0001752724-23-090295.txt : 20230427
0001752724-23-090295.hdr.sgml : 20230427
20230427143700
ACCESSION NUMBER: 0001752724-23-090295
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230228
FILED AS OF DATE: 20230427
DATE AS OF CHANGE: 20230427
PERIOD START: 20230831
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: 23855517
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY DIVERSIFIED TRUST
DATE OF NAME CHANGE: 19930706
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH FUND
DATE OF NAME CHANGE: 19920130
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH INVESTMENT SERIES
DATE OF NAME CHANGE: 19911204
0000795422
S000062808
Fidelity Series Investment Grade Securitized Fund
C000203455
Fidelity Series Investment Grade Securitized Fund
FHPFX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000795422
XXXXXXXX
S000062808
C000203455
Fidelity Advisor Series II
811-04707
0000795422
EIVUM2R16VT371T5KS40
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Series Investment Grade Securitized Fund
S000062808
549300SCBY1VRBYHW061
2023-08-31
2023-02-28
N
795208488.55
331290514.22
463917974.33
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
233473129.93000000
0.00000000
0.00000000
0.00000000
USD
N
Bloomberg US Securitized Index
19910058
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/51#BT1461
3140LPTT9
80019.88000000
PA
USD
65815.63000000
0.014186910971
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 II 4% 03/20/2047#784299
3622A2X49
12929.99300000
PA
USD
12444.32000000
0.002682439717
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
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
59000.00000000
PA
USD
53100.00000000
0.011445988932
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 15YR 3% 09/01/2032#BM1884
3140J6CW5
18047.38800000
PA
USD
17005.60000000
0.003665648011
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2021-1
N/A
TOWD POINT MORTGAGE TRUST 2021-1 VAR 11/25/2061 144A
89179YAR4
2352666.64000000
PA
USD
2087774.02000000
0.450030853625
Long
ABS-CBDO
CORP
US
N
2
2061-11-25
Variable
0.02250000
N
N
N
N
N
N
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2014-C19
N/A
MORGAN STANLEY BK AMER ML TR 14-C19 3.326% 12/15/2047
61764PBS0
570514.27000000
PA
USD
559415.03000000
0.120584900985
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
0.03326000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A
05492PAA6
100000.00000000
PA
USD
91263.73000000
0.019672385001
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 4.5% 07/01/2041#ZL1693
3131XG3A4
2008541.06000000
PA
USD
1983013.51000000
0.427449165526
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 2% 03/01/2052#CB3037
3140QNLT7
309692.87100000
PA
USD
253558.25000000
0.054655836598
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2048#BM5106
3140J9U82
49567.48300000
PA
USD
48688.89000000
0.010495150585
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2047#ZM3411
3131XWYG2
138419.59900000
PA
USD
132485.91000000
0.028558046320
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL A 1ML+85 10/15/2036 144A
056054AA7
3481049.26100000
PA
USD
3463560.12000000
0.746588903997
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.05596950
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 1.5% 04/01/2038 #TBA
01F012445
1550000.00000000
PA
USD
1341938.54000000
0.289262027826
Long
ABS-MBS
USGA
US
N
2
2038-04-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2052#CB4024
3140QPPJ0
1049905.39600000
PA
USD
1025389.90000000
0.221028275845
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
0.04500000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+143 05/15/2036 144A
12653VAE6
486788.93000000
PA
USD
481889.20000000
0.103873793787
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.06018000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/01/2052#RA6823
3133KNSL8
2923614.23000000
PA
USD
2393682.84000000
0.515971135513
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 11/01/2033#G16677
3128MFUA4
30810.95400000
PA
USD
29563.86000000
0.006372648105
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
3569129.65400000
PA
USD
3299314.16000000
0.711184809074
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/42#Q10245
3132HLHW6
11628.20000000
PA
USD
10897.66000000
0.002349048884
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 2.5% 11/01/2050#SD7530
3132DVLK9
2734608.00200000
PA
USD
2343268.37000000
0.505104026931
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2045#AL7231
3138EQA93
9688.55400000
PA
USD
9046.20000000
0.001949956781
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03500000
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
1017534.22400000
PA
USD
24557.78000000
0.005293560792
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
0.00930064
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 10/01/2033#BM5832
3140JAPS1
97326.26000000
PA
USD
91464.78000000
0.019715722403
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.03000000
N
N
N
N
N
N
BANK 2020-BNK25
N/A
BANK 20-BNK25 XB CSTR 01/15/2063
06539WBD7
2000000.00000000
PA
USD
48668.40000000
0.010490733856
Long
ABS-MBS
CORP
US
N
2
2063-01-15
Variable
0.00439743
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2048#CA2432
3140Q9V26
745714.07100000
PA
USD
732496.14000000
0.157893459734
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2051#FM9049
3140XDBT2
3265938.13400000
PA
USD
2903634.23000000
0.625893884407
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 10/01/2051#RA5998
3133KMUX1
862800.13700000
PA
USD
764861.80000000
0.164870050811
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 03/01/2053 #TBA
01F020638
-18750000.00000000
PA
USD
-15267266.25000000
-3.29094087635
Short
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.02000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)JUN23 TYM3
N/A
21.00000000
NC
USD
1760.43000000
0.000379470099
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2023-06-21
2343020.82000000
USD
1760.43000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
350000.00000000
NC
USD
4743.24000000
0.001022430744
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
2722.99000000
USD
0.00000000
USD
350000.00000000
USD
2020.25000000
N
N
N
SREIT TR 2021-FLWR
N/A
SREIT TR 2021-FLWR 1ML+57.66 07/15/2036 144A
78485GAA2
212000.00000000
PA
USD
206766.61000000
0.044569648394
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Variable
0.05164550
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 08/20/2047#MA4650
36179TEX9
16257.14500000
PA
USD
14212.10000000
0.003063494149
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#FM9568
3140XDT22
2257799.92300000
PA
USD
1854197.87000000
0.399682265529
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2052#CB3509
3140QN3T7
4144814.00200000
PA
USD
3928278.97000000
0.846761537031
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/47#MA4901
36179TNS0
16705.19200000
PA
USD
16004.63000000
0.003449883575
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 03/01/2053#SD8307
3132DWGQ0
3200000.00000000
PA
USD
3146103.68000000
0.678159470872
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#CB2420
3140QMVN1
389815.47100000
PA
USD
345444.84000000
0.074462482403
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#QC0031
3133AJA86
20313.63700000
PA
USD
15713.76000000
0.003387184991
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2052#SD8257
3132DWE66
5636060.98300000
PA
USD
5428723.26000000
1.170190326822
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 06/01/2051#CB0850
3140QK5L8
1054249.85900000
PA
USD
934991.43000000
0.201542402264
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD2175
3132DPMY1
204668.28500000
PA
USD
202692.19000000
0.043691385377
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2051#QD1240
3133AXLV2
114541.04200000
PA
USD
100930.74000000
0.021756160697
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 1ML+145 10/15/2036 144A
056054AG4
170000.00000000
PA
USD
167224.34000000
0.036046100658
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06126950
N
N
N
N
N
N
UBS COML MTG TR 2017-C3
N/A
UBS COML MTG TR 2017-C3 3.215% 08/15/2050
90276GAQ5
271394.33000000
PA
USD
257043.78000000
0.055407161227
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
0.03215000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.127% 11/25/2031
3137H4SH4
250000.00000000
PA
USD
207333.30000000
0.044691801454
Long
ABS-MBS
USGSE
US
N
2
2031-11-25
Fixed
0.02127000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#CA5122
3140QCVQ6
256063.20700000
PA
USD
228777.34000000
0.049314178940
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 01/01/2053#RA8433
3133KQLN4
1351146.79600000
PA
USD
1388909.19000000
0.299386802592
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
0.06500000
N
N
N
N
N
N
PRPM 2021-RPL2
N/A
PRPM 2021-RPL2 VAR 10/25/2051 144A
69357QAA4
144056.54000000
PA
USD
126999.50000000
0.027375421308
Long
ABS-CBDO
CORP
US
N
2
2051-10-25
Variable
0.01455000
N
N
N
N
N
N
BFLD TR 2020 -OBRK
N/A
BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A
05553JAA6
94000.00000000
PA
USD
93272.10000000
0.020105299893
Long
ABS-MBS
CORP
US
N
2
2028-11-15
Variable
0.06726480
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VINO A 1ML+69.82 05/15/2038 144A
05608KAA8
400000.00000000
PA
USD
391478.04000000
0.084385184808
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Variable
0.05240330
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#FM2439
3140X5V91
875879.45300000
PA
USD
784462.51000000
0.169095088659
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
UPSTART SECURITIZATION TR 2021-5
N/A
UPSTART SECURITIZATION TR 2021-5 1.31% 11/20/2031 144A
91679JAA5
458813.57000000
PA
USD
446178.07000000
0.096176068763
Long
ABS-CBDO
CORP
US
N
2
2031-11-20
Fixed
0.01310000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 03/01/2041#MA4287
31418DXR8
181495.60000000
PA
USD
153872.60000000
0.033168061707
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2049#QA5154
31346YWP4
169471.34300000
PA
USD
151147.83000000
0.032580722964
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 30YR 3.5% 02/01/2052#CB2906
3140QNGQ9
197812.59200000
PA
USD
181235.88000000
0.039066363027
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.75% MAC 03/15/30
N/A
470000.00000000
NC
USD
-15282.08000000
-0.00329413405
N/A
DO
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2030-03-15
0.00000000
USD
0.00000000
USD
485068.19000000
USD
-15282.08000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6239
3133KM4Y8
430548.57000000
PA
USD
353449.59000000
0.076187949068
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2049#FM1534
3140X4V45
750437.54100000
PA
USD
736901.37000000
0.158843030616
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.04500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFR4.0% MAC 03/15/28
N/A
5128000.00000000
NC
USD
-144372.22000000
-0.03112020399
N/A
DO
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2028-03-15
0.00000000
USD
0.00000000
USD
5279031.29000000
USD
-144372.22000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2052#RA7312
3133KPDR6
903202.54000000
PA
USD
828008.04000000
0.178481560494
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2036#FS2499
3140XHX51
1009238.78000000
PA
USD
923342.57000000
0.199031428203
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02500000
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
429242.55000000
PA
USD
389813.23000000
0.084026326111
Long
ABS-CBDO
CORP
US
N
2
2050-10-25
Fixed
0.01718800
N
N
N
N
N
N
BX 2021-SDMF
N/A
BX 2021-SDMF A 1ML+58.9 09/15/2034 144A
12434CAA2
600000.00000000
PA
USD
584628.36000000
0.126019769086
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Variable
0.05177000
N
N
N
N
N
N
CD 2017-CD6 MTG TR
N/A
CD 2017-CD6 ASB MTG TR 3.332% 11/13/2050
125039AD9
1802974.16000000
PA
USD
1715751.32000000
0.369839371384
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Fixed
0.03332000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST 2018-C12
N/A
UBS COMMERCIAL MORTGAGE TRUST 2018-C12 ASB 4.1945% 08/15/2051
90353DAW5
1750000.00000000
PA
USD
1677781.00000000
0.361654665875
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
0.04194500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8987
3617M76Y9
3347.15500000
PA
USD
3102.72000000
0.000668807886
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 10/01/2034#C91793
3128P77E7
847861.01500000
PA
USD
811711.87000000
0.174968833913
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT JUN23 TUM3
N/A
63.00000000
NC
USD
-29162.54000000
-0.00628614143
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2023-06-30
12863935.98000000
USD
-29162.54000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#FM9539
3140XDS56
1424575.62600000
PA
USD
1169474.73000000
0.252086531393
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
BINOM SECURITIZATION TRUST 2021
N/A
BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A
05552CAA2
357196.01000000
PA
USD
316985.99000000
0.068328025112
Long
ABS-CBDO
CORP
US
N
2
2061-02-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
37140.89900000
PA
USD
35919.92000000
0.007742730824
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/01/2036#MA4228
31418DVW9
637042.61900000
PA
USD
553687.38000000
0.119350275401
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/49#BR8986
3617M76X1
1029.77000000
PA
USD
940.02000000
0.000202626337
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
MFT 2021-3A A
N/A
MFT 2021-3A A 0.65% 12/15/2031 144A
57108QAA1
78361.31000000
PA
USD
77646.15000000
0.016737042817
Long
ABS-CBDO
CORP
US
N
2
2031-12-15
Fixed
0.00650000
N
N
N
N
N
N
BPR TRUST 2022
N/A
BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A
05592DAG9
54000.00000000
PA
USD
52986.84000000
0.011421596689
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.07009470
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
124324.27300000
PA
USD
118722.86000000
0.025591347300
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/01/2053 #TBA
21H022630
22150000.00000000
PA
USD
19154509.31000000
4.128856903564
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.02500000
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
279000.00000000
PA
USD
260007.77000000
0.056046065120
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03170000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 12/01/2052#
31418EM23
1488425.95600000
PA
USD
1507373.17000000
0.324922346925
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 03/01/2041#MA4286
31418DXQ0
144523.17200000
PA
USD
117939.20000000
0.025422425197
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 03/01/2053 #TBA
21H020634
26750000.00000000
PA
USD
22421114.38000000
4.832991093389
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
57934.32000000
PA
USD
54590.06000000
0.011767179333
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2034#SB0179
3132CWFU3
233999.47400000
PA
USD
219906.83000000
0.047402093078
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#BO8254
3140K4E48
63168.86700000
PA
USD
56338.95000000
0.012144161924
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
CAMB COML MTG TR 2019-LIFE
N/A
CAMB COML MTG TR 2019-LIFE A 1ML+107 12/15/2037 144A
12482HAA2
652000.00000000
PA
USD
649749.75000000
0.140057032913
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Variable
0.05658000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
610000.00000000
NC
USD
8266.78000000
0.001781948632
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
5443.69000000
USD
0.00000000
USD
610000.00000000
USD
2823.09000000
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
600000.00000000
NC
USD
8131.26000000
0.001752736571
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
556.70000000
USD
600000.00000000
USD
8687.96000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 02/01/2052#CB2842
3140QNEQ1
2934687.65200000
PA
USD
2402749.10000000
0.517925416334
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 03/01/2053 #TBA
01F050635
6350000.00000000
PA
USD
6239864.97000000
1.345036259699
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.05000000
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST 21-3
N/A
UPSTART SECURITIZATION TRUST 21-3 0.83% 07/20/2031 144A
91679LAA0
174909.49000000
PA
USD
171769.11000000
0.037025750133
Long
ABS-CBDO
CORP
US
N
2
2031-07-20
Fixed
0.00830000
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
22721.07900000
PA
USD
21018.95000000
0.004530747063
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
2071365.95900000
PA
USD
1772998.54000000
0.382179315763
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 2.5% 07/01/2051#CB0997
3140QLDB9
1750045.37600000
PA
USD
1495091.07000000
0.322274874595
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 07/51#QC4163
3133ANTU8
108852.90000000
PA
USD
89530.53000000
0.019298784473
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 15YR 3% 03/01/2033#BK4845
3140HJL33
33407.07200000
PA
USD
31426.45000000
0.006774139339
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 01/15/2026
91282CGE5
12600000.00000000
PA
USD
12383437.50000000
2.669316169067
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.03875000
N
N
N
N
N
N
PRPM 2021-RPL1 LLC
N/A
PRPM 2021-RPL1 LLC 1.484% 07/25/2051 144A
69360GAA1
108960.72000000
PA
USD
95378.70000000
0.020559388788
Long
ABS-CBDO
CORP
US
N
2
2051-07-25
Fixed
0.01319000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3036
3140QNLS9
318495.78800000
PA
USD
261163.68000000
0.056295227702
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/20/2048#MA5398
36179T7K5
401756.88200000
PA
USD
383904.09000000
0.082752579387
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/50#FM3269
3140X6T35
46970.97400000
PA
USD
41965.79000000
0.009045950431
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
25397.79400000
PA
USD
24300.94000000
0.005238197557
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
WFRBS COML MTG TR 2013-C16
N/A
WFRBS COML MTG TR 2013-C16 CSTR 09/15/2046
92938EAW3
830000.00000000
PA
USD
819637.87000000
0.176677325594
Long
ABS-MBS
CORP
US
N
2
2046-09-15
Variable
0.04668000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3433
3133B0Y64
137482.74000000
PA
USD
112734.61000000
0.024300547992
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2052#RA6799
3133KNRU9
191206.23200000
PA
USD
175481.89000000
0.037826059715
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/01/2052#RA6913
3133KNVE0
330924.64100000
PA
USD
269907.43000000
0.058179989768
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6241
3133KM5A9
2044203.84600000
PA
USD
1674951.13000000
0.361044672265
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 04/01/2053 #TBA
21H020642
16950000.00000000
PA
USD
14222251.76000000
3.065682415202
Long
ABS-MBS
USGA
US
N
2
2053-04-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2052#FS1647
3140XGZM4
796081.89000000
PA
USD
754741.44000000
0.162688553098
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.04000000
N
N
N
N
N
N
CSAIL 2016-C7 COML MTG TR
5493006MX7HG5PC85C29
CSAIL 2016-C7 COML MTG TR 3.3143% 11/15/2049
12637UAX7
596197.76000000
PA
USD
573268.89000000
0.123571174587
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
0.03314300
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#CB2048
3140QMH23
2569345.20400000
PA
USD
2190214.17000000
0.472112375719
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 08/01/2034#CA4087
3140QBRH3
104072.37100000
PA
USD
99806.19000000
0.021513757931
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
889188.06000000
PA
USD
874233.52000000
0.188445709882
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
0.06538000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 06/01/2050#RA2677
3133KH6N1
1631007.08100000
PA
USD
1345566.16000000
0.290043980715
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 30YR 2.5% 09/01/2051#CB1549
3140QLWK8
499734.26000000
PA
USD
426774.61000000
0.091993549207
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 06/01/2051#CB0788
3140QK2W7
198377.34600000
PA
USD
153456.26000000
0.033078317394
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
684662.55200000
PA
USD
661298.92000000
0.142546518262
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 10/01/2052#SD1733
3132DN4S9
1086872.48800000
PA
USD
1081133.69000000
0.233044147849
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 07/20/2048#MA5330
36179T4P7
200537.30900000
PA
USD
191751.41000000
0.041333041746
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 05/01/2035#SB8045
3132D55E8
631548.08200000
PA
USD
579178.60000000
0.124845044177
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
890000.00000000
NC
USD
12061.37000000
0.002599892797
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
6210.20000000
USD
0.00000000
USD
890000.00000000
USD
5851.17000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#MA4562
31418EB82
2349765.64500000
PA
USD
1915037.85000000
0.412796648538
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/01/2052#SD0933
3132DNBA0
974257.69700000
PA
USD
793402.34000000
0.171022116818
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
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
73778.02000000
PA
USD
71386.43000000
0.015387726699
Long
ABS-CBDO
CORP
US
N
2
2031-02-25
Fixed
0.00800600
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 09/01/2052#SD1572
3132DNW90
587384.21300000
PA
USD
584282.77000000
0.125945275313
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 06/01/2031#J34501
31307RAA3
14889.12400000
PA
USD
13906.36000000
0.002997590257
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6.5% 03/01/2053 #TBA
01F062630
-1350000.00000000
PA
USD
-1382582.39000000
-0.29802302702
Short
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2047#FM1187
3140X4J98
276747.80000000
PA
USD
265576.21000000
0.057246372137
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#CB2166
3140QMMQ4
729291.10900000
PA
USD
645596.06000000
0.139161682823
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 06/01/2050#SD7518
3132DVK79
451866.04600000
PA
USD
404421.65000000
0.087175249155
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.03000000
N
N
N
N
N
N
PRPM 2021-2
N/A
PRPM 2021-2 2.115% 03/25/2026 144A
69359UAA3
241372.13100000
PA
USD
227282.01000000
0.048991852563
Long
ABS-CBDO
CORP
US
N
2
2026-03-25
Fixed
0.02115000
N
N
N
N
N
N
MSC 2021-L6
N/A
MSC 2021-L6 XA 1.35631% 06/15/2054
61692CBK3
990192.81000000
PA
USD
61761.30000000
0.013312978461
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
0.01226954
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2052#RA6700
3133KNNR0
113647.95700000
PA
USD
104124.25000000
0.022444538854
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2014-GC21
N/A
CITIGROUP COML MTG TR 2014-GC21 3.477% 05/10/2047
17322MAX4
106667.30800000
PA
USD
105240.88000000
0.022685234421
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
0.03477000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/46#BC1443
3140EVS99
47949.36300000
PA
USD
46148.63000000
0.009947583959
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 11/01/2052#CB5139
3140QQV93
2102593.31100000
PA
USD
2108038.61000000
0.454398994357
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2052#CB2679
3140QM6R0
99946.25200000
PA
USD
91726.91000000
0.019772225926
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/20/2048#MA5264
36179TZ57
57599.91000000
PA
USD
55112.35000000
0.011879761735
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY451600 12/16/72 B
N/A
350000.00000000
NC
USD
4743.24000000
0.001022430744
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
1392.21000000
USD
0.00000000
USD
350000.00000000
USD
3351.03000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/01/2051#RA6434
3133KNEF6
1157127.99000000
PA
USD
985569.30000000
0.212444732589
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/41 #004922
36202FPF7
50705.83900000
PA
USD
48948.51000000
0.010551113064
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 04/01/2048#ZM6138
3131Y0ZB1
23395.28000000
PA
USD
22900.17000000
0.004936254093
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1862
3132DPB72
494284.60000000
PA
USD
493064.90000000
0.106282775680
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 08/15/2032
91282CFF3
4136000.00000000
PA
USD
3758590.00000000
0.810184172197
Long
DBT
UST
US
N
2
2032-08-15
Fixed
0.02750000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY451600 12/16/72 B
N/A
370000.00000000
NC
USD
5014.28000000
0.001080854866
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
2459.29000000
USD
0.00000000
USD
370000.00000000
USD
2554.99000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2048#G61821
31335CAW4
39434.79300000
PA
USD
38648.98000000
0.008330994300
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
BENCHMARK 2018-B2 MTG TR
N/A
BENCHMARK 2018-B2 MTG TR 3.7802% 02/15/2051
08161CAF8
369997.40000000
PA
USD
355418.02000000
0.076612254680
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Fixed
0.03780200
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG3507
3617GM3Q3
16123.57500000
PA
USD
15417.17000000
0.003323253431
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 2% 11/01/2051#QD1841
3133AYBJ8
1902933.65500000
PA
USD
1552063.14000000
0.334555508921
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 04/01/2051#FM6540
3140XAHS4
1996168.62700000
PA
USD
1721108.97000000
0.370994241489
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
1020000.00000000
NC
USD
13823.14000000
0.002979651741
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
13781.91000000
USD
0.00000000
USD
1020000.00000000
USD
41.23000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2518
3140X5YQ0
167297.25500000
PA
USD
153738.25000000
0.033139101847
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 5.5% 04/01/2053 #TBA
01F052649
5000000.00000000
PA
USD
4988865.50000000
1.075376634674
Long
ABS-MBS
USGA
US
N
2
2053-04-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984
3617M76V5
3602.92100000
PA
USD
3328.54000000
0.000717484595
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#FM0046
3140X3BQ0
113856.53600000
PA
USD
106786.03000000
0.023018299766
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST TSFR1M+77.15 04/15/2037 144A
466317AA2
995366.80000000
PA
USD
943012.99000000
0.203271492414
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.05158970
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2052#RA7311
3133KPDQ8
1656579.72000000
PA
USD
1518664.16000000
0.327356180193
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 02/01/2052#FS0605
3140XFU74
2145980.76000000
PA
USD
1829824.14000000
0.394428377698
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2048#ZM7210
3131Y2AK4
607877.32000000
PA
USD
579729.62000000
0.124963819484
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
648960.28000000
PA
USD
581632.86000000
0.125374073043
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 30YR 2.5% 12/01/2051#RA6496
3133KNGD9
560957.86000000
PA
USD
477788.85000000
0.102989941420
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/51#MA4468
31418D6E7
87419.84200000
PA
USD
80012.09000000
0.017247033835
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 06/20/2048#MA5266
36179TZ73
296442.11200000
PA
USD
297991.32000000
0.064233622426
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.05000000
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
845000.00000000
PA
USD
808292.69000000
0.174231811381
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Variable
0.05788000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG7744
3617GSS91
14143.09600000
PA
USD
13523.46000000
0.002915054114
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#CB5128
3140QQVW2
837750.21300000
PA
USD
834635.79000000
0.179910207446
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 06/01/2051#FM7507
3140XBKV1
2125219.55400000
PA
USD
1815608.22000000
0.391364060127
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
690000.00000000
NC
USD
9350.95000000
0.002015647273
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
6512.38000000
USD
0.00000000
USD
690000.00000000
USD
2838.57000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2052#CB2905
3140QNGP1
99903.37700000
PA
USD
91687.56000000
0.019763743823
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2040#MA4204
31418DU67
18420.77200000
PA
USD
15743.84000000
0.003393668896
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2049#QA4483
31339U6U9
59829.83000000
PA
USD
53360.93000000
0.011502233789
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/47#BH1302
3140GPNU8
45949.38500000
PA
USD
42960.37000000
0.009260337468
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2043#MA1521
36179NVN5
2650.05200000
PA
USD
2491.30000000
0.000537013036
Long
ABS-MBS
USGA
US
N
2
2043-12-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/01/2045#G61807
31335CAG9
13988.71500000
PA
USD
13527.72000000
0.002915972380
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3432
3133B0Y56
120376.16000000
PA
USD
98556.90000000
0.021244466792
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#CB4893
3140QQNK7
1279485.28600000
PA
USD
1272729.48000000
0.274343644873
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2047#ZM4820
3131XYK99
75509.20300000
PA
USD
67645.89000000
0.014581433301
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 05/01/2041#SC0167
3132D9FG4
273368.06800000
PA
USD
240803.94000000
0.051906576878
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
CCUBS COML MTG TR 2017-C1
N/A
CCUBS COML MTG TR 2017-C1 3.462% 11/15/2050
12508GAS5
95077.72000000
PA
USD
90374.03000000
0.019480605408
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
0.03462000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2032#SB0030
3132CWA79
52799.04600000
PA
USD
49866.71000000
0.010749035984
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 4.50% 10/39 #G08368
3128MJMS6
30280.59500000
PA
USD
29896.91000000
0.006444438813
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8010
3138WH3U4
16371.39200000
PA
USD
15251.73000000
0.003287591954
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2033#G18684
3128MMXN8
44491.89900000
PA
USD
41849.24000000
0.009020827455
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
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
1387078.85000000
PA
USD
1128925.17000000
0.243345856911
Long
ABS-CBDO
CORP
US
N
2
2060-12-25
Fixed
0.01740000
N
N
N
N
N
N
RMF BUYOUT ISSUANCE TRUST 2021
N/A
RMF BUYOUT ISSUANCE TRUST 2021 1.268% 11/25/2031 144A
74969TAA8
294761.81220000
PA
USD
278057.72000000
0.059936828358
Long
ABS-CBDO
CORP
US
N
2
2031-11-25
Fixed
0.01258600
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6302
3133KNAB9
1108676.36200000
PA
USD
908411.72000000
0.195813003648
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/51#BQ1010
3140KLDQ2
175478.93000000
PA
USD
144055.65000000
0.031051965642
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 20YR 2% 02/01/2041#
31418DW65
19718.27200000
PA
USD
16717.22000000
0.003603486160
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.02000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 1.36% 04/15/2032 144A
57109KAA3
247421.17000000
PA
USD
244365.52000000
0.052674294492
Long
ABS-CBDO
CORP
XX
N
2
2032-04-15
Fixed
0.01360000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#MA3283
31418CUH5
48868.21400000
PA
USD
45970.93000000
0.009909279774
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
244105.80700000
PA
USD
230548.76000000
0.049696017993
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/47#MA4720
36179TG58
3664.24200000
PA
USD
3514.01000000
0.000757463645
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 01/01/2052#FS0288
3140XFKA8
1240008.36800000
PA
USD
1015245.69000000
0.218841637137
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2048#ZM6780
3131Y1Q94
562742.69100000
PA
USD
536684.95000000
0.115685310700
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% 03/01/2050#FM3663
3140X7B99
2144254.66200000
PA
USD
2038934.45000000
0.439503223160
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#CB0404
3140QKNW4
4763228.02800000
PA
USD
4081208.08000000
0.879726224424
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2048#Q59935
3132Y4BD3
22753.51700000
PA
USD
21883.73000000
0.004717155016
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 4.5% 07/01/2052#CB4025
3140QPPK7
1067690.21200000
PA
USD
1040423.86000000
0.224268926312
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
1350000.00000000
NC
USD
18295.34000000
0.003943658364
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
18738.39000000
USD
0.00000000
USD
1350000.00000000
USD
-443.05000000
N
N
N
CHICAGO BOARD OF TRADE
N/A
US ULTRA BOND CBT FUT JUN23 WNM3
N/A
-13.00000000
NC
USD
-8743.91000000
-0.00188479655
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UNITED STATES TREASURY BOND
UNITED STATES TREASURY BOND 0% 06/30/2040
2023-06-21
-1747068.59000000
USD
-8743.91000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2048#G67716
3132XCSD8
341015.88900000
PA
USD
336351.88000000
0.072502446253
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 04/01/2052#MA4577
31418ECP3
499950.12100000
PA
USD
407454.85000000
0.087829071634
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2032#FM1681
3140X42P0
3586392.19700000
PA
USD
3331588.36000000
0.718141685458
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 08/01/2050#SD7523
3132DVLC7
6508789.77900000
PA
USD
5581408.95000000
1.203102543733
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 10/31/2024
91282CFQ9
1900000.00000000
PA
USD
1882187.50000000
0.405715579940
Long
DBT
UST
US
N
2
2024-10-31
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2052#
31418EAQ3
389605.23700000
PA
USD
355099.58000000
0.076543613235
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2013-LC11
N/A
JP MORGAN CH CMS 13-LC11 2.9599% 04/15/2046
46639YAQ0
150218.77000000
PA
USD
149481.48000000
0.032221532312
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Fixed
0.02959900
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2047#G08793
3128MJ3B4
1271683.31700000
PA
USD
1216315.50000000
0.262183309831
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
AJAXM 2021-C
N/A
AJAXM 2021-C 2.115% 01/25/2061 144A
009733AA4
188750.19300000
PA
USD
176333.94000000
0.038009723648
Long
ABS-CBDO
CORP
US
N
2
2061-01-25
Fixed
0.02115000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2047#BH6709
3140GVN35
52097.74000000
PA
USD
48708.78000000
0.010499437981
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 30YR 4% 09/01/2052#FS3083
3140XJM91
3048141.18700000
PA
USD
2875325.30000000
0.619791743174
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2048#BJ2763
3140H4B94
873696.95300000
PA
USD
855207.17000000
0.184344478403
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
390000.00000000
NC
USD
5285.32000000
0.001139278987
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
8026.58000000
USD
0.00000000
USD
390000.00000000
USD
-2741.26000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 03/01/2041#RB5104
3133KYU56
144058.87900000
PA
USD
117560.31000000
0.025340753431
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 09/01/2052#CB4682
3140QQFY6
2035643.52100000
PA
USD
2024895.12000000
0.436476970508
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/45#MA3174
36179RQ36
2564.08100000
PA
USD
2474.18000000
0.000533322728
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 04/48#784805
3622AAGN8
226598.81000000
PA
USD
229482.51000000
0.049466182105
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
100000.00000000
PA
USD
98493.15000000
0.021230725138
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.05537860
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2048#BK5486
3140HKCY2
43051.99800000
PA
USD
40211.10000000
0.008667717619
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.03500000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2020-NNN
N/A
J P MORGAN CHASE COML MTG SECS TR 2020-NNN 2.8123% 01/16/2037 144A
46652BAY5
670000.00000000
PA
USD
604207.41000000
0.130240138005
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Fixed
0.02812300
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2286
3140X5RG0
187956.19200000
PA
USD
176284.09000000
0.037998978214
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2033#ZS8686
3132A9UK1
25780.78800000
PA
USD
24252.31000000
0.005227715100
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 08/01/2049#
3132DV3M5
61872.30300000
PA
USD
55201.91000000
0.011899066872
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.03000000
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
1400000.00000000
PA
USD
1313346.16000000
0.283098787430
Long
ABS-MBS
CORP
US
N
2
2031-10-15
Variable
0.05550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 05/01/2051#SD7540
3132DVLV5
1788264.95400000
PA
USD
1528301.48000000
0.329433556052
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
BENCHMARK 2019-B MORTGAGE TRUST 2020
N/A
BENCHMARK 2019-B MORTGAGE TRUST 2020 CSTR 03/15/2053
08162MAZ1
2092561.94000000
PA
USD
123984.71000000
0.026725567203
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Variable
0.01415913
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 03/01/2053 #TBA
01F012635
15200000.00000000
PA
USD
11736532.56000000
2.529872350160
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3295
3140XJUV3
489954.51400000
PA
USD
485377.06000000
0.104625620660
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2019-GC41
N/A
CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056
17328FBB0
4526723.10600000
PA
USD
204187.35000000
0.044013675110
Long
ABS-MBS
CORP
US
N
2
2056-08-10
Variable
0.01040861
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2035#MA4013
31418DN73
5328850.63300000
PA
USD
4870649.94000000
1.049894638601
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.02500000
N
N
N
N
N
N
VLS COMMERCIAL MORTGAGE TRUST 2020
N/A
VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A
92858TAL0
1600000.00000000
PA
USD
41968.96000000
0.009046633741
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Variable
0.00429415
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2053 #TBA
01F030637
-7200000.00000000
PA
USD
-6332903.28000000
-1.36509116490
Short
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2049#FM3160
3140X6QN4
127961.93900000
PA
USD
125253.92000000
0.026999152205
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#RA2976
3133KJJV5
561274.10400000
PA
USD
479040.43000000
0.103259726181
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.287% 11/05/2032 144A
05492PAQ1
600000.00000000
PA
USD
549212.58000000
0.118385708334
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03287000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2028#FS3867
3140XKJM3
500000.00000000
PA
USD
475136.05000000
0.102418116195
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2348
3140QMTE4
416573.25600000
PA
USD
341976.86000000
0.073714940770
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2048#BJ2757
3140H4B37
87024.19100000
PA
USD
81281.67000000
0.017520698592
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6299
3133KM7L3
1099890.80600000
PA
USD
897088.54000000
0.193372231652
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
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
71905.65000000
PA
USD
71180.32000000
0.015343298586
Long
ABS-CBDO
CORP
US
N
2
2031-06-20
Fixed
0.00910000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#FM9865
3140XD6B7
4426851.95700000
PA
USD
3776049.38000000
0.813947634914
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 01/01/2030#SB0800
3132CW3H5
2382816.00000000
PA
USD
2229904.98000000
0.480667942047
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 12/01/2052#MA4842
31418ELY4
1774006.26600000
PA
USD
1771948.06000000
0.381952879182
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 10/01/2052#RA7615
3133KPN87
939758.81800000
PA
USD
941605.26000000
0.202968048685
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2041#AI9851
3138AP5M6
396530.49000000
PA
USD
391507.64000000
0.084391565247
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 30YR 2% 10/01/2051#CB1801
3140QMAB0
2242265.50400000
PA
USD
1842841.78000000
0.397234399607
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2053 #TBA
01F022634
-12525000.00000000
PA
USD
-10611034.71000000
-2.28726527040
Short
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 02/01/2048#ZS4754
3132A5H73
695012.10600000
PA
USD
622635.49000000
0.134212409187
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 04/01/2052#RA7142
3133KN5B5
788329.66000000
PA
USD
645684.17000000
0.139180675405
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2050#CA7323
3140QFD55
775601.46900000
PA
USD
642772.74000000
0.138553101101
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02000000
N
N
N
N
N
N
MFA 2022-RPL1 TR
N/A
MFA 2022-RPL1 TR 3.3% 08/25/2061 144A
55285TAA4
979339.92000000
PA
USD
873965.10000000
0.188387850516
Long
ABS-CBDO
CORP
US
N
2
2061-08-25
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2034#CA4460
3140QB5W4
850670.25500000
PA
USD
797577.71000000
0.171922140148
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
2141.69100000
PA
USD
2021.29000000
0.000435699867
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28
N/A
MSBAM 2016-C28 3.272% 01/15/49
61766LBR9
75875.19000000
PA
USD
71388.00000000
0.015388065121
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Fixed
0.03272000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/20/2051#MA7192
36179V7D6
2475621.09200000
PA
USD
2086665.86000000
0.449791983812
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/01/2048#ZM8154
3131Y3BX3
46387.33300000
PA
USD
44282.86000000
0.009545407259
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2028#FS3865
3140XKJK7
200000.00000000
PA
USD
186947.24000000
0.040297477214
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 06/01/2038#MA3388
31418CXS8
20825.77400000
PA
USD
19763.92000000
0.004260218636
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2320
3140QMSJ4
693935.53700000
PA
USD
591918.34000000
0.127591163255
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
CFMT 2021-HB7 LLC
N/A
CFMT 2021-HB7 LLC 1.3034% 10/27/2031 144A
12530BAA7
248148.33000000
PA
USD
232847.01000000
0.050191418070
Long
ABS-CBDO
CORP
US
N
2
2031-10-27
Fixed
0.01151200
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 03/01/2053 #TBA
01F040636
2300000.00000000
PA
USD
2157327.78000000
0.465023538507
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.04000000
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
264511.38000000
PA
USD
237170.85000000
0.051123444902
Long
ABS-CBDO
CORP
US
N
2
2061-08-25
Fixed
0.01669600
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 02/01/2050#SD7512
3132DVKZ7
3835769.71200000
PA
USD
3435424.29000000
0.740524075395
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
3451134.51400000
PA
USD
3195361.96000000
0.688777356517
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#MA4785
31418EJ76
349999.36300000
PA
USD
344104.46000000
0.074173556326
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 11/32#ZK9037
3131XDBE4
614185.64400000
PA
USD
577772.05000000
0.124541854804
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
BENCHMARK 2020-B18 MORTGAGE TRUST
N/A
BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053
08163AAF0
1479841.07000000
PA
USD
113449.94000000
0.024454741199
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Variable
0.01788497
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN23 FVM3
N/A
1.00000000
NC
USD
-134.82000000
-0.00002906117
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2023-06-30
107189.51000000
USD
-134.82000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 02/01/2052#FS2040
3140XHHS9
999900.72800000
PA
USD
815535.03000000
0.175792936494
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
GS MTG SECS CORP TR 2021-IP
N/A
GSMS 2021-IP A 1ML+105 10/15/2036 144A
36262MAA6
963000.00000000
PA
USD
913360.14000000
0.196879662039
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.05538000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6416
3140QEDW9
1257012.95900000
PA
USD
1121495.52000000
0.241744356126
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
COMM 2016-COR1 MTG TR
N/A
COMM 2016-COR1 ASB 2.972% 10/49
12594MBA5
522617.38300000
PA
USD
501017.35000000
0.107996968801
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Fixed
0.02972000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL B 1ML+110 10/15/2036 144A
056054AE9
680000.00000000
PA
USD
673167.43000000
0.145104839055
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.05756950
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 04/01/2051#MA4305
31418DYB2
1912088.63100000
PA
USD
1562517.72000000
0.336809049542
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K-150 A2 3.71% 09/25/2032
3137H9C98
800000.00000000
PA
USD
751783.04000000
0.162050854159
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Fixed
0.03710000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/51#RA6435
3133KNEG4
2026175.58100000
PA
USD
1727669.26000000
0.372408347077
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 3.5% 05/01/2049#Q63646
3132VQBQ8
224332.90000000
PA
USD
207708.69000000
0.044772718776
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
283547.30200000
PA
USD
266561.71000000
0.057458801932
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/20/2048#MA5466
36179UCB6
730508.85900000
PA
USD
698047.38000000
0.150467845314
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#MA4494
31418D7G1
5421126.76600000
PA
USD
4776963.00000000
1.029699917727
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 04/01/2037#BM1257
3140J5MF3
599689.28400000
PA
USD
546431.24000000
0.117786175624
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
0.02500000
N
N
N
N
N
N
NYMT LN TR 2022-CP1
N/A
NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A
62955VAA4
1140170.91000000
PA
USD
997419.46000000
0.214999097941
Long
ABS-CBDO
CORP
US
N
2
2061-07-25
Fixed
0.02042400
N
N
N
N
N
N
GS MTG SECS TR 2011-GC5
N/A
GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A
36191YAE8
855047.36000000
PA
USD
842383.25000000
0.181580213876
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
0.05153796
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2% 04/01/2038 #TBA
01F020448
4100000.00000000
PA
USD
3643312.07000000
0.785335397978
Long
ABS-MBS
USGA
US
N
2
2038-04-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/44#MA1760
36179N5V6
2587.42700000
PA
USD
2430.81000000
0.000523974093
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2034#BO4944
3140K0P69
13684.08600000
PA
USD
12579.30000000
0.002711535378
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.02500000
N
N
N
N
N
N
BX TR 2021-LGCY
N/A
BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A
05608UAA6
232000.00000000
PA
USD
231564.33000000
0.049914929537
Long
ABS-MBS
CORP
US
N
2
2039-10-15
Variable
0.06727470
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2013-C13
N/A
JPMCC 2013-C13 ASB 3.414% 1/15/46
46640JAS6
11615.21800000
PA
USD
11582.49000000
0.002496667652
Long
ABS-MBS
CORP
US
N
2
2046-01-15
Fixed
0.03413700
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC A 1ML+105 04/15/34 144A
05608BAA8
119000.00000000
PA
USD
116902.86000000
0.025199036568
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.05588000
N
N
N
N
N
N
RMF BUYOUT ISSUANCE TR 2022-HB1
N/A
RMF BUYOUT ISSUANCE TR 2022-HB1 A 0% 04/25/2032 144A
76970HAA6
163195.86000000
PA
USD
157407.19000000
0.033929961482
Long
ABS-CBDO
CORP
US
N
2
2032-04-25
Fixed
0.04272000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 05/01/2041#MA4333
31418DY71
2731999.50800000
PA
USD
2316198.74000000
0.499269023439
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2013-C16
N/A
J P MORGAN CHASE COML MTG SECS TR 2013-C16 4.5169% 12/15/2046
46641BAH6
37000.00000000
PA
USD
36450.96000000
0.007857199336
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
0.04516900
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2346
3140QMTC8
464887.13300000
PA
USD
382220.21000000
0.082389610049
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 04/01/2053 #TBA
01F020646
12300000.00000000
PA
USD
10027338.84000000
2.161446504520
Long
ABS-MBS
USGA
US
N
2
2053-04-01
Fixed
0.02000000
N
N
N
N
N
N
BENCHMARK 2019-B10 MTG TR
N/A
BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062
08162VAE8
29000.00000000
PA
USD
26682.98000000
0.005751659016
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Fixed
0.03717000
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
137423.07600000
PA
USD
122954.17000000
0.026503428796
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5345
3140J95F4
73873.08900000
PA
USD
69770.35000000
0.015039372014
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 2.5% 01/01/2028#SB0799
3132CW3G7
200000.00000000
PA
USD
190206.36000000
0.040999997957
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#FS3047
3140XJL50
992411.31600000
PA
USD
983139.61000000
0.211920999918
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 10/01/2051#MA4438
31418D4Y5
2205428.05300000
PA
USD
1872415.25000000
0.403609119199
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2376
3140QMUA0
543082.15100000
PA
USD
463072.57000000
0.099817768576
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
BPR TRUST 2021-TY
N/A
BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A
05592DAA2
1480000.00000000
PA
USD
1453157.09000000
0.313235780980
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.06460470
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 10/01/2052#CB4843
3140QQLZ6
874712.90600000
PA
USD
876158.19000000
0.188860582792
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BC4754
3140F0H80
50434.38400000
PA
USD
48540.33000000
0.010463127683
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2050#CA7616
3140QFPA1
431602.50800000
PA
USD
355258.93000000
0.076577961979
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#CA5039
3140QCS56
24807.80900000
PA
USD
23290.50000000
0.005020391812
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
FINANCE OF AMERICA HECM BUYOUT 2022-HB1
N/A
FINANCE OF AMERICA HECM BUYOUT 2022-HB1 A VAR 02/25/2032 144A
31735JAA3
834060.44000000
PA
USD
804955.57000000
0.173512477321
Long
ABS-CBDO
CORP
US
N
2
2032-02-25
Variable
0.02694800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#CB1799
3140QL7M2
1695624.85300000
PA
USD
1395695.95000000
0.300849725000
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 12/01/2052#SD8277
3132DWFS7
3814542.97200000
PA
USD
3810117.34000000
0.821291165858
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05500000
N
N
N
N
N
N
OCEANVIEW TRUST 2021-EB01
N/A
OCEANVIEW TRUST 2021-EB01 VAR 12/29/2051 144A
67647NAA5
290167.80000000
PA
USD
278250.29000000
0.059978337852
Long
ABS-CBDO
CORP
XX
N
2
2051-12-29
Variable
0.01218700
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2051#MA4281
31418DXK3
2807916.40500000
PA
USD
2294568.92000000
0.494606600081
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 02/01/2041#MA4266
31418DW40
141643.30700000
PA
USD
115589.07000000
0.024915842109
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#MA4326
31418DYY2
907082.58700000
PA
USD
772383.63000000
0.166491421487
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2022-DKLX
N/A
BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A
05530SAA4
275000.00000000
PA
USD
270976.06000000
0.058410338679
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
0.05713000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/01/2037#FS2747
3140XJBR3
1324967.03400000
PA
USD
1149114.49000000
0.247697772792
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 08/01/2052#
3133KPQD3
2354802.50000000
PA
USD
2225711.05000000
0.479763918010
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
0.04000000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE 4.284% 04/15/2036 144A
12690CAA1
100000.00000000
PA
USD
95850.38000000
0.020661061934
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04284000
N
N
N
N
N
N
GS MTG SECS TR 2013-GCJ16
N/A
GSMS 2013-GC16 AS 4.649% 11/46
36248GAH3
275000.00000000
PA
USD
271249.85000000
0.058469355577
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Fixed
0.04649000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#G61047
31335BEU6
42546.86400000
PA
USD
41991.55000000
0.009051503137
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 5% 12/01/2052#SD8276
3132DWFR9
3802289.44900000
PA
USD
3738249.01000000
0.805799563036
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#FM9919
3140XEAV6
1928009.97400000
PA
USD
1704939.80000000
0.367508890437
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2051#MA4414
31418D3Y6
43552.97400000
PA
USD
37017.44000000
0.007979307129
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
TOWD PT MTG TR 2022
N/A
TOWD PT MTG TR 2022 3.75% 07/25/2062 144A
89170VAA6
459560.52100000
PA
USD
424354.55000000
0.091471892334
Long
ABS-CBDO
CORP
US
N
2
2062-07-25
Fixed
0.03750000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+70.1 11/15/2036 144A
26863LAA2
950000.00000000
PA
USD
925003.89000000
0.199389534612
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.05289000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT JUN23 USM3
N/A
-172.00000000
NC
USD
1322.68000000
0.000285110746
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2023-06-21
-21538947.68000000
USD
1322.68000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 11/01/2050#QB6612
3133ADKZ8
102897.81700000
PA
USD
79597.37000000
0.017157638721
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 30YR 5% 01/01/2053#SD2186
3132DPNB0
685552.54000000
PA
USD
677648.05000000
0.146070660654
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#FM9646
3140XDWG7
2122805.72800000
PA
USD
1728740.81000000
0.372639325410
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 12/01/2036#BU1384
3140M2RE4
108923.29200000
PA
USD
96986.77000000
0.020906016875
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.02000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2019-C54
N/A
WELLS FARGO COML MTG TR 2019-C54 VAR 12/15/2052
95001YAF1
5910034.54400000
PA
USD
247284.71000000
0.053303541505
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Variable
0.00827741
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2049#RA1171
3133KGJQ2
2207348.92600000
PA
USD
2165636.43000000
0.466814512442
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
0.04500000
N
N
N
N
N
N
GS MTG SECS TR 2015-GC34
54930070360RBP384M53
GSMS 2015 GC34 AAB 3.278% 10/10/2048
36250VAE2
39465.98000000
PA
USD
38112.62000000
0.008215379034
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
0.03278000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/51#SD7541
3132DVLW3
7194355.96000000
PA
USD
5930782.45000000
1.278411869806
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2040#004799
36202FKL9
4596.21700000
PA
USD
4337.21000000
0.000934908807
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/01/2053 #TBA
21H030633
10375000.00000000
PA
USD
9255055.06000000
1.994976606234
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.03000000
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
114000.00000000
PA
USD
112733.46000000
0.024300300104
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Fixed
0.04409300
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
350000.00000000
NC
USD
4743.24000000
0.001022430744
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
3218.63000000
USD
0.00000000
USD
350000.00000000
USD
1524.61000000
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 12/01/2036#BM3680
3140J8CS0
297994.74200000
PA
USD
284756.30000000
0.061380743096
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 06/01/2041#MA4364
31418DZ62
21335.51800000
PA
USD
18088.33000000
0.003899036252
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.02000000
N
N
N
N
N
N
CFMT 2022-HB8 LLC
N/A
CFMT 2022-HB8 LLC 3.75% 04/24/2025 144A
12526WAA7
2524926.84000000
PA
USD
2408499.94000000
0.519165040647
Long
ABS-CBDO
CORP
US
N
2
2025-04-25
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1863
3132DPB80
294575.40600000
PA
USD
293020.02000000
0.063162032129
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
RLGH TR 2021-TROT
N/A
RLGH TR 2021-TROT VAR 04/15/2026 144A
74969CAA5
1900000.00000000
PA
USD
1858074.22000000
0.400517833499
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.05388000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 03/01/2037#MA4566
31418ECC2
4049998.52300000
PA
USD
3502348.81000000
0.754950013535
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 04/51#MA7311
36179WDQ8
189691.95800000
PA
USD
159888.66000000
0.034464855609
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 08/01/2032#MA3090
31418CNG5
206855.93000000
PA
USD
194915.15000000
0.042015002820
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% 03/01/2049#ZN6553
3131YDH64
790439.57300000
PA
USD
753097.31000000
0.162334152085
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% 06/01/2052#BU8723
3140MAVR2
6000003.88800000
PA
USD
5466734.34000000
1.178383818366
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
5813.38900000
PA
USD
5624.09000000
0.001212302672
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3038
3140QNLU4
244144.63700000
PA
USD
199891.22000000
0.043087621316
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 04/01/2041#
3133KYU98
20490.69200000
PA
USD
17372.08000000
0.003744644734
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/42#G07184
3128M9J52
173352.45300000
PA
USD
167566.14000000
0.036119777476
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
227902.71600000
PA
USD
217349.70000000
0.046850890033
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 15YR 3% 01/01/2033#ZS8682
3132A9UF2
40957.71000000
PA
USD
38529.43000000
0.008305224658
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2048#ZN4472
3131YA6H8
29658.73800000
PA
USD
26428.35000000
0.005696772158
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2321
3140QMSK1
615091.12200000
PA
USD
523896.17000000
0.112928620788
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
CFMT 2020-HB4 LLC
N/A
CFMT 2020-HB4 A LLC 0% 12/26/2030 144A
12529LAA8
43594.49000000
PA
USD
42353.09000000
0.009129435017
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 30YR 3.5% 04/01/2052#SD0958
3132DNB36
2142591.51700000
PA
USD
1971579.08000000
0.424984412998
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BM4980
3140J9RA1
386916.56100000
PA
USD
373581.33000000
0.080527453272
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 5% 11/01/2052#FS3248
3140XJTE3
840243.79100000
PA
USD
835807.22000000
0.180162715447
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2052#FS3425
3140XJYX5
1650247.58800000
PA
USD
1590570.18000000
0.342855907296
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8985
3617M76W3
9394.47500000
PA
USD
8679.05000000
0.001870815635
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
CFMT 2022-EBO2
N/A
CFMT 2022-EBO2 A 3.169% 07/25/2054 144A
12527QAA9
196163.60000000
PA
USD
189597.93000000
0.040868847617
Long
ABS-CBDO
CORP
US
N
2
2054-07-25
Fixed
0.03169000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2013-GC17
N/A
CITIGROUP COML MTG TR 13-GC17 4.544% 11/10/2046
17321RAH9
500000.00000000
PA
USD
491332.35000000
0.105909315264
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Fixed
0.04544000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-NUGS
N/A
MORGAN STANLEY CAP I TR 2019-NUGS A 1ML+88.4 12/15/2021 144A
61692AAA0
1000000.00000000
PA
USD
965218.40000000
0.208057987275
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.05538000
N
N
N
N
N
N
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30
N/A
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30 2.729% 09/15/2049
61766NAY1
673408.24600000
PA
USD
645399.58000000
0.139119330509
Long
ABS-MBS
CORP
US
N
2
2049-09-15
Fixed
0.02729000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#FS0631
3140XFVZ1
926172.57800000
PA
USD
819014.69000000
0.176542995813
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/51#QC1514
3133AKVF4
176297.60900000
PA
USD
145113.38000000
0.031279965000
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 30YR 2% 09/01/2051#BT0233
3140LNHK6
464571.13600000
PA
USD
381960.40000000
0.082333606614
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2048#ZM5941
3131Y0S60
31410.61100000
PA
USD
28110.15000000
0.006059293141
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6308
3133KNAH6
167622.79800000
PA
USD
137606.33000000
0.029661780231
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#BT9493
3140LYRP0
368146.91000000
PA
USD
302222.29000000
0.065145630633
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2031#BC0919
3140EVAV9
15984.19500000
PA
USD
14903.51000000
0.003212531271
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 01/20/2051#MA7135
36179V4U1
4029115.89900000
PA
USD
3397343.68000000
0.732315596287
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 07/01/2035#SB8065
3132D56A5
286949.39300000
PA
USD
250030.57000000
0.053895426311
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6417
3140QEDX7
898097.98500000
PA
USD
799871.57000000
0.172416593936
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
BX 2021-SOAR
N/A
BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A
05609WAA1
492933.75000000
PA
USD
491854.72000000
0.106021914910
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.06052750
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A
12653VAA4
2483820.56000000
PA
USD
2471350.29000000
0.532712769659
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.05568000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 03/01/2053 #TBA
01F020638
32800000.00000000
PA
USD
26707537.76000000
5.756952573043
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/32#MA3125
31418CPK4
13612.30700000
PA
USD
12826.54000000
0.002764829282
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 15YR 3% 05/01/2033#G16550
3128MFQB7
11932.66800000
PA
USD
11223.91000000
0.002419373816
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
90354.63000000
PA
USD
86528.04000000
0.018651581699
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2052#FS1648
3140XGZN2
3999884.16300000
PA
USD
3395914.05000000
0.732007431896
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
600000.00000000
NC
USD
8131.26000000
0.001752736571
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
3219.16000000
USD
0.00000000
USD
600000.00000000
USD
4912.10000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2036#FS1970
3140XHFL6
3239201.83100000
PA
USD
2967562.69000000
0.639674005795
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#FM7352
3140XBE22
1117850.67900000
PA
USD
955346.60000000
0.205930067999
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2048#ZM8580
3131Y3Q90
275928.09100000
PA
USD
262892.59000000
0.056667903497
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2046#G60440
31335APZ5
1005915.19200000
PA
USD
940094.94000000
0.202642491133
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
350000.00000000
NC
USD
4743.24000000
0.001022430744
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
3021.71000000
USD
0.00000000
USD
350000.00000000
USD
1721.53000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#BQ6772
3140KSQ26
409326.03700000
PA
USD
335387.84000000
0.072294642276
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.5% MAC 03/15/25
N/A
7158000.00000000
NC
USD
-114406.17000000
-0.02466086168
N/A
DO
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2025-03-15
0.00000000
USD
0.00000000
USD
7218749.95000000
USD
-114406.17000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 01/01/2053#QF5251
3133BSZQ8
525409.95200000
PA
USD
524800.37000000
0.113123525933
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
0.05500000
N
N
N
N
N
N
BENCHMARK 2019-B12 MTG TR
N/A
BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A
08162FAK9
938153.50000000
PA
USD
37938.74000000
0.008177898270
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
0.01032375
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 12/01/2050#QB7301
3133AEDE1
67554.96800000
PA
USD
52257.65000000
0.011264415886
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 20YR 1.5% 11/01/2041#MA4473
31418D6K3
2275716.60500000
PA
USD
1848581.44000000
0.398471614011
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2047#FM3371
3140X6W98
1103284.09400000
PA
USD
1088574.12000000
0.234647972321
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
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
100000.00000000
PA
USD
98242.04000000
0.021176597035
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.05837860
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2051#FM9210
3140XDGU4
1901793.86300000
PA
USD
1684134.13000000
0.363024117018
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#FM9501
3140XDRX6
2199873.49300000
PA
USD
1876464.59000000
0.404481976088
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2048#MA5192
36179TXV2
167877.71000000
PA
USD
160627.61000000
0.034624140233
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3128
3140QNPN6
550728.73300000
PA
USD
504534.60000000
0.108755130845
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY451600 12/16/72 B
N/A
1020000.00000000
NC
USD
13823.14000000
0.002979651741
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
12097.98000000
USD
0.00000000
USD
1020000.00000000
USD
1725.16000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 11/01/2052#CB5049
3140QQTF2
1476384.83500000
PA
USD
1499331.10000000
0.323188835734
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2047#ZM4743
3131XYHU6
61081.34300000
PA
USD
54720.50000000
0.011795296373
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FDG TR 2022-RPL1
N/A
BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A
10569XAA7
1071853.91000000
PA
USD
911021.80000000
0.196375620348
Long
ABS-CBDO
CORP
US
N
2
2061-09-25
Fixed
0.02750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 08/01/2052#RA7754
3133KPTK4
2723407.77000000
PA
USD
2569853.87000000
0.553945743040
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#Q49499
3132WPRV1
19019.18600000
PA
USD
18717.46000000
0.004034648587
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 3% 11/01/2049#SD7507
3132DVKU8
1268474.02800000
PA
USD
1137270.56000000
0.245144750349
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#SD8133
3132DWBA0
1264830.42400000
PA
USD
976837.90000000
0.210562632631
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-GC33
N/A
CITIGROUP COML MTG TR 2015-GC33 AAB 3.522% 09/10/58
29425AAE3
158250.21200000
PA
USD
153248.97000000
0.033033634926
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Fixed
0.03522000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 05/01/2038#C91994
3128P8GB1
329816.66500000
PA
USD
319874.37000000
0.068950630865
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.04000000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
80742026.10500000
NS
USD
80758174.51000000
17.40785634068
Long
STIV
RF
US
N
1
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+71.21 10/15/2036 144A
05609PAA6
475000.00000000
PA
USD
464167.15000000
0.100053711148
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.05277100
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2039#AL0939
3138EHBH4
746556.85800000
PA
USD
736134.03000000
0.158677626376
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% 10/40 #004833
36202FLN4
16875.84300000
PA
USD
16291.96000000
0.003511819093
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3168
3133B0QV8
280914.39000000
PA
USD
230610.63000000
0.049709354403
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
CFMT 2021-EBO1 LLC
N/A
CFMT 2021-EBO1 LLC 1.1581% 11/25/2050 144A
12530AAA9
186637.81000000
PA
USD
175292.27000000
0.037785186110
Long
ABS-CBDO
CORP
US
N
2
2050-11-25
Variable
0.00984900
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAE2
26000.00000000
PA
USD
23612.34000000
0.005089766145
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03177097
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 1.5% 03/01/2038 #TBA
01F012437
5100000.00000000
PA
USD
4408836.27000000
0.950348232651
Long
ABS-MBS
USGA
US
N
2
2038-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#BU1269
3140M2MT6
729344.37700000
PA
USD
598967.51000000
0.129110649542
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2053 #TBA
01F030637
12875000.00000000
PA
USD
11324462.46000000
2.441048436710
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.03000000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP 1ML+73.08 11/15/2038 144A
78472UAA6
151000.00000000
PA
USD
147745.20000000
0.031847267873
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.05318660
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2047#ZS4734
3132A5HK4
32431.68400000
PA
USD
29084.74000000
0.006269371227
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2050#FM7147
3140XA5H1
5257629.23500000
PA
USD
4858525.23000000
1.047281092528
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 12/01/2040#RB5089
3133KYUN7
84097.95400000
PA
USD
68944.13000000
0.014861275875
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#QC9113
3133AUDS4
321976.71400000
PA
USD
264420.48000000
0.056997248356
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 01/01/2041#MA4231
31418DVZ2
139218.00300000
PA
USD
114131.95000000
0.024601752101
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2043#MA1375
36179NQ43
3313.80200000
PA
USD
3115.29000000
0.000671517417
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 12/01/2040#MA4202
31418DU42
135763.31700000
PA
USD
111299.77000000
0.023991260558
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#CA4890
3140QCNG7
26410.60100000
PA
USD
24795.26000000
0.005344750876
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
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 2018-H12 HA 3.25% 08/20/2068
38380LGR8
56133.62000000
PA
USD
53691.45000000
0.011573479143
Long
ABS-CBDO
USGA
US
N
2
2068-08-20
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 10/01/2035#BK5705
3140HKKT4
422892.21300000
PA
USD
377077.55000000
0.081281082187
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
1300000.00000000
NC
USD
17617.73000000
0.003797595905
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
8890.87000000
USD
0.00000000
USD
1300000.00000000
USD
8726.86000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#BC2778
3140EXCQ4
23541.70100000
PA
USD
21913.27000000
0.004723522521
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#RA6510
3133KNGT4
607627.80000000
PA
USD
498818.98000000
0.107523098392
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2350
3140QMTG9
646730.46300000
PA
USD
529908.95000000
0.114224707668
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/47#Q48876
3132WN2J0
25050.63400000
PA
USD
24653.22000000
0.005314133395
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2047#CA1757
3140Q85T8
119038.15600000
PA
USD
111257.51000000
0.023982151189
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 03/01/2053 #TBA
01F052631
-5775000.00000000
PA
USD
-5764846.97000000
-1.24264358981
Short
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.05500000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2017
N/A
CITIGROUP COML MTG TR 2017-P7 3.509% 04/14/2050
17325HBQ6
323004.38000000
PA
USD
309312.32000000
0.066673924511
Long
ABS-MBS
CORP
US
N
2
2050-04-14
Fixed
0.03509000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2051#QC7496
3133ASKH5
117050.57000000
PA
USD
103215.23000000
0.022248594732
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
BX COML MTG TR 2019
N/A
BX COML MTG TR 2019-XCALM AL 1ML+88.72 11/25/2286 144A
05608FAA9
6072.94000000
PA
USD
6034.88000000
0.001300850653
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
0.05552480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/48#BK3801
3140HHGK5
52942.87800000
PA
USD
49449.30000000
0.010659061027
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/52#RA6824
3133KNSM6
2987624.87000000
PA
USD
2449825.50000000
0.528072986078
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2045#MA3035
36179RLQ0
485713.51500000
PA
USD
469138.88000000
0.101125394134
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 30YR 4% 09/01/2048#ZM8169
3131Y3CE4
291619.29000000
PA
USD
278389.28000000
0.060008297889
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
INTOWN 2022-STAY MORTGAGE TRUST
N/A
INTOWN 2022-STAY MORTGAGE TRUST TSFR1M+223.92 08/15/2037 144A
46117NAA0
997000.00000000
PA
USD
998246.95000000
0.215177467836
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Variable
0.07050600
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
1020000.00000000
NC
USD
13823.14000000
0.002979651741
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
11236.54000000
USD
0.00000000
USD
1020000.00000000
USD
2586.60000000
N
N
N
CHC COML MTG TR 2019-CHC
N/A
CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034
162665AA1
2888190.92700000
PA
USD
2806986.84000000
0.605061022706
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.05708000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2052#CB3331
3140QNVZ2
5591734.65900000
PA
USD
5145426.44000000
1.109124182444
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2043#ZS3792
3132A4F94
64143.14400000
PA
USD
55540.14000000
0.011971974157
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2037#BM1951
3140J6EZ6
77555.03100000
PA
USD
70667.42000000
0.015232740249
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 03/01/2033#ZS8690
3132A9UP0
50026.28000000
PA
USD
47013.44000000
0.010133998379
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 01/01/2052#RA6622
3133KNLB7
1777442.14200000
PA
USD
1515580.48000000
0.326691476481
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#QD0399
3133AWNQ3
109987.98800000
PA
USD
90292.27000000
0.019462981603
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#RA8291
3133KQF84
665662.29000000
PA
USD
661939.51000000
0.142684600862
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2052#MA4512
31418EAN0
299111.25100000
PA
USD
253642.60000000
0.054674018691
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2050#MA6599
36179VKL3
252371.27900000
PA
USD
227567.17000000
0.049053320326
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.03000000
N
N
N
N
N
N
JPMBB COML MTG SECS TR 2014-C21
N/A
JPMBB COML MTG SECS TR 2014-C21 3.4927% 08/15/2047
46642EAX4
290319.55300000
PA
USD
282782.86000000
0.060955357551
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
0.03492700
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
37013.78400000
PA
USD
34934.99000000
0.007530423896
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2021-ESH
N/A
EXTENDED STAY AMER TR 2021-ESH A 1ML+108 07/15/2038 144A
30227FAA8
650144.02100000
PA
USD
640367.61000000
0.138034662469
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.05668000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/01/2051#SD8183
3132DWCU5
299014.72100000
PA
USD
253560.75000000
0.054656375486
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#FM9633
3140XDV37
1456465.71800000
PA
USD
1289773.65000000
0.278017606854
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 1.5% 03/01/2038 #TBA
01F012437
-3650000.00000000
PA
USD
-3155343.61000000
-0.68015118719
Short
ABS-MBS
USGA
US
N
2
2038-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 04/01/2041#
31418DYH9
20773.58400000
PA
USD
17611.92000000
0.003796343529
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
1410000.00000000
NC
USD
19108.46000000
0.004118930728
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
10036.64000000
USD
0.00000000
USD
1410000.00000000
USD
9071.82000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2042#AB7124
31417D4J9
11581.93900000
PA
USD
10841.87000000
0.002337023051
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 2% 03/01/2053 #TBA
21H020634
-19400000.00000000
PA
USD
-16260546.50000000
-3.50504774545
Short
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.02000000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+112.02 11/15/2036 144A
26863LAE4
375000.00000000
PA
USD
364281.19000000
0.078522758366
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.05708200
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#SD7521
3132DVLA1
271408.97700000
PA
USD
233077.53000000
0.050241107889
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
1314635.45800000
PA
USD
1123113.58000000
0.242093137611
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02500000
N
N
N
N
N
N
LIFE FINANCIAL SERVICES TRUST 2022
N/A
LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A
53218DAE8
400000.00000000
PA
USD
398421.08000000
0.085881794206
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Variable
0.06356380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2049#FM2077
3140X5JX2
2572361.89700000
PA
USD
2306291.96000000
0.497133564038
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 30YR 4% 04/01/2049#FM1277
3140X4M37
98838.50600000
PA
USD
93712.01000000
0.020200124846
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2051#
3140QMKN3
908002.72300000
PA
USD
829925.75000000
0.178894933139
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 06/01/2051#QC3131
3133AMPQ3
57156.69200000
PA
USD
44213.98000000
0.009530559807
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 2% 01/01/2052#FS0286
3140XFJ85
2863122.79900000
PA
USD
2347734.93000000
0.506066817822
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2049#BN2615
3617K53Y8
137562.68700000
PA
USD
131105.93000000
0.028260584252
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 04/01/2051#FM6944
3140XAWE8
977995.37000000
PA
USD
805920.51000000
0.173720475298
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
BENCHMARK 2019-B14 MTG TR
N/A
BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061
08162YAK8
9678784.37600000
PA
USD
299630.97000000
0.064587057751
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.00776591
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2048#ZN1277
3131Y7M20
55692.05700000
PA
USD
53165.45000000
0.011460097030
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
302645.62200000
PA
USD
271247.17000000
0.058468777889
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6.5% 03/01/2053 #TBA
01F062630
1350000.00000000
PA
USD
1382582.39000000
0.298023027022
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 04/01/2053 #TBA
01F022642
2800000.00000000
PA
USD
2374533.84000000
0.511843466170
Long
ABS-MBS
USGA
US
N
2
2053-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2349
3140QMTF1
2019198.91000000
PA
USD
1657617.93000000
0.357308408322
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 04/01/2053 #TBA
01F030645
7200000.00000000
PA
USD
6338528.64000000
1.366303741335
Long
ABS-MBS
USGA
US
N
2
2053-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#QD0109
3133AWDN1
116478.14400000
PA
USD
95620.23000000
0.020611451871
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
25662.08000000
PA
USD
24105.77000000
0.005196127620
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#BP2186
3140K9NC9
1275504.63100000
PA
USD
1142378.17000000
0.246245722996
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 30YR 2% 02/01/2051#SD7532
3132DVLM5
2184550.10500000
PA
USD
1809743.57000000
0.390099903461
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033
3136ADB57
102664.65700000
PA
USD
92198.41000000
0.019873860273
Long
ABS-CBDO
USGSE
US
N
2
2033-05-25
Fixed
0.01850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2030#FS3868
3140XKJN1
2017183.00000000
PA
USD
1891517.74000000
0.407726763062
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2053 #TBA
01F032633
8800000.00000000
PA
USD
8012130.72000000
1.727057618660
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#BM5108
3140J9VA6
223496.60300000
PA
USD
210595.24000000
0.045394930063
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
JPMDB COML MTG SECS TR 2018-C8
N/A
JPMDB COML MTG SECS TR 2018-C8 4.145% 06/15/2051
46591ABB0
1000000.00000000
PA
USD
965125.20000000
0.208037897517
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Fixed
0.04145000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 10/01/2049#QA3907
31339UKU3
41593.23400000
PA
USD
37096.11000000
0.007996264868
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 2.5% 08/01/2051#CB1384
3140QLRE8
1978625.83900000
PA
USD
1689752.60000000
0.364235208269
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2022-DKLX
N/A
BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A
05530SAG1
100000.00000000
PA
USD
98342.39000000
0.021198228014
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
0.06113000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#
31418D5G3
22056.11600000
PA
USD
18630.33000000
0.004015867250
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 09/01/2051#QC7468
3133ASJM6
579684.15400000
PA
USD
476603.85000000
0.102734508333
Long
ABS-MBS
USGSE
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 4.0% 09/45#MA3106
36179RNX3
2412.07600000
PA
USD
2329.77000000
0.000502194381
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
102547.21000000
PA
USD
97774.36000000
0.021075786110
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
1350058.23600000
PA
USD
1208306.71000000
0.260456972322
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
BANK 2021-BNK33
N/A
BANK 2021-BNK33 VAR 05/15/2064
06541CBR6
3016313.30000000
PA
USD
173614.77000000
0.037423592015
Long
ABS-MBS
CORP
US
N
2
2064-05-15
Variable
0.01057194
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY451600 12/16/72 B
N/A
660000.00000000
NC
USD
8944.39000000
0.001928011091
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
5888.20000000
USD
0.00000000
USD
660000.00000000
USD
3056.19000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2049#CA4557
3140QCB39
115945.62000000
PA
USD
107144.25000000
0.023095516002
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2051#SD8163
3132DWB85
1554880.36100000
PA
USD
1424095.33000000
0.306971363214
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4.5% 03/01/2053 #TBA
01F042632
9350000.00000000
PA
USD
9001929.42000000
1.940414021034
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#BJ6650
3140H8L86
18300.90900000
PA
USD
17215.89000000
0.003710977145
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2053 #TBA
01F022634
23700000.00000000
PA
USD
20078365.08000000
4.327998954771
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.02500000
N
N
N
N
N
N
JPMBB COML MTG SECS TR 2014-C22
N/A
JPMBB 2014-C22 ASB 3.5036% 09/15/2047
46642NBE5
87919.04000000
PA
USD
86462.89000000
0.018637538268
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Fixed
0.03503600
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#MA4466
31418D6C1
2589814.18900000
PA
USD
2198760.27000000
0.473954533271
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
STORE MASTER FUNDING
N/A
STORE MASTER FUNDING 2.12% 06/20/2051 144A
86190BAA2
793333.35000000
PA
USD
664471.10000000
0.143230298623
Long
ABS-CBDO
CORP
US
N
2
2051-06-20
Fixed
0.02120000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD1924
3132DPD54
1185649.81100000
PA
USD
1179389.46000000
0.254223704460
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2048#BM4426
3140J84L4
1810959.70100000
PA
USD
1684667.72000000
0.363139135195
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 30YR 3% 12/01/2049#QA5521
3133A0D27
66302.68500000
PA
USD
59133.93000000
0.012746634808
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2043#MA0783
36179M2Q2
3208.33300000
PA
USD
3021.48000000
0.000651296170
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
BX 2021-MFM1
N/A
BX 2021-MFM1 A 1ML+0 01/15/2034 144A
05608VAA4
100371.23000000
PA
USD
98800.73000000
0.021297025652
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Variable
0.05376480
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
520000.00000000
NC
USD
7047.09000000
0.001519037931
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
1255.81000000
USD
0.00000000
USD
520000.00000000
USD
5791.28000000
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 03/01/2053 #TBA
01F052631
14350000.00000000
PA
USD
14324771.27000000
3.087781043769
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#BT9503
3140LYRZ8
92907.35300000
PA
USD
81867.66000000
0.017647011870
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
GS MTG SECS TR 2013-GC13
N/A
GS MTG SECS TR 2013-GC13 AS CSTR 07/10/2046 144A
36198EAP0
140000.00000000
PA
USD
138995.16000000
0.029961149964
Long
ABS-MBS
CORP
US
N
2
2046-07-10
Variable
0.04079446
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 03/01/2033#G18680
3128MMXJ7
27611.00100000
PA
USD
25594.38000000
0.005517005465
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 02/01/2051#SD7535
3132DVLQ6
2073778.96800000
PA
USD
1778304.24000000
0.383322987769
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
1249433.76600000
PA
USD
1221430.58000000
0.263285892676
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2040#MA4175
31418DT93
134639.26500000
PA
USD
110378.27000000
0.023792626306
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 10/01/2050#SD7525
3132DVLE3
1478346.50600000
PA
USD
1269557.71000000
0.273659952890
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 5% 12/01/2052#CB5273
3140QQ2F1
495329.23000000
PA
USD
492559.05000000
0.106173737008
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 02/01/2042#MA4540
31418EBJ8
289607.39300000
PA
USD
244082.12000000
0.052613206106
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/01/2053 #TBA
21H040632
3400000.00000000
PA
USD
3212702.16000000
0.692515129347
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0045
3140X3BP2
33158.76800000
PA
USD
31120.33000000
0.006708153536
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY451600 12/16/72 B
N/A
350000.00000000
NC
USD
4743.24000000
0.001022430744
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
519.64000000
USD
0.00000000
USD
350000.00000000
USD
4223.60000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2044#MA1600
36179NX52
5376.62800000
PA
USD
5051.19000000
0.001088811013
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 30YR 3% 03/01/2052#RA6988
3133KNXR9
519943.12000000
PA
USD
457632.98000000
0.098645235865
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#RA8292
3133KQF92
616540.87000000
PA
USD
610588.11000000
0.131615532009
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2041#005258
36202FZX7
2535.56500000
PA
USD
2390.70000000
0.000515328168
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
0.03500000
N
N
N
N
N
N
BLOX 2021-BLOX
N/A
BLOX 2021-BLOX A 1ML+80 09/15/2026 144A
055522AA4
531000.00000000
PA
USD
501968.21000000
0.108201931758
Long
ABS-MBS
CORP
US
N
2
2026-09-15
Variable
0.05338000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/46#MA3664
36179SB97
24971.71000000
PA
USD
24064.94000000
0.005187326495
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2347
3140QMTD6
513316.94800000
PA
USD
421556.92000000
0.090868848228
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2042#MA0535
36179MSY7
77133.00900000
PA
USD
74399.11000000
0.016037125982
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 07/01/2041#
3133KYVK2
21325.88900000
PA
USD
18013.52000000
0.003882910556
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#QC9114
3133AUDT2
326429.20000000
PA
USD
267975.03000000
0.057763450615
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 02/01/2041#RB5099
3133KYUY3
142015.18600000
PA
USD
115892.54000000
0.024981256690
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2053 #TBA
01F032633
-7400000.00000000
PA
USD
-6737473.56000000
-1.45229845205
Short
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2043 #MA1090
36179NF78
39182.87200000
PA
USD
36835.67000000
0.007940125633
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2049#BN2228
3140JJPN3
86687.61000000
PA
USD
84744.71000000
0.018267175382
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2045#G61419
31335BSG2
16218.41100000
PA
USD
15194.62000000
0.003275281588
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/01/2053 #TBA
21H032639
10750000.00000000
PA
USD
9881431.18000000
2.129995328219
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/46#BC2843
3140EXER0
52204.06400000
PA
USD
50243.55000000
0.010830265861
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2013-LC11
N/A
JP MORGAN CH CMS 13-LC11 3.216% 04/15/2046
46639YAU1
308000.00000000
PA
USD
282652.62000000
0.060927283623
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Fixed
0.03216000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 01/46#MA3377
36179RXE4
10922.26700000
PA
USD
10539.31000000
0.002271804625
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
340000.00000000
NC
USD
4607.71000000
0.000993216528
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
4980.96000000
USD
0.00000000
USD
340000.00000000
USD
-373.25000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 12/20/2050#MA7051
36179VZQ6
816474.28800000
PA
USD
688449.73000000
0.148399020536
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
0.02000000
N
N
N
N
N
N
NEW RESIDENTIAL MTG LN TR 2020-1
N/A
NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A
64830TAD0
54929.21000000
PA
USD
49924.91000000
0.010761581305
Long
ABS-CBDO
CORP
US
N
2
2059-10-25
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#BO1835
3140JWBD1
28329.35500000
PA
USD
27168.07000000
0.005856222759
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2047#MA4452
36179S5M5
152260.19800000
PA
USD
146350.71000000
0.031546678097
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.625% 07/31/2029
91282CFC0
1913000.00000000
PA
USD
1754131.32000000
0.378112385607
Long
DBT
UST
US
N
2
2029-07-31
Fixed
0.02625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 10/01/2041#
3133KYVY2
22326.09200000
PA
USD
18858.37000000
0.004065022491
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
UPSTART SECURITIZATION TR 2022-1
N/A
UPSTART SECURITIZATION TR 2022-1 3.12% 03/20/2032 144A
91679WAA6
658463.49000000
PA
USD
641331.72000000
0.138242481534
Long
ABS-CBDO
CORP
US
N
2
2032-03-20
Fixed
0.03120000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#MA3312
31418CVE1
22914.29000000
PA
USD
21534.27000000
0.004641827045
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/20/2045#MA3311
36179RVC0
14138.29800000
PA
USD
13642.58000000
0.002940731067
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 07/01/2050#FM3611
3140X7AM1
1077489.83200000
PA
USD
924641.11000000
0.199311335443
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 30YR 3% 04/01/2050#FM3830
3140X7HG7
53169.32200000
PA
USD
47503.65000000
0.010239665766
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 02/20/2050#BS8922
3617MK4F3
246684.10000000
PA
USD
220087.76000000
0.047441093507
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2% 03/01/2038 #TBA
01F020430
-4650000.00000000
PA
USD
-4126963.35000000
-0.88958901753
Short
ABS-MBS
USGA
US
N
2
2038-03-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2047#MA4383
36179S2Q9
686484.30500000
PA
USD
659840.61000000
0.142232171743
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#FM9517
3140XDSF4
1124372.23000000
PA
USD
957669.99000000
0.206430887137
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 12/01/2050#BQ9522
3140KVSL5
13014.26300000
PA
USD
10067.28000000
0.002170056035
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
493516.42300000
PA
USD
406221.26000000
0.087563164713
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 30YR 3.5% 03/48#BJ6757
3140H8QK4
129000.06900000
PA
USD
120487.66000000
0.025971759377
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
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 1ML+45 02/20/2049
38381RQS1
101745.94800000
PA
USD
100491.31000000
0.021661439211
Long
ABS-CBDO
USGA
US
N
2
2049-02-20
Variable
0.05047860
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
980000.00000000
NC
USD
13281.06000000
0.002862803498
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
2985.45000000
USD
0.00000000
USD
980000.00000000
USD
10295.61000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2047#FM2438
3140X5V83
8229.87800000
PA
USD
7663.66000000
0.001651942891
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2043#MA1285
36179NNA2
3361.94100000
PA
USD
3160.55000000
0.000681273452
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2% 03/01/2038 #TBA
01F020430
6850000.00000000
PA
USD
6079505.15000000
1.310469843032
Long
ABS-MBS
USGA
US
N
2
2038-03-01
Fixed
0.02000000
N
N
N
N
N
N
JPMDB COML MTG SECS TR 2017-C5
N/A
JPMDB 2017-C5 ASB 3.4919% 03/50
46590TAF2
335386.47000000
PA
USD
320730.32000000
0.069135135465
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
0.03491900
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#FM9632
3140XDV29
919512.21800000
PA
USD
815711.06000000
0.175830880702
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 12/01/2032#G18669
3128MMW74
152533.94800000
PA
USD
141393.36000000
0.030478094797
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#RA6076
3133KMXD2
2287739.20100000
PA
USD
1874495.72000000
0.404057575632
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/01/2051#FM9973
3140XECK8
551201.01500000
PA
USD
490054.03000000
0.105633766552
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.03000000
N
N
N
N
N
N
BENCHMARK 2018-B1 MTG TR
N/A
BENCHMARK MTG TR 2018-B1 ASB 3.602% 01/15/2051
08162PAV3
393652.26000000
PA
USD
376643.65000000
0.081187552722
Long
ABS-MBS
CORP
US
N
2
2051-01-15
Fixed
0.03602000
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST 2021-4
N/A
UPSTART SECURITIZATION TRUST 2021-4 0.84% 09/20/2031 144A
91682NAA1
315296.62000000
PA
USD
307311.04000000
0.066242537906
Long
ABS-CBDO
CORP
US
N
2
2031-09-20
Fixed
0.00840000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2043#MA1224
36179NLD8
3168.33000000
PA
USD
2978.53000000
0.000642038068
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
223318.26300000
PA
USD
213606.69000000
0.046044064213
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 04/01/2041#RB5107
3133KYU80
146250.03100000
PA
USD
119348.42000000
0.025726190103
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6312
3140QEAN2
421073.75100000
PA
USD
375678.17000000
0.080979438346
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2044#MA2149
36179QL66
108174.57200000
PA
USD
104618.41000000
0.022551057684
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
0.04000000
N
N
N
N
N
N
NATIXIS COML MTG SECS TR 2020-2PAC
N/A
NATIXIS COML MTG SECS TR 2020-2PAC 2.966% 12/15/2038 144A
63875DAA9
790017.31000000
PA
USD
733608.49000000
0.158133232724
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Fixed
0.02966000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 01/01/2037#FS0216
3140XFG21
2366284.82800000
PA
USD
2110669.28000000
0.454966049342
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.02000000
N
N
N
N
N
N
DBJPM 2017-C6 MTG TR
N/A
DBJPM 2017-C6 ASB 3.121% 06/50
23312JAD5
599798.40000000
PA
USD
570128.23000000
0.122894188530
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Fixed
0.03121000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/20/2050#MA6996
36179VXZ8
3823400.65100000
PA
USD
3439257.09000000
0.741350255929
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2046#G08711
3128MJYH7
6650.35900000
PA
USD
6188.19000000
0.001333897443
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2040#
31418DUA8
17919.09100000
PA
USD
15315.06000000
0.003301243074
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2289
3140QMRK2
1482731.96500000
PA
USD
1262898.42000000
0.272224507322
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#CA3925
3140QBLF3
82392.08500000
PA
USD
79014.64000000
0.017032028154
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#FM9505
3140XDR32
865144.46400000
PA
USD
737484.27000000
0.158968677828
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 08/01/2050#SD7524
3132DVLD5
2300788.85000000
PA
USD
2061370.83000000
0.444339504839
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 09/01/2034#SB0072
3132CWCH5
387376.46500000
PA
USD
363441.40000000
0.078341737141
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3434
3133B0Y72
119464.79000000
PA
USD
97810.72000000
0.021083623703
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2052#SD1772
3132DN6H1
843590.18600000
PA
USD
801891.61000000
0.172852024360
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#BO4757
3140K0JB5
2097527.49200000
PA
USD
1875327.80000000
0.404236934925
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
2023-03-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer