502053
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2040#BM1518
3140J5VL0
1040391.62910000
PA
USD
1155797.90000000
0.094033863444
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96876
312945T99
69813.56500000
PA
USD
77897.73000000
0.006337634378
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 15YR 3% 03/01/2029#MA1837
31418BBF2
116482.80460000
PA
USD
123098.20000000
0.010015072123
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 09/01/2051 #TBA
01F030694
113550000.00000000
PA
USD
118775071.38000000
9.663349312827
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.967% 8/41#AI8879
3138AN2M4
17003.36720000
PA
USD
17903.47000000
0.001456597605
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Variable
0.02266000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 01/01/2048#V83906
3132L9KT1
465842.75990000
PA
USD
502279.49000000
0.040864653737
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BD7599
3140FFNR8
128956.38770000
PA
USD
139951.24000000
0.011386208428
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3189 PD 6% 7/36
31396UAR1
119721.66390000
PA
USD
139705.86000000
0.011366244705
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 4.0% 01/01/2045#AY3020
3138YGLA8
323921.53160000
PA
USD
353664.88000000
0.028773607419
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 8.00% 7/25 #410064
36206FQR6
312.78910000
PA
USD
343.57000000
0.000027952304
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2039#AS2011
3138WBGV1
59886.83310000
PA
USD
65591.66000000
0.005336432259
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2043#MA1224
36179NLD8
37921.03980000
PA
USD
41044.81000000
0.003339339912
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.03500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 05/01/2036#BM3697
3140J8DB6
328753.22640000
PA
USD
354260.27000000
0.028822047395
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
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
14126.35450000
PA
USD
16325.15000000
0.001328188021
Long
ABS-CBDO
USGSE
US
N
2
2031-10-25
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6312
3140QEAN2
2968001.08500000
PA
USD
3143462.78000000
0.255747090210
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/41 #Q00736
3132GDY97
72634.17910000
PA
USD
81044.96000000
0.006593687963
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2044#MA2149
36179QL66
100519.04070000
PA
USD
109485.86000000
0.008907593973
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/45#G08624
3128MJVS6
3941.29300000
PA
USD
4304.07000000
0.000350172232
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8237
3138EDEK3
494084.15310000
PA
USD
541768.31000000
0.044077400799
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2042#783607
3622A2AG7
55865.55950000
PA
USD
60537.35000000
0.004925221704
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #404244
36205YBM3
1804.55100000
PA
USD
1995.54000000
0.000162353933
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 02/01/2029#
31293KQ33
2214.89810000
PA
USD
2505.02000000
0.000203804409
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 2/37 #A57709
3128KLR66
4292.78560000
PA
USD
5072.72000000
0.000412708363
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/20/2050#MA6996
36179VXZ8
22176267.43800000
PA
USD
23156629.22000000
1.883986214115
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2048#BK9003
3140HPAD9
15449.37700000
PA
USD
16349.93000000
0.001330204082
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 6.50% 11/26 #D97105
3128E33N2
16599.85640000
PA
USD
18283.56000000
0.001487521117
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55661
3132XYJF5
92515.77520000
PA
USD
100178.50000000
0.008150362091
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 6.50% 4/35 #820389
31406UNE4
1115.46090000
PA
USD
1318.10000000
0.000107238501
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#BD5247
3140FCZM3
378308.07700000
PA
USD
408487.49000000
0.033233887043
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2008-12 SG -1ML+635 3/38
31396YMM1
163803.53480000
PA
USD
33990.84000000
0.002765440226
Long
ABS-CBDO
USGSE
US
N
2
2038-03-25
Variable
0.06265620
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 359 19 6% 7/35
3136FCUL8
26680.23330000
PA
USD
5313.25000000
0.000432277498
Long
ABS-CBDO
USGSE
US
N
2
2035-07-25
Variable
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 12/01/2046#Q45023
3132WJSM4
293074.45630000
PA
USD
315170.34000000
0.025641753383
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% 07/01/2034#CA3925
3140QBLF3
747220.40000000
PA
USD
807880.05000000
0.065727825168
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 6.50% 12/21 #G12483
3128M1UG2
889.94920000
PA
USD
894.01000000
0.000072735219
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE3874
31419EJU4
92009.89520000
PA
USD
102639.33000000
0.008350571273
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/24 #362182
36203XJ31
824.81440000
PA
USD
872.08000000
0.000070951030
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2046#G60553
31335ATJ7
3580547.00430000
PA
USD
3889658.85000000
0.316456405696
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3% 07/01/2033#C91714
3128P73X9
275745.37640000
PA
USD
293873.90000000
0.023909109181
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033
3137AXRF2
65875.17550000
PA
USD
7153.70000000
0.000582013558
Long
ABS-CBDO
USGSE
US
N
2
2033-01-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2049#FM6043
3140X9WD3
14840899.61100000
PA
USD
15745401.98000000
1.281020652194
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 5/1/43 #AT5066
3138WSTY4
298197.10600000
PA
USD
325060.85000000
0.026446429414
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 04/01/2024#
31356DP83
218.99340000
PA
USD
227.32000000
0.000018494390
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 7.00% 9/28 #486530
36210APP6
7506.30210000
PA
USD
8443.43000000
0.000686943923
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.5% MAC 09/15/26
N/A
11075000.00000000
NC
USD
116225.56000000
0.009455925155
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2026-09-15
0.00000000
USD
0.00000000
USD
10757862.98000000
USD
116225.56000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042
3137AWAE5
82373.36580000
PA
USD
84407.36000000
0.006867247434
Long
ABS-CBDO
USGSE
US
N
2
2042-06-15
Fixed
0.01750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AD2454
36180DWP8
141197.78500000
PA
USD
150573.94000000
0.012250454263
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3806 UP 4.5% 2/41
3137A6ZL9
249526.22250000
PA
USD
265627.40000000
0.021611019243
Long
ABS-CBDO
USGSE
US
N
2
2041-02-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 2/22 #050536
313615EH5
10.67190000
PA
USD
10.79000000
0.000000877857
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
0.08500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#BO4757
3140K0JB5
4658148.43300000
PA
USD
4925885.30000000
0.400762127740
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2010-95 ZC 5% 09/25/2040
31398NFC3
1336304.29650000
PA
USD
1499200.73000000
0.121972566934
Long
ABS-CBDO
USGSE
US
N
2
2040-09-25
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q17578
3132J82L3
108764.08310000
PA
USD
117745.92000000
0.009579619207
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
2021-09-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer