0001752724-24-089331.txt : 20240424
0001752724-24-089331.hdr.sgml : 20240424
20240424142327
ACCESSION NUMBER: 0001752724-24-089331
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240229
FILED AS OF DATE: 20240424
DATE AS OF CHANGE: 20240424
PERIOD START: 20240831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY ADVISOR SERIES II
CENTRAL INDEX KEY: 0000795422
ORGANIZATION NAME:
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: 24869774
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
2024-08-31
2024-02-29
N
945859689.87
413279812.51
532579877.36
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
285948437.55000000
0.00000000
0.00000000
0.00000000
USD
N
Bloomberg US Securitized Index
19910058
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2032#AS8602
3138WJRY6
202768.62600000
PA
USD
189543.85000000
0.035589750581
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2048
3136BLHS2
296719.97700000
PA
USD
257814.02000000
0.048408516911
Long
ABS-CBDO
USGSE
US
N
2
2048-06-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/51#BT1461
3140LPTT9
77950.01000000
PA
USD
62115.78000000
0.011663185681
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 30YR 2.5% 05/01/2051#CB0447
3140QKP93
1622377.19500000
PA
USD
1342218.77000000
0.252022058485
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES 2023-3 OWNER TR
N/A
HONDA AUTO RECEIVABLES 2023-3 OWNER TR 5.41% 02/18/2028
43815QAC1
600000.00000000
PA
USD
602720.04000000
0.113169885987
Long
ABS-CBDO
CORP
US
N
2
2028-02-18
Fixed
0.05410000
N
N
N
N
N
N
BX COML MTG TR 2024-XL4
N/A
BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A
05611VAA9
563000.00000000
PA
USD
563000.00000000
0.105711842285
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.06759670
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 03/20/2047#784299
3622A2X49
11598.72300000
PA
USD
10976.80000000
0.002061061723
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
53321.25000000
0.010011878455
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04247500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 11/01/2031#ZS8629
3132A9SS7
170924.54900000
PA
USD
159849.10000000
0.030014108079
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#FS1573
3140XGXB0
328686.02500000
PA
USD
285896.40000000
0.053681412338
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM1884
3140J6CW5
14036.81800000
PA
USD
13272.54000000
0.002492121945
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
1955613.10000000
PA
USD
1765670.66000000
0.331531613389
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
172744.99000000
PA
USD
171834.11000000
0.032264476617
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
92390.11000000
0.017347653174
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
1791267.75000000
PA
USD
1745613.89000000
0.327765648723
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04500000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TR 2023-B
N/A
WORLD OMNI AUTO RECEIVABLES TR 2023-B 5.25% 11/16/2026
98164QAB4
101411.88000000
PA
USD
101273.55000000
0.019015654609
Long
ABS-CBDO
CORP
US
N
2
2026-11-16
Fixed
0.05250000
N
N
N
N
N
N
BANK 2018-BNK13
549300664283JRAXM588
BANK 2018-BN13 A5 4.217% 08/15/2061
06539LBB5
700000.00000000
PA
USD
668395.91000000
0.125501532899
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
0.04217000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3037
3140QNLT7
293103.32100000
PA
USD
233014.77000000
0.043752079247
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 3.5853% 12/10/2054
12532BAC1
439884.22000000
PA
USD
415070.53000000
0.077935826651
Long
ABS-MBS
CORP
US
N
2
2054-12-10
Fixed
0.03585300
N
N
N
N
N
N
DISCOVER CARD EXECUTION NT TR
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NT TR 5.03% 10/15/2027
254683CX1
2100000.00000000
PA
USD
2097345.60000000
0.393808645267
Long
ABS-CBDO
CORP
US
N
2
2027-10-15
Fixed
0.05030000
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% 08/25/2044
3137FU6H2
365816.18100000
PA
USD
328963.53000000
0.061767923270
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.02000000
N
N
N
N
N
N
VCAT 2021-NPL5 LLC
N/A
VCAT 2021-NPL5 A1 1.8677% 08/25/2051 144A
91824AAA8
378444.02600000
PA
USD
368185.81000000
0.069132504935
Long
ABS-CBDO
CORP
US
N
2
2051-08-25
Variable
0.01867700
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/52#MA4805
31418EKT6
1904844.00400000
PA
USD
1804577.21000000
0.338836911928
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9277
3133KRJW5
470400.66000000
PA
USD
477886.62000000
0.089730506223
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2048#BM5106
3140J9U82
42874.47300000
PA
USD
41344.51000000
0.007763062736
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
118820.86900000
PA
USD
111226.56000000
0.020884484136
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 09/01/2053#RA9856
3133KR5R1
599722.12800000
PA
USD
603831.12000000
0.113378508214
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 05/20/2052#MA8041
36179W5A2
449999.58000000
PA
USD
366166.50000000
0.068753348664
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
0.02000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
230000.00000000
NC
USD
36666.32000000
0.006884661167
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
51671.80000000
USD
0.00000000
USD
230000.00000000
USD
-15005.48000000
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.25% MAC 03/20/31
N/A
-15403000.00000000
NC
USD
103850.11000000
0.019499443072
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2031-03-20
0.00000000
USD
0.00000000
USD
-15836767.43000000
USD
103850.11000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 09/01/2052#BW8697
3140N1UX9
19734.12700000
PA
USD
19555.96000000
0.003671929945
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 TSFR1M+147.701 05/15/2036 144A
12653VAE6
486788.93000000
PA
USD
486772.09000000
0.091398888822
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.06795010
N
N
N
N
N
N
PRPM 2023-RCF2 LLC
N/A
PRPM 2023-RCF2 LLC 4% 11/25/2053 144A
69380RAA3
574324.35000000
PA
USD
548857.20000000
0.103056315743
Long
ABS-CBDO
CORP
US
N
2
2053-11-25
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/01/2052#RA6823
3133KNSL8
2757201.07000000
PA
USD
2191952.52000000
0.411572538351
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
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 2.5% 11/25/2047
3137H5J57
148389.32700000
PA
USD
129526.64000000
0.024320603444
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 11/01/2033#G16677
3128MFUA4
25068.06400000
PA
USD
23913.55000000
0.004490133971
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% 08/42#Q10245
3132HLHW6
10505.93000000
PA
USD
9688.54000000
0.001819171247
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
2514946.39200000
PA
USD
2098731.82000000
0.394068929228
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02500000
N
N
N
N
N
N
CARMAX AUTO OWNER TR 2023-2
N/A
CARMAX AUTO OWNER TR 2023-2 5.5% 06/15/2026
142921AB1
2555401.29000000
PA
USD
2554004.76000000
0.479553371911
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2045#AL7231
3138EQA93
8829.24400000
PA
USD
8068.83000000
0.001515045975
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03500000
N
N
N
N
N
N
BANK5 2023-5YR1
N/A
BANK5 2023-5YR1 5.779% 04/15/2056
06644EAB4
400000.00000000
PA
USD
406525.92000000
0.076331445719
Long
ABS-MBS
CORP
US
N
2
2056-04-15
Fixed
0.05779000
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
895829.04400000
PA
USD
19826.31000000
0.003722692283
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
0.00919814
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 10/01/2033#BM5832
3140JAPS1
80925.21000000
PA
USD
76291.39000000
0.014324872801
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
43544.20000000
0.008176088104
Long
ABS-MBS
CORP
US
N
2
2063-01-15
Variable
0.00439197
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 3.8225 02/24/2025
N/A
9400000.00000000
NC
USD
300405.67000000
0.056405749216
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 02/26/35 3.8225%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-02-26
0.00000000
USD
0.00000000
USD
9400000.00000000
USD
1.00000000
3.82250000
USD
2025-02-24
XXXX
-43751.83000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2048#CA2432
3140Q9V26
651106.07100000
PA
USD
627668.08000000
0.117854261244
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
2970182.98400000
PA
USD
2574250.46000000
0.483354811068
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
800492.35700000
PA
USD
693034.34000000
0.130127774153
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 20YR 2.5% 11/01/2041#SC0210
3132D9GT5
1806000.70900000
PA
USD
1572581.62000000
0.295276199280
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 11/01/2053#RJ0189
3142GQF72
299695.30200000
PA
USD
301842.32000000
0.056675502179
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 12/20/2051#785805
3622ABKS0
1013593.60200000
PA
USD
847393.34000000
0.159111032170
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
170000.00000000
NC
USD
27101.20000000
0.005088663907
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
47922.39000000
USD
0.00000000
USD
170000.00000000
USD
-20821.19000000
N
N
N
SREIT TR 2021-FLWR
N/A
SREIT TR 2021-FLWR TSFR1M+69.103 66 07/15/2036 144A
78485GAA2
212000.00000000
PA
USD
209482.50000000
0.039333536414
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Variable
0.06009030
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
110000.00000000
NC
USD
17536.07000000
0.003292664771
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
29255.96000000
USD
0.00000000
USD
110000.00000000
USD
-11719.89000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2052#CB5124
3140QQVS1
1257003.00400000
PA
USD
1190837.13000000
0.223597845247
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 08/20/2047#MA4650
36179TEX9
14456.11500000
PA
USD
12374.85000000
0.002323566947
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
2107836.18300000
PA
USD
1682958.38000000
0.316001120497
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
3879928.90200000
PA
USD
3614669.80000000
0.678709420625
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 06/25/2032
3137H8BK6
1208000.00000000
PA
USD
1061598.01000000
0.199331228070
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5% 08/01/2053#RA9615
3133KRVG6
391703.42000000
PA
USD
380332.86000000
0.071413298956
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#CB2420
3140QMVN1
363302.68100000
PA
USD
314532.97000000
0.059058365396
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% 02/01/2047#FS0594
3140XFUU3
321898.53300000
PA
USD
267317.77000000
0.050192991016
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#QC0031
3133AJA86
19681.50700000
PA
USD
14889.79000000
0.002795785314
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 06/01/2051#CB0850
3140QK5L8
963299.43900000
PA
USD
833685.19000000
0.156537117799
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.03000000
N
N
N
N
N
N
BANK5 2023-5YR1
N/A
BANK5 2023-5YR1 6.26% 04/15/2056
06644EAG3
1400000.00000000
PA
USD
1443915.06000000
0.271117088981
Long
ABS-MBS
CORP
US
N
2
2056-04-15
Fixed
0.06260000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD2175
3132DPMY1
183678.46500000
PA
USD
179953.74000000
0.033789061068
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
109003.79200000
PA
USD
93655.80000000
0.017585305788
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-XL
N/A
BX TRUST 2019 TSFR1M+156.448 10/15/2036 144A
056054AG4
170000.00000000
PA
USD
169575.00000000
0.031840294237
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06882120
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
984763.07500000
PA
USD
951323.87000000
0.178625575325
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
0.03215000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 11/25/2047
3136BLRR3
794583.22300000
PA
USD
697644.86000000
0.130993469647
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 0.8% 06/15/2023 144A
05608WAA2
88274.39600000
PA
USD
87446.82000000
0.016419475034
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Variable
0.06102480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#CA5122
3140QCVQ6
230589.24700000
PA
USD
200499.68000000
0.037646874867
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
PRPM 2021-RPL2
N/A
PRPM 2021-RPL2 VAR 10/25/2051 144A
69357QAA4
125894.31000000
PA
USD
112488.52000000
0.021121436385
Long
ABS-CBDO
CORP
US
N
2
2051-10-25
Variable
0.01455000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2040#FM5042
3140X8S81
144583.60500000
PA
USD
121855.70000000
0.022880267389
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.02000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-VINO
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VINO A TSFR1M+76.681 82 05/15/2038 144A
05608KAA8
302331.36000000
PA
USD
299319.87000000
0.056201873695
Long
ABS-MBS
CORP
US
N
2
2038-05-01
Variable
0.06084810
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A
34528QHV9
789000.00000000
PA
USD
785478.38000000
0.147485553508
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04920000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 06/20/2051#MA7418
36179WG36
1982343.83800000
PA
USD
1679907.35000000
0.315428243051
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
0.02500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.0% MAC 03/20/44
N/A
-2880000.00000000
NC
USD
14964.54000000
0.002809820767
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2044-03-20
0.00000000
USD
0.00000000
USD
-2965010.20000000
USD
14964.54000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2033#SB0621
3132CWVN1
44179.04800000
PA
USD
42046.64000000
0.007894898359
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 2.5% 04/01/2047#SD0978
3132DNCP6
482158.54400000
PA
USD
400253.60000000
0.075153721913
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#FM2439
3140X5V91
811887.83300000
PA
USD
706705.82000000
0.132694803172
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.412% 03/25/2030
3137HA4B9
1260000.00000000
PA
USD
1236445.81000000
0.232161570979
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Fixed
0.04412000
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
42728.45000000
PA
USD
42577.04000000
0.007994489054
Long
ABS-CBDO
CORP
US
N
2
2031-11-20
Fixed
0.01310000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.25% 11/25/2047
3136BLHG8
880334.44200000
PA
USD
762524.39000000
0.143175591571
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 03/01/2041#MA4287
31418DXR8
167091.60000000
PA
USD
140773.32000000
0.026432339257
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
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 2.5% 06/25/2049
3136BKND0
816783.39400000
PA
USD
704157.05000000
0.132216232706
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 04/01/2036#FM9743
3140XDZH2
204483.39400000
PA
USD
191234.73000000
0.035907239107
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.02500000
N
N
N
N
N
N
GS MTG SECS TR 2020-GC45
N/A
GS MTG SECS TR 2020-GC45 2.8428% 02/13/2053
36258YBH0
300000.00000000
PA
USD
279733.20000000
0.052524177478
Long
ABS-MBS
CORP
US
N
2
2053-02-13
Fixed
0.02842800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2052#CB2906
3140QNGQ9
186825.49200000
PA
USD
167392.86000000
0.031430564149
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049
3137H5J24
194239.71400000
PA
USD
165403.64000000
0.031057057735
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6239
3133KM4Y8
389421.02000000
PA
USD
310195.03000000
0.058243850957
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
671729.77100000
PA
USD
647339.46000000
0.121547863056
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2052#RA7312
3133KPDR6
845204.26000000
PA
USD
758346.93000000
0.142391209701
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
896522.16000000
PA
USD
814301.57000000
0.152897547319
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
235902.25000000
PA
USD
220720.43000000
0.041443629281
Long
ABS-CBDO
CORP
US
N
2
2050-10-25
Fixed
0.01718800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0806
3133KT3P3
23973.47300000
PA
USD
20822.55000000
0.003909751548
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#CB0388
3140QKNE4
941226.31300000
PA
USD
778691.68000000
0.146211247007
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
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
1422010.14000000
PA
USD
1376136.24000000
0.258390581112
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Fixed
0.03332000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.5% MAC 03/20/27
N/A
-6148000.00000000
NC
USD
33670.45000000
0.006322140852
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-03-20
0.00000000
USD
0.00000000
USD
-6230037.38000000
USD
33670.45000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#BQ6743
3140KSP50
900768.93800000
PA
USD
754668.18000000
0.141700468245
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
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
1616564.59000000
PA
USD
1582531.38000000
0.297144418569
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
0.04194500
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2054 #TBA
01F030637
25850000.00000000
PA
USD
22115887.37000000
4.152595377735
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8987
3617M76Y9
2644.85500000
PA
USD
2394.27000000
0.000449560732
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048
3137H5BQ9
2036323.53500000
PA
USD
1772414.17000000
0.332797810308
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Fixed
0.02500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
240000.00000000
NC
USD
38260.51000000
0.007183994669
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
66411.41000000
USD
0.00000000
USD
240000.00000000
USD
-28150.90000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 10/01/2034#C91793
3128P77E7
729861.64500000
PA
USD
692293.40000000
0.129988651360
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#FM9539
3140XDS56
1322053.16600000
PA
USD
1053087.27000000
0.197733206748
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
306493.41000000
PA
USD
276898.65000000
0.051991947456
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
33660.89900000
PA
USD
31992.76000000
0.006007128950
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#QK1167
3133D4JL8
112230.90300000
PA
USD
97725.46000000
0.018349446562
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/01/2036#MA4228
31418DVW9
1202452.71400000
PA
USD
1042733.32000000
0.195789094617
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 07/25/2048
3137H3QP0
222891.98000000
PA
USD
190430.39000000
0.035756211996
Long
ABS-CBDO
USGSE
US
N
2
2048-07-25
Fixed
0.02500000
N
N
N
N
N
N
BX 2021-LBA
N/A
BX 2021-LBA TSFR1M+91.45 02/15/2036 144A
05609BCD9
100000.00000000
PA
USD
99312.50000000
0.018647437543
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
0.06232480
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 05/01/2051#RA5267
3133KLZ83
240629.10200000
PA
USD
207274.32000000
0.038918916919
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/49#BR8986
3617M76X1
1006.09000000
PA
USD
899.64000000
0.000168921139
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
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
53915.63000000
0.010123482371
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.07764640
N
N
N
N
N
N
BMO 2023-5C1 MTG TR
N/A
BMO 2023-5C1 MTG TR 6.534% 08/15/2056
055986AC7
800000.00000000
PA
USD
836892.88000000
0.157139410551
Long
ABS-MBS
CORP
US
N
2
2056-08-15
Fixed
0.06534000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
112911.79300000
PA
USD
105801.01000000
0.019865754321
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A
61771LAA0
279000.00000000
PA
USD
261978.74000000
0.049190506652
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
1354547.82600000
PA
USD
1363828.51000000
0.256079616969
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
133888.05200000
PA
USD
108989.87000000
0.020464511453
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4.5% 10/01/2042#RB5189
3133KYXS3
111360.06600000
PA
USD
107421.02000000
0.020169935922
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
47973.64000000
PA
USD
45361.57000000
0.008517327058
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
194058.34400000
PA
USD
183128.40000000
0.034385151933
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03000000
N
N
N
N
N
N
CAMB COML MTG TR 2019-LIFE
N/A
CAMB COML MTG TR 2019-LIFE A TSFR1M+118.448 12/15/2037 144A
12482HAA2
652000.00000000
PA
USD
651796.25000000
0.122384693396
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Variable
0.06685000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 09/01/2053#CB7123
3140QS4H1
446458.51300000
PA
USD
449517.42000000
0.084403755963
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2050#MA4184
31418DUJ9
108702.15400000
PA
USD
93906.17000000
0.017632316576
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.03000000
N
N
N
N
N
N
GS MTG SECS TR 2017-GS6
N/A
GS MTG SECS TR 2017-GS6 3.164% 05/10/2050
36253PAB8
190517.60600000
PA
USD
178519.51000000
0.033519762497
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
0.03164000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 01/01/2040#MA3889
31418DKB7
30734.14400000
PA
USD
27174.86000000
0.005102494697
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 11/15/2026
91282CJK8
1600000.00000000
PA
USD
1606000.00000000
0.301551010143
Long
DBT
UST
US
N
2
2026-11-15
Fixed
0.04625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 02/01/2042#FS1810
3140XHAL1
245232.61800000
PA
USD
213920.36000000
0.040166812358
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2035#
3140XC4X3
61748.16500000
PA
USD
58767.38000000
0.011034472479
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046
38379WN73
20344.31900000
PA
USD
18344.70000000
0.003444497394
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
1984906.97900000
PA
USD
1652690.32000000
0.310317830292
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6% 03/01/2054 #TBA
01F060634
25300000.00000000
PA
USD
25410687.50000000
4.771244386093
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 07/01/2051#CB0997
3140QLDB9
1621754.32300000
PA
USD
1348291.84000000
0.253162370062
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
97372.64000000
PA
USD
77593.03000000
0.014569275576
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
COMM 2015-LC21 MTG TR
N/A
COMM 2015-LC21 A4 3.708% 07/10/2048
12593FBD5
1000000.00000000
PA
USD
971517.90000000
0.182417312650
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Fixed
0.03708000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BK4845
3140HJL33
28364.27200000
PA
USD
26793.30000000
0.005030850983
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
PRPM 2021-RPL1 LLC
N/A
PRPM 2021-RPL1 LLC 1.484% 07/25/2051 144A
69360GAA1
93261.33000000
PA
USD
83247.19000000
0.015630930408
Long
ABS-CBDO
CORP
US
N
2
2051-07-25
Fixed
0.01319000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2% 06/25/2046
3136BASY1
626460.03800000
PA
USD
533924.18000000
0.100252413336
Long
ABS-CBDO
USGSE
US
N
2
2046-06-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3036
3140QNLS9
294848.13800000
PA
USD
234770.44000000
0.044081733084
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 5.5% 06/01/2053#CB6636
3140QSLS8
685576.99800000
PA
USD
684621.24000000
0.128548086231
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/20/2048#MA5398
36179T7K5
358564.76200000
PA
USD
337994.01000000
0.063463533709
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4.5% 03/01/2054 #TBA
01F042632
3600000.00000000
PA
USD
3406781.16000000
0.639675155750
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2031#FS1234
3140XGLQ0
163779.60300000
PA
USD
156361.86000000
0.029359325548
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2041#CB0471
3140QKQZ4
127929.45900000
PA
USD
112194.60000000
0.021066248420
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
BANK 2018-BNK14
N/A
BANK 2018-BNK14 4.231% 09/15/2060
06035RAS5
600000.00000000
PA
USD
574918.08000000
0.107949643694
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
0.04231000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/50#FM3269
3140X6T35
43423.47400000
PA
USD
37757.15000000
0.007089481147
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 03/01/2041#CA9362
3140QHML6
145909.93400000
PA
USD
128054.73000000
0.024044229878
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3433
3133B0Y64
126594.16000000
PA
USD
100799.57000000
0.018926657631
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
163092.62200000
PA
USD
146434.36000000
0.027495285913
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
OCWEN LN INVT TR 2023-HB1
N/A
OCWEN LN INVT TR 2023-HB1 A 3% 06/25/2036 144A
67578KAA4
56237.95000000
PA
USD
53694.30000000
0.010081924286
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/01/2052#RA6913
3133KNVE0
317928.57100000
PA
USD
250564.88000000
0.047047380243
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
1914781.71600000
PA
USD
1522834.32000000
0.285935384481
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% 04/01/2052#FS1647
3140XGZM4
727544.17000000
PA
USD
678031.52000000
0.127310765731
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
402634.56000000
PA
USD
394460.07000000
0.074065898237
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
0.03314300
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 10/01/2041#RB5132
3133KYVZ9
342940.02800000
PA
USD
296044.21000000
0.055586818538
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#CB2048
3140QMH23
2410248.52400000
PA
USD
1999309.83000000
0.375400933266
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
85154.67100000
PA
USD
81182.53000000
0.015243258983
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 TSFR1M+206.448 09/15/2031 144A
36255YAA9
652234.07000000
PA
USD
649218.86000000
0.121900749089
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
0.07382480
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050
12532CAZ8
694201.96600000
PA
USD
652287.79000000
0.122476987533
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
0.03304800
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 06/01/2050#RA2677
3133KH6N1
1527213.14100000
PA
USD
1219849.13000000
0.229045291017
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
461835.16000000
PA
USD
383959.87000000
0.072094325437
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
182922.88600000
PA
USD
138273.66000000
0.025962989943
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049
3137H4HQ6
222090.00000000
PA
USD
188887.28000000
0.035466469543
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
620433.66200000
PA
USD
588911.16000000
0.110577058021
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
1005937.86800000
PA
USD
988053.80000000
0.185522180240
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.26% 01/25/2029
3137H5YC5
1425000.00000000
PA
USD
1272270.35000000
0.238888175104
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
0.02260000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 10/01/2040#SC0081
3132D9CS1
643863.94800000
PA
USD
563664.96000000
0.105836698674
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#FM9585
3140XDUK0
104460.07400000
PA
USD
90861.05000000
0.017060548823
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 05/01/2035#SB8045
3132D55E8
546211.71200000
PA
USD
498507.98000000
0.093602481278
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 03/01/2054 #TBA
21H052637
6200000.00000000
PA
USD
6160324.96000000
1.156695027708
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K141 A2 2.25% 02/25/2032
3137H6ZM0
454000.00000000
PA
USD
379270.42000000
0.071213809631
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Fixed
0.02250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 06/01/2031#J34501
31307RAA3
11980.31400000
PA
USD
11249.19000000
0.002112207103
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2047#FM1187
3140X4J98
243028.20000000
PA
USD
227799.11000000
0.042772759483
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
689068.32900000
PA
USD
595275.86000000
0.111772127582
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
413631.45600000
PA
USD
359915.25000000
0.067579581073
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
187358.70100000
PA
USD
183407.16000000
0.034437493378
Long
ABS-CBDO
CORP
US
N
2
2026-03-25
Fixed
0.02115000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047
3137H3SE3
251051.55700000
PA
USD
211227.17000000
0.039661124833
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2017-HR2
N/A
MORGAN STANLEY CAPITAL I INC 3.587% 12/15/2050
61691NAE5
340000.00000000
PA
USD
319057.26000000
0.059907869892
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
0.03587000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 04/01/2041#CB0116
3140QKDW5
54932.79400000
PA
USD
46331.93000000
0.008699526957
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
MSC 2021-L6
N/A
MSC 2021-L6 XA 1.35631% 06/15/2054
61692CBK3
977410.76000000
PA
USD
52276.33000000
0.009815678778
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
0.01206309
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 03/01/2054 #TBA
01F020638
-30950000.00000000
PA
USD
-24328272.26000000
-4.56800440538
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02000000
N
N
N
N
N
N
BANK 2017-BNKS
N/A
BANK 2017-BNKS 3.39% 06/15/2060
06541WAX0
600000.00000000
PA
USD
564443.70000000
0.105982918993
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Fixed
0.03390000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2052#RA6700
3133KNNR0
98735.89700000
PA
USD
88465.89000000
0.016610820979
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 30YR 4% 07/01/46#BC1443
3140EVS99
42759.03300000
PA
USD
40320.10000000
0.007570714124
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
160000.00000000
NC
USD
25507.01000000
0.004789330405
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
37176.81000000
USD
0.00000000
USD
160000.00000000
USD
-11669.80000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 11/01/2052#CB5139
3140QQV93
2014576.29100000
PA
USD
1997288.00000000
0.375021303827
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
89433.04200000
PA
USD
80354.26000000
0.015087738650
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FHMS K044 A2 2.811% 01/25/25
3137BHCY1
1130825.37100000
PA
USD
1106638.03000000
0.207788179209
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
0.02811000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/01/2051#RA6434
3133KNEF6
1066505.33000000
PA
USD
884336.73000000
0.166047717458
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
45533.84900000
PA
USD
43419.47000000
0.008152668143
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
21075.70000000
PA
USD
20290.69000000
0.003809886716
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2052
3136BLLH1
163138.08700000
PA
USD
144365.04000000
0.027106739502
Long
ABS-CBDO
USGSE
US
N
2
2052-02-25
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1862
3132DPB72
471660.55000000
PA
USD
464306.89000000
0.087180704667
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% 03/01/2047#FS0976
3140XGCN7
47824.14300000
PA
USD
39715.13000000
0.007457121774
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.02500000
N
N
N
N
N
N
BBCMS MORTGAGE TRUST 2023-C21
N/A
BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056
05553WAC3
246000.00000000
PA
USD
257466.65000000
0.048343292892
Long
ABS-MBS
CORP
US
N
2
2056-09-15
Variable
0.06296303
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.5% 09/01/2042#MA4766
31418EJL5
199253.76800000
PA
USD
192205.72000000
0.036089557298
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 03/01/2054 #TBA
01F020638
40650000.00000000
PA
USD
31952965.02000000
5.999656836152
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 02/01/2051#MA4254
31418DWQ1
914983.61300000
PA
USD
686786.52000000
0.128954650597
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K065 A2 3.243% 04/25/2027
3137F1G44
500000.00000000
PA
USD
479093.40000000
0.089957097585
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Fixed
0.03243000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2048#G61821
31335CAW4
36724.02300000
PA
USD
35448.07000000
0.006655916137
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2035#BP7191
3140KE7D4
6338899.49400000
PA
USD
5637667.61000000
1.058558133654
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.02000000
N
N
N
N
N
N
BENCHMARK 2018-B2 MTG TR
N/A
BENCHMARK 2018-B2 MTG TR 3.7802% 02/15/2051
08161CAF8
286365.80000000
PA
USD
279583.28000000
0.052496027710
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
12450.33500000
PA
USD
11662.14000000
0.002189744768
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
1816686.37500000
PA
USD
1431761.23000000
0.268835021912
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6.5% 03/01/2054 #TBA
01F062630
-1600000.00000000
PA
USD
-1628000.00000000
-0.30568184589
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8226
3138WJD88
198539.30200000
PA
USD
185688.51000000
0.034865851657
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-59 H 2% 06/25/2048
3136BGB34
276949.45500000
PA
USD
221820.76000000
0.041650233031
Long
ABS-CBDO
USGSE
US
N
2
2048-06-25
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
1842630.14700000
PA
USD
1551501.22000000
0.291318032459
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2054 #TBA
01F032633
3350000.00000000
PA
USD
2980060.51000000
0.559551841269
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 09/01/2053#QH0277
3133CCJW7
196816.74900000
PA
USD
203861.21000000
0.038278053427
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
160000.00000000
NC
USD
25507.01000000
0.004789330405
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
46042.28000000
USD
0.00000000
USD
160000.00000000
USD
-20535.27000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2518
3140X5YQ0
142850.03500000
PA
USD
130396.47000000
0.024483927302
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984
3617M76V5
3511.82100000
PA
USD
3169.21000000
0.000595067544
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
96117.83600000
PA
USD
90013.34000000
0.016901378333
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
976279.58000000
PA
USD
922584.20000000
0.173229263669
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.05914140
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2052#RA7311
3133KPDQ8
1557623.20000000
PA
USD
1396580.69000000
0.262229338615
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03500000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TR 2023-B
N/A
WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028
98164QAD0
256000.00000000
PA
USD
253533.18000000
0.047604723869
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04660000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2048#ZM7210
3131Y2AK4
591919.12000000
PA
USD
552792.44000000
0.103795217111
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
GS MTG SECS TR 2018-GS10
N/A
GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051
36250SAF6
86148.14900000
PA
USD
83822.36000000
0.015738927354
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Fixed
0.04106000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#FM6195
3140X93D5
593275.85000000
PA
USD
516600.94000000
0.096999710646
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/51#MA4468
31418D6E7
75778.37200000
PA
USD
67777.89000000
0.012726333247
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
258679.30200000
PA
USD
256244.20000000
0.048113759248
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 TSFR1M+131.448 12/31/2049 144A
95003EAA4
845000.00000000
PA
USD
828110.65000000
0.155490412838
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Variable
0.06632480
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG7744
3617GSS91
13388.88600000
PA
USD
12541.27000000
0.002354814842
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
784619.23300000
PA
USD
772141.04000000
0.144981264374
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
1960331.83400000
PA
USD
1636516.58000000
0.307280963770
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 07/01/2053#RA9383
3133KRM84
422878.91900000
PA
USD
429608.61000000
0.080665573045
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.06000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 4.5% 07/25/2048
3136BM7C6
768834.81900000
PA
USD
743018.42000000
0.139513048011
Long
ABS-CBDO
USGSE
US
N
2
2048-07-25
Fixed
0.04500000
N
N
N
N
N
N
BANK5 2023-5YR4
N/A
BANK5 2023-5YR4 6.5% 12/15/2056
06211FAV0
1000000.00000000
PA
USD
1049095.50000000
0.196983691009
Long
ABS-MBS
CORP
US
N
2
2056-12-15
Fixed
0.06500000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST 23-A
N/A
TESLA AUTO LEASE TRUST 23-A 5.89% 06/22/2026 144A
88167PAC2
247000.00000000
PA
USD
248411.43000000
0.046643037140
Long
ABS-CBDO
CORP
US
N
2
2026-06-22
Fixed
0.05890000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY562346 11/18/64 S
N/A
310000.00000000
NC
USD
-4649.19000000
-0.00087295637
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S15 PRC INDX
CY562346
Y
2064-11-18
0.00000000
USD
5226.89000000
USD
310000.00000000
USD
577.70000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1% 08/15/2038
3137FFWL7
846425.09000000
PA
USD
788767.88000000
0.148103207336
Long
ABS-CBDO
USGSE
US
N
2
2038-08-15
Fixed
0.01000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.745% 01/25/2026
3137BNGT5
1151194.00000000
PA
USD
1106791.87000000
0.207817065016
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Fixed
0.02745000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2052#CB2905
3140QNGP1
89435.07700000
PA
USD
80300.19000000
0.015077586182
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
16946.83200000
PA
USD
14277.57000000
0.002680831666
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.02000000
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST 2024-A
N/A
TOYOTA LEASE OWNER TRUST 2024-A 5.25% 04/20/2027 144A
89238GAD3
262000.00000000
PA
USD
261932.61000000
0.049181845040
Long
ABS-CBDO
CORP
US
N
2
2027-04-20
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/47#BH1302
3140GPNU8
35741.08500000
PA
USD
32707.59000000
0.006141349192
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
2390.17200000
PA
USD
2210.61000000
0.000415075764
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
12672.42500000
PA
USD
12058.43000000
0.002264154263
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
117362.12000000
PA
USD
93081.88000000
0.017477543549
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
1188224.18600000
PA
USD
1166728.02000000
0.219070991901
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 04/20/2053#MA8799
36179XX43
1394415.52000000
PA
USD
1332348.27000000
0.250168721470
Long
ABS-MBS
USGA
US
N
2
2053-04-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2047#ZM4820
3131XYK99
73557.67300000
PA
USD
64166.02000000
0.012048149531
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 30YR 1.5% 03/01/2051#QC0226
3133AJHB2
1141210.05800000
PA
USD
856592.04000000
0.160838228482
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 20YR 2.5% 05/01/2041#SC0167
3132D9FG4
249417.66800000
PA
USD
217726.93000000
0.040881553970
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 06/01/2053#SD3196
3132DQRR9
269066.20100000
PA
USD
266552.85000000
0.050049365612
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05000000
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
74379.13000000
PA
USD
72136.87000000
0.013544798267
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
41377.36600000
PA
USD
39258.19000000
0.007371324315
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873245 04/17/65 S
N/A
490000.00000000
NC
USD
-9023.99000000
-0.00169439184
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S16 PRC INDX
CY873245
Y
2065-04-17
0.00000000
USD
21020.34000000
USD
490000.00000000
USD
11996.35000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/39 #G08368
3128MJMS6
26522.79500000
PA
USD
25923.50000000
0.004867532759
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
13009.73200000
PA
USD
12180.08000000
0.002286995907
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
37025.54900000
PA
USD
34984.89000000
0.006568947023
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5210 AB 3% 01/25/2042
3137H6W84
423766.23500000
PA
USD
385483.49000000
0.072380408345
Long
ABS-CBDO
USGSE
US
N
2
2042-01-25
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
210000.00000000
NC
USD
33477.95000000
0.006285996039
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
53463.89000000
USD
0.00000000
USD
210000.00000000
USD
-19985.94000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 03/01/2054 #TBA
21H062636
-1400000.00000000
PA
USD
-1419140.66000000
-0.26646531728
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06500000
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
1268581.59000000
PA
USD
1076799.84000000
0.202185603657
Long
ABS-CBDO
CORP
US
N
2
2060-12-25
Fixed
0.01740000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
320000.00000000
NC
USD
51014.02000000
0.009578660811
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
80025.33000000
USD
0.00000000
USD
320000.00000000
USD
-29011.31000000
N
N
N
RMF BUYOUT ISSUANCE TRUST 2021
N/A
RMF BUYOUT ISSUANCE TRUST 2021 1.268% 11/25/2031 144A
74969TAA8
130104.12220000
PA
USD
126048.36000000
0.023667503290
Long
ABS-CBDO
CORP
US
N
2
2031-11-25
Fixed
0.01258600
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-H4
N/A
MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051
61691RAE6
600000.00000000
PA
USD
573562.38000000
0.107695090329
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
0.04310000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6302
3133KNAB9
1028132.07200000
PA
USD
816071.50000000
0.153229878688
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
165346.17000000
PA
USD
131552.21000000
0.024700935125
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
AMERICAN EXPRESS CR ACC MST TR
N/A
AMERICAN EXPRESS CR ACC MST TR 4.87% 05/15/2028
02582JJZ4
679000.00000000
PA
USD
677665.22000000
0.127241987316
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04870000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 02/01/2041#
31418DW65
18052.50200000
PA
USD
15209.09000000
0.002855738762
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
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 5175 CB 2.5% 04/25/2050
3137H4N30
1550837.43400000
PA
USD
1331710.62000000
0.250048992951
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#MA3283
31418CUH5
40740.32400000
PA
USD
38445.71000000
0.007218768795
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 20YR 2.5% 01/01/2042#RB5142
3133KYWB1
695438.16000000
PA
USD
600339.50000000
0.112722903271
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
425013.81000000
PA
USD
403120.46000000
0.075692018631
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#FM8393
3140XCKF4
558418.79100000
PA
USD
469590.78000000
0.088172835655
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
COMM 2015-CCRE24 MTG TR
N/A
COMM 2015-CCRE24 MTG TR 3.696% 08/10/2055
12593JBF2
1000000.00000000
PA
USD
970397.80000000
0.182206996781
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
0.03696000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 02/01/2052#CB2765
3140QNCB6
200026.29000000
PA
USD
157894.13000000
0.029647032625
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 4% 06/01/2048#ZM6780
3131Y1Q94
523891.17100000
PA
USD
489261.23000000
0.091866262845
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
1921641.75200000
PA
USD
1790414.95000000
0.336177731474
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
4467647.50800000
PA
USD
3743625.47000000
0.702922815739
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
21124.79700000
PA
USD
19905.74000000
0.003737606478
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2030#ZS8591
3132A9RL3
45171.24300000
PA
USD
42929.60000000
0.008060687574
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 09/20/2051#785619
3622ABDY5
949210.72200000
PA
USD
794160.66000000
0.149115784084
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6642
3140QSLY5
158896.80600000
PA
USD
159469.77000000
0.029942883082
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2041#BU7091
3140M82Z1
468598.28200000
PA
USD
390982.90000000
0.073413006503
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2048#G67716
3132XCSD8
305671.15900000
PA
USD
296006.02000000
0.055579647783
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 11/01/2036#SB0572
3132CWT53
1241864.84800000
PA
USD
1101768.71000000
0.206873890065
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2034#FS1799
3140XG7M5
90507.03800000
PA
USD
86107.48000000
0.016167993508
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2054 #TBA
01F022634
-2975000.00000000
PA
USD
-2444148.44000000
-0.45892617124
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.859% 11/25/2028
3137FKSH0
2277000.00000000
PA
USD
2192652.18000000
0.411703910194
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Fixed
0.03859000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2032#FM1681
3140X42P0
2994130.85700000
PA
USD
2800092.02000000
0.525760010663
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2050#CA6106
3140QDYC2
1284197.71200000
PA
USD
1194595.00000000
0.224303442691
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 08/01/2050#SD7523
3132DVLC7
5968938.92900000
PA
USD
4994158.08000000
0.937729398406
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2052#
31418EAQ3
350119.88700000
PA
USD
311952.97000000
0.058573931021
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT JUN24 USM4
N/A
1.00000000
NC
USD
1169.64000000
0.000219617760
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-06-18
118080.36000000
USD
1169.64000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2047#G08793
3128MJ3B4
1154944.30700000
PA
USD
1080355.00000000
0.202853139205
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 A 2.115% 01/25/2061 144A
009733AA4
150262.51300000
PA
USD
143262.46000000
0.026899713280
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
50347.10000000
PA
USD
46042.46000000
0.008645174547
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 15YR 1.5% 11/01/2035#BQ5806
3140KRNY1
704205.74700000
PA
USD
610667.51000000
0.114662144771
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 10/01/2052#CB4909
3140QQN35
825438.93500000
PA
USD
824546.14000000
0.154821121685
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 20YR 2.5% 11/01/2041#MA4475
31418D6M9
466261.57900000
PA
USD
402501.99000000
0.075575891450
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 07/01/2041#CB1074
3140QLFQ4
129917.89000000
PA
USD
113491.86000000
0.021309828783
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02500000
N
N
N
N
N
N
BX COML MTG TR 2023-XL3
N/A
BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A
12434GAC9
100000.00000000
PA
USD
100781.25000000
0.018923217771
Long
ABS-MBS
CORP
US
N
2
2040-12-09
Variable
0.07508450
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A
165183CZ5
157845.87000000
PA
USD
158779.81000000
0.029813332562
Long
ABS-CBDO
CORP
US
N
2
2035-10-15
Fixed
0.06160000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2048#BJ2763
3140H4B94
758719.89300000
PA
USD
729985.50000000
0.137065918378
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048
3136BG6Y2
319209.41600000
PA
USD
256508.80000000
0.048163441936
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
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 2.5% 09/25/2048
3136BKUC4
540287.42100000
PA
USD
467702.02000000
0.087818192140
Long
ABS-CBDO
USGSE
US
N
2
2048-09-25
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY885802 12/15/56 B
N/A
100000.00000000
NC
USD
13690.52000000
0.002570604069
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S17 PRC INDX
CY885802
Y
2056-12-15
14143.53000000
USD
0.00000000
USD
100000.00000000
USD
-453.01000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 03/01/2041#RB5104
3133KYU56
133636.16900000
PA
USD
108784.83000000
0.020426012064
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 4.0% 10/45#MA3174
36179RQ36
2310.40100000
PA
USD
2193.02000000
0.000411772974
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
199476.93000000
PA
USD
199531.57000000
0.037465097440
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 TSFR1M+106.448 11/15/2036 144A
125284AA7
100000.00000000
PA
USD
98872.43000000
0.018564807684
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.06382480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2048#BK5486
3140HKCY2
41770.12800000
PA
USD
38159.65000000
0.007165056665
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#FS0106
3140XFDL2
481619.57500000
PA
USD
404105.02000000
0.075876884797
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
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
569500.00000000
0.106932316486
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
160365.22200000
PA
USD
150180.35000000
0.028198652706
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#FM8066
3140XB6C9
306114.14300000
PA
USD
257420.38000000
0.048334604994
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 15YR 3% 02/01/2033#ZS8686
3132A9UK1
21200.62800000
PA
USD
20006.55000000
0.003756535094
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
56455.57300000
PA
USD
48965.19000000
0.009193961710
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 TSFR1M+114.301 10/15/2031 144A
36259DAA1
138695.67000000
PA
USD
135228.24000000
0.025391165860
Long
ABS-MBS
CORP
US
N
2
2031-10-15
Variable
0.06463010
N
N
N
N
N
N
CNH EQUIP TR 2023-A
N/A
CNH EQUIP TR 2023-A 5.34% 09/15/2026
12664QAB0
485624.80000000
PA
USD
484872.57000000
0.091042224952
Long
ABS-CBDO
CORP
US
N
2
2026-09-15
Fixed
0.05340000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 05/01/2051#SD7540
3132DVLV5
1648111.74400000
PA
USD
1376900.29000000
0.258534043160
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
BENCHMARK 2020-B17 MORTGAGE TRUST
N/A
BENCHMARK 2020-B17 MORTGAGE TRUST CSTR 03/15/2053
08162MAZ1
2088722.94000000
PA
USD
100702.76000000
0.018908480076
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Variable
0.01413702
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3295
3140XJUV3
470144.41400000
PA
USD
460904.43000000
0.086541840875
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
BLP COML MTG 2024-INDS
N/A
BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A
05625AAA9
233000.00000000
PA
USD
232814.93000000
0.043714556237
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Variable
0.06642150
N
N
N
N
N
N
FORD CR AUTO OWNER TR 2020-REV2
N/A
FORD CR AUTO OWNER TR 2020-REV2 1.06% 04/15/2033 144A
34532JAA2
2750000.00000000
PA
USD
2568724.68000000
0.482317261540
Long
ABS-CBDO
CORP
US
N
2
2033-04-15
Fixed
0.01060000
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
4510914.58600000
PA
USD
163835.06000000
0.030762532901
Long
ABS-MBS
CORP
US
N
2
2056-08-10
Variable
0.01039290
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.7675 09/20/2028
N/A
-2300000.00000000
NC
USD
-96229.24000000
-0.01806850842
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 09/22/33 3.7675%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-09-22
0.00000000
USD
0.00000000
USD
-2300000.00000000
USD
1.00000000
3.76750000
USD
2028-09-20
XXXX
-89.24000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051
3137H2UY8
279051.55600000
PA
USD
226596.59000000
0.042546968000
Long
ABS-CBDO
USGSE
US
N
2
2051-10-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM6733
3140XAPT3
115938.15100000
PA
USD
108485.70000000
0.020369845841
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2035#MA4013
31418DN73
4628834.05300000
PA
USD
4224572.05000000
0.793227876152
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.02500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.25% MAC 03/20/2029
N/A
-1008000.00000000
NC
USD
6759.47000000
0.001269193652
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2029-03-20
0.00000000
USD
0.00000000
USD
-1026934.39000000
USD
6759.47000000
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
36989.76000000
0.006945391963
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Variable
0.00429415
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 03/01/2041#SC0136
3132D9EH3
133090.53800000
PA
USD
112418.84000000
0.021108352902
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2049#FM3160
3140X6QN4
113155.47900000
PA
USD
108870.03000000
0.020442009664
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5176 AG 2% 01/25/2047
3137H4DC1
1166622.73100000
PA
USD
995032.24000000
0.186832488852
Long
ABS-CBDO
USGSE
US
N
2
2047-01-25
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 S
N/A
2040000.00000000
NC
USD
-16316.74000000
-0.00306371695
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
0.00000000
USD
46470.04000000
USD
2040000.00000000
USD
30153.30000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#RA2976
3133KJJV5
519993.90400000
PA
USD
433936.78000000
0.081478253018
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
573259.98000000
0.107638310114
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03287000
N
N
N
N
N
N
MERCHANTS FLEET FUNDING LLC
N/A
MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A
588926AA3
1000000.00000000
PA
USD
1007287.40000000
0.189133582176
Long
ABS-CBDO
CORP
US
N
2
2036-05-20
Fixed
0.07210000
N
N
N
N
N
N
WELLS FARGO CARD ISSUANCE TRUST
N/A
WELLS FARGO CARD ISSUANCE TRUST 4.94% 02/15/2029
92970QAA3
1356000.00000000
PA
USD
1356000.00000000
0.254609694741
Long
ABS-CBDO
CORP
US
N
2
2029-02-15
Fixed
0.04940000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2028#FS3867
3140XKJM3
145162.22300000
PA
USD
139626.06000000
0.026216923683
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
392543.97600000
PA
USD
312682.63000000
0.058710935822
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN24 FVM4
N/A
-68.00000000
NC
USD
-13948.84000000
-0.00261910759
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2024-06-28
-7255676.16000000
USD
-13948.84000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2048#BJ2757
3140H4B37
78279.42100000
PA
USD
71488.74000000
0.013423101968
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#BQ6318
3140KSAU1
736439.85900000
PA
USD
638620.03000000
0.119910657001
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.108% 01/25/2031
3137FXZ35
1600000.00000000
PA
USD
1354817.60000000
0.254387681095
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Fixed
0.02108000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 12/20/2051#MA7766
36179WTX6
1999800.43000000
PA
USD
1627870.75000000
0.305657577238
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#FM9865
3140XD6B7
4109085.93700000
PA
USD
3411069.76000000
0.640480405851
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
1812584.91900000
PA
USD
1718553.27000000
0.322684604329
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.02500000
N
N
N
N
N
N
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3
N/A
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3 5.45% 06/16/2028
36267KAD9
214000.00000000
PA
USD
215280.30000000
0.040422161848
Long
ABS-CBDO
CORP
US
N
2
2028-06-16
Fixed
0.05450000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2048
3136BL6J4
290163.22200000
PA
USD
260137.48000000
0.048844781986
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#CB1280
3140QLM60
1482278.65900000
PA
USD
1224460.15000000
0.229911080394
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 10/01/2052#RA7615
3133KPN87
898160.00800000
PA
USD
891013.71000000
0.167301422355
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 12/01/2035#SB8078
3132D56P2
720744.77900000
PA
USD
625009.69000000
0.117355107950
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2041#AI9851
3138AP5M6
368790.43000000
PA
USD
359291.83000000
0.067462524453
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 02/01/2051#SD8127
3132DWA45
1142699.84400000
PA
USD
857710.27000000
0.161048193230
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#CB1801
3140QMAB0
2101665.46400000
PA
USD
1674090.87000000
0.314336110162
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 07/01/2053#RA9382
3133KRM76
472875.09000000
PA
USD
481287.06000000
0.090368990729
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048
3136BLRV4
379365.24300000
PA
USD
339226.69000000
0.063694988192
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 02/01/2048#ZS4754
3132A5H73
634907.45600000
PA
USD
553844.12000000
0.103992686082
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2054 #TBA
01F030637
-22850000.00000000
PA
USD
-19549246.67000000
-3.67066941524
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 04/01/2052#RA7142
3133KN5B5
736647.50000000
PA
USD
586549.61000000
0.110133640968
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
714593.03900000
PA
USD
574125.06000000
0.107800742086
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
846443.23000000
PA
USD
777584.40000000
0.146003338288
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
728581.79500000
PA
USD
682309.20000000
0.128113965435
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2029#
3140XLYD4
321411.16000000
PA
USD
307111.38000000
0.057664848608
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
0.02500000
N
N
N
N
N
N
DLLAA 2023-1A
N/A
DLLAA 2023-1A 5.93% 07/20/2026 144A
23292HAB7
132199.06000000
PA
USD
132504.56000000
0.024879753372
Long
ABS-CBDO
CORP
US
N
2
2026-07-20
Fixed
0.05930000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
1947.93100000
PA
USD
1814.11000000
0.000340626838
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
72994.76000000
0.013705880207
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Fixed
0.03272000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2053#QF9466
3133BXQT1
246733.66100000
PA
USD
211106.26000000
0.039638422136
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/01/2048#ZM8154
3131Y3BX3
45392.85300000
PA
USD
42519.99000000
0.007983777045
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 20-101 BA 1.5% 09/25/2045
3136BDDV7
454683.51100000
PA
USD
384812.20000000
0.072254363403
Long
ABS-CBDO
USGSE
US
N
2
2045-09-25
Fixed
0.01500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
200000.00000000
NC
USD
31883.76000000
0.005986662537
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
33172.71000000
USD
0.00000000
USD
200000.00000000
USD
-1288.95000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2028#FS3865
3140XKJK7
143129.93200000
PA
USD
136185.73000000
0.025570949220
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.02000000
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST 2023-A
N/A
TOYOTA LEASE OWNER TRUST 2023-A 5.3% 08/20/2025 144A
89239MAB3
192345.51000000
PA
USD
192101.54000000
0.036069995913
Long
ABS-CBDO
CORP
US
N
2
2025-08-20
Fixed
0.05300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#BU5834
3140M7PU9
157746.99600000
PA
USD
125111.81000000
0.023491651734
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 2.5% 12/01/2031#AS8511
3138WJN53
359954.70000000
PA
USD
336307.37000000
0.063146841308
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 06/01/2038#MA3388
31418CXS8
18624.20400000
PA
USD
17462.53000000
0.003278856513
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.25% 04/25/2052
3137H6RT4
1070975.85800000
PA
USD
977381.14000000
0.183518225443
Long
ABS-CBDO
USGSE
US
N
2
2052-04-25
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2320
3140QMSJ4
637353.37700000
PA
USD
529085.27000000
0.099343834134
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
165085.75000000
PA
USD
159889.78000000
0.030021746370
Long
ABS-CBDO
CORP
US
N
2
2031-10-27
Fixed
0.01151200
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 06/01/2041#BR1090
3140KYF82
111287.10300000
PA
USD
97147.09000000
0.018240848768
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.02500000
N
N
N
N
N
N
NEW YORK MORTGAGE TRUST 2021-SP1
N/A
NEW YORK MORTGAGE TRUST 2021-SP1 A1 1.6696% 08/25/2061 144A
62955RAA3
229131.05000000
PA
USD
213091.58000000
0.040011196265
Long
ABS-CBDO
CORP
US
N
2
2061-08-25
Fixed
0.01669600
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2047#CA0607
3140Q7U96
3024245.29400000
PA
USD
2747717.98000000
0.515925985341
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
323377.51300000
PA
USD
314192.46000000
0.058994429447
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
508787.84400000
PA
USD
480608.37000000
0.090241556324
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 02/01/2041#RB5100
3133KYUZ0
214658.72700000
PA
USD
180848.24000000
0.033957017095
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.02000000
N
N
N
N
N
N
BENCHMARK 2020-B18 MORTGAGE TRUST
N/A
BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053
08163AAF0
1446673.53000000
PA
USD
89902.08000000
0.016880487570
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Variable
0.01779855
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
100000.00000000
NC
USD
15941.88000000
0.002993331268
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
16959.36000000
USD
0.00000000
USD
100000.00000000
USD
-1017.48000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 02/01/2052#FS2040
3140XHHS9
947099.58800000
PA
USD
746425.19000000
0.140152721071
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9278
3133KRJX3
539496.05000000
PA
USD
546732.85000000
0.102657436610
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.3525 02/03/2025
N/A
1800000.00000000
NC
USD
38549.81000000
0.007238315159
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/05/35 SOFRV3.3525%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-02-05
0.00000000
USD
0.00000000
USD
1800000.00000000
USD
1.00000000
3.35250000
USD
2025-02-03
XXXX
-26880.19000000
N
N
N
GS MTG SECS CORP TR 2021-IP
N/A
GSMS 2021-IP A TSFR1M+106.448 10/15/2036 144A
36262MAA6
963000.00000000
PA
USD
949179.12000000
0.178222865780
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06382480
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 06/25/2049
3136BMER5
310002.54600000
PA
USD
280701.14000000
0.052705922985
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6416
3140QEDW9
1142028.90900000
PA
USD
992291.90000000
0.186317948195
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#FM8334
3140XCHL5
456468.51200000
PA
USD
383857.79000000
0.072075158359
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
COMM 2016-COR1 MTG TR
N/A
COMM 2016-COR1 ASB 2.972% 10/49
12594MBA5
372971.64300000
PA
USD
360619.16000000
0.067711750918
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Fixed
0.02972000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.92% 06/25/2032
3137H7ZB2
969000.00000000
PA
USD
846757.74000000
0.158991688570
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Fixed
0.02920000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 3.3525 02/03/2025
N/A
1800000.00000000
NC
USD
91731.37000000
0.017223964685
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/05/35 3.3525%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-02-05
0.00000000
USD
0.00000000
USD
1800000.00000000
USD
1.00000000
3.35250000
USD
2025-02-03
XXXX
26301.37000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 04/01/2051#MA4305
31418DYB2
1798595.86100000
PA
USD
1420876.16000000
0.266791183895
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/01/2054 #TBA
21H030633
-9150000.00000000
PA
USD
-8024088.84000000
-1.50664514021
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 3.5% 05/01/2049#Q63646
3132VQBQ8
196779.20000000
PA
USD
178587.65000000
0.033532556822
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2051#FM7031
3140XAY55
387657.23100000
PA
USD
361305.69000000
0.067840657403
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#CB2886
3140QNF49
696897.59700000
PA
USD
601386.11000000
0.112919420271
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
257193.77200000
PA
USD
238286.02000000
0.044741836882
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#MA4494
31418D7G1
4956146.80600000
PA
USD
4256760.65000000
0.799271777052
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
533618.47400000
PA
USD
480992.27000000
0.090313639408
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
1308332.25600000
PA
USD
1175177.66000000
0.220657540766
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
671743.74000000
PA
USD
651058.94000000
0.122246252191
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
0.05152637
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5.5% 03/01/2054#RJ1003
3142GRDH0
575002.00000000
PA
USD
569348.81000000
0.106903928256
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/44#MA1760
36179N5V6
2341.13700000
PA
USD
2164.10000000
0.000406342802
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
11696.54600000
PA
USD
10711.57000000
0.002011260743
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
506077.68000000
PA
USD
507346.77000000
0.095262098995
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Variable
0.07482640
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-IMC
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A
05608BAA8
119000.00000000
PA
USD
118682.57000000
0.022284463804
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.06364300
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
84384.26000000
PA
USD
82461.50000000
0.015483405120
Long
ABS-CBDO
CORP
US
N
2
2032-04-25
Fixed
0.04272000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 12/20/2051#785791
3622ABKC5
525970.37200000
PA
USD
439726.33000000
0.082565329388
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 05/01/2041#MA4333
31418DY71
2989291.13800000
PA
USD
2513782.80000000
0.472001085069
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 02/01/2051#RA4575
3133KLCL9
739211.75900000
PA
USD
612485.80000000
0.115003556468
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02500000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A
78472UAC2
216251.01000000
PA
USD
214089.13000000
0.040198501502
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06511920
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 11/20/2050#MA6994
36179VXX3
1280273.10400000
PA
USD
1043363.82000000
0.195907480615
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2037#MA4536
31418EBE9
460211.78700000
PA
USD
405849.91000000
0.076204514524
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 09/01/2053#CB7134
3140QS4U2
693042.88600000
PA
USD
716332.25000000
0.134502312319
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 02/01/2041#QK0646
3133D3WF8
60635.38700000
PA
USD
51084.82000000
0.009591954591
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2346
3140QMTC8
435839.99300000
PA
USD
348532.26000000
0.065442250977
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 2.5% 10/01/2051#FS6478
3140XNFU3
133577.71200000
PA
USD
110344.02000000
0.020718773782
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02500000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
140000.00000000
NC
USD
22318.63000000
0.004190663400
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
39804.95000000
USD
0.00000000
USD
140000.00000000
USD
-17486.32000000
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
26949.13000000
0.005060110444
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
122252.97600000
PA
USD
108179.42000000
0.020312337096
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
59593.88900000
PA
USD
56488.99000000
0.010606669985
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
130858.36200000
PA
USD
126054.15000000
0.023668590451
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
946996.86600000
PA
USD
928385.06000000
0.174318463664
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
1961402.94300000
PA
USD
1614732.03000000
0.303190582040
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02500000
N
N
N
N
N
N
COMM 2015-LC19 MTG TR
N/A
COMM 2015-LC19 MTG TR 2.922% 02/10/2048
200474BB9
398980.49000000
PA
USD
392122.89000000
0.073627057023
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
0.02922000
N
N
N
N
N
N
BPR TRUST 2021-TY
N/A
BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A
05592DAA2
1680000.00000000
PA
USD
1685192.88000000
0.316420681974
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.07215640
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#BT9396
3140LYNN9
109405.11200000
PA
USD
95264.90000000
0.017887438870
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 10/01/2052#CB4843
3140QQLZ6
835340.49600000
PA
USD
827910.89000000
0.155452904849
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 04/01/2051#QC0798
3133AJ3F8
5673005.93000000
PA
USD
4252838.67000000
0.798535365451
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#CB1071
3140QLFM3
448524.75400000
PA
USD
377177.65000000
0.070820860125
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 08/25/2048
3137H3S94
218458.01800000
PA
USD
186605.81000000
0.035038088732
Long
ABS-CBDO
USGSE
US
N
2
2048-08-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BC4754
3140F0H80
46404.08400000
PA
USD
43742.74000000
0.008213367019
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
401658.74800000
PA
USD
319943.04000000
0.060074188605
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
20757.31900000
PA
USD
19432.52000000
0.003648752201
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
401865.38000000
PA
USD
390741.99000000
0.073367771973
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
1582618.84300000
PA
USD
1265587.69000000
0.237633403701
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 2% 03/01/2051#MA4281
31418DXK3
2639251.41500000
PA
USD
2084987.24000000
0.391488174569
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
131487.04700000
PA
USD
107035.36000000
0.020097522371
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
846102.07600000
PA
USD
699200.65000000
0.131285592964
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
271390.63000000
0.050957732640
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
0.06468000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/01/2037#FS2747
3140XJBR3
1198165.09400000
PA
USD
1036394.23000000
0.194598833725
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
2181527.64000000
PA
USD
2025395.27000000
0.380298872732
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6539
3140QSHR5
727006.42200000
PA
USD
738576.00000000
0.138678915857
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 02/01/2053#CB5600
3140QRGJ6
327241.90800000
PA
USD
325660.81000000
0.061147787185
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
0.05500000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 5.34% 06/15/2028 144A
361886CR3
1126000.00000000
PA
USD
1130273.85000000
0.212226165134
Long
ABS-CBDO
CORP
US
N
2
2028-06-15
Fixed
0.05340000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#G61047
31335BEU6
38057.74400000
PA
USD
36901.95000000
0.006928904295
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES 2023-2 OWNER TRUST
N/A
HONDA AUTO RECEIVABLES 2023-2 OWNER TRUST 4.93% 11/15/2027
437927AC0
219000.00000000
PA
USD
218208.88000000
0.040972047438
Long
ABS-CBDO
CORP
US
N
2
2027-11-15
Fixed
0.04930000
N
N
N
N
N
N
BENCHMARK 2024-V5 MTG TR
N/A
BENCHMARK 2024-V5 MTG TR 5.8053% 01/10/2057
08163XAY9
600000.00000000
PA
USD
615901.86000000
0.115644973868
Long
ABS-MBS
CORP
US
N
2
2057-01-10
Fixed
0.05805300
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#FM9919
3140XEAV6
1739107.90400000
PA
USD
1502389.41000000
0.282096540606
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
40639.88600000
PA
USD
33482.33000000
0.006286818451
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 5.5% 07/01/2053#CB6673
3140QSMX6
763645.41700000
PA
USD
762103.54000000
0.143096570560
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.284% 07/25/2030
3137HAGZ3
1200000.00000000
PA
USD
1167724.08000000
0.219258017367
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Fixed
0.04284000
N
N
N
N
N
N
DISCOVER CARD EXECUTION NT TR
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NT TR 4.31% 03/15/2028
254683CY9
1200000.00000000
PA
USD
1184016.48000000
0.222317164116
Long
ABS-CBDO
CORP
US
N
2
2028-03-15
Fixed
0.04310000
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
408744.79100000
PA
USD
376896.17000000
0.070768007959
Long
ABS-CBDO
CORP
US
N
2
2062-07-25
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6527
3140QSHD6
378679.39900000
PA
USD
378151.48000000
0.071003711569
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+81.548 1 11/15/2036 144A
26863LAA2
948895.51000000
PA
USD
939406.55000000
0.176387916617
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06133480
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 03/01/2054 #TBA
21H050631
5200000.00000000
PA
USD
5079020.44000000
0.953663601632
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 11/01/2050#QB6612
3133ADKZ8
91586.01700000
PA
USD
69231.00000000
0.012999176826
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
636774.51000000
PA
USD
622866.72000000
0.116952732628
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 15YR 2% 12/01/2036#BU1384
3140M2RE4
96436.02200000
PA
USD
85406.29000000
0.016036334384
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
80000.00000000
NC
USD
12753.50000000
0.002394664263
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
19044.24000000
USD
0.00000000
USD
80000.00000000
USD
-6290.74000000
N
N
N
WELLS FARGO COML MTG TR 2019-C54
N/A
WELLS FARGO COML MTG TR 2019-C54 VAR 12/15/2052
95001YAF1
5859385.60400000
PA
USD
211326.36000000
0.039679749270
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Variable
0.00818503
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048
3136BLMF4
266133.76800000
PA
USD
237966.73000000
0.044681885312
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2049#RA1171
3133KGJQ2
1985986.52600000
PA
USD
1912634.71000000
0.359126356684
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
24245.70000000
PA
USD
23753.08000000
0.004460003280
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
0.03278000
N
N
N
N
N
N
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2
N/A
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2 4.47% 02/16/2028
362583AD8
313000.00000000
PA
USD
309530.93000000
0.058119156047
Long
ABS-CBDO
CORP
US
N
2
2028-02-16
Fixed
0.04470000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/51#SD7541
3132DVLW3
6690170.60000000
PA
USD
5354172.97000000
1.005327688409
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
4167.02700000
PA
USD
3878.04000000
0.000728161195
Long
ABS-MBS
USGA
US
N
2
2040-09-20
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
2799.44000000
0.000525637583
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
3153.86000000
USD
0.00000000
USD
350000.00000000
USD
-354.42000000
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 12/01/2036#BM3680
3140J8CS0
254144.48200000
PA
USD
240277.90000000
0.045115842752
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049
3137H5UF2
213413.55500000
PA
USD
181775.72000000
0.034131165619
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 04/20/2052#
36179W2T4
5999405.17200000
PA
USD
4880803.48000000
0.916445342282
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 06/01/2041#MA4364
31418DZ62
19787.42800000
PA
USD
16639.83000000
0.003124382033
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
1565357.79000000
PA
USD
1539216.31000000
0.289011353119
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
275122.87600000
PA
USD
270145.63000000
0.050723964889
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
1877588.36000000
0.352545869608
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.06232480
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 04/51#MA7311
36179WDQ8
174009.13800000
PA
USD
141755.08000000
0.026616679680
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
170543.41000000
PA
USD
161257.66000000
0.030278586716
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
700249.88300000
PA
USD
653524.73000000
0.122709241896
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 03/01/2053#SD7559
3132DVMG7
3014367.98000000
PA
USD
3033715.40000000
0.569626365727
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.5% 10/25/2044
3137H9AA7
210046.72300000
PA
USD
204756.59000000
0.038446174687
Long
ABS-CBDO
USGSE
US
N
2
2044-10-25
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4.5% 03/01/2054 #TBA
01F042632
-5775000.00000000
PA
USD
-5465044.78000000
-1.02614556281
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 06/01/2036#SB8107
3132D6AG5
1642388.90800000
PA
USD
1454542.98000000
0.273112643160
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
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 4.94% 11/25/2030
3137HBC51
2200000.00000000
PA
USD
2217095.32000000
0.416293482771
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Fixed
0.04940000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 10/01/2053#RJ0002
3142GQAC6
403243.79000000
PA
USD
415408.45000000
0.077999276288
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2051#RA6347
3133KNBQ5
267629.06900000
PA
USD
230197.16000000
0.043223029968
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
5191.51900000
PA
USD
4932.78000000
0.000926204727
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
233600.30700000
PA
USD
185272.35000000
0.034787711266
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
18962.89200000
PA
USD
15946.45000000
0.002994189355
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
157415.94300000
PA
USD
149587.00000000
0.028087242188
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
204853.25600000
PA
USD
191312.17000000
0.035921779648
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY885802 12/15/56 B
N/A
100000.00000000
NC
USD
13690.52000000
0.002570604069
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S17 PRC INDX
CY885802
Y
2056-12-15
14496.37000000
USD
0.00000000
USD
100000.00000000
USD
-805.85000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 11/01/2041#RB5135
3133KYV48
267129.76100000
PA
USD
223802.49000000
0.042022333083
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 01/01/2033#ZS8682
3132A9UF2
33924.00000000
PA
USD
32045.10000000
0.006016956584
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 01/01/2051#MA4236
31418DV66
1134595.19500000
PA
USD
852690.61000000
0.160105675457
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.01500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3% 05/25/2048
3136BMAC2
232200.50300000
PA
USD
207652.71000000
0.038989965416
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2048#ZN4472
3131YA6H8
27143.13800000
PA
USD
23560.52000000
0.004423847201
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
573780.89200000
PA
USD
475774.01000000
0.089333831454
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
110000.00000000
NC
USD
17536.07000000
0.003292664771
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
25482.82000000
USD
0.00000000
USD
110000.00000000
USD
-7946.75000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 09/01/2052#BW7430
3140N0HG3
23397.56200000
PA
USD
23186.32000000
0.004353585440
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 03/01/2054 #TBA
01F052631
-4975000.00000000
PA
USD
-4921752.08000000
-0.92413406687
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049
3137H5VK0
231648.57400000
PA
USD
197303.78000000
0.037046795868
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040
3137FXBN7
159416.69600000
PA
USD
142629.27000000
0.026780822194
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 01/01/2051#FS2528
3140XHY27
92234.64600000
PA
USD
69375.42000000
0.013026293885
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2050#MA4211
31418DVD1
1003491.49800000
PA
USD
866901.35000000
0.162773958771
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2052#SD0958
3132DNB36
1936448.89700000
PA
USD
1739870.48000000
0.326687235842
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050
3137H5MS3
369998.17500000
PA
USD
315442.72000000
0.059229184843
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#CB1337
3140QLPX8
270299.69300000
PA
USD
227302.96000000
0.042679599748
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BM4980
3140J9RA1
322072.85100000
PA
USD
305800.06000000
0.057418628265
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 04/01/2054 #TBA
21H020642
33800000.00000000
PA
USD
27525124.64000000
5.168262228840
Long
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3248
3140XJTE3
757681.67100000
PA
USD
743974.45000000
0.139692557234
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
1573809.72800000
PA
USD
1491459.66000000
0.280044313238
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
100000.00000000
NC
USD
15941.88000000
0.002993331268
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
19532.68000000
USD
0.00000000
USD
100000.00000000
USD
-3590.80000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 12/01/2035#MA4205
31418DU75
719855.28900000
PA
USD
624238.35000000
0.117210277093
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8985
3617M76W3
9141.70500000
PA
USD
8249.85000000
0.001549035243
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
28634.68000000
PA
USD
28433.22000000
0.005338770991
Long
ABS-CBDO
CORP
US
N
2
2054-07-25
Fixed
0.03169000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-NUGS
N/A
MORGAN STANLEY CAP I TR 2019-NUGS A TSFR1M+106.448 4 12/15/2021 144A
61692AAA0
1000000.00000000
PA
USD
796652.90000000
0.149583740179
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.06382480
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY562346 11/18/64 S
N/A
520000.00000000
NC
USD
-7798.65000000
-0.00146431555
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S15 PRC INDX
CY562346
Y
2064-11-18
0.00000000
USD
13455.50000000
USD
520000.00000000
USD
5656.85000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.653% 08/25/2026
3137BSP72
1700000.00000000
PA
USD
1615145.01000000
0.303268125338
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Fixed
0.02653000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 11/01/2036#SB8128
3132D6A59
398783.75300000
PA
USD
352301.08000000
0.066149904451
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02000000
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
417697.98600000
PA
USD
406471.18000000
0.076321167449
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
863779.80800000
PA
USD
745396.71000000
0.139959608255
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
169210.41900000
PA
USD
134838.18000000
0.025317926142
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
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 3% 02/25/2048
3137H65B7
4103646.75400000
PA
USD
3724907.65000000
0.699408259370
Long
ABS-CBDO
USGSE
US
N
2
2048-02-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 09/01/2051#BT0233
3140LNHK6
443029.30600000
PA
USD
353727.62000000
0.066417759107
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#MA4399
31418D3H3
93241.06200000
PA
USD
76935.87000000
0.014445883757
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025
3137BLMZ8
43000.00000000
PA
USD
41813.85000000
0.007851188484
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Fixed
0.03010000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2048#ZM5941
3131Y0S60
30589.50100000
PA
USD
26664.79000000
0.005006721270
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040
3137F64V6
1085485.45100000
PA
USD
881506.34000000
0.165516268539
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6308
3133KNAH6
155657.01800000
PA
USD
123989.28000000
0.023280879595
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
OCWEN LN INVT TR 2024-HB1
N/A
OCWEN LN INVT TR 2024-HB1 3% 02/25/2037 144A
675952AA3
100000.00000000
PA
USD
94950.00000000
0.017828311589
Long
ABS-CBDO
CORP
US
N
2
2037-02-25
Fixed
0.03000000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRST
N/A
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRST 5.47% 11/17/2025
981944AB7
192191.22000000
PA
USD
192045.75000000
0.036059520489
Long
ABS-CBDO
CORP
US
N
2
2025-11-17
Fixed
0.05470000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2048
3137H6E50
365374.84000000
PA
USD
330055.33000000
0.061972925382
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#BT9493
3140LYRP0
350787.50000000
PA
USD
279421.33000000
0.052465619126
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
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 1.5% 04/25/2051
3137H22J2
208620.85600000
PA
USD
170496.06000000
0.032013237309
Long
ABS-CBDO
USGSE
US
N
2
2051-04-25
Fixed
0.01500000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING 1 LLC
549300BSFY0E0XXREF43
WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A
96328GBG1
1125000.00000000
PA
USD
1135031.96000000
0.213119572903
Long
ABS-CBDO
CORP
US
N
2
2038-08-18
Fixed
0.06460000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2031#BC0919
3140EVAV9
13003.74500000
PA
USD
12194.66000000
0.002289733525
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.02500000
N
N
N
N
N
N
BA CR CARD TR
N/A
BA CR CARD TR 4.79% 05/15/2028
05522RDG0
492000.00000000
PA
USD
490227.27000000
0.092047651599
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04790000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 04/25/2050
3137H6K38
340240.94200000
PA
USD
302391.21000000
0.056778564653
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-P1
N/A
CGCMT 2015-P1 A5 3.717% 09/48
17324DAU8
1090000.00000000
PA
USD
1056636.95000000
0.198399713342
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
0.03717000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT JUN24 TUM4
N/A
41.00000000
NC
USD
4401.76000000
0.000826497617
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-06-28
8390348.24000000
USD
4401.76000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 03/01/2053#SD2518
3132DPYP7
537577.10600000
PA
USD
548316.02000000
0.102954700939
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 07/01/2035#SB8065
3132D56A5
257241.60300000
PA
USD
223956.98000000
0.042051340938
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 05/01/2035#SB0836
3132CW4V3
897108.56900000
PA
USD
838731.02000000
0.157484549389
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 12/01/2035#FM7459
3140XBJD3
390885.84000000
PA
USD
373263.26000000
0.070085873662
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.03500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-SOAR
N/A
BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A
05609WAA1
404185.33000000
PA
USD
404185.33000000
0.075891964225
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.06808640
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048
3136BKJA1
269970.01400000
PA
USD
233168.70000000
0.043780981954
Long
ABS-CBDO
USGSE
US
N
2
2048-08-25
Fixed
0.02500000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 TSFR1M+102.701 535 05/15/2036 144A
12653VAA4
2483820.56000000
PA
USD
2483840.93000000
0.466379042015
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.06345010
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#CB1281
3140QLM78
1902638.81100000
PA
USD
1571705.42000000
0.295111679358
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/32#MA3125
31418CPK4
11307.69700000
PA
USD
10692.02000000
0.002007589932
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
9901.83800000
PA
USD
9356.10000000
0.001756750564
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
73429.66000000
PA
USD
69887.21000000
0.013122390268
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 01/01/2037#SB8137
3132D6BE9
387648.68500000
PA
USD
342463.93000000
0.064302829407
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.023% 01/25/2025
3137BHXJ1
1102239.04500000
PA
USD
1079452.68000000
0.202683714854
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
0.03023000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2036#FS1970
3140XHFL6
2852882.36100000
PA
USD
2596591.96000000
0.487549768660
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
1036510.70900000
PA
USD
863028.46000000
0.162046764567
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
267585.00100000
PA
USD
249730.02000000
0.046890622536
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04000000
N
N
N
N
N
N
GS MTG SECS TR 2018-GS10
N/A
GS MTG SECS TR 2018-GS10 A4 3.89% 07/10/2051
36250SAD1
3200000.00000000
PA
USD
3022190.72000000
0.567462431172
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Fixed
0.03890000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 09/01/2041#FM8850
3140XCZQ4
599308.97200000
PA
USD
520164.89000000
0.097668896650
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040
3137FXC30
121132.49900000
PA
USD
108349.05000000
0.020344187718
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2046#G60440
31335APZ5
904159.81200000
PA
USD
827354.60000000
0.155348452912
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048
3136BNE69
245192.81000000
PA
USD
231649.32000000
0.043495695171
Long
ABS-CBDO
USGSE
US
N
2
2048-12-25
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#BQ6772
3140KSQ26
387416.29700000
PA
USD
307508.55000000
0.057739423337
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% 03/01/2054 #TBA
21H020634
-33800000.00000000
PA
USD
-27506642.80000000
-5.16479198131
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#CB2110
3140QMKY9
390480.66400000
PA
USD
327634.52000000
0.061518381359
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
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 2% 01/25/2045
3136BAN59
383489.58300000
PA
USD
342204.17000000
0.064254055503
Long
ABS-CBDO
USGSE
US
N
2
2045-01-25
Fixed
0.02000000
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
926542.22000000
PA
USD
30819.76000000
0.005786880299
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
0.01024162
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 12/01/2050#QB7301
3133AEDE1
65347.18800000
PA
USD
49396.74000000
0.009274991808
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 2.5% 01/01/2052#SD4401
3132E03J9
97905.33300000
PA
USD
81121.04000000
0.015231713297
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.0% MAC 03/20/26
N/A
-33928000.00000000
NC
USD
160637.87000000
0.030162211684
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2026-03-20
0.00000000
USD
0.00000000
USD
-33775335.86000000
USD
160637.87000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2041#MA4473
31418D6K3
2119738.64500000
PA
USD
1707661.03000000
0.320639420036
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
979494.95400000
PA
USD
955658.06000000
0.179439385644
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 TSFR1M+136.448 11/15/36 144A
125284AC3
100000.00000000
PA
USD
96414.75000000
0.018103340756
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.06682480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2036#MA4383
31418D2R2
1779941.44100000
PA
USD
1576363.13000000
0.295986235494
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2051#FM9210
3140XDGU4
1751306.68300000
PA
USD
1514569.60000000
0.284383557168
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
CSAIL 2015-C4 COML MTG TR
N/A
CSAIL 2015-C4 COML MTG TR 3.544% 11/15/2048
12635RAW8
1143054.83600000
PA
USD
1111713.30000000
0.208741138608
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Fixed
0.03543800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#BT0330
3140LNLL9
450988.17600000
PA
USD
373109.78000000
0.070057055450
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#FM9501
3140XDRX6
2048181.12300000
PA
USD
1700253.73000000
0.319248586414
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 30YR 6% 06/01/2053#CB6538
3140QSHQ7
995273.55700000
PA
USD
1012978.48000000
0.190202169301
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3128
3140QNPN6
518509.64600000
PA
USD
464900.99000000
0.087292256009
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 11/01/2052#CB5049
3140QQTF2
1386449.95500000
PA
USD
1399415.34000000
0.262761587414
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785602
3622ABDF6
3660724.40600000
PA
USD
3062758.62000000
0.575079673528
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2047#ZM4743
3131XYHU6
56936.26300000
PA
USD
49720.17000000
0.009335720727
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% 07/01/2041#SC0162
3132D9FB5
1719213.61300000
PA
USD
1446811.78000000
0.271660992370
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
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
980040.26000000
PA
USD
870301.72000000
0.163412430134
Long
ABS-CBDO
CORP
US
N
2
2061-09-25
Fixed
0.02750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 09/20/2051#785616
3622ABDV1
1669207.66100000
PA
USD
1394983.88000000
0.261929513168
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 09/01/2052#FS2960
3140XJJE4
619548.64300000
PA
USD
618878.54000000
0.116203890967
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2040#FM4644
3140X8ES2
46031.65400000
PA
USD
38781.30000000
0.007281780940
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#Q49499
3132WPRV1
16348.22600000
PA
USD
15805.76000000
0.002967772661
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
1148709.65800000
PA
USD
1003481.28000000
0.188418925058
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 20YR 2% 09/01/2041#FM8862
3140XCZ43
300908.74200000
PA
USD
252102.67000000
0.047336123784
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-L2
N/A
MORGAN STANLEY CAP I TR 2019-L2 A3 3.806% 03/15/2052
61768HAV8
500000.00000000
PA
USD
467881.75000000
0.087851939190
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
0.03806000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#SD8133
3132DWBA0
1195932.72400000
PA
USD
897666.86000000
0.168550652805
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
96595.22200000
PA
USD
94950.73000000
0.017828448658
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
288534.20500000
PA
USD
276396.61000000
0.051897681784
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.04000000
N
N
N
N
N
N
BANK 2019
N/A
BANK 2019 2.846% 12/15/2052
06541RAZ6
100000.00000000
PA
USD
93713.10000000
0.017596064737
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
0.02846000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
20882975.50200000
NS
USD
20887152.10000000
3.921881578316
Long
STIV
RF
US
N
1
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A
05609PAA6
475000.00000000
PA
USD
470101.56000000
0.088268742396
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06121580
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2039#AL0939
3138EHBH4
659963.29800000
PA
USD
644236.50000000
0.120965234960
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040
3137F6YK7
1431027.67600000
PA
USD
1163182.08000000
0.218405187549
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 05/01/2041#RB5111
3133KYVC0
195003.76300000
PA
USD
163984.40000000
0.030790573765
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 05/01/2052#RA7375
3133KPFQ6
999668.65500000
PA
USD
857663.32000000
0.161039377651
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 03/01/2054 #TBA
21H062636
4000000.00000000
PA
USD
4054687.60000000
0.761329477955
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
15127.38300000
PA
USD
14427.62000000
0.002709005843
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#CB0511
3140QKR91
264747.48600000
PA
USD
219029.86000000
0.041126198963
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
CAPTIAL ONE MULTI-ASSET EXECUT
R42WS16M9R97TJJKGU15
CAPITAL ONE MULTI-ASST EXEC TR 4.42% 05/15/2028
14041NGD7
1400000.00000000
PA
USD
1382719.52000000
0.259626692404
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04420000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3168
3133B0QV8
263564.61000000
PA
USD
209943.55000000
0.039420105588
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2014-LC16
N/A
WELLS FARGO COML MTG TR 2014-LC16 A5 3.817% 08/15/2050
94988XAU0
838747.21000000
PA
USD
830825.49000000
0.156000165480
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
0.03817000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 01/01/2036#SB8083
3132D56U1
624349.68600000
PA
USD
541418.57000000
0.101659599435
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 08/25/2046
3136BL5X4
301046.61000000
PA
USD
275705.77000000
0.051767966031
Long
ABS-CBDO
USGSE
US
N
2
2046-08-25
Fixed
0.03000000
N
N
N
N
N
N
CFMT 2021-EBO1 LLC
N/A
CFMT 2021-EBO1 LLC 1.1581% 11/25/2050 144A
12530AAA9
117073.48000000
PA
USD
109037.59000000
0.020473471611
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
23740.94000000
0.004457723809
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03177097
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#CB2113
3140QMK37
96161.61400000
PA
USD
83642.92000000
0.015705234755
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#BU1269
3140M2MT6
676480.60700000
PA
USD
540122.01000000
0.101416150508
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 5% 04/01/2053#FS4829
3140XLLK2
359074.19500000
PA
USD
355720.08000000
0.066791873880
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
0.05000000
N
N
N
N
N
N
OPG TR 2021-PORT
N/A
OPG TR 2021-PORT TSFR1M+59.848 8 10/15/2036 144A
67118AAA3
658353.14800000
PA
USD
648477.85000000
0.121761613152
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.05916480
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 06/01/2053#QG4998
3133C5RT0
1634184.97500000
PA
USD
1398214.87000000
0.262536180850
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.03000000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A
78472UAA6
1722353.20900000
PA
USD
1714557.49000000
0.321934335652
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06162920
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#BU6530
3140M8HG7
200943.13100000
PA
USD
168351.04000000
0.031610477067
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2047#ZS4734
3132A5HK4
30024.50400000
PA
USD
26219.20000000
0.004923054947
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 20YR 2.5% 11/01/2041#FM9558
3140XDTQ9
712334.45300000
PA
USD
614925.28000000
0.115461606068
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
BANK 2020-BNK26
N/A
BANK 2020-BNK26 2.313% 03/15/2063
06540JBA9
900000.00000000
PA
USD
830045.88000000
0.155853781805
Long
ABS-MBS
CORP
US
N
2
2063-03-15
Fixed
0.02313000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 12/01/2040#RB5089
3133KYUN7
77936.20400000
PA
USD
63442.98000000
0.011912387736
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
298309.34400000
PA
USD
238178.95000000
0.044721732856
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 03/01/2054 #TBA
21H060630
13200000.00000000
PA
USD
13267850.64000000
2.491241446404
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 10/20/2052#MA8346
36179XHX7
4300202.60800000
PA
USD
4002100.52000000
0.751455451121
Long
ABS-MBS
USGA
US
N
2
2052-10-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 06/01/2041#FM7891
3140XBXV7
40329.18300000
PA
USD
34014.82000000
0.006386801575
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
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
128657.46300000
PA
USD
104731.97000000
0.019665025745
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 06/01/2052#FS6120
3140XMYS9
2340297.94600000
PA
USD
2002733.60000000
0.376043798336
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2043#MA1375
36179NQ43
3007.15200000
PA
USD
2782.67000000
0.000522488760
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
126110.58700000
PA
USD
102658.72000000
0.019275741417
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
22217.86100000
PA
USD
20834.57000000
0.003912008486
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 04/01/2054 #TBA
01F030645
9350000.00000000
PA
USD
8008129.14000000
1.503648462967
Long
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785564
3622ABB92
967956.47200000
PA
USD
810751.82000000
0.152231027581
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
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
40216.95000000
PA
USD
38475.40000000
0.007224343546
Long
ABS-CBDO
USGA
US
N
2
2068-08-20
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 07/01/2036#SB0535
3132CWSY1
267819.43100000
PA
USD
244345.57000000
0.045879609873
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2053#FS7252
3140XPBW8
3750000.00000000
PA
USD
3637627.50000000
0.683020079172
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 10/01/2035#BK5705
3140HKKT4
367899.46300000
PA
USD
326281.35000000
0.061264303040
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
10397.92000000
0.001952368168
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
8711.96000000
USD
0.00000000
USD
1300000.00000000
USD
1685.96000000
N
N
N
NJ TR 2023-GSP
N/A
NJ TR 2023-GSP A VAR 12/06/2028
65486XAA1
700000.00000000
PA
USD
722012.76000000
0.135568914766
Long
ABS-MBS
CORP
US
N
2
2029-01-06
Variable
0.06480758
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#BC2778
3140EXCQ4
18517.96100000
PA
USD
17366.10000000
0.003260750309
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
WILLIS ENGINE STRUCTURED TR VII
N/A
WILLIS ENGINE STRUCTURED TR VII 23-A A 8% 10/15/2048 144A
97064YAA2
277506.02000000
PA
USD
288514.68000000
0.054173034368
Long
ABS-CBDO
CORP
US
N
2
2048-10-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 08/01/2041#QK0985
3133D4CW1
90848.69100000
PA
USD
79305.56000000
0.014890829220
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#RA6510
3133KNGT4
572798.54000000
PA
USD
456265.20000000
0.085670754640
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
604984.07300000
PA
USD
481146.50000000
0.090342598444
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
21918.48400000
PA
USD
21198.04000000
0.003980255526
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 20YR 2.5% 05/01/2041#FM7587
3140XBND8
159969.95900000
PA
USD
139644.35000000
0.026220357909
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 03/01/2054 #TBA
01F052631
9100000.00000000
PA
USD
9002601.79000000
1.690375880257
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2047#CA1757
3140Q85T8
101491.87600000
PA
USD
92782.68000000
0.017421364182
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
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
238224.87000000
PA
USD
232481.05000000
0.043651865172
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
107255.34000000
PA
USD
92153.53000000
0.017303231668
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/01/2054 #TBA
21H022630
-2200000.00000000
PA
USD
-1861556.18000000
-0.34953558313
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02500000
N
N
N
N
N
N
BX COML MTG TR 2019
N/A
BX COML MTG TR 2019-XCALM AL TSFR1M+99.048 72 11/25/2286 144A
05608FAA9
6072.94000000
PA
USD
6063.45000000
0.001138505275
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
0.06308480
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2050#SD8115
3132DWAQ6
603011.44900000
PA
USD
520932.61000000
0.097813047797
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 12/01/2036#SB8132
3132D6A91
477798.60000000
PA
USD
422105.87000000
0.079256819107
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6% 03/01/2054 #TBA
01F060634
-5725000.00000000
PA
USD
-5750046.88000000
-1.07965905668
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/48#BK3801
3140HHGK5
43509.86800000
PA
USD
39735.42000000
0.007460931531
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
2798651.34000000
PA
USD
2228403.46000000
0.418416758636
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785575
3622ABCL4
585349.01000000
PA
USD
489185.65000000
0.091852071547
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#QK1203
3133D4KQ5
144953.04000000
PA
USD
126218.38000000
0.023699427140
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2035#BP5615
3140KDGZ7
1494006.77300000
PA
USD
1328734.37000000
0.249490156591
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#CB1069
3140QLFK7
465678.89600000
PA
USD
391894.12000000
0.073584101964
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
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 2.5% 11/25/2047
3137H5F77
195421.55000000
PA
USD
170439.50000000
0.032002617305
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2045#MA3035
36179RLQ0
436418.93500000
PA
USD
414245.71000000
0.077780954108
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
271447.43000000
PA
USD
254267.82000000
0.047742663740
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
1857000.00000000
PA
USD
1866865.31000000
0.350532453320
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Variable
0.07806600
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
1020000.00000000
NC
USD
8158.37000000
0.001531858477
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
11010.42000000
USD
0.00000000
USD
1020000.00000000
USD
-2852.05000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 3.8225 02/24/2025
N/A
9400000.00000000
NC
USD
376624.91000000
0.070717074754
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 02/26/35 SOFRV3.8225%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-02-26
0.00000000
USD
0.00000000
USD
9400000.00000000
USD
1.00000000
3.82250000
USD
2025-02-24
XXXX
32467.41000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2052#CB3331
3140QNVZ2
5231113.09900000
PA
USD
4700077.18000000
0.882511221283
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
59210.33400000
PA
USD
51398.79000000
0.009650907250
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% 03/01/2040#MA3965
31418DMP4
20978.82400000
PA
USD
18457.51000000
0.003465679193
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
0.02500000
N
N
N
N
N
N
OPEN TR 2023-AIR
N/A
OPEN TR 2023-AIR TSFR1M+308.92 10/15/2028 144A
68373BAA9
300454.74000000
PA
USD
301581.45000000
0.056626519855
Long
ABS-MBS
CORP
US
N
2
2028-10-15
Variable
0.08406728
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-68 A 2% 07/25/2049
3136BJET8
492141.47500000
PA
USD
383883.93000000
0.072080066543
Long
ABS-CBDO
USGSE
US
N
2
2049-07-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2037#BM1951
3140J6EZ6
67506.88100000
PA
USD
60849.26000000
0.011425377222
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
41451.56000000
PA
USD
39116.88000000
0.007344791206
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% 11/01/2051#QD0399
3133AWNQ3
100782.36800000
PA
USD
80278.64000000
0.015073539841
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
599097.19000000
PA
USD
588071.70000000
0.110419436595
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
280785.72100000
PA
USD
230929.72000000
0.043360579289
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 2.5% 03/01/2051#RA4749
3133KLH26
700776.35500000
PA
USD
580639.53000000
0.109023933250
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02500000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 2.525% 11/15/2054
95003QAE9
100000.00000000
PA
USD
89518.50000000
0.016808464571
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Fixed
0.02525000
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
120009.42300000
PA
USD
119720.92000000
0.022479429863
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
29591.79400000
PA
USD
28009.15000000
0.005259145377
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 TSFR1M+119.448 07/15/2038 144A
30227FAA8
609611.63100000
PA
USD
608850.65000000
0.114321001577
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.06512480
N
N
N
N
N
N
BBCMS MTG TR 2021-C9
N/A
BBCMS MTG TR 2021-C9 ASB 1.96% 02/15/2054
05493EAW2
300000.00000000
PA
USD
268855.41000000
0.050481706393
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Fixed
0.01960000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 02/01/2042#SC0248
3132D9HZ0
336073.26100000
PA
USD
294317.37000000
0.055262577974
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/01/2051#SD8183
3132DWCU5
280051.94100000
PA
USD
230466.25000000
0.043273555723
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
1373103.89800000
PA
USD
1187491.28000000
0.222969610847
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#FM8410
3140XCKY3
56135.85000000
PA
USD
47206.29000000
0.008863701391
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
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 2.5% 11/25/2047
3137H5KC0
722318.23800000
PA
USD
640363.51000000
0.120238021979
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST 4.89% 04/13/2028
92348KBL6
700000.00000000
PA
USD
696275.79000000
0.130736405861
Long
ABS-CBDO
CORP
US
N
2
2028-04-13
Fixed
0.04890000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2050#SD8108
3132DWAH6
72288.34800000
PA
USD
62448.83000000
0.011725720902
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#CB1331
3140QLPR1
1526971.92000000
PA
USD
1261379.74000000
0.236843296868
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 04/01/2041#
31418DYH9
152730.08000000
PA
USD
128435.21000000
0.024115670805
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5.5% 08/01/2053#RA9619
3133KRVL5
1351447.23000000
PA
USD
1351252.49000000
0.253718277284
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2040
3136BA7B4
23641.97000000
PA
USD
21126.54000000
0.003966830309
Long
ABS-CBDO
USGSE
US
N
2
2040-07-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2031#MA2803
31418CDH4
131078.92200000
PA
USD
122590.62000000
0.023018259835
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6334
3133KNBB8
277834.29000000
PA
USD
220007.78000000
0.041309818367
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
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
11277.74000000
0.002117567801
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
9834.68000000
USD
0.00000000
USD
1410000.00000000
USD
1443.06000000
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9276
3133KRJV7
535841.35000000
PA
USD
545373.43000000
0.102402184758
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 12/01/2035#MA4206
31418DU83
2423097.05600000
PA
USD
2148987.59000000
0.403505217030
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 08/01/2035#SB8066
3132D56B3
418299.09800000
PA
USD
364175.17000000
0.068379446066
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2042#AB7124
31417D4J9
10317.00900000
PA
USD
9499.00000000
0.001783582220
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047
3137H62Q7
158415.17300000
PA
USD
138475.65000000
0.026000916648
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+123.468 02 11/15/2036 144A
26863LAE4
661230.34000000
PA
USD
653998.13000000
0.122798129971
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06552680
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#SD7521
3132DVLA1
248478.66700000
PA
USD
208676.39000000
0.039182176959
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
1210767.23800000
PA
USD
1006605.97000000
0.189005633293
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
395500.00000000
0.074261160966
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Variable
0.07111550
N
N
N
N
N
N
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1
N/A
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1 5.89% 03/22/2027 144A
78398AAB9
144965.50000000
PA
USD
145189.20000000
0.027261488120
Long
ABS-CBDO
CORP
US
N
2
2027-03-22
Fixed
0.05890000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2049#FM2077
3140X5JX2
2362973.58700000
PA
USD
2064228.98000000
0.387590494449
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
92307.91600000
PA
USD
85883.16000000
0.016125874005
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
806278.08300000
PA
USD
720649.42000000
0.135312926874
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5.5% 02/01/2054#RJ0928
3142GRA67
500002.00000000
PA
USD
495086.18000000
0.092959986106
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/01/2054 #TBA
21H022630
14550000.00000000
PA
USD
12311655.65000000
2.311701243957
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 01/25/2049
3137H5ZA8
144765.73200000
PA
USD
130403.91000000
0.024485324275
Long
ABS-CBDO
USGSE
US
N
2
2049-01-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 06/01/2051#QC3131
3133AMPQ3
48855.78200000
PA
USD
36945.95000000
0.006937165967
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY562346 11/18/64 S
N/A
1070000.00000000
NC
USD
-16047.22000000
-0.00301311046
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S15 PRC INDX
CY562346
Y
2064-11-18
0.00000000
USD
28754.75000000
USD
1070000.00000000
USD
12707.53000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 01/01/2052#FS0286
3140XFJ85
2696931.60900000
PA
USD
2147409.95000000
0.403208991042
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
120649.13700000
PA
USD
112747.26000000
0.021170018769
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
920434.33000000
PA
USD
733751.29000000
0.137773002922
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 MTG TR CSTR 12/15/2062
08162YAK8
9623677.99600000
PA
USD
243788.94000000
0.045775094096
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.00770064
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2048#ZN1277
3131Y7M20
44072.06700000
PA
USD
41269.02000000
0.007748888336
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
276903.02200000
PA
USD
241116.10000000
0.045273227594
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
ENTERPRISE FLEET FING 2023-3 LLC
N/A
ENTERPRISE FLEET FING 2023-3 LLC 6.4% 03/20/2030 144A
29374LAB6
371000.00000000
PA
USD
376629.26000000
0.070717891533
Long
ABS-CBDO
CORP
US
N
2
2030-03-20
Fixed
0.06400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 09/01/2041#SC0185
3132D9F25
197595.51600000
PA
USD
172674.49000000
0.032422270787
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 12/20/2051#785792
3622ABKD3
696611.63700000
PA
USD
582169.63000000
0.109311232877
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2349
3140QMTF1
1895783.08000000
PA
USD
1510094.35000000
0.283543260681
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 20YR 2% 10/01/2041#BQ6615
3140KSK55
195190.44800000
PA
USD
163531.42000000
0.030705519857
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% 10/01/2051#QD0109
3133AWDN1
113252.28400000
PA
USD
90211.61000000
0.016938606551
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
21983.28000000
PA
USD
20667.77000000
0.003880689240
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
1164336.06100000
PA
USD
1013493.53000000
0.190298877799
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048
3136BG6S5
300372.28000000
PA
USD
241652.56000000
0.045373956146
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 02/15/2027
91282CKA8
5940000.00000000
PA
USD
5891273.47000000
1.106176504302
Long
DBT
UST
US
N
2
2027-02-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2040#MA4016
31418DPA4
84090.75300000
PA
USD
73984.40000000
0.013891700220
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/01/2051#SD7532
3132DVLM5
2013881.46500000
PA
USD
1614864.89000000
0.303215528533
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
87001.26700000
PA
USD
77822.49000000
0.014612360193
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
1506726.52400000
PA
USD
1432058.43000000
0.268890825747
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 20YR 2% 12/01/2041#FM9851
3140XD5M4
169860.36700000
PA
USD
142256.68000000
0.026710862735
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/01/2054 #TBA
21H030633
19175000.00000000
PA
USD
16815508.58000000
3.157368367606
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 11/01/2041#QK1180
3133D4JZ7
357365.14000000
PA
USD
299402.09000000
0.056217311755
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
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 5% 04/25/2048
3137H8BP5
353358.64400000
PA
USD
349179.44000000
0.065563768899
Long
ABS-CBDO
USGSE
US
N
2
2048-04-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#BM5108
3140J9VA6
186893.40300000
PA
USD
176717.43000000
0.033181394474
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
CARMAX AUTO OWNER TR 2023-4
N/A
CARMAX AUTO OWNER TR 2023-4 6% 07/17/2028
14318XAC9
234000.00000000
PA
USD
238219.56000000
0.044729358003
Long
ABS-CBDO
CORP
US
N
2
2028-07-17
Fixed
0.06000000
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
864664.73000000
PA
USD
840509.37000000
0.157818461742
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Fixed
0.04145000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#CB1384
3140QLRE8
1839387.44900000
PA
USD
1529227.36000000
0.287135775309
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
98062.50000000
0.018412730966
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
0.06868000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#
31418D5G3
20341.74600000
PA
USD
17042.40000000
0.003199970694
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
548430.14400000
PA
USD
437882.75000000
0.082219169107
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
2186.98600000
PA
USD
2075.87000000
0.000389776273
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
52020.27000000
PA
USD
50664.67000000
0.009513065016
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
1172326.67600000
PA
USD
1020082.59000000
0.191536074373
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 05/01/2041#SC0237
3132D9HN7
744152.10000000
PA
USD
653089.17000000
0.122627458858
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
BANK 2021-BNK33
N/A
BANK 2021-BNK33 VAR 05/15/2064
06541CBR6
3008101.67000000
PA
USD
152338.39000000
0.028603857651
Long
ABS-MBS
CORP
US
N
2
2064-05-15
Variable
0.01052569
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2051#SD8163
3132DWB85
1361833.43100000
PA
USD
1218905.74000000
0.228868155147
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.03500000
N
N
N
N
N
N
GM FINANCIAL LEASING TRUST 2023-3
N/A
GM FINANCIAL LEASING TRUST 2023-3 5.38% 11/20/2026
379929AD4
106000.00000000
PA
USD
106209.42000000
0.019942439531
Long
ABS-CBDO
CORP
US
N
2
2026-11-20
Fixed
0.05380000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050
3136BKWX6
430921.78400000
PA
USD
369932.26000000
0.069460427576
Long
ABS-CBDO
USGSE
US
N
2
2050-02-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#BJ6650
3140H8L86
15768.08900000
PA
USD
14894.77000000
0.002796720385
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1.5% 03/25/2045
3136BCMH0
607231.75300000
PA
USD
517699.20000000
0.097205925722
Long
ABS-CBDO
USGSE
US
N
2
2045-03-25
Fixed
0.01500000
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
14197.18000000
PA
USD
14148.48000000
0.002656593048
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% 01/01/2051#FM5651
3140X9H57
257537.82300000
PA
USD
213709.03000000
0.040127131926
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2017-HR2
N/A
MORGAN STANLEY CAP I TR 2017-HR2 3.33% 12/15/2050
61691NAD7
297275.43300000
PA
USD
277992.07000000
0.052197253748
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
0.03330000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 20-49 JA 2% 08/25/2044
3136BAF41
239013.01000000
PA
USD
214788.56000000
0.040329830158
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 08/01/2036#RC2195
3133L8NL5
2205799.08500000
PA
USD
1958339.09000000
0.367708051552
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 03/01/2054 #TBA
01F050635
800000.00000000
PA
USD
775875.04000000
0.145682379861
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#MA4466
31418D6C1
2422085.44900000
PA
USD
1993990.57000000
0.374402161021
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 3.7675 09/20/2028
N/A
-2300000.00000000
NC
USD
-89400.91000000
-0.01678638525
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 09/22/33 SOFRV3.7675%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-09-22
0.00000000
USD
0.00000000
USD
-2300000.00000000
USD
1.00000000
3.76750000
USD
2028-09-20
XXXX
6739.09000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 01/15/2027
91282CJT9
3710000.00000000
PA
USD
3666523.44000000
0.688445732905
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.04000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.125% 08/15/2053
912810TT5
3890000.00000000
PA
USD
3724067.19000000
0.699250450178
Long
DBT
UST
US
N
2
2053-08-15
Fixed
0.04125000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US ULTRA BOND CBT FUT JUN24 WNM4
N/A
7.00000000
NC
USD
12999.42000000
0.002440839497
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UNITED STATES TREASURY BOND
UNITED STATES TREASURY BOND 0% 06/30/2040
2024-06-18
882125.58000000
USD
12999.42000000
N
N
N
STORE MASTER FUNDING
N/A
STORE MASTER FUNDING 2.12% 06/20/2051 144A
86190BAA2
789333.32000000
PA
USD
664103.14000000
0.124695499817
Long
ABS-CBDO
CORP
US
N
2
2051-06-20
Fixed
0.02120000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/01/2054 #TBA
21H032639
9750000.00000000
PA
USD
8818244.18000000
1.655759925386
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#FM9777
3140XD2K1
274121.94000000
PA
USD
237066.85000000
0.044512919108
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 5% 12/01/2052#SD1924
3132DPD54
1098925.31100000
PA
USD
1079044.65000000
0.202607100994
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 15YR 1.5% 11/01/2035#CA7953
3140QFZT9
389385.57100000
PA
USD
337664.26000000
0.063401618114
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2048#BM4426
3140J84L4
1594655.13100000
PA
USD
1449841.63000000
0.272229892948
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1.5% 10/25/2051
3136BJHA6
282808.85200000
PA
USD
229587.62000000
0.043108579531
Long
ABS-CBDO
USGSE
US
N
2
2051-10-25
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2048
3136BLFC9
753461.73300000
PA
USD
650969.31000000
0.122229422791
Long
ABS-CBDO
USGSE
US
N
2
2048-02-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2043#MA0783
36179M2Q2
2918.19300000
PA
USD
2704.58000000
0.000507826171
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 TSFR1M+81.448 01/15/2034 144A
05608VAA4
85055.07000000
PA
USD
84417.16000000
0.015850610131
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Variable
0.06132480
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 S
N/A
2060000.00000000
NC
USD
-16476.70000000
-0.00309375188
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
0.00000000
USD
48258.83000000
USD
2060000.00000000
USD
31782.13000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2034#FM8940
3140XC5A2
185682.30300000
PA
USD
176851.25000000
0.033206521222
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#FM9396
3140XDNN2
953654.13800000
PA
USD
798975.63000000
0.150019868185
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.0% MAC 03/20/54
N/A
441000.00000000
NC
USD
-3004.89000000
-0.00056421395
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2054-03-20
0.00000000
USD
0.00000000
USD
472857.82000000
USD
-3004.89000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 11/25/2040
3137F6YL5
271448.94500000
PA
USD
243037.17000000
0.045633937805
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.03000000
N
N
N
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST 2021-1 A 0.5% 05/20/2027
92348KAA1
800000.00000000
PA
USD
791260.56000000
0.148571246049
Long
ABS-CBDO
CORP
US
N
2
2027-05-20
Fixed
0.00500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051
3137H2UC6
281513.94000000
PA
USD
230248.90000000
0.043232744943
Long
ABS-CBDO
USGSE
US
N
2
2051-10-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6.5% 03/01/2054 #TBA
01F062630
28000000.00000000
PA
USD
28490000.00000000
5.349432303230
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.5% 11/25/2051
3137H3V82
358327.55000000
PA
USD
293594.17000000
0.055126786136
Long
ABS-CBDO
USGSE
US
N
2
2051-11-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#BT9503
3140LYRZ8
87240.78300000
PA
USD
74929.81000000
0.014069215376
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
74599.90000000
PA
USD
70944.80000000
0.013320968931
Long
ABS-MBS
CORP
US
N
2
2046-07-10
Variable
0.03836868
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K069 A2 3.187% 09/25/2027
3137FBU79
300000.00000000
PA
USD
285327.78000000
0.053574645255
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
0.03187000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 05/01/2036#QN6401
3133GDDE7
730367.93100000
PA
USD
648430.80000000
0.121752778797
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 11/01/2053#CB7520
3140QTLA5
980861.83100000
PA
USD
1010451.49000000
0.189727688362
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 04/01/2054 #TBA
21H062644
1400000.00000000
PA
USD
1418156.32000000
0.266280492426
Long
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0710
3133KTYF1
59201.73300000
PA
USD
51587.12000000
0.009686269082
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 03/01/2033#G18680
3128MMXJ7
23277.68100000
PA
USD
21665.23000000
0.004067977578
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.02500000
N
N
N
N
N
N
GS MTG SECS TR 2018-GS9
N/A
GS MTG SECS TR 2018-GS9 3.992% 03/10/2051
36255NAT2
300000.00000000
PA
USD
278612.49000000
0.052313747072
Long
ABS-MBS
CORP
US
N
2
2051-03-10
Fixed
0.03992000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 02/01/2051#SD7535
3132DVLQ6
1900860.99800000
PA
USD
1595185.63000000
0.299520447131
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
1110252.14600000
PA
USD
1066122.73000000
0.200180813305
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
124569.44500000
PA
USD
101404.17000000
0.019040180508
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 08/01/2053#CB6911
3140QSVD0
520189.15500000
PA
USD
521739.79000000
0.097964608160
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 10/01/2050#SD7525
3132DVLE3
1347225.46600000
PA
USD
1131421.64000000
0.212441680224
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
466893.97000000
PA
USD
458301.49000000
0.086053099165
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
DLLAA 2023-1A
N/A
DLLAA 2023-1A 5.64% 02/22/2028 144A
23292HAC5
102000.00000000
PA
USD
103057.91000000
0.019350695431
Long
ABS-CBDO
CORP
US
N
2
2028-02-22
Fixed
0.05640000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 11/01/2035#SB8073
3132D56J6
487370.65600000
PA
USD
422634.19000000
0.079356019250
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
80000.00000000
NC
USD
12753.50000000
0.002394664263
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
18784.92000000
USD
0.00000000
USD
80000.00000000
USD
-6031.42000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 03/01/2052#SD8199
3132DWDC4
160542.48100000
PA
USD
126325.56000000
0.023719551821
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 15YR 3% 12/34#FM0045
3140X3BP2
27914.15800000
PA
USD
26158.76000000
0.004911706414
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2044#MA1600
36179NX52
4837.33800000
PA
USD
4473.24000000
0.000839919078
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K727 A2 2.946% 07/25/2024
3137FARE0
655126.68800000
PA
USD
648658.75000000
0.121795579888
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Fixed
0.02946000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#RA6988
3133KNXR9
491712.29000000
PA
USD
421863.38000000
0.079211287908
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
571730.66000000
PA
USD
560136.82000000
0.105174236543
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
2276.58500000
PA
USD
2115.36000000
0.000397191123
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 TSFR1M+86.448 09/15/2026 144A
055522AA4
531000.00000000
PA
USD
512556.51000000
0.096240307189
Long
ABS-MBS
CORP
US
N
2
2026-09-15
Variable
0.06182480
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/46#MA3664
36179SB97
22372.09000000
PA
USD
21214.45000000
0.003983336754
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.375% 08/15/2043
912810TU2
1450000.00000000
PA
USD
1419640.63000000
0.266559194282
Long
DBT
UST
US
N
2
2043-08-15
Fixed
0.04375000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST 2023-C
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028
98164FAD4
130000.00000000
PA
USD
130082.95000000
0.024425059137
Long
ABS-CBDO
CORP
US
N
2
2028-11-15
Fixed
0.05150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2347
3140QMTD6
484076.81800000
PA
USD
386501.16000000
0.072571491419
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% 09/01/2052#BW9350
3140N2L82
37905.84000000
PA
USD
37575.45000000
0.007055364199
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% 11/20/2042#MA0535
36179MSY7
72270.47900000
PA
USD
68740.98000000
0.012907168092
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.04000000
N
N
N
N
N
N
BANK 2017-BNK9
N/A
BANK 2017-BNK9 A4 3.538% 11/15/2054
06540RAE4
1159000.00000000
PA
USD
1088660.52000000
0.204412627340
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Fixed
0.03538000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 07/01/2041#
3133KYVK2
19704.70900000
PA
USD
16570.27000000
0.003111321081
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
309318.03000000
PA
USD
246388.64000000
0.046263227446
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)JUN24 TYM4
N/A
-109.00000000
NC
USD
-40893.30000000
-0.00767834117
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2024-06-18
-11996794.20000000
USD
-40893.30000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 02/01/2041#RB5099
3133KYUY3
131960.54600000
PA
USD
107420.81000000
0.020169896491
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
BANK 2018-BNK14
N/A
BANK 2018-BNK14 4.185% 09/15/2060
06035RAQ9
287005.64000000
PA
USD
279957.96000000
0.052566379598
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
0.04185000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4.5% 12/01/2042#RB5198
3133KYX38
67028.90100000
PA
USD
64657.94000000
0.012140515019
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2043 #MA1090
36179NF78
35353.18200000
PA
USD
32748.47000000
0.006149025036
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 20YR 4.5% 05/01/2039#FM1194
3140X4KG0
458471.22300000
PA
USD
447984.98000000
0.084116016966
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2049#BN2228
3140JJPN3
85059.46000000
PA
USD
81678.58000000
0.015336399941
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047
3137H5BG1
313807.82600000
PA
USD
273864.45000000
0.051422230099
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST 23-2
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 23-2 5.44% 10/20/2025
362548AB5
95127.06000000
PA
USD
95046.87000000
0.017846500410
Long
ABS-CBDO
CORP
US
N
2
2025-10-20
Fixed
0.05440000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2045#G61419
31335BSG2
14459.04100000
PA
USD
13321.73000000
0.002501358118
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/46#BC2843
3140EXER0
48595.62400000
PA
USD
45808.60000000
0.008601263762
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
86354.51000000
PA
USD
79536.05000000
0.014934107235
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Fixed
0.03216000
N
N
N
N
N
N
BANK 2018-BNK10
N/A
BANK 2017-BNK4 3.428% 02/15/2061
065404BA2
233271.21700000
PA
USD
220463.16000000
0.041395322912
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
0.03428000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 01/01/2051#SD8120
3132DWAV5
1125189.67500000
PA
USD
845622.01000000
0.158778437929
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 01/46#MA3377
36179RXE4
9856.43700000
PA
USD
9346.42000000
0.001754932996
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.406% 08/25/2030
3137FX3Q9
900000.00000000
PA
USD
735379.29000000
0.138078684768
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Fixed
0.01406000
N
N
N
N
N
N
CAPTIAL ONE MULTI-ASSET EXECUT
R42WS16M9R97TJJKGU15
CAPITAL ONE MULTI-ASST EXEC TR 2.06% 08/15/2028
14041NFV8
1330000.00000000
PA
USD
1241025.53000000
0.233021483303
Long
ABS-CBDO
CORP
US
N
2
2028-08-15
Fixed
0.02060000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 12/20/2050#MA7051
36179VZQ6
748322.70800000
PA
USD
609614.81000000
0.114464484280
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
47472.71000000
PA
USD
43230.29000000
0.008117146711
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
23111.85500000
PA
USD
22033.77000000
0.004137176588
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 20YR 2.5% 06/01/2040#MA4054
31418DQG0
503808.40000000
PA
USD
441054.58000000
0.082814728597
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 04/01/2042#SC0270
3132D9JP0
98675.70600000
PA
USD
85706.37000000
0.016092678984
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#CB1837
3140QMBF0
207901.55600000
PA
USD
174440.72000000
0.032753907426
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
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 2% 10/25/2047
3136BLES5
2131461.61400000
PA
USD
1815364.79000000
0.340862444709
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 10/01/2041#RB5131
3133KYVY2
20590.33200000
PA
USD
17250.67000000
0.003239076565
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 6.5% 09/01/2053#QH0300
3133CCKM7
192635.50000000
PA
USD
198567.13000000
0.037284009111
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049
3136BLYE4
316560.11400000
PA
USD
273068.05000000
0.051272693845
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
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
213262.41000000
PA
USD
211425.37000000
0.039698339908
Long
ABS-CBDO
CORP
US
N
2
2032-03-20
Fixed
0.03120000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 04/01/2051#SD8139
3132DWBG7
7496121.84400000
PA
USD
5619559.94000000
1.055158142259
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#MA3312
31418CVE1
18942.54000000
PA
USD
17875.64000000
0.003356424221
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 3% 04/01/2054 #TBA
21H030641
9150000.00000000
PA
USD
8029807.59000000
1.507718922803
Long
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 03/01/2054 #TBA
21H020634
37850000.00000000
PA
USD
30802557.10000000
5.783650192096
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/20/2045#MA3311
36179RVC0
12807.57800000
PA
USD
12156.86000000
0.002282635998
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
975819.89200000
PA
USD
814325.21000000
0.152901986090
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 20YR 2.5% 04/01/2042#BV7699
3140MMRV2
97934.05900000
PA
USD
84970.39000000
0.015954487507
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 06/01/2041#RB5114
3133KYVF3
332309.71100000
PA
USD
279449.01000000
0.052470816468
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2050#FM3830
3140X7HG7
48740.16200000
PA
USD
42380.06000000
0.007957503052
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
224615.96000000
PA
USD
196172.75000000
0.036834427724
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2047#MA4383
36179S2Q9
615418.03500000
PA
USD
582419.50000000
0.109358149783
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
1068894.46000000
PA
USD
886317.77000000
0.166419687952
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
10187.96300000
PA
USD
7710.76000000
0.001447812868
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
464133.53300000
PA
USD
370287.77000000
0.069527180004
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#SD2219
3132DPPC6
514263.39400000
PA
USD
443782.36000000
0.083326910922
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 6.5% 10/01/2053#RJ0001
3142GQAB8
411602.13000000
PA
USD
425433.81000000
0.079881690631
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/48#BJ6757
3140H8QK4
108774.41900000
PA
USD
99372.31000000
0.018658667783
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 TSFR1M+56.448 02/20/2049
38381RQS1
90763.40800000
PA
USD
88681.61000000
0.016651325701
Long
ABS-CBDO
USGA
US
N
2
2049-02-20
Variable
0.05884270
N
N
N
N
N
N
BENCHMARK 2023-V3 MTG TR
N/A
BENCHMARK 2023-V3 MTG TR 6.3629% 07/15/2056
08163VAC1
400000.00000000
PA
USD
417535.00000000
0.078398568505
Long
ABS-MBS
CORP
US
N
2
2056-07-15
Fixed
0.06362900
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
20000.00000000
NC
USD
159.97000000
0.000030036808
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
59.71000000
USD
0.00000000
USD
20000.00000000
USD
100.26000000
N
N
N
MARLETTE FDG TR 2023-3
N/A
MARLETTE FDG TR 2023-3 6.49% 09/15/2033 144A
57109RAA8
156859.50000000
PA
USD
157086.98000000
0.029495477895
Long
ABS-CBDO
CORP
US
N
2
2033-09-15
Fixed
0.06490000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2047#FM2438
3140X5V83
7446.91800000
PA
USD
6777.63000000
0.001272603470
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049
3137H5FF9
194239.31000000
PA
USD
165403.71000000
0.031057070879
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2043#MA1285
36179NNA2
3033.84100000
PA
USD
2807.55000000
0.000527160360
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
0.03500000
N
N
N
N
N
N
JPMDB COML MTG SECS TR 2017-C5
N/A
JPMDB 2017-C5 ASB 3.4919% 03/50
46590TAF2
247550.68000000
PA
USD
239491.12000000
0.044968112799
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
0.03491900
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.673% 03/25/2026
3137BPW21
2300000.00000000
PA
USD
2201957.90000000
0.413451201144
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Fixed
0.02673000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#FM9632
3140XDV29
848142.18800000
PA
USD
734287.67000000
0.137873716453
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
127682.83800000
PA
USD
119037.71000000
0.022351146759
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 09/25/2029
3137H9D71
4910000.00000000
PA
USD
4518965.64000000
0.848504765595
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#RA6076
3133KMXD2
2106996.27100000
PA
USD
1675703.41000000
0.314638889157
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
503814.26500000
PA
USD
436969.50000000
0.082047692482
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
314223.19000000
PA
USD
304087.58000000
0.057097084010
Long
ABS-MBS
CORP
US
N
2
2051-01-15
Fixed
0.03602000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 04/01/2054 #TBA
01F020646
21250000.00000000
PA
USD
16725161.00000000
3.140404230611
Long
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 01/01/2054#RJ0706
3142GQYC0
1491241.61000000
PA
USD
1541354.04000000
0.289412744552
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
0.06500000
N
N
N
N
N
N
BANK 2018-BNK10
N/A
BANK 2018-BNK10 3.688% 02/15/2061
065404BB0
1900000.00000000
PA
USD
1791766.50000000
0.336431505614
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
0.03688000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHMS K047 A2 3.329% 05/25/2025
3137BKRJ1
1873908.00000000
PA
USD
1833497.74000000
0.344267182809
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Fixed
0.03329000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2043#MA1224
36179NLD8
2863.99000000
PA
USD
2651.48000000
0.000497855835
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
189104.73300000
PA
USD
179141.41000000
0.033636533713
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
135589.86100000
PA
USD
109739.63000000
0.020605290335
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
383186.15100000
PA
USD
332944.74000000
0.062515456207
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
97374.93200000
PA
USD
92549.30000000
0.017377543526
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
710470.70000000
0.133401716850
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
2056649.80800000
PA
USD
1836205.54000000
0.344775613585
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2017-H1
N/A
MORGAN STANLEY CAPITAL I TRUST 2017-H1 A4 3.259% 06/15/2050
61691JAU8
700000.00000000
PA
USD
658744.59000000
0.123689350274
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
0.03259000
N
N
N
N
N
N
DBJPM 2017-C6 MTG TR
N/A
DBJPM 2017-C6 ASB 3.121% 06/50
23312JAD5
459262.62000000
PA
USD
444668.72000000
0.083493338539
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Fixed
0.03121000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
160000.00000000
NC
USD
25507.01000000
0.004789330405
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
42345.87000000
USD
0.00000000
USD
160000.00000000
USD
-16838.86000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2046#G08711
3128MJYH7
6071.22900000
PA
USD
5523.25000000
0.001037074481
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
2342095.04100000
PA
USD
1973196.10000000
0.370497681921
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.02000000
N
N
N
N
N
N
BENCHMARK 2023-V4 MTG TR
N/A
BENCHMARK 2023-V4 MTG TR 6.84094% 11/15/2056
081926AC1
267000.00000000
PA
USD
283694.50000000
0.053267972009
Long
ABS-MBS
CORP
US
N
2
2056-11-15
Fixed
0.06840940
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 01/20/2052#785831
3622ABLL4
657368.36300000
PA
USD
549578.82000000
0.103191810911
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
0.02500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY885802 12/15/56 B
N/A
100000.00000000
NC
USD
13690.52000000
0.002570604069
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S17 PRC INDX
CY885802
Y
2056-12-15
14234.38000000
USD
0.00000000
USD
100000.00000000
USD
-543.86000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2051#RA5901
3133KMRW7
230763.90000000
PA
USD
198560.24000000
0.037282715408
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 01/01/2054#CB7801
3140QTU31
3403627.52600000
PA
USD
3506304.76000000
0.658362230541
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2289
3140QMRK2
1381714.32500000
PA
USD
1145705.22000000
0.215123640359
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
67415.49500000
PA
USD
64312.95000000
0.012075737881
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
804449.84400000
PA
USD
667294.04000000
0.125294639990
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 30YR 4% 12/01/2053#BY1448
3140NHTE8
2692660.36700000
PA
USD
2478068.26000000
0.465295135122
Long
ABS-MBS
USGSE
US
N
2
2053-12-01
Fixed
0.04000000
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST 2023-A
N/A
TOYOTA LEASE OWNER TRUST 2023-A 4.93% 04/20/2026 144A
89239MAC1
242000.00000000
PA
USD
240973.19000000
0.045246394061
Long
ABS-CBDO
CORP
US
N
2
2026-04-20
Fixed
0.04930000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 08/01/2050#SD7524
3132DVLD5
2088537.83000000
PA
USD
1823184.09000000
0.342330637619
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.03000000
N
N
N
N
N
N
CFMT 2023-HB12 LLC
N/A
CFMT 2023-HB12 LLC 4.25% 04/25/2033 144A
12530QAA4
140470.79000000
PA
USD
137234.82000000
0.025767931879
Long
ABS-CBDO
CORP
US
N
2
2033-04-25
Fixed
0.04250000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
80000.00000000
NC
USD
12753.50000000
0.002394664263
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
21183.99000000
USD
0.00000000
USD
80000.00000000
USD
-8430.49000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 09/01/2034#SB0072
3132CWCH5
335915.39500000
PA
USD
315106.11000000
0.059165981178
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2054 #TBA
01F022634
1175000.00000000
PA
USD
965335.94000000
0.181256555314
Long
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 03/01/2054 #TBA
01F050635
-3750000.00000000
PA
USD
-3636914.25000000
-0.68288615559
Short
ABS-MBS
USGA
US
N
2
2054-03-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3434
3133B0Y72
116452.51000000
PA
USD
92578.80000000
0.017383082601
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
BX COML MTG TR 2023-XL3
N/A
BX COML MTG TR 2023-XL3 A TSFR1M+189.123 12/09/2040 144A
12434GAA3
361000.00000000
PA
USD
363481.88000000
0.068249270288
Long
ABS-MBS
CORP
US
N
2
2040-12-09
Variable
0.07079060
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2052#SD1772
3132DN6H1
751253.23600000
PA
USD
700361.84000000
0.131503624108
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
1878129.66200000
PA
USD
1633639.63000000
0.306740772501
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
170000.00000000
NC
USD
27101.20000000
0.005088663907
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
51570.88000000
USD
0.00000000
USD
170000.00000000
USD
-24469.68000000
N
N
N
GS MTG SECS TR 2018-GS10
N/A
GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051
36250SAE9
200000.00000000
PA
USD
185753.18000000
0.034877994437
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Fixed
0.04155000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2036#CB1180
3140QLJ23
1136842.66200000
PA
USD
1009304.72000000
0.189512364793
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2051#MA4239
31418DV90
557727.97400000
PA
USD
481115.73000000
0.090336820907
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2035#FS0112
3140XFDS7
374409.64900000
PA
USD
355232.65000000
0.066700351459
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.03000000
N
N
N
N
N
N
2024-03-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer