0001752724-24-242860.txt : 20241029
0001752724-24-242860.hdr.sgml : 20241029
20241029115129
ACCESSION NUMBER: 0001752724-24-242860
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240831
FILED AS OF DATE: 20241029
DATE AS OF CHANGE: 20241029
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: 241403863
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY DIVERSIFIED TRUST
DATE OF NAME CHANGE: 19930706
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH FUND
DATE OF NAME CHANGE: 19920130
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH INVESTMENT SERIES
DATE OF NAME CHANGE: 19911204
0000795422
S000005133
Fidelity Advisor Mortgage Securities Fund
C000014042
Class A
FMGAX
C000014044
Class C
FOMCX
C000014045
Class M
FMSAX
C000014046
Class I
FMSCX
C000014129
Fidelity Mortgage Securities Fund
FMSFX
C000204997
Class Z
FIKUX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000795422
XXXXXXXX
S000005133
C000014045
C000014046
C000014129
C000014042
C000204997
C000014044
Fidelity Advisor Series II
811-04707
0000795422
EIVUM2R16VT371T5KS40
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Advisor Mortgage Securities Fund
S000005133
WIIX6BNCF8B12FQGCD90
2024-08-31
2024-08-31
N
1163192556.70
556192444.67
607000112.03
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
370078128.46000000
0.00000000
0.00000000
171098.20000000
USD
N
Bloomberg US MBS Index
19808147
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2032#AS8602
3138WJRY6
181136.81600000
PA
USD
172898.13000000
0.028484035929
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
278354.39700000
PA
USD
252732.04000000
0.041636242727
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
116822.25920000
PA
USD
96888.81000000
0.015961909739
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2046#AS9175
36193VFQ0
24143.91700000
PA
USD
22787.70000000
0.003754150872
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745127
3620C0YY8
18906.35960000
PA
USD
18835.10000000
0.003102981305
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
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
605577.24000000
0.099765589494
Long
ABS-CBDO
CORP
US
N
2
2028-02-18
Fixed
0.05410000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2032#J36710
31307TN31
6443.36570000
PA
USD
6247.57000000
0.001029253516
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
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
458989.96000000
PA
USD
458416.22000000
0.075521603853
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.06778920
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
455259.00000000
PA
USD
415964.00000000
0.068527829197
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04247500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9019
3138EEAV1
48814.10290000
PA
USD
47743.11000000
0.007865420294
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/35#CA6242
3140QD5C4
9397832.44300000
PA
USD
8556811.02000000
1.409688540482
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 11/01/2031#ZS8629
3132A9SS7
153492.44300000
PA
USD
146602.27000000
0.024151934586
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/27 #437435
36207N4U5
89.45730000
PA
USD
91.33000000
0.000015046125
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479607
36209RYC1
40194.64320000
PA
USD
39229.09000000
0.006462781344
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.182% 6/37 #848188
31300LCZ6
53680.63840000
PA
USD
54981.67000000
0.009057934077
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Variable
0.07635000
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
266000.00000000
PA
USD
247380.00000000
0.040754522955
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03112000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/32 #626296
31389HXZ6
6505.33060000
PA
USD
6559.13000000
0.001080581349
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005203
36202FX84
397112.57870000
PA
USD
387373.51000000
0.063817699918
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18136
3132J9PW2
1928.48130000
PA
USD
1881.69000000
0.000309998295
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 03/15/2027
91282CKE0
1300000.00000000
PA
USD
1313203.13000000
0.216343144584
Long
DBT
UST
US
N
2
2027-03-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2049#CA4142
3140QBS82
956202.28560000
PA
USD
861938.62000000
0.141999746444
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2042#Q12164
3132HNMM8
8018.04860000
PA
USD
7843.52000000
0.001292177685
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.75% MAC 09/18/26
N/A
-9763000.00000000
NC
USD
-114540.79000000
-0.01886997839
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2026-09-18
0.00000000
USD
0.00000000
USD
-9661903.35000000
USD
-114540.79000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3037
3140QNLT7
233180.19380000
PA
USD
192955.30000000
0.031788346686
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 09/01/2042#ZS3589
3132A37A2
391065.93300000
PA
USD
371586.43000000
0.061216863495
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
151509.74580000
PA
USD
147737.61000000
0.024338975738
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2% 08/25/2044
3137FU6H2
264462.54300000
PA
USD
245681.37000000
0.040474682809
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/40 #004853
36202FMA1
190781.96650000
PA
USD
186225.46000000
0.030679641784
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.87% 1/35 #735833
31402RPS2
1882.07830000
PA
USD
1926.83000000
0.000317434867
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.06085000
N
N
N
N
N
N
VCAT 2021-NPL5 LLC
N/A
VCAT 2021-NPL5 A1 1.8677% 08/25/2051 144A
91824AAA8
331937.51600000
PA
USD
331684.18000000
0.054643182666
Long
ABS-CBDO
CORP
US
N
2
2051-08-25
Variable
0.04867700
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP 04/17/65 B
N/A
350000.00000000
NC
USD
51664.34000000
0.008511421822
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
85053.83000000
USD
0.00000000
USD
350000.00000000
USD
-33389.49000000
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9277
3133KRJW5
535247.38000000
PA
USD
551016.57000000
0.090777012899
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 3.50% 10/42 #AP7148
3138MA5J3
19893.45070000
PA
USD
18920.67000000
0.003117078502
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2047#ZM3411
3131XWYG2
101488.68470000
PA
USD
97672.59000000
0.016091033274
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
468397.23300000
PA
USD
479562.18000000
0.079005286901
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06000000
N
N
N
N
N
N
GS MTG SECS TR 2015-GC34
54930070360RBP384M53
GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048
36250VAF9
3702770.52360000
PA
USD
31540.57000000
0.005196139073
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
0.01345752
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR9310
36193GKX2
5642.08250000
PA
USD
5328.68000000
0.000877871337
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A
34528QJA3
1100000.00000000
PA
USD
1121268.72000000
0.184722984028
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Fixed
0.05290000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2048#BJ4970
3140H6QY8
109151.85200000
PA
USD
104842.95000000
0.017272311474
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
70000.00000000
NC
USD
10332.87000000
0.001702284694
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
15531.49000000
USD
0.00000000
USD
70000.00000000
USD
-5198.62000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+648.552 02/15/2036
31396HLM9
11952.64090000
PA
USD
1174.72000000
0.000193528794
Long
ABS-CBDO
USGSE
US
N
2
2036-02-15
Variable
0.01131990
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 09/01/2054 #TBA
21H060697
17400000.00000000
PA
USD
17652333.06000000
2.908126820762
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.06000000
N
N
N
N
N
N
BANK 2017-BNKS
N/A
BANK 2017-BNKS 3.131% 06/15/2060
06541WAW2
2000000.00000000
PA
USD
1916196.20000000
0.315683005986
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Fixed
0.03131000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #757631
36230SPQ1
6807.98120000
PA
USD
6637.32000000
0.001093462730
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047
3137H5J57
161413.70580000
PA
USD
146926.26000000
0.024205310194
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
343492.41270000
PA
USD
335674.70000000
0.055300599348
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745236
3620C04V7
64225.78910000
PA
USD
64004.52000000
0.010544400030
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 02/15/2043#796369
36177RCF6
221159.73370000
PA
USD
209690.26000000
0.034545341235
Long
ABS-MBS
USGA
US
N
2
2043-02-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 11/01/2050#SD7530
3132DVLK9
4120617.43390000
PA
USD
3561333.45000000
0.586710509507
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 4/42 #G06973
3128M9CJ9
556238.31640000
PA
USD
544161.05000000
0.089647602894
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
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
993251.45000000
PA
USD
993413.65000000
0.163659549695
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7% 2/32 #003202
36202DRX1
8116.95630000
PA
USD
8401.24000000
0.001384059052
Long
ABS-MBS
USGA
US
N
2
2032-02-20
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.39% 12/36 #1J1448
3128NHTD5
15454.75080000
PA
USD
15899.07000000
0.002619286172
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
0.06450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8228
3138EDEA5
105222.68100000
PA
USD
102879.30000000
0.016948810710
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 07/01/2041#SC0370
3132D9MT8
1659412.04000000
PA
USD
1493818.15000000
0.246098496589
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 07/01/2032#G31067
3132J4MR7
108050.34760000
PA
USD
105858.38000000
0.017439598099
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/39 #004540
36202FBH8
3292.54770000
PA
USD
3287.60000000
0.000541614397
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #751249
36230KL66
3762.52700000
PA
USD
3674.30000000
0.000605321140
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2018-C46
N/A
WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051
95001QAV3
3790101.91820000
PA
USD
86738.38000000
0.014289681052
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
0.01078188
N
N
N
N
N
N
BANK 2020-BNK25
N/A
BANK 20-BNK25 XB CSTR 01/15/2063
06539WBD7
7140322.00000000
PA
USD
147957.47000000
0.024375196489
Long
ABS-MBS
CORP
US
N
2
2063-01-15
Variable
0.00531881
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2048#CA2432
3140Q9V26
873265.19930000
PA
USD
865371.06000000
0.142565222452
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 9/36 #C02621
31292J4E7
314.35140000
PA
USD
314.76000000
0.000051855015
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2051#FM9049
3140XDBT2
933933.55950000
PA
USD
838435.86000000
0.138127793287
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
1244997.55300000
PA
USD
1116136.32000000
0.183877448764
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-32 GS 650-1ML 5/34
38374GZM7
34684.06780000
PA
USD
2506.24000000
0.000412889544
Long
ABS-CBDO
USGA
US
N
2
2034-05-16
Variable
0.01046880
N
N
N
N
N
N
GS MTG SECS TR 2015-GC30
N/A
GS MTG SECS TR 2015-GC30 A4 3.382% 05/10/2050
36250GAP0
5000000.00000000
PA
USD
4928177.00000000
0.811890624454
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
0.03382000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#SC0210
3132D9GT5
3222476.40900000
PA
USD
2893854.07000000
0.476746875766
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
CSMC SER 2015-1R
N/A
CSMC SER 2015-1R TSFR1M+39.448 05/27/2037 144A
12649MBC6
101043.13320000
PA
USD
99641.38000000
0.016415380825
Long
ABS-CBDO
CORP
US
N
2
2037-05-27
Variable
0.04181010
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 11/27 #780834
36225A4T4
965.91440000
PA
USD
989.02000000
0.000162935719
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.08500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 11/01/2053#RJ0189
3142GQF72
190729.87600000
PA
USD
195216.61000000
0.032160885332
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 30YR 3.5% 03/15/2043#AD0818
36180B4B4
152521.88000000
PA
USD
144734.66000000
0.023844255895
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 11/01/2035#QN4142
3133GAS72
17856.36000000
PA
USD
15860.62000000
0.002612951741
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 03/15/2041#763058
36176DQK2
64164.54460000
PA
USD
62780.18000000
0.010342696608
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 2/42 #Q06088
3132GRCZ2
30114.44600000
PA
USD
29491.80000000
0.004858615248
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2017-30 AI 5.5% 05/47
3136AWQD2
106300.28120000
PA
USD
17122.82000000
0.002820892395
Long
ABS-CBDO
USGSE
US
N
2
2047-05-25
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 12/20/2051#785805
3622ABKS0
841746.72100000
PA
USD
726933.73000000
0.119758417765
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.5% 06/15/2041#366975
36204DT82
314381.22390000
PA
USD
313241.91000000
0.051604917987
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #698329
36296QY29
2321.16640000
PA
USD
2312.67000000
0.000380999929
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 09/01/2054 #TBA
21H020691
-2400000.00000000
PA
USD
-2020673.52000000
-0.33289508188
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.02000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
JPMCC 2018-WPT XAFX CSTR 07/23 144A
46645WAW3
3909453.00000000
PA
USD
77374.33000000
0.012747004237
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
0.01294783
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2043#AC9441
36179KP24
21891.64660000
PA
USD
21324.68000000
0.003513126204
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 09/46#Q43257
3132WGTP2
30939.53360000
PA
USD
28997.02000000
0.004777102907
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2052#CB5124
3140QQVS1
1531325.62620000
PA
USD
1490684.55000000
0.245582252862
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 08/15/43#AF5070
36181LT32
3883.53240000
PA
USD
3783.91000000
0.000623378797
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873245 04/17/65 S
N/A
900000.00000000
NC
USD
-13336.65000000
-0.00219714127
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S16 PRC INDX
CY873245
Y
2065-04-17
0.00000000
USD
11852.76000000
USD
900000.00000000
USD
-1483.89000000
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-135 ZA 4.5% 12/40
31398SE82
23178.70460000
PA
USD
23506.55000000
0.003872577538
Long
ABS-CBDO
USGSE
US
N
2
2040-12-25
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2052#
3140N0PL3
860851.67740000
PA
USD
824918.18000000
0.135900828294
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 4.5% 08/01/2041#AI7563
3138AMMM4
8116.85620000
PA
USD
8105.07000000
0.001335266639
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#FM9568
3140XDT22
2557798.94340000
PA
USD
2125356.74000000
0.350141078704
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 3.53 08/01/2029
N/A
4400000.00000000
NC
USD
169948.24000000
0.027998057435
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 08/03/34 3.53%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-08-03
0.00000000
USD
0.00000000
USD
4400000.00000000
USD
1.00000000
3.53000000
USD
2029-08-01
XXXX
-3631.76000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.00% 3/37 #922475
31412D2G2
4907.03030000
PA
USD
5251.75000000
0.000865197533
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 02/01/2043#Q15789
3132J62X1
32831.51980000
PA
USD
30490.51000000
0.005023147343
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
DLLAD 2023-1A
N/A
DLLAD 2023-1A 4.79% 01/20/2028 144A
233258AC6
500000.00000000
PA
USD
501145.40000000
0.082561006179
Long
ABS-CBDO
CORP
US
N
2
2028-01-20
Fixed
0.04790000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.53 08/01/2029
N/A
4400000.00000000
NC
USD
175868.31000000
0.028973357090
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 08/03/34 SOFRV3.53%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-08-03
0.00000000
USD
0.00000000
USD
4400000.00000000
USD
1.00000000
3.53000000
USD
2029-08-01
XXXX
2288.31000000
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B 5.41% 05/17/2027 144A
44934FAD7
471000.00000000
PA
USD
477467.63000000
0.078660221067
Long
ABS-CBDO
CORP
US
N
2
2027-05-17
Fixed
0.05410000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.25% 6/36 #886983
31410EM88
1387.26650000
PA
USD
1427.15000000
0.000235115277
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.07428000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21524
3132JNVR5
3471.15110000
PA
USD
3396.47000000
0.000559550143
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2044#Q24349
3132M4QA6
24659.72500000
PA
USD
24071.49000000
0.003965648361
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
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 2.55% 09/25/2046
3136AWGE1
757828.88300000
PA
USD
695394.17000000
0.114562445083
Long
ABS-CBDO
USGSE
US
N
2
2046-09-25
Fixed
0.02550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 10/01/2047#ZM4388
3131XX2V2
7653.10000000
PA
USD
7209.82000000
0.001187779022
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 3.50% 10/42 #AP6486
3138MAF45
5990.34600000
PA
USD
5683.28000000
0.000936289777
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2052#FS0840
3140XF5A5
186013.35500000
PA
USD
166062.83000000
0.027357957059
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 3/40 #678658
36295R5T1
14385.48970000
PA
USD
14043.28000000
0.002313554762
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#QC0031
3133AJA86
32274.61900000
PA
USD
25521.87000000
0.004204590657
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/01/2042#ZL4397
3131XK3E7
152771.46800000
PA
USD
145012.19000000
0.023889977468
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/27 #250990
31371FXT4
7.65660000
PA
USD
7.80000000
0.000001285008
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 4/42 #Q07441
3132GSS67
11552.26780000
PA
USD
11292.14000000
0.001860319261
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 10/01/2049#RA1544
3133KGWD6
205113.37070000
PA
USD
190925.31000000
0.031453916764
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD2175
3132DPMY1
237830.42260000
PA
USD
238696.96000000
0.039324038870
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2017
N/A
WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050
95001GAG8
7468034.14620000
PA
USD
171982.85000000
0.028333248477
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.01003968
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034
3137BGB32
75389.33600000
PA
USD
3348.58000000
0.000551660524
Long
ABS-CBDO
USGSE
US
N
2
2034-02-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2046#BM5199
3140J9X55
193547.16940000
PA
USD
193274.77000000
0.031840977648
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2051#QD1240
3133AXLV2
21020.27450000
PA
USD
18732.94000000
0.003086150995
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 30YR 3% 02/01/2050#CA5122
3140QCVQ6
581660.67310000
PA
USD
524138.04000000
0.086348919812
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #743101
3620AXRW0
2341.46140000
PA
USD
2379.09000000
0.000391942267
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3415 PC 5% 12/37
31397R3R5
12440.14290000
PA
USD
12561.70000000
0.002069472435
Long
ABS-CBDO
USGSE
US
N
2
2037-12-15
Fixed
0.05000000
N
N
N
N
N
N
WELLS FARGO MTG BACKED SECS 2003-I TR
N/A
WELLS FARGO MORTGAGE BACKED SECURITIES 2003-I TRUST VAR 09/25/2033
949802AA0
30765.84460000
PA
USD
30534.63000000
0.005030415875
Long
ABS-CBDO
CORP
US
N
2
2033-09-25
Variable
0.07412792
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 2/41 #A96807
312945R42
214539.04640000
PA
USD
210287.14000000
0.034643674001
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2040#FM5042
3140X8S81
157572.33990000
PA
USD
137382.50000000
0.022633027124
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 09/01/2054 #TBA
01F040693
-4500000.00000000
PA
USD
-4267441.35000000
-0.70303798391
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.04000000
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
760000.00000000
PA
USD
764110.23000000
0.125883045959
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04920000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#796180
36177Q2N2
7931.53110000
PA
USD
7728.72000000
0.001273265003
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 8/26 #C90997
3128P7DA8
3246.45710000
PA
USD
3277.10000000
0.000539884579
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/29 #487563
36210BTU9
5523.64900000
PA
USD
5742.47000000
0.000946041011
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2033#SB0621
3132CWVN1
34063.17600000
PA
USD
33045.18000000
0.005444015469
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2041#AH5464
3138A7CA4
8529.49980000
PA
USD
8512.00000000
0.001402306166
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#FM2439
3140X5V91
1553554.61450000
PA
USD
1403316.10000000
0.231188771169
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 09/20/2046#MA3939
36179SLU9
2874.32000000
PA
USD
2871.57000000
0.000473075695
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 9/39 #710868
36297FW57
58719.03670000
PA
USD
60555.43000000
0.009976181025
Long
ABS-MBS
USGA
US
N
2
2039-09-15
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 4.412% 03/25/2030
3137HA4B9
400000.00000000
PA
USD
404304.44000000
0.066606979469
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Fixed
0.04412000
N
N
N
N
N
N
PRPM 2024-RCF3 LLC
N/A
PRPM 2024-RCF3 LLC 4% 05/25/2054 144A
74390BAA6
817385.02000000
PA
USD
799037.01000000
0.131637044897
Long
ABS-CBDO
CORP
US
N
2
2054-05-25
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/40 #737442
3620ARHT1
3908.55500000
PA
USD
3816.75000000
0.000628789010
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA SOFR30A+632.552 05/25/2037
31396VYS1
8520.90460000
PA
USD
1013.49000000
0.000166967020
Long
ABS-CBDO
USGSE
US
N
2
2037-05-25
Variable
0.00976680
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2042#794559
36177PB53
7270.00470000
PA
USD
7092.79000000
0.001168498960
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 09/18/27
N/A
-27318000.00000000
NC
USD
-389757.20000000
-0.06421040001
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-09-18
0.00000000
USD
0.00000000
USD
-26930123.64000000
USD
-389757.20000000
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 10/01/2054 #TBA
01F0206A2
59150000.00000000
PA
USD
48442921.35000000
7.980710446327
Long
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 06/01/2054#CB8729
3140QUVX1
711396.81200000
PA
USD
732937.98000000
0.120747585622
Long
ABS-MBS
USGSE
US
N
2
2054-06-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2045#BA0270
3140E4JQ1
52094.63020000
PA
USD
50363.72000000
0.008297151681
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13425
3132HPYW8
27607.19770000
PA
USD
26985.27000000
0.004445677927
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 03/15/2042#773367
36176Q6C3
14974.38680000
PA
USD
14602.86000000
0.002405742554
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 10/01/2054 #TBA
21H0506A5
11550000.00000000
PA
USD
11509348.62000000
1.896103211827
Long
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 03/01/2041#MA4287
31418DXR8
17728.33100000
PA
USD
15384.77000000
0.002534558016
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2039#
312938BB8
5943.64590000
PA
USD
5942.97000000
0.000979072306
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 04/01/2036#FM9743
3140XDZH2
182819.67400000
PA
USD
174613.79000000
0.028766681675
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2048#G67713
3132XCSA4
349298.59430000
PA
USD
337858.09000000
0.055660301094
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 09/01/2054 #TBA
01F052698
16700000.00000000
PA
USD
16814159.53000000
2.770042244929
Long
ABS-MBS
USGA
US
N
2
2054-09-01
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% 02/15/2047
3137FCYM0
97282.00800000
PA
USD
96077.74000000
0.015828290324
Long
ABS-CBDO
USGSE
US
N
2
2047-02-15
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.865 05/15/2025
N/A
4600000.00000000
NC
USD
249927.38000000
0.041174190094
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 05/19/35 SOFRV3.865%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-05-19
0.00000000
USD
0.00000000
USD
4600000.00000000
USD
1.00000000
3.86500000
USD
2025-05-15
XXXX
101347.38000000
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
285725.01000000
0.047071656880
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
221965.82270000
PA
USD
205779.68000000
0.033901094237
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
184853.58400000
PA
USD
165004.60000000
0.027183619365
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 30YR 4.5% 09/01/2049#FM1534
3140X4V45
389834.21740000
PA
USD
386066.55000000
0.063602385295
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 04/01/2054#
3140QUH33
1492165.09000000
PA
USD
1521671.16000000
0.250687130009
Long
ABS-MBS
USGSE
US
N
2
2054-04-01
Fixed
0.06000000
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
283827.07630000
PA
USD
269731.34000000
0.044436785867
Long
ABS-CBDO
CORP
US
N
2
2050-10-25
Fixed
0.01718800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2047#BJ0197
3140H1GF1
6712.23280000
PA
USD
6524.87000000
0.001074937198
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2052#MA4699
31418EGH7
536872.91400000
PA
USD
494199.95000000
0.081416780690
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/41 #005055
36202FTL0
143829.85610000
PA
USD
143671.10000000
0.023669040112
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 05/01/2036#QN6387
3133GDCY4
1457274.69300000
PA
USD
1298043.82000000
0.213845729889
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0806
3133KT3P3
38664.30500000
PA
USD
34648.89000000
0.005708218056
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
574965.40300000
PA
USD
494770.26000000
0.081510736191
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 4.00% 3/42 #Q07242
3132GSLX5
39247.55620000
PA
USD
38392.57000000
0.006324969178
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #254383
31371KRC7
1088.92480000
PA
USD
1153.55000000
0.000190041151
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96766
312945QT8
10012.96460000
PA
USD
10010.67000000
0.001649203978
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2037#FS1654
3140XGZU6
1570859.41410000
PA
USD
1464424.89000000
0.241256115275
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/20/2052#MA7880
36179WXH6
17352728.21600000
PA
USD
14596287.25000000
2.404659729169
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS6967
36193SW47
12403.23570000
PA
USD
11706.52000000
0.001928586134
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2042#C04320
31292LYR0
261776.68130000
PA
USD
242672.04000000
0.039978911896
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027
3136A7HT2
2458.14400000
PA
USD
32.05000000
0.000005280064
Long
ABS-CBDO
USGSE
US
N
2
2027-07-25
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2017-134 BA 2.5% 11/46
38380GF25
37140.10820000
PA
USD
34214.04000000
0.005636578860
Long
ABS-CBDO
USGA
US
N
2
2046-11-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 11/01/2051#
3132DWCP6
124666.91900000
PA
USD
106655.27000000
0.017570881435
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 6.5% 04/01/2032#
31287SCS4
1211.84180000
PA
USD
1258.18000000
0.000207278380
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048
3137H5BQ9
1331540.93300000
PA
USD
1187938.90000000
0.195706537191
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A97152
3129455M6
20058.27970000
PA
USD
20057.55000000
0.003304373360
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
130000.00000000
NC
USD
19189.61000000
0.003161384918
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
35527.43000000
USD
0.00000000
USD
130000.00000000
USD
-16337.82000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/29 #499333
36210QV25
54.82450000
PA
USD
55.84000000
0.000009199339
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 11/28 #C00680
31292GXH4
1025.66630000
PA
USD
1044.35000000
0.000172051039
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21255
3132JNMC8
16532.88570000
PA
USD
16130.43000000
0.002657401486
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
66969.84440000
PA
USD
65148.32000000
0.010732834921
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 30YR 7.5% 06/01/2027#
31292GSM9
540.79220000
PA
USD
552.52000000
0.000091024694
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#QK1167
3133D4JL8
92426.64000000
PA
USD
82914.49000000
0.013659715765
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #462554
36208VZT5
295.76730000
PA
USD
299.72000000
0.000049377256
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/29 #486378
36210AJX6
1244.96070000
PA
USD
1280.66000000
0.000210981839
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07500000
N
N
N
N
N
N
CFMT 2024-HB15 LLC
N/A
CFMT 2024-HB15 LLC VAR 08/25/2034 144A
15723AAA9
119000.00000000
PA
USD
116727.10000000
0.019230161195
Long
ABS-CBDO
CORP
US
N
2
2034-08-25
Variable
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2041#A97673
312946Q25
10885.30990000
PA
USD
10884.46000000
0.001793156176
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2016-P4
N/A
CITIGROUP COML MTG TR 2016-P4 A4 2.902% 07/10/2049
29429EAD3
3644000.00000000
PA
USD
3493265.21000000
0.575496633487
Long
ABS-MBS
CORP
US
N
2
2049-07-10
Fixed
0.02902000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/01/2036#MA4228
31418DVW9
1168669.28690000
PA
USD
1036225.52000000
0.170712574752
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 CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.6% 01/25/2028
3137F4D41
1000000.00000000
PA
USD
982868.30000000
0.161922260065
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Fixed
0.03600000
N
N
N
N
N
N
BX 2021-LBA
N/A
BX 2021-LBA TSFR1M+91.45 02/15/2036 144A
05609BCD9
400000.00000000
PA
USD
396125.00000000
0.065259460772
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
0.06251480
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2041#792596
36177L3E2
1700.78220000
PA
USD
1658.88000000
0.000273291547
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP
N/A
GSAMP 2004-AR1 B4 STEP 6/34
36228F6Y7
10808.45920000
PA
USD
8370.20000000
0.001378945379
Long
ABS-CBDO
CORP
US
N
2
2034-06-25
Variable
0.05500000
N
N
N
N
N
N
BMO 2023-5C1 MTG TR
N/A
BMO 2023-5C1 MTG TR 6.534% 08/15/2056
055986AC7
100000.00000000
PA
USD
105428.40000000
0.017368761209
Long
ABS-MBS
CORP
US
N
2
2056-08-15
Fixed
0.06534000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0206
3138MFGQ4
15904.82840000
PA
USD
15093.03000000
0.002486495422
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 4.05% 04/23/2029
N/A
10300000.00000000
NC
USD
309994.47000000
0.051069919734
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 04/25/34 4.05%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-04-25
0.00000000
USD
0.00000000
USD
10300000.00000000
USD
1.00000000
4.05000000
USD
2029-04-23
XXXX
-115910.53000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/29 #510100
36211DUZ1
20.01180000
PA
USD
20.37000000
0.000003355847
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
382218.86360000
PA
USD
367966.42000000
0.060620486340
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AB9858
31417G5U6
649031.78620000
PA
USD
599111.83000000
0.098700448010
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 3/26 #D96943
3128E3WC4
1422.73730000
PA
USD
1430.01000000
0.000235586447
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/29 #509256
36211CWR9
817.80330000
PA
USD
850.88000000
0.000140177898
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
0.07500000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A
61771LAA0
577303.00000000
PA
USD
552850.06000000
0.091079070504
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03170000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 02/01/2032#
31287PHP1
85584.69430000
PA
USD
90483.88000000
0.014906732009
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 03/01/2041#MA4286
31418DXQ0
144937.30630000
PA
USD
121270.45000000
0.019978653643
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
102780.18600000
PA
USD
102172.26000000
0.016832329677
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036
31397CDM8
110850.89390000
PA
USD
113680.37000000
0.018728228833
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
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% 07/15/2042
3137BTMV0
26403.27900000
PA
USD
26239.33000000
0.004322788329
Long
ABS-CBDO
USGSE
US
N
2
2042-07-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 05/01/2051#BT0518
3140LNSG3
94716.78940000
PA
USD
74070.63000000
0.012202737451
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
262018.46460000
PA
USD
252974.22000000
0.041676140578
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 09/01/2054 #TBA
01F022691
-23600000.00000000
PA
USD
-20118077.24000000
-3.31434489735
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0170
3138MFFL6
15631.47670000
PA
USD
14813.78000000
0.002440490488
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2034#SB0179
3132CWFU3
553942.13400000
PA
USD
533286.02000000
0.087856000259
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/28 #475419
36209MDY7
770.34050000
PA
USD
783.53000000
0.000129082348
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031
3137AQ6B9
4049.33880000
PA
USD
9.03000000
0.000001487643
Long
ABS-CBDO
USGSE
US
N
2
2031-05-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/28 #780977
36225BCN6
920.56970000
PA
USD
935.64000000
0.000154141651
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/30 #535486
31384V2T8
103.77480000
PA
USD
108.65000000
0.000017899502
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 09/01/2053#CB7123
3140QS4H1
281765.42600000
PA
USD
288481.73000000
0.047525811656
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/28 #465701
36209AKN9
472.39760000
PA
USD
474.32000000
0.000078141665
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q17646
3132J85G1
299984.76600000
PA
USD
285029.66000000
0.046957101712
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 10/15/2041#775540
36176TLV8
14632.35910000
PA
USD
14260.63000000
0.002349362004
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/39 #704775
36296X6L3
37410.94960000
PA
USD
37947.77000000
0.006251690773
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H13 FA TSFR1M+61.448 4/61
38375BLW0
10345.74180000
PA
USD
10327.10000000
0.001701334117
Long
ABS-CBDO
USGA
US
N
2
2061-04-20
Variable
0.05946400
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2042#794507
36177PAH8
46293.05600000
PA
USD
42849.48000000
0.007059221102
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
2900000.00000000
NC
USD
-57859.93000000
-0.00953211191
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
72841.48000000
USD
2900000.00000000
USD
14981.55000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2043#AD5682
36180HJ33
5405.49480000
PA
USD
5257.89000000
0.000866209065
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #489861
36210EFA2
4721.54330000
PA
USD
4601.20000000
0.000758022924
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6% 09/01/2054 #TBA
01F060691
-6700000.00000000
PA
USD
-6823269.28000000
-1.12409687325
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2040#A95150
312943WK5
537066.60810000
PA
USD
526201.37000000
0.086688842320
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TR 2024-A
N/A
HYUNDAI AUTO RECEIVABLES TR 2024-A 4.99% 02/15/2029
448973AD9
234000.00000000
PA
USD
236800.91000000
0.039011674842
Long
ABS-CBDO
CORP
US
N
2
2029-02-15
Fixed
0.04990000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 09/18/29
N/A
-6250000.00000000
NC
USD
-126239.50000000
-0.02079727787
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2029-09-18
0.00000000
USD
0.00000000
USD
-6153326.50000000
USD
-126239.50000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #733812
3620AMGV8
10927.78680000
PA
USD
10371.63000000
0.001708670195
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2050#MA4184
31418DUJ9
115449.30020000
PA
USD
103319.54000000
0.017021337879
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 2.90% 5/34 #781630
31349SY31
332.72600000
PA
USD
337.61000000
0.000055619429
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
0.07231000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2044#V80950
3132L6BT7
12222.02600000
PA
USD
11922.32000000
0.001964138022
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2047#ZM4038
3131XXPX3
24537.23700000
PA
USD
23123.66000000
0.003809498473
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2042#AB5379
31417B6R3
15531.55350000
PA
USD
14771.18000000
0.002433472368
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2054#CB8711
3140QUVD5
2032295.39900000
PA
USD
2072482.01000000
0.341430251646
Long
ABS-MBS
USGSE
US
N
2
2054-06-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/45#C09071
31292SCG3
1477.02900000
PA
USD
1433.27000000
0.000236123514
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #468965
36209D6A7
6243.81240000
PA
USD
6355.46000000
0.001047027813
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #733726
3620AMD74
249136.40140000
PA
USD
252985.04000000
0.041677923115
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-67 AI IO 4% 7/26
31397U4B2
1165.71730000
PA
USD
17.01000000
0.000002802305
Long
ABS-CBDO
USGSE
US
N
2
2026-07-25
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2035#
3140XC4X3
47544.53600000
PA
USD
46123.49000000
0.007598596620
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 5% 09/01/2039 #TBA
01F050494
5500000.00000000
PA
USD
5538457.10000000
0.912430984811
Long
ABS-MBS
USGA
US
N
2
2039-09-01
Fixed
0.05000000
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
99690.61770000
PA
USD
93458.60000000
0.015396801112
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
1240398.78140000
PA
USD
1071654.06000000
0.176549235949
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 3.7375 02/26/2025
N/A
3100000.00000000
NC
USD
41559.07000000
0.006846633003
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 02/28/35 3.7375%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-02-28
0.00000000
USD
0.00000000
USD
3100000.00000000
USD
1.00000000
3.73750000
USD
2025-02-26
XXXX
-70350.93000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 05/20/2041#783578
36241L6P6
2072.01400000
PA
USD
2069.62000000
0.000340958750
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 07/51#QC4163
3133ANTU8
145691.00990000
PA
USD
120831.67000000
0.019906367001
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.869% 5/36 #995608
31416CAH9
1056.54750000
PA
USD
1085.99000000
0.000178911004
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.07061000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #451439
36208HPY6
36.25920000
PA
USD
36.93000000
0.000006084018
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.625% 05/15/2044
912810UB2
3010000.00000000
PA
USD
3134632.81000000
0.516413876682
Long
DBT
UST
US
N
2
2044-05-15
Fixed
0.04625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.0% 07/01/2041#Q02067
3132GFJL2
13121.82940000
PA
USD
13417.29000000
0.002210426280
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 06/01/2043#Q19744
3132JBHW6
19639.79920000
PA
USD
19221.84000000
0.003166694637
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
700000.00000000
NC
USD
-13966.19000000
-0.00230085460
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
17470.63000000
USD
700000.00000000
USD
3504.44000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 09/01/2054 #TBA
21H050698
-11550000.00000000
PA
USD
-11525590.23000000
-1.89877892962
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BK4845
3140HJL33
39443.78990000
PA
USD
37972.96000000
0.006255840690
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 5.00% 7/33 #A11628
31296KYZ0
10299.44130000
PA
USD
10304.65000000
0.001697635601
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
PRPM 2021-RPL1 LLC
N/A
PRPM 2021-RPL1 LLC 1.484% 07/25/2051 144A
69360GAA1
126068.49510000
PA
USD
114574.89000000
0.018875596186
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
447895.01100000
PA
USD
396075.93000000
0.065251376754
Long
ABS-CBDO
USGSE
US
N
2
2046-06-25
Fixed
0.02000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING 2024-2
N/A
ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A
29375RAB2
263000.00000000
PA
USD
265447.85000000
0.043731103955
Long
ABS-CBDO
CORP
US
N
2
2026-12-20
Fixed
0.05740000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3036
3140QNLS9
233282.35000000
PA
USD
193185.64000000
0.031826293961
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% 02/01/2042#RB5145
3133KYWE5
448985.45600000
PA
USD
387107.13000000
0.063773815247
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/20/2048#MA5398
36179T7K5
1237062.72320000
PA
USD
1193784.70000000
0.196669601263
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AU2287
36194PRG1
10023.41820000
PA
USD
9460.38000000
0.001558546664
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
BENCHMARK 2024-V9 MORTGAGE TRUST
N/A
BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057
081919AN2
700000.00000000
PA
USD
721392.98000000
0.118845609037
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
0.05601900
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2031#FS1234
3140XGLQ0
123870.09600000
PA
USD
120464.86000000
0.019845937029
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #743475
3620AX6L7
12903.13020000
PA
USD
13106.07000000
0.002159154461
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.5% 04/15/2027
91282CKJ9
6200000.00000000
PA
USD
6302445.33000000
1.038293931927
Long
DBT
UST
US
N
2
2027-04-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2033#709252
31401H5M0
28523.15210000
PA
USD
28900.48000000
0.004761198462
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2041#CB0471
3140QKQZ4
103226.74000000
PA
USD
93312.77000000
0.015372776404
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BD9690
3140FHXU6
69827.83980000
PA
USD
65281.40000000
0.010754759135
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22486
3132JPXP2
11025.16160000
PA
USD
10770.83000000
0.001774436245
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/50#FM3269
3140X6T35
166213.31810000
PA
USD
149775.85000000
0.024674764803
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
116944.33800000
PA
USD
105712.92000000
0.017415634347
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 7.5% 09/01/2031#
31292HMA9
1938.30850000
PA
USD
2039.88000000
0.000336059246
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 07/01/2029#
31293TF28
42.20410000
PA
USD
42.97000000
0.000007079076
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2044#Q24971
3132M5FL1
8984.51800000
PA
USD
8777.84000000
0.001446101874
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3433
3133B0Y64
155303.53600000
PA
USD
128609.87000000
0.021187783568
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AR3062
36192XMK2
12232.98270000
PA
USD
11545.83000000
0.001902113322
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719230
3620A5A74
25733.20780000
PA
USD
25645.42000000
0.004224944854
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2052#RA6799
3133KNRU9
197941.52500000
PA
USD
183630.99000000
0.030252216821
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
39389.35000000
PA
USD
38369.00000000
0.006321086148
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 15YR 1.5% 10/01/2036#SB8122
3132D6AX8
200503.51610000
PA
USD
177091.48000000
0.029174867762
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.08% 6/33 #1B0891
31336SRL4
15674.98990000
PA
USD
16125.65000000
0.002656614007
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
0.07711000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96695
312945NL8
15605.49450000
PA
USD
15596.54000000
0.002569445983
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #768127
36176KD87
8264.31160000
PA
USD
8071.86000000
0.001329795471
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 05/01/2036#BT0887
3140LN6Z5
220381.27980000
PA
USD
199763.84000000
0.032910016990
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
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 SOFR30A+652.552 12/25/2036
31396LZK9
17381.80600000
PA
USD
1862.51000000
0.000306838493
Long
ABS-CBDO
USGSE
US
N
2
2036-12-25
Variable
0.01176680
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2044#Q28059
3132M8TQ9
4290.58490000
PA
USD
4170.17000000
0.000687013052
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2052#FS1647
3140XGZM4
1072528.81340000
PA
USD
1028513.63000000
0.169442082400
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 03/01/2051#SD4957
3132DSQJ4
6348001.48100000
PA
USD
5237065.67000000
0.862778369592
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.5% 05/31/2029
91282CKT7
210000.00000000
PA
USD
216931.64000000
0.035738319598
Long
DBT
UST
US
N
2
2029-05-31
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 10/01/2041#RB5132
3133KYVZ9
227599.26850000
PA
USD
202468.74000000
0.033355634700
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
2312128.31190000
PA
USD
1992526.98000000
0.328258090980
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/29 #509410
36211C3T7
142.84840000
PA
USD
146.33000000
0.000024107079
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2121 MG 6% 2/29
3133TJA60
12069.85130000
PA
USD
12291.14000000
0.002024899132
Long
ABS-CBDO
USGSE
US
N
2
2029-02-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 3/37 #A58828
3128KMYZ2
1336.61510000
PA
USD
1412.45000000
0.000232693532
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 02/01/2042#FS0617
3140XFVK4
729660.49120000
PA
USD
626819.88000000
0.103265200051
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 08/01/2034#CA4087
3140QBRH3
243907.74940000
PA
USD
238192.89000000
0.039240996052
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
1595123.69410000
PA
USD
1586404.27000000
0.261351561319
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
0.07401480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/01/2044#AS9099
3138WKDD4
12026.79810000
PA
USD
12221.99000000
0.002013507041
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 8/34 #G08018
3128MJAU4
5135.63320000
PA
USD
5449.78000000
0.000897821910
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 06/01/2050#RA2677
3133KH6N1
2089928.42810000
PA
USD
1733322.69000000
0.285555579916
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 5/25 #AB1004
31416WDJ8
1391.50440000
PA
USD
1384.72000000
0.000228125163
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
0.04500000
N
N
N
N
N
N
DLLMT 2024-1 LLC
N/A
DLLMT 2024-1 LLC 4.84% 08/21/2028 144A
23347AAE1
540000.00000000
PA
USD
541342.66000000
0.089183288317
Long
ABS-CBDO
CORP
US
N
2
2028-08-21
Fixed
0.04840000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2051#CB1549
3140QLWK8
571393.99250000
PA
USD
492768.35000000
0.081180932298
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 05/15/2041#770680
36176M6R9
73515.02770000
PA
USD
71920.12000000
0.011848452508
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 06/01/2051#CB0788
3140QK2W7
146555.09610000
PA
USD
115845.90000000
0.019084988240
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #733255
3620ALTL8
8657.97680000
PA
USD
8624.64000000
0.001420862999
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
1209562.12770000
PA
USD
1174805.96000000
0.193542956041
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
661192.31390000
PA
USD
664014.61000000
0.109392831539
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 10/01/2054 #TBA
01F0306A1
-1400000.00000000
PA
USD
-1242445.26000000
-0.20468616650
Short
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q34164
3132QQTW2
1187404.86450000
PA
USD
1118049.38000000
0.184192615098
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2046#Q40046
3132WDBQ6
489109.39110000
PA
USD
458401.00000000
0.075519096440
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 05/01/2035#SB8045
3132D55E8
611016.57890000
PA
USD
569616.78000000
0.093841297342
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 11/01/2040#A94862
312943MK6
73017.96230000
PA
USD
73014.84000000
0.012028801733
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/32 #654060
31390RTR4
5477.71530000
PA
USD
5829.91000000
0.000960446280
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 07/01/2042#ZA1228
31329JLH8
383856.08300000
PA
USD
364811.22000000
0.060100684130
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#FS0002
3140XFAC5
135326.69000000
PA
USD
121023.92000000
0.019938039153
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 4% 11/01/2049#CA4628
3140QCEA0
55275.12140000
PA
USD
53144.89000000
0.008755334463
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS6968
36193SW54
24607.31910000
PA
USD
23225.07000000
0.003826205224
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 07/01/2047#ZA4926
31329NPK8
135380.94400000
PA
USD
127624.05000000
0.021025375032
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 05/01/2046#V82275
3132L7Q44
539940.26570000
PA
USD
491669.39000000
0.080999884556
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2135 JE 6% 3/29
3133TJWJ8
12106.75310000
PA
USD
12386.67000000
0.002040637185
Long
ABS-CBDO
USGSE
US
N
2
2029-03-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 06/01/2031#J34501
31307RAA3
38164.87920000
PA
USD
36566.11000000
0.006024069728
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22499
3132JPX49
34499.97380000
PA
USD
33678.98000000
0.005548430606
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2048#V83994
3132L9NK7
126904.61640000
PA
USD
122034.30000000
0.020104493818
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#CB2166
3140QMMQ4
796581.10540000
PA
USD
713634.55000000
0.117567449471
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
1047197.17990000
PA
USD
945272.12000000
0.155728491851
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.03000000
N
N
N
N
N
N
COMM 2014-UBS6 MTG TR
N/A
COMM 2014-UBS6 XA CSTR 12/47
12592PBG7
3019582.24720000
PA
USD
64.32000000
0.000010596373
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
0.00861206
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2015-70 JC 3% 10/45
3136AQCV0
232433.67440000
PA
USD
221672.11000000
0.036519286505
Long
ABS-CBDO
USGSE
US
N
2
2045-10-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 11/41 #005232
36202FY59
203669.32250000
PA
USD
194017.07000000
0.031963267576
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047
3137H3SE3
162077.25600000
PA
USD
144450.33000000
0.023797414059
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02000000
N
N
N
N
N
N
SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2
N/A
SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 5.33% 11/20/2029 144A
78397XAC8
153000.00000000
PA
USD
155906.56000000
0.025684766264
Long
ABS-CBDO
CORP
US
N
2
2029-11-20
Fixed
0.05330000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028
3137B6MF5
727.27880000
PA
USD
5.00000000
0.000000823723
Long
ABS-CBDO
USGSE
US
N
2
2028-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 04/01/2041#CB0116
3140QKDW5
52328.89400000
PA
USD
45722.08000000
0.007532466484
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/25 #409199
36206ERU1
787.01130000
PA
USD
790.04000000
0.000130154835
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.08000000
N
N
N
N
N
N
MSC 2021-L6
N/A
MSC 2021-L6 XA 1.35631% 06/15/2054
61692CBK3
1069510.07970000
PA
USD
53992.93000000
0.008895044486
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
0.01314822
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK1110
3138E5GU6
15737.49250000
PA
USD
15373.65000000
0.002532726056
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2050#FM4342
3140X7ZG7
5187265.19350000
PA
USD
4501038.25000000
0.741521815366
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
0.02500000
N
N
N
N
N
N
BANK 2017-BNKS
N/A
BANK 2017-BNKS 3.39% 06/15/2060
06541WAX0
1519217.00000000
PA
USD
1463431.35000000
0.241092434910
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 5.5% 05/01/2053#SD2891
3132DQF84
943996.13500000
PA
USD
958495.25000000
0.157906931317
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/01/2054 #TBA
21H030690
-6700000.00000000
PA
USD
-6058909.16000000
-0.99817265926
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/48#BJ1074
3140H2FQ6
5811.20900000
PA
USD
5744.15000000
0.000946317782
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 09/01/2054 #TBA
01F022691
25475000.00000000
PA
USD
21716441.43000000
3.577666791093
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2052#MA4644
31418EES5
46941.78950000
PA
USD
44545.94000000
0.007338703752
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2036#MA4360
31418DZ21
348668.23780000
PA
USD
316049.10000000
0.052067387424
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.02000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.625% 05/15/2054
912810UA4
850000.00000000
PA
USD
908437.50000000
0.149660186546
Long
DBT
UST
US
N
2
2054-05-15
Fixed
0.04625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/01/2041#
3132GEQJ2
3646.18970000
PA
USD
3645.47000000
0.000600571553
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2052#RA6700
3133KNNR0
96401.14540000
PA
USD
89401.53000000
0.014728420675
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 02/01/2054#RJ0836
3142GQ4W9
83312.46200000
PA
USD
83967.24000000
0.013833150659
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 07/01/2042#ZA1231
31329JLL9
173817.96300000
PA
USD
165307.47000000
0.027233515566
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 08/01/2041#CB1343
3140QLP59
187426.31770000
PA
USD
167258.65000000
0.027554961965
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
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 2016-H21 DF TSFR1M+76.448 05/20/2061
38375BWC2
1714.04000000
PA
USD
1708.93000000
0.000281537015
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.06096400
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 10/20/44#MA2305
36179QR29
2235.85700000
PA
USD
2234.89000000
0.000368186093
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 11/01/2052#CB5139
3140QQV93
2349129.26550000
PA
USD
2372730.50000000
0.390894573654
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
82808.44640000
PA
USD
76873.42000000
0.012664482011
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 4/35 #003700
36202EDD8
6976.43670000
PA
USD
6957.53000000
0.001146215603
Long
ABS-MBS
USGA
US
N
2
2035-04-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19988
3132JBRJ4
14898.80290000
PA
USD
14547.30000000
0.002396589343
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/01/2051#RA6434
3133KNEF6
1276766.26330000
PA
USD
1100281.16000000
0.181265396528
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 4.50% 3/41 #A97661
312946QN9
49196.39910000
PA
USD
49194.21000000
0.008104481206
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/41 #004922
36202FPF7
840824.66060000
PA
USD
820750.64000000
0.135214248520
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2003-118 S SOFR30A+798.552 12/33
31393UNH2
26056.76460000
PA
USD
3906.50000000
0.000643574840
Long
ABS-CBDO
USGSE
US
N
2
2033-12-25
Variable
0.02636680
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1862
3132DPB72
647876.02120000
PA
USD
652058.71000000
0.107423161392
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2043#MA1157
36179NJA7
5841.10400000
PA
USD
5542.62000000
0.000913116800
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03500000
N
N
N
N
N
N
BBCMS MORTGAGE TRUST 2023-C21
N/A
BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056
05553WAC3
232000.00000000
PA
USD
250069.88000000
0.041197666202
Long
ABS-MBS
CORP
US
N
2
2056-09-15
Variable
0.06506414
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 07/01/2051#MA4377
31418D2K7
7043964.49630000
PA
USD
5508536.61000000
0.907501745193
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2114 ZM 6% 1/29
3133THQB6
3821.74400000
PA
USD
3893.19000000
0.000641382089
Long
ABS-CBDO
USGSE
US
N
2
2029-01-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #476120
36209M4D3
296.68240000
PA
USD
302.16000000
0.000049779232
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.50% 7/34 #G02115
3128LXK41
41157.76300000
PA
USD
42793.95000000
0.007050072833
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H13 HA 2.5% 08/64
38376RCQ7
2763.79400000
PA
USD
2663.07000000
0.000438726442
Long
ABS-CBDO
USGA
US
N
2
2064-08-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 04/01/2042#MA4587
31418ECZ1
1379497.49100000
PA
USD
1223730.57000000
0.201603022099
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772063
36176PQQ2
51446.51220000
PA
USD
50187.92000000
0.008268189577
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.5% 09/01/2042#MA4766
31418EJL5
186308.42800000
PA
USD
185206.45000000
0.030511765373
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 06/01/2045#Q34467
3132QQ6D9
36075.42430000
PA
USD
35074.23000000
0.005778290531
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 02/01/2051#MA4254
31418DWQ1
2029412.07820000
PA
USD
1587679.49000000
0.261561646947
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2048#G61821
31335CAW4
669352.08970000
PA
USD
662587.15000000
0.109157665191
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AB3872
31417AJS9
105782.90280000
PA
USD
103476.29000000
0.017047161598
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873245 04/17/65 S
N/A
800000.00000000
NC
USD
-11854.80000000
-0.00195301446
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
15989.39000000
USD
800000.00000000
USD
4134.59000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #648177
31390KCN6
364.74590000
PA
USD
386.38000000
0.000063654024
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8226
3138WJD88
180038.91200000
PA
USD
171964.26000000
0.028330185875
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
183090.69300000
PA
USD
152198.40000000
0.025073866871
Long
ABS-CBDO
USGSE
US
N
2
2048-06-25
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 09/01/2053#QH0277
3133CCJW7
92014.13600000
PA
USD
96439.34000000
0.015887861977
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745138
3620C0ZB7
94248.55340000
PA
USD
93919.10000000
0.015472666007
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/01/2054 #TBA
21H030690
21200000.00000000
PA
USD
19171473.76000000
3.158397071111
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 09/01/2054 #TBA
21H062693
8300000.00000000
PA
USD
8474196.25000000
1.396078201972
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AY0356
3138YDME6
222059.23430000
PA
USD
215444.38000000
0.035493301521
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT2645
36194A5E3
8603.85480000
PA
USD
8108.73000000
0.001335869605
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2518
3140X5YQ0
283732.19090000
PA
USD
265837.74000000
0.043795336233
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/46#G60551
31335ATG3
602029.17760000
PA
USD
583816.11000000
0.096180560502
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 11/39 #A89870
3129366F9
7626.60200000
PA
USD
7626.78000000
0.001256470937
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 02/01/2035#QN1578
3133G7XF5
308057.94910000
PA
USD
288051.71000000
0.047454968177
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 5.52% 05/15/2036 144A
165183DE1
236254.88000000
PA
USD
238579.30000000
0.039304655019
Long
ABS-CBDO
CORP
US
N
2
2036-05-15
Fixed
0.05520000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 06/01/2051#MA4354
31418DZU9
638977.64650000
PA
USD
499694.70000000
0.082322011165
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2018-BOP
N/A
MORGAN STANLEY CAP I TR 2018-BOP A TSFR1M+89.7 06/15/2035 144A
61768FAA8
723006.38870000
PA
USD
590226.27000000
0.097236599846
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.06234000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #733234
3620ALSX3
5310.31840000
PA
USD
5291.25000000
0.000871704946
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/44#MA1997
36179QGE5
2563.62100000
PA
USD
2562.51000000
0.000422159724
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#FM0046
3140X3BQ0
281634.99220000
PA
USD
269460.81000000
0.044392217506
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/01/2051#RA5288
3133KL2V8
202760.29600000
PA
USD
166895.93000000
0.027495205798
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
FHR 3244 SG SOFR30A+654.552 11/36
31397CDA4
41575.77430000
PA
USD
3883.53000000
0.000639790656
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Variable
0.01191990
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 3/41 #004977
36202FQ66
44649.35040000
PA
USD
43581.32000000
0.007179787801
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04000000
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
295000.00000000
PA
USD
294740.55000000
0.048556918550
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04660000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2044#MA1677
36179N2J6
2556.67000000
PA
USD
2424.58000000
0.000399436499
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2048#ZM7210
3131Y2AK4
520113.07450000
PA
USD
499418.45000000
0.082276500465
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#FM6195
3140X93D5
1140888.12380000
PA
USD
1031270.11000000
0.169896197638
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BE5877
3140FRQ73
53739.47680000
PA
USD
50307.71000000
0.008287924335
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 06/01/2052#SD1082
3132DNFX6
158215.85100000
PA
USD
141246.69000000
0.023269631619
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/51#RA5117
3133KLVJ3
4103269.18000000
PA
USD
3404408.17000000
0.560857914608
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 4.00% 8/41 #005139
36202FV86
8379.23750000
PA
USD
8174.86000000
0.001346764166
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
0.04000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A
95003EAA4
468000.00000000
PA
USD
456077.42000000
0.075136299147
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Variable
0.06651480
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP 04/17/65 B
N/A
660000.00000000
NC
USD
97424.18000000
0.016050109064
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
159788.77000000
USD
0.00000000
USD
660000.00000000
USD
-62364.59000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 07/01/2054#CB8867
3140QUZ90
4372319.19800000
PA
USD
4579862.70000000
0.754507719065
Long
ABS-MBS
USGSE
US
N
2
2054-07-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#CB5128
3140QQVW2
1094700.22670000
PA
USD
1101767.61000000
0.181510281162
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
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 4% 04/15/2048
3137H8HT1
711363.63100000
PA
USD
701103.85000000
0.115503084118
Long
ABS-CBDO
USGSE
US
N
2
2048-04-15
Fixed
0.04000000
N
N
N
N
N
N
CSMC SER 2014-3R
N/A
CSMC SER 2014-3R VAR 05/27/2037
12648GAJ6
72121.41710000
PA
USD
7.21000000
0.000001187808
Long
ABS-CBDO
CORP
US
N
3
2037-05-27
Variable
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.679% 02/01/2039#AL8741
3138ETWB8
28164.16560000
PA
USD
29101.97000000
0.004794392854
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Variable
0.06723000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-17 PG 6% 4/29
31359VSD6
20946.62280000
PA
USD
21307.30000000
0.003510262943
Long
ABS-CBDO
USGSE
US
N
2
2029-04-25
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 10/34 #A45794
3128K6NK2
14777.11340000
PA
USD
15167.44000000
0.002498754069
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2052#QE0436
3133B9PV0
1124195.82800000
PA
USD
1034839.91000000
0.170484302966
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/37 #908771
31411HT42
2096.17950000
PA
USD
2205.16000000
0.000363288236
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 06/01/2051#FM7507
3140XBKV1
3377483.89410000
PA
USD
2924341.40000000
0.481769499221
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
454722.73300000
PA
USD
468119.55000000
0.077120175222
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 03/01/2032#
31287P6S7
2393.24570000
PA
USD
2482.63000000
0.000408999924
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.06500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 4.5% 07/25/2048
3136BM7C6
817535.74740000
PA
USD
807353.83000000
0.133007196209
Long
ABS-CBDO
USGSE
US
N
2
2048-07-25
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2032#J38057
31307U5S3
95707.13940000
PA
USD
92482.99000000
0.015236074617
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/35 #830779
31407G6Q6
3402.53780000
PA
USD
3575.68000000
0.000589074026
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR3124
36192XPH6
16230.45460000
PA
USD
15318.76000000
0.002523683224
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 09/01/2054 #TBA
21H060697
-7250000.00000000
PA
USD
-7355138.78000000
-1.21171950947
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2046#BM4548
3140J9BS9
133796.72540000
PA
USD
133639.92000000
0.022016457221
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2041#770824
36176ND57
93712.96700000
PA
USD
91445.12000000
0.015065091123
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2047#ZA4942
31329NP36
206755.69500000
PA
USD
194844.64000000
0.032099605278
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.03500000
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
257000.00000000
PA
USD
257885.75000000
0.042485288699
Long
ABS-CBDO
CORP
US
N
2
2026-06-22
Fixed
0.05890000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.386 08/18/2025
N/A
6200000.00000000
NC
USD
209984.27000000
0.034593777799
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 08/20/35 SOFRV3.386%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-08-20
0.00000000
USD
0.00000000
USD
6200000.00000000
USD
1.00000000
3.38600000
USD
2025-08-18
XXXX
-5775.73000000
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 351 12 5.5% 4/34
3136FCJB3
8176.05780000
PA
USD
1295.40000000
0.000213410174
Long
ABS-CBDO
USGSE
US
N
2
2034-04-25
Variable
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 05/01/2034#C91764
3128P75Z2
135499.90470000
PA
USD
131946.56000000
0.021737485279
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #490635
36210FBC9
286.84900000
PA
USD
291.98000000
0.000048102132
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3832 PE 5% 3/41
3137A7WV8
155269.62880000
PA
USD
158149.91000000
0.026054346097
Long
ABS-CBDO
USGSE
US
N
2
2041-03-15
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 1% 08/15/2038
3137FFWL7
780637.54290000
PA
USD
737592.80000000
0.121514442152
Long
ABS-CBDO
USGSE
US
N
2
2038-08-15
Fixed
0.01000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 10/35 #835556
31407NH97
7079.97850000
PA
USD
7440.83000000
0.001225836676
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 4/42 #C03856
31292LH99
30199.97330000
PA
USD
29558.78000000
0.004869649842
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2052#CB2905
3140QNGP1
177278.68110000
PA
USD
164462.00000000
0.027094228936
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2047#ZM3810
3131XXGT2
16556.30000000
PA
USD
15602.50000000
0.002570427861
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 03/31/2031
91282CKF7
890000.00000000
PA
USD
906409.38000000
0.149326064696
Long
DBT
UST
US
N
2
2031-03-31
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2040#MA4204
31418DU67
16218.45200000
PA
USD
14099.83000000
0.002322871070
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
230000.00000000
PA
USD
232169.66000000
0.038248701342
Long
ABS-CBDO
CORP
US
N
2
2027-04-20
Fixed
0.05250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745192
3620C02Z0
94268.39180000
PA
USD
93938.87000000
0.015475923008
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 11/01/2047#Q52082
3132XUJ48
20563.04320000
PA
USD
20274.25000000
0.003340073518
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2051#FM6560
3140XAJE3
18722.03300000
PA
USD
15433.87000000
0.002542646977
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 ARM 5.91% 3/36 #865849
31409A5J4
5925.92910000
PA
USD
6085.80000000
0.001002602780
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.05971000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AP5129
3138M8VX8
41170.63030000
PA
USD
39102.95000000
0.006442000458
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745068
3620C0W53
30621.86890000
PA
USD
30514.31000000
0.005027068264
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/01/2045#G61807
31335CAG9
67021.87200000
PA
USD
65632.04000000
0.010812525187
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/35#BO9279
3140K5JZ1
129885.12960000
PA
USD
121490.58000000
0.020014918875
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3432
3133B0Y56
146663.26160000
PA
USD
121133.87000000
0.019956152824
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 6.5% 03/01/2054#CB8113
3140QUAP1
447682.79600000
PA
USD
461378.58000000
0.076009636712
Long
ABS-MBS
USGSE
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 2.5% 05/20/2052#MA8042
36179W5B0
10357717.79200000
PA
USD
9048517.80000000
1.490694584839
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#CB4893
3140QQNK7
752755.19050000
PA
USD
755968.33000000
0.124541711775
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
FHR 2947 XZ 6% 3/35
31395RA81
70085.18530000
PA
USD
73003.03000000
0.012026856099
Long
ABS-CBDO
USGSE
US
N
2
2035-03-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 04/20/2053#MA8799
36179XX43
2110431.17900000
PA
USD
2066487.36000000
0.340442665338
Long
ABS-MBS
USGA
US
N
2
2053-04-20
Fixed
0.04500000
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
761966.98600000
PA
USD
748025.50000000
0.123233173301
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
251077.91110000
PA
USD
243131.62000000
0.040054625226
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 09/01/2054 #TBA
21H052694
14900000.00000000
PA
USD
14995309.34000000
2.470396469920
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 03/20/2046#MA3523
36179R4G1
3987.46920000
PA
USD
3985.75000000
0.000656630850
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/39 #G08368
3128MJMS6
628149.91130000
PA
USD
628205.82000000
0.103493526203
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18481
3132J92P2
18885.89130000
PA
USD
18451.36000000
0.003039762206
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8010
3138WH3U4
40969.47360000
PA
USD
39144.73000000
0.006448883488
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.29% 3/36 #1G1852
3128QSBV7
19868.77480000
PA
USD
20281.83000000
0.003341322282
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.05824000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 08/35#MA4095
31418DRR5
439836.86000000
PA
USD
400475.42000000
0.065976169042
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
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 2012-149 DA 1.75% 01/25/2043
3136AA4A0
25599.93190000
PA
USD
23744.59000000
0.003911793347
Long
ABS-CBDO
USGSE
US
N
2
2043-01-25
Fixed
0.01750000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
470000.00000000
NC
USD
69377.83000000
0.011429623920
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
118175.69000000
USD
0.00000000
USD
470000.00000000
USD
-48797.86000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/41 #Q00753
3132GDZS4
20700.61020000
PA
USD
20692.29000000
0.003408943357
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
AJAX MTG LN TR 2021-E
N/A
AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A
009740AA9
1738120.45910000
PA
USD
1517845.50000000
0.250056873123
Long
ABS-CBDO
CORP
US
N
2
2060-12-25
Fixed
0.01740000
N
N
N
N
N
N
RMF BUYOUT ISSUANCE TRUST 2021
N/A
RMF BUYOUT ISSUANCE TRUST 2021 1.268% 11/25/2031 144A
74969TAA8
75722.81590000
PA
USD
74861.74000000
0.012333068563
Long
ABS-CBDO
CORP
US
N
2
2031-11-25
Fixed
0.01258600
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 9/41 #Q03358
3132GJMF3
31965.15480000
PA
USD
31303.74000000
0.005157122606
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 01/01/2041#A96051
312944WL1
153250.95390000
PA
USD
153249.50000000
0.025247029936
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2039#
312933CQ5
7473.67560000
PA
USD
7474.16000000
0.001231327614
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q20358
3132JMMF3
9221.25830000
PA
USD
8997.02000000
0.001482210599
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/51#BQ1010
3140KLDQ2
247753.54390000
PA
USD
205324.36000000
0.033826082719
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #737007
3620AQYC1
24664.45380000
PA
USD
24573.37000000
0.004048330389
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2003-21 SK SOFR30A+798.552 3/33
31392JY37
5154.73040000
PA
USD
562.62000000
0.000092688615
Long
ABS-CBDO
USGSE
US
N
2
2033-03-25
Variable
0.02636680
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
1141000.00000000
PA
USD
1148527.98000000
0.189213800333
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 7.00% 1/27 #256630
31371NA70
2739.18660000
PA
USD
2765.83000000
0.000455655599
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873245 04/17/65 S
N/A
900000.00000000
NC
USD
-13336.65000000
-0.00219714127
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
14231.15000000
USD
900000.00000000
USD
894.50000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 02/01/2041#
31418DW65
17312.35200000
PA
USD
15023.78000000
0.002475086857
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
1014315.01200000
PA
USD
900775.53000000
0.148397918245
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 01/01/2042#RB5142
3133KYWB1
458526.78600000
PA
USD
407898.23000000
0.067199037020
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.02500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) FUT DEC24 FVZ4
N/A
145.00000000
NC
USD
-68218.51000000
-0.01123863219
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-12-31
15930991.95000000
USD
-68218.51000000
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 09/18/54
N/A
1311000.00000000
NC
USD
37650.58000000
0.006202730321
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2054-09-18
0.00000000
USD
0.00000000
USD
1300339.89000000
USD
37650.58000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
716355.88020000
PA
USD
693396.60000000
0.114233356181
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 06/15/2027
91282CKV2
1130000.00000000
PA
USD
1154365.63000000
0.190175521737
Long
DBT
UST
US
N
2
2027-06-15
Fixed
0.04625000
N
N
N
N
N
N
UBS COML MTG TR 2017-C7
N/A
UBSCM 2017-C7 XA CSTR 12/50
90276WAT4
5184205.72280000
PA
USD
135633.34000000
0.022344862432
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.01132453
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2052#CB3313
3140QNVF6
2599307.91000000
PA
USD
2483700.57000000
0.409176295156
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 04/36#MA4302
31418DX80
16738.36800000
PA
USD
14820.51000000
0.002441599219
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2046#Q40085
3132WDCX0
97239.65990000
PA
USD
91195.31000000
0.015023936271
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/41 #Q01208
3132GEKV1
15059.17620000
PA
USD
15060.69000000
0.002481167581
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 02/01/2042#BU1292
3140M2NJ7
642378.51590000
PA
USD
553847.13000000
0.091243332418
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 02/01/2052#CB2765
3140QNCB6
1109610.93600000
PA
USD
911955.27000000
0.150239720211
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
140000.00000000
NC
USD
20665.74000000
0.003404569388
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
35633.81000000
USD
0.00000000
USD
140000.00000000
USD
-14968.07000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#FS0898
3140XF7L9
697412.93600000
PA
USD
622613.17000000
0.102572167230
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 4% 06/01/2048#ZM6780
3131Y1Q94
415359.41370000
PA
USD
398832.80000000
0.065705556242
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #739706
3620ATYB7
17585.46680000
PA
USD
17863.27000000
0.002942877545
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2048#Q59935
3132Y4BD3
127610.10820000
PA
USD
123669.79000000
0.020373931989
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
35192.51700000
PA
USD
34116.63000000
0.005620531087
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 7.00% 5/28 #476306
36209NDK5
89.14650000
PA
USD
90.69000000
0.000014940689
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/40 #A94662
312943FB4
17875.29800000
PA
USD
17870.41000000
0.002944053822
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST 2024-2
N/A
CITIZENS AUTO RECEIVABLES TRUST 2024-2 5.33% 08/15/2028 144A
17331XAD3
261000.00000000
PA
USD
264186.99000000
0.043523384059
Long
ABS-CBDO
CORP
US
N
2
2028-08-15
Fixed
0.05330000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 09/20/2051#785619
3622ABDY5
1217759.25400000
PA
USD
1050136.52000000
0.173004337097
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 06/01/2029#
31293R3X7
1270.91510000
PA
USD
1294.06000000
0.000213189416
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6642
3140QSLY5
446744.91900000
PA
USD
456538.37000000
0.075212238177
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 15YR 3% 11/01/2034#FS1799
3140XG7M5
69000.67000000
PA
USD
66922.69000000
0.011025152825
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-150 ZC 4.75% 01/41
31397QAV0
234350.87250000
PA
USD
235119.85000000
0.038734729259
Long
ABS-CBDO
USGSE
US
N
2
2041-01-25
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2032#FM1681
3140X42P0
2480711.87610000
PA
USD
2368556.16000000
0.390206873616
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 2014 SER 4314 A1 5% 03/15/2034
3137B9ED3
1411.50470000
PA
USD
18.43000000
0.000003036243
Long
ABS-CBDO
USGSE
US
N
2
2034-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT1323
36193YPG5
13842.00410000
PA
USD
13064.47000000
0.002152301085
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/40 #004696
36202FGD2
11679.56070000
PA
USD
11663.68000000
0.001921528475
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2046#Q40647
3132WDWH3
144638.18010000
PA
USD
135557.17000000
0.022332313835
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2052#
31418EAQ3
245704.73970000
PA
USD
226420.78000000
0.037301604318
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 01/01/2052#CB2610
3140QM3U6
69460.60300000
PA
USD
57087.54000000
0.009404864821
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/01/2054 #TBA
21H032696
13550000.00000000
PA
USD
12609997.21000000
2.077429140470
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.03500000
N
N
N
N
N
N
AJAXM 2021-C
N/A
AJAXM 2021-C A 2.115% 01/25/2061 144A
009733AA4
189397.46200000
PA
USD
187151.30000000
0.030832168938
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 15YR 1.5% 11/01/2035#BQ5806
3140KRNY1
592231.72620000
PA
USD
526040.24000000
0.086662297020
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/29 #495064
36210K5Z4
424.66690000
PA
USD
442.09000000
0.000072831947
Long
ABS-MBS
USGA
US
N
2
2029-12-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13654
3132HQBX9
10609.78400000
PA
USD
10362.70000000
0.001707199025
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
CHASE AUTO OWNER TRUST 2024-1
N/A
CHASE AUTO OWNER TRUST 2024-1 5.13% 05/25/2029 144A
16144BAC2
209000.00000000
PA
USD
211926.50000000
0.034913749734
Long
ABS-CBDO
CORP
US
N
2
2029-05-25
Fixed
0.05130000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#MA4475
31418D6M9
308187.38740000
PA
USD
274158.66000000
0.045166162998
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2042#AB9201
36178WGJ2
6094.76840000
PA
USD
5938.42000000
0.000978322718
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033
31394KF41
389204.73960000
PA
USD
394772.51000000
0.065036645327
Long
ABS-CBDO
USGSE
US
N
2
2033-10-15
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 09/01/2042#ZL3774
3131XKFP9
503335.23200000
PA
USD
478084.87000000
0.078761908033
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 07/01/2041#CB1074
3140QLFQ4
106628.71100000
PA
USD
95888.19000000
0.015797062982
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 09/01/2054 #TBA
01F032690
-500000.00000000
PA
USD
-460214.85000000
-0.07581791846
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.03500000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A
165183CZ5
128224.07000000
PA
USD
130081.61000000
0.021430244809
Long
ABS-CBDO
CORP
US
N
2
2035-10-15
Fixed
0.06160000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 4/32 #C01343
31292HP40
1184.79010000
PA
USD
1227.63000000
0.000202245432
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
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 21-66 DM 2% 01/25/2048
3136BG6Y2
208572.03900000
PA
USD
174184.56000000
0.028695968344
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2047#FS1789
3140XG7B9
524586.64600000
PA
USD
495873.19000000
0.081692437970
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.264% 08/01/2041#AL6552
3138EPH64
85779.68190000
PA
USD
86666.72000000
0.014277875453
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Variable
0.05288000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873245 04/17/65 S
N/A
2900000.00000000
NC
USD
-42973.65000000
-0.00707967744
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
58381.69000000
USD
2900000.00000000
USD
15408.04000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 03/01/2041#RB5104
3133KYU56
144973.18290000
PA
USD
121300.47000000
0.019983599277
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.01500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) FUT DEC24 TUZ4
N/A
42.00000000
NC
USD
-10377.51000000
-0.00170963889
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-12-31
8727346.26000000
USD
-10377.51000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/45#MA3174
36179RQ36
4288.15800000
PA
USD
4159.58000000
0.000685268407
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
122934.11200000
PA
USD
125619.23000000
0.020695091732
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H18 AF TSFR1M+41.448 9/60
38375BER9
31851.65440000
PA
USD
31673.78000000
0.005218084704
Long
ABS-CBDO
USGA
US
N
2
2060-09-20
Variable
0.05746400
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#FS0106
3140XFDL2
782123.45270000
PA
USD
677754.47000000
0.111656399491
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/29 #494945
36210KZJ7
3521.38780000
PA
USD
3598.82000000
0.000592886216
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 07/01/2029#
31293TGN1
114.68570000
PA
USD
116.84000000
0.000019248760
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2046#BD1451
3140F8TH0
61796.52180000
PA
USD
59627.39000000
0.009823291432
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2286
3140X5RG0
532806.49040000
PA
USD
509774.97000000
0.083982681369
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/41 #005202
36202FX76
5329.15780000
PA
USD
5075.98000000
0.000836240372
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 04/01/2036#FM6957
3140XAWT5
507394.24330000
PA
USD
459925.74000000
0.075770289145
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.417% 12/01/2040#848392
31300LKD6
58788.21520000
PA
USD
60475.38000000
0.009962993218
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Variable
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2051#SD8184
3132DWCV3
1203567.26940000
PA
USD
1072600.25000000
0.176705115656
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2044#MA1838
36179QBF7
2390.02990000
PA
USD
2265.15000000
0.000373171265
Long
ABS-MBS
USGA
US
N
2
2044-04-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 10/20/2050#MA6930
36179VVX5
5401034.21800000
PA
USD
4548999.47000000
0.749423168108
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2357 ZB 6.5% 9/31
3133TUUS5
21172.38380000
PA
USD
21765.56000000
0.003585758811
Long
ABS-CBDO
USGSE
US
N
2
2031-09-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 05/01/2051#SD7540
3132DVLV5
1183187.66190000
PA
USD
1025553.70000000
0.168954449871
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/41 #AE6390
31419HC42
310774.97050000
PA
USD
304234.28000000
0.050120959448
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
VOLKSWAGEN AUTO LEASE TR 2024-A
N/A
VOLKSWAGEN AUTO LSE TRUST 5.21% 06/21/2027
92866EAD1
200000.00000000
PA
USD
202623.04000000
0.033381054794
Long
ABS-CBDO
CORP
US
N
2
2027-06-21
Fixed
0.05210000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/35 #255896
31371MGD3
1940.03170000
PA
USD
2039.41000000
0.000335981816
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 09/01/2054 #TBA
21H020691
15950000.00000000
PA
USD
13429059.44000000
2.212365232534
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/48#G61343
31335BP42
261684.81700000
PA
USD
252296.14000000
0.041564430549
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 4/41 #Q00114
3132GDDT6
21607.15590000
PA
USD
21593.11000000
0.003557348602
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3295
3140XJUV3
2462032.02830000
PA
USD
2471002.44000000
0.407084346613
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
200000.00000000
PA
USD
199000.00000000
0.032784178463
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Variable
0.06679040
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2051#CB1872
3140QMCJ1
120928.88300000
PA
USD
108147.82000000
0.017816771011
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 6.00% 9/36 #C02622
31292J4F4
54425.01150000
PA
USD
56961.04000000
0.009384024627
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2042#AP8794
3138MCXY5
6090.15340000
PA
USD
5783.32000000
0.000952770829
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
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
4803834.18830000
PA
USD
176857.00000000
0.029136238444
Long
ABS-MBS
CORP
US
N
2
2056-08-10
Variable
0.01159920
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15107
3132J6DM3
9646.29160000
PA
USD
9416.62000000
0.001551337440
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 08/01/2034#C91782
3128P76T5
226077.04530000
PA
USD
220148.40000000
0.036268263487
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2039#AS3482
3138WC2Q5
7411.59310000
PA
USD
7195.44000000
0.001185409995
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
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 1.5% 10/25/2051
3137H2UY8
242125.85100000
PA
USD
203012.28000000
0.033445179988
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
103000.71100000
PA
USD
98411.70000000
0.016212797666
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2043#AD7475
36180KJU6
8389.52360000
PA
USD
8184.28000000
0.001348316060
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#738107
3620ASAG4
6588.99730000
PA
USD
6433.22000000
0.001059838354
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AC2222
36179BPF5
72220.80960000
PA
USD
66886.44000000
0.011019180832
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #648596
31390KRR1
304.34060000
PA
USD
323.22000000
0.000053248754
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/28 #399895
36205TGC1
420.86290000
PA
USD
428.38000000
0.000070573298
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 03/01/2041#SC0136
3132D9EH3
126133.30800000
PA
USD
110208.27000000
0.018156219054
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 9/26 #G30299
3128CUKL9
4363.40320000
PA
USD
4404.60000000
0.000725634132
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#AL9776
3138ER2J8
308202.59410000
PA
USD
288135.74000000
0.047468811667
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/39 #721187
3620A7F42
1697.88500000
PA
USD
1723.51000000
0.000283938992
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 7/33 #003426
36202DYX3
7191.66770000
PA
USD
7061.90000000
0.001163409999
Long
ABS-MBS
USGA
US
N
2
2033-07-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13121
3132HPPE8
28995.72610000
PA
USD
28376.74000000
0.004674915117
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/01/2043#G08546
3128MJTC4
3086.38750000
PA
USD
3013.82000000
0.000496510616
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #463389
36208WXS7
492.29500000
PA
USD
498.88000000
0.000082187793
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2013-133 IB 3% 04/32
3136AHQ94
13655.93910000
PA
USD
157.68000000
0.000025976930
Long
ABS-CBDO
USGSE
US
N
2
2032-04-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 09/01/2033#
31283HX75
25029.18510000
PA
USD
25861.81000000
0.004260593941
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #778681
36176W2N0
32514.34740000
PA
USD
31702.06000000
0.005222743681
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2046#BD1489
3140F8UP0
65244.78040000
PA
USD
62954.61000000
0.010371433011
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#BQ6318
3140KSAU1
624423.67390000
PA
USD
553658.55000000
0.091212264878
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 6/41 #005082
36202FUF1
6024.92740000
PA
USD
6018.57000000
0.000991526999
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19690
3132JBF81
29337.57630000
PA
USD
28676.44000000
0.004724289078
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/46#AS7008
36193SYD5
19257.22180000
PA
USD
18175.50000000
0.002994315757
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #737191
3620AQ7C1
29219.01140000
PA
USD
29670.38000000
0.004888035341
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
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
224000.00000000
PA
USD
226593.47000000
0.037330054065
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
264592.31200000
PA
USD
248126.07000000
0.040877433971
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 7.5% 11/01/2029#
31292G6T8
1239.08630000
PA
USD
1290.46000000
0.000212596336
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040
3137BJGM9
92651.46940000
PA
USD
91530.40000000
0.015079140544
Long
ABS-CBDO
USGSE
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2044#Q24546
3132M4WF8
16413.03690000
PA
USD
16021.67000000
0.002639483862
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT0648
3138WMWJ6
111648.71930000
PA
USD
105865.08000000
0.017440701888
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 12/01/2035#SB8078
3132D56P2
624241.10820000
PA
USD
553496.67000000
0.091185596020
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.01500000
N
N
N
N
N
N
WFRBS COML MTG TR 2014-C24
N/A
WFRBS 2014-C24 XA CSTR 11/47
92939KAH1
1681612.53290000
PA
USD
41.87000000
0.000006897857
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.00958368
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 02/01/2051#SD8127
3132DWA45
2532104.55910000
PA
USD
1980953.26000000
0.326351382930
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 07/01/2053#RA9382
3133KRM76
514877.64400000
PA
USD
530851.21000000
0.087454878422
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS4758
36193PJB2
13083.90000000
PA
USD
12348.95000000
0.002034423018
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 3.7375 02/26/2025
N/A
3100000.00000000
NC
USD
131596.02000000
0.021679735702
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 02/28/35 SOFRV3.7375%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-02-28
0.00000000
USD
0.00000000
USD
3100000.00000000
USD
1.00000000
3.73750000
USD
2025-02-26
XXXX
19686.02000000
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
409195.72340000
PA
USD
380497.97000000
0.062684991725
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 15YR 3% 04/01/2032#J36729
31307TPN5
7386.15810000
PA
USD
7155.44000000
0.001178820210
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#RA6506
3133KNGP2
56290.48000000
PA
USD
46263.42000000
0.007621649334
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 12/20/2042#AA5872
36178DQZ7
177088.19380000
PA
USD
162973.84000000
0.026849062589
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 11/20/2044#MA2372
36179QT50
460949.53570000
PA
USD
447704.38000000
0.073756885892
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 11/26 #C91010
3128P7DP5
516.11640000
PA
USD
523.44000000
0.000086233921
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2050#CA7323
3140QFD55
1005552.03810000
PA
USD
839630.32000000
0.138324574140
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02000000
N
N
N
N
N
N
BX 2024-CNYN
N/A
BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A
05612HAA9
701253.66000000
PA
USD
698177.89000000
0.115021047964
Long
ABS-MBS
CORP
US
N
2
2041-04-15
Variable
0.06778768
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22677
3132JP6N7
16222.70640000
PA
USD
15820.73000000
0.002606380079
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552554
36213EZT6
60789.79300000
PA
USD
59302.63000000
0.009769788971
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2036#CB2246
3140QMP81
247083.97900000
PA
USD
229107.24000000
0.037744184137
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02500000
N
N
N
N
N
N
MFA 2022-RPL1 TR
N/A
MFA 2022-RPL1 TR 3.3% 08/25/2061 144A
55285TAA4
921844.61740000
PA
USD
865327.15000000
0.142557988516
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 30YR 3.5% 11/01/2046#BC9014
3140F5AQ6
523808.11660000
PA
USD
490358.10000000
0.080783856589
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#RA6926
3133KNVT7
48174.71600000
PA
USD
43007.82000000
0.007085306764
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 09/01/2054 #TBA
21H052694
-7875000.00000000
PA
USD
-7925373.23000000
-1.30566256462
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2047#BJ4340
3140H5ZE4
57944.30600000
PA
USD
55656.88000000
0.009169171289
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #484199
36209W3G5
76.43680000
PA
USD
77.80000000
0.000012817131
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AB2079
31416XJZ4
362511.09190000
PA
USD
354819.59000000
0.058454616888
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2043#AD0793
36180B3A7
33758.27330000
PA
USD
31109.89000000
0.005125186862
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 6/35 #003722
36202ED30
1292.00440000
PA
USD
1288.65000000
0.000212298148
Long
ABS-MBS
USGA
US
N
2
2035-06-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 03/01/2042#MA4570
31418ECG3
1895114.94470000
PA
USD
1628011.57000000
0.268206139955
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #646424
31390HD51
515.32110000
PA
USD
545.86000000
0.000089927495
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
DLLAA 2023-1A
N/A
DLLAA 2023-1A 5.93% 07/20/2026 144A
23292HAB7
90969.28000000
PA
USD
91281.50000000
0.015038135610
Long
ABS-CBDO
CORP
US
N
2
2026-07-20
Fixed
0.05930000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE4645
31419FET9
16656.77680000
PA
USD
16332.86000000
0.002690750738
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
2467.28100000
PA
USD
2354.68000000
0.000387920850
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2015-C29
549300NYO16WLNMVJJ46
WELLS FARGO COML MTG TR 2015-C29 A4 3.637% 06/15/2048
94989KAV5
4000000.00000000
PA
USD
3941204.40000000
0.649292203063
Long
ABS-MBS
CORP
US
N
2
2048-06-15
Fixed
0.03637000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2047#CA0257
3140Q7JB4
162133.52300000
PA
USD
152793.12000000
0.025171843789
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 3.386 08/18/2025
N/A
6200000.00000000
NC
USD
207073.37000000
0.034114222698
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 08/20/35 3.386%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-08-20
0.00000000
USD
0.00000000
USD
6200000.00000000
USD
1.00000000
3.38600000
USD
2025-08-18
XXXX
-8686.63000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 08/01/2032#J37406
31307UGP7
16946.26080000
PA
USD
16394.89000000
0.002700969847
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/20/2051#MA7192
36179V7D6
587304.29600000
PA
USD
494654.69000000
0.081491696656
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/01/2048#ZM8154
3131Y3BX3
41383.08720000
PA
USD
39827.03000000
0.006561288739
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2046#AS9183
36193VFY3
6283.70980000
PA
USD
5930.74000000
0.000977057480
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 08/01/2041#RB5122
3133KYVP1
591990.98700000
PA
USD
528105.87000000
0.087002598440
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-73 AL TSFR1M+708.552 8/34
38374H2N9
11515.30640000
PA
USD
1065.91000000
0.000175602932
Long
ABS-CBDO
USGA
US
N
2
2034-08-17
Variable
0.01746880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2028#FS3865
3140XKJK7
147070.87880000
PA
USD
142145.24000000
0.023417662893
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/35 #255816
31371MDV6
717.43870000
PA
USD
753.49000000
0.000124133420
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/41 #Q01393
3132GERN2
34347.84470000
PA
USD
34354.18000000
0.005659666171
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9701
3138EEX79
26541.11630000
PA
USD
25926.05000000
0.004271177135
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#BU5834
3140M7PU9
225324.89300000
PA
USD
185187.63000000
0.030508664879
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 4.5% 06/20/2043#MA1092
36179NF94
2025.12800000
PA
USD
2022.73000000
0.000333233875
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2031#AS8511
3138WJN53
324437.49000000
PA
USD
309682.33000000
0.051018496349
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
0.02500000
N
N
N
N
N
N
BX COML MTG TR 2024-XL5
N/A
BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2039 144A
05612GAA1
1066388.60000000
PA
USD
1063056.14000000
0.175132774925
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Variable
0.06728540
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2320
3140QMSJ4
767630.53490000
PA
USD
661762.23000000
0.109021764063
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 20YR 2.5% 06/01/2041#BR1090
3140KYF82
119602.12070000
PA
USD
107405.31000000
0.017694446487
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 4.6696% 08/25/2061 144A
62955RAA3
316281.98030000
PA
USD
307345.31000000
0.050633484888
Long
ABS-CBDO
CORP
US
N
2
2061-08-25
Fixed
0.04669600
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2933 ZM 5.75% 02/15/2035
31395MT74
128070.47220000
PA
USD
132760.37000000
0.021871556095
Long
ABS-CBDO
USGSE
US
N
2
2035-02-15
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/28 #477463
36209PML8
392.32830000
PA
USD
403.27000000
0.000066436561
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2047#CA0607
3140Q7U96
2702939.58630000
PA
USD
2525263.74000000
0.416023603612
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 3.865 05/15/2025
N/A
4600000.00000000
NC
USD
65842.97000000
0.010847274768
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 05/19/35 3.865%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-05-19
0.00000000
USD
0.00000000
USD
4600000.00000000
USD
1.00000000
3.86500000
USD
2025-05-15
XXXX
-82737.03000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2043#AQ9947
3138MSBR9
19011.85440000
PA
USD
18086.13000000
0.002979592530
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 02/01/2041#
3132GE5T3
19201.10370000
PA
USD
19191.60000000
0.003161712760
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/46#BC1354
3140EVQG5
141840.46440000
PA
USD
132871.28000000
0.021889827920
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2021-96 AH 2.5% 03/25/2049
3136BKXA5
1468605.25100000
PA
USD
1323721.17000000
0.218075935039
Long
ABS-CBDO
USGSE
US
N
2
2049-03-25
Fixed
0.02500000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-GC33
N/A
CGCMT 2015-GC33 XA CSTR 09/58
29425AAK9
7675157.06170000
PA
USD
44738.49000000
0.007370425328
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Variable
0.01018153
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.66% 8/35 #745071
31403CW80
16061.69470000
PA
USD
16523.47000000
0.002722152710
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Variable
0.07436000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 11/32#ZK9037
3131XDBE4
804956.97420000
PA
USD
776805.86000000
0.127974582640
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2045#BC4834
3140F0LQ5
383.63600000
PA
USD
379.24000000
0.000062477747
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA SOFR30A+593.552 01/25/2044
3136AHTW0
30512.17650000
PA
USD
3426.55000000
0.000564505661
Long
ABS-CBDO
USGSE
US
N
2
2044-01-25
Variable
0.00586680
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 10/41 #Q04113
3132GKGW0
16001.57580000
PA
USD
15657.74000000
0.002579528354
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AH0851
3138A15M9
8916.24830000
PA
USD
8718.79000000
0.001436373705
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2046#AZ6451
3138YYEZ2
73465.20520000
PA
USD
68888.56000000
0.011349019322
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q17564
3132J8Z60
8755.09360000
PA
USD
8313.50000000
0.001369604360
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
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
14761.24000000
0.002431834806
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
16749.37000000
USD
0.00000000
USD
100000.00000000
USD
-1988.13000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2049#BN6567
3140JPJM8
30082.92540000
PA
USD
28039.64000000
0.004619379707
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AX7918
3138Y9YQ5
38589.78240000
PA
USD
37440.24000000
0.006168077939
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9278
3133KRJX3
590511.19000000
PA
USD
606616.79000000
0.099936849759
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% 01/01/2047#BE7834
3140FTV40
69570.07070000
PA
USD
65127.37000000
0.010729383522
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
GS MTG SECS CORP TR 2021-IP
N/A
GSMS 2021-IP A TSFR1M+106.448 10/15/2036 144A
36262MAA6
525649.00000000
PA
USD
517774.15000000
0.085300503202
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06401480
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2104 PG 6% 12/28
3133THA56
9078.52180000
PA
USD
9241.79000000
0.001522535139
Long
ABS-CBDO
USGSE
US
N
2
2028-12-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6416
3140QEDW9
2841651.35020000
PA
USD
2558187.53000000
0.421447620733
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4% 08/15/2037
3137BWYF5
18164.46000000
PA
USD
18044.19000000
0.002972683141
Long
ABS-CBDO
USGSE
US
N
2
2037-08-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.293% 3/35 #815586
31406PCX5
1511.23040000
PA
USD
1533.79000000
0.000252683643
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Variable
0.06583000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-39 TE 5% 5/35
31394DTZ3
58491.51310000
PA
USD
59476.56000000
0.009798443002
Long
ABS-CBDO
USGSE
US
N
2
2035-05-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 3/1/43#AR6743
3138W4P54
88965.46030000
PA
USD
84274.57000000
0.013883781622
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2035#FM3159
3140X6QM6
290095.88800000
PA
USD
264134.92000000
0.043514805807
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2042#792254
36177LQG2
11614.49190000
PA
USD
11321.38000000
0.001865136393
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.04000000
N
N
N
N
N
N
WELLS FARGO COML MORTAGE TR 2024-MGP
N/A
WELLS FARGO COML MORTAGE TR 2024-MGP A12 TSFR1M+179.1 08/15/2041 144A
95003TAS2
1000000.00000000
PA
USD
997392.30000000
0.164315010859
Long
ABS-MBS
CORP
US
N
2
2041-08-15
Variable
0.07041150
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#CB2886
3140QNF49
1192840.12060000
PA
USD
1067886.30000000
0.175928517777
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 20YR 2.5% 04/01/2041#SC0158
3132D9E75
683794.64770000
PA
USD
612994.07000000
0.100987472300
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AE9338
31419LLU5
12610.78220000
PA
USD
12348.75000000
0.002034390069
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
33712.98670000
PA
USD
31874.95000000
0.005251226378
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 12/33 #G03583
3128M5J43
8517.70380000
PA
USD
8963.21000000
0.001476640584
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.47% 3/40 #AD0820
31418M4E9
5779.48660000
PA
USD
5945.65000000
0.000979513822
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Variable
0.06028000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 04/01/2037#BM1257
3140J5MF3
2427906.77350000
PA
USD
2256944.02000000
0.371819374538
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
871801.59490000
PA
USD
802981.05000000
0.132286804250
Long
ABS-CBDO
CORP
US
N
2
2061-07-25
Fixed
0.02042400
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479596
36209RXZ1
2542.05670000
PA
USD
2482.35000000
0.000408953796
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/32 #663318
31391C4B8
21901.77880000
PA
USD
23249.37000000
0.003830208518
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 12/01/2047#ZM5206
3131XYYB9
14410.96700000
PA
USD
13576.26000000
0.002236615732
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 6/36 #885763
31410DB82
9987.61670000
PA
USD
10472.14000000
0.001725228676
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 09/01/2054 #TBA
01F052698
-300000.00000000
PA
USD
-302050.77000000
-0.04976123793
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2042#AA0565
36177WTW0
2449.07170000
PA
USD
2385.84000000
0.000393054293
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.5% 02/43 #Q15871
3132J66H2
28593.29050000
PA
USD
27353.50000000
0.004506341837
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.00% 12/29 #252926
31371H4K1
21.41600000
PA
USD
22.08000000
0.000003637561
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/44#MA1760
36179N5V6
2613.86900000
PA
USD
2478.41000000
0.000408304702
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2043#ZS3684
3132A4CV8
270629.07100000
PA
USD
257230.55000000
0.042377348027
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/01/2050#FM3897
3140X7KK4
393123.78950000
PA
USD
326167.69000000
0.053734370642
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2054#CB8689
3140QUUP9
796157.24400000
PA
USD
802414.48000000
0.132193464893
Long
ABS-MBS
USGSE
US
N
2
2054-06-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 12/20/2051#785791
3622ABKC5
434254.79300000
PA
USD
375023.09000000
0.061783034725
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 9.00% 10/30 #567024
31386L4H2
15165.41620000
PA
USD
16252.47000000
0.002677506919
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
0.09000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 02/01/2051#RA4575
3133KLCL9
446063.65100000
PA
USD
384126.29000000
0.063282737908
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
315934.12000000
PA
USD
311989.71000000
0.051398624780
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06531170
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2045#Q34458
3132QQ5U2
159165.69130000
PA
USD
154599.18000000
0.025469382449
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 11/20/2050#MA6994
36179VXX3
3112493.09200000
PA
USD
2622457.51000000
0.432035753869
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #737104
3620AQ3M3
35446.34990000
PA
USD
35323.04000000
0.005819280639
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
58889.44020000
PA
USD
58815.92000000
0.009689606119
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/39 #AC5442
31417SBL3
102750.59330000
PA
USD
102636.34000000
0.016908784358
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 09/01/2047#ZM4241
3131XXWA5
6238.51800000
PA
USD
5879.12000000
0.000968553363
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 7/26 #256384
31371MXM4
351.63600000
PA
USD
352.47000000
0.000058067534
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 09/01/2053#CB7134
3140QS4U2
660757.58600000
PA
USD
690470.27000000
0.113751259071
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #510903
36211ERY6
1399.23910000
PA
USD
1430.01000000
0.000235586447
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#AE0698
31419AX44
73637.04540000
PA
USD
73543.33000000
0.012115867615
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2346
3140QMTC8
555304.32160000
PA
USD
461767.14000000
0.076073649880
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% 05/01/2045#Q33801
3132QQGK2
10967.41730000
PA
USD
10326.82000000
0.001701287989
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042
3136AA2T1
30874.41380000
PA
USD
28576.81000000
0.004707875572
Long
ABS-CBDO
USGSE
US
N
2
2042-06-25
Fixed
0.01750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 6/39 #AA9805
31416T3P2
1839.18250000
PA
USD
1803.86000000
0.000297176221
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 05/01/2053#FS4631
3140XLED6
1009928.84700000
PA
USD
1025440.65000000
0.168935825492
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2050#FM3237
3140X6S36
223181.64880000
PA
USD
206069.91000000
0.033948908067
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047
38380HES7
405475.84780000
PA
USD
370146.37000000
0.060979621364
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2044#V81064
3132L6FD8
1944.61360000
PA
USD
1936.51000000
0.000319029595
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2015-C31
N/A
WFCM 2015-C31 XA CSTR 11/48
94989WAV9
3851199.19280000
PA
USD
26242.46000000
0.004323303979
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
0.01098511
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5345
3140J95F4
1260204.96090000
PA
USD
1219566.75000000
0.200917055175
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 20YR 7.00% 12/26 #C91019
3128P7DY6
1912.85850000
PA
USD
1935.44000000
0.000318853318
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2802 OB 6% 5/34
31394YPA6
39237.92050000
PA
USD
40227.05000000
0.006627189880
Long
ABS-CBDO
USGSE
US
N
2
2034-05-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/29 #506350
31383LQB4
1538.32920000
PA
USD
1603.42000000
0.000264154811
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK7441
3138ECHT3
22845.54980000
PA
USD
22321.00000000
0.003677264560
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 05/15/2034
91282CKQ3
1050000.00000000
PA
USD
1088062.50000000
0.179252438086
Long
DBT
UST
US
N
2
2034-05-15
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA FHAL 7% 12/28#252285
31371HF29
637.65090000
PA
USD
651.64000000
0.000107354181
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT3073
3138WQMX7
18764.30960000
PA
USD
17792.19000000
0.002931167498
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#AS7822
3138WHVQ2
102670.64170000
PA
USD
96114.17000000
0.015834291970
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #772072
36176PQZ2
21675.44320000
PA
USD
21135.79000000
0.003482007594
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#FS3047
3140XJL50
1022646.76160000
PA
USD
1026372.78000000
0.169089388891
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
2210732.77280000
PA
USD
1893402.64000000
0.311927889711
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02500000
N
N
N
N
N
N
BPR TRUST 2021-TY
N/A
BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A
05592DAA2
1066491.00000000
PA
USD
1067824.11000000
0.175918272309
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.07234890
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2007-66 SB SOFR30A+3891.312 7/37
31396WYZ3
5387.81720000
PA
USD
6069.70000000
0.000999950392
Long
ABS-CBDO
USGSE
US
N
2
2037-07-25
Variable
0.06820081
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#BT9396
3140LYNN9
119100.99070000
PA
USD
106843.63000000
0.017601912731
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% 06/01/2042#MA4630
31418EEC0
668057.35130000
PA
USD
573899.28000000
0.094546816158
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 03/01/2054#CB8112
3140QUAN6
395822.15000000
PA
USD
403649.14000000
0.066499022323
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
0.06000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 3.502 01/04/2029
N/A
-7600000.00000000
NC
USD
-296118.27000000
-0.04878389050
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/08/34 3.502%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-01-08
0.00000000
USD
0.00000000
USD
-7600000.00000000
USD
1.00000000
3.50200000
USD
2029-01-04
XXXX
19661.73000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#CB1071
3140QLFM3
729789.07130000
PA
USD
632859.87000000
0.104260255880
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 08/15/2034
91282CLF6
3410000.00000000
PA
USD
3397205.34000000
0.559671287149
Long
DBT
UST
US
N
2
2034-08-15
Fixed
0.03875000
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#778869
36176XCE7
16997.73910000
PA
USD
16578.94000000
0.002731291093
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2050#CA7616
3140QFPA1
610453.63720000
PA
USD
505528.50000000
0.083283098302
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2046#G08687
3128MJXR6
51928.38030000
PA
USD
48749.23000000
0.008031173147
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.75% 08/15/2027
91282CLG4
2460000.00000000
PA
USD
2457309.38000000
0.404828488710
Long
DBT
UST
US
N
2
2027-08-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#CB1799
3140QL7M2
2144702.00250000
PA
USD
1783441.75000000
0.293812425179
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 4.5% 06/01/2044#AL5512
3138ENDS5
48896.68540000
PA
USD
48607.47000000
0.008007818950
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
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 4% 10/15/2046
3137BYNZ9
201926.61900000
PA
USD
196747.34000000
0.032413064857
Long
ABS-CBDO
USGSE
US
N
2
2046-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/32 #641058
31390BE79
3520.90860000
PA
USD
3737.55000000
0.000615741237
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 03/01/2033#AB0066
31416VCC6
28941.67370000
PA
USD
29303.27000000
0.004827555945
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 02/01/2041#MA4266
31418DW40
142201.03160000
PA
USD
118980.98000000
0.019601475789
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
894361.08640000
PA
USD
766542.85000000
0.126283807005
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3002 NE 5% 7/35
31395WMR5
36254.21790000
PA
USD
36914.04000000
0.006081389322
Long
ABS-CBDO
USGSE
US
N
2
2035-07-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/01/2037#FS2747
3140XJBR3
1084831.90490000
PA
USD
960533.28000000
0.158242685785
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
2372533.04710000
PA
USD
2269050.75000000
0.373813893116
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
797103.01900000
PA
USD
820586.87000000
0.135187268294
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
365583.36830000
PA
USD
370398.76000000
0.061021201258
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 9/35 #A47784
3128K8UH7
16803.23150000
PA
USD
17631.80000000
0.002904744109
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 02/20/2052#MA7881
36179WXJ2
9927800.59000000
PA
USD
8672941.49000000
1.428820410097
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 11/39 #004577
36202FCN4
1748.03550000
PA
USD
1745.45000000
0.000287553488
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 03/01/2036#BR4700
3140L3GJ4
16365.38800000
PA
USD
14490.26000000
0.002387192310
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.691% 02/01/2042#AK2344
3138E6TA4
5313.41450000
PA
USD
5466.18000000
0.000900523721
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Variable
0.06297000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP 4.5% 11/15/2040
3137BE3R3
339035.50250000
PA
USD
333373.30000000
0.054921456090
Long
ABS-CBDO
USGSE
US
N
2
2040-11-15
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
249000.00000000
PA
USD
249731.79000000
0.041141967695
Long
ABS-CBDO
CORP
US
N
2
2027-11-15
Fixed
0.04930000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#FM9919
3140XEAV6
563231.84120000
PA
USD
504583.52000000
0.083127417936
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
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% 04/15/2044
3137BKXM7
23554.37000000
PA
USD
23400.99000000
0.003855187097
Long
ABS-CBDO
USGSE
US
N
2
2044-04-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2051#MA4414
31418D3Y6
39664.20290000
PA
USD
33970.78000000
0.005596503085
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2042#C04038
31292LPX7
34059.91760000
PA
USD
32428.15000000
0.005342363099
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
DISCOVER CARD EXECUTION NT TR
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NT TR 4.31% 03/15/2028
254683CY9
1100000.00000000
PA
USD
1096214.46000000
0.180595429601
Long
ABS-CBDO
CORP
US
N
2
2028-03-15
Fixed
0.04310000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #754005
36230NNW1
7452.50230000
PA
USD
7285.10000000
0.001200180997
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049
17291EBB6
6227511.33940000
PA
USD
60667.17000000
0.009994589588
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
0.00691952
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 2/27 #D97194
3128E37F5
273.92500000
PA
USD
275.51000000
0.000045388788
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 11/01/2050#QB6612
3133ADKZ8
67799.16860000
PA
USD
53550.14000000
0.008822097218
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
818293.76590000
PA
USD
818462.33000000
0.134837261769
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 07/20/2054#MA9777
36179Y2J2
899999.88700000
PA
USD
880416.16000000
0.145043821665
Long
ABS-MBS
USGA
US
N
2
2054-07-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.50% 4/42 #C03811
31292LGU3
664221.95020000
PA
USD
632952.44000000
0.104275506289
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 12/01/2036#BU1384
3140M2RE4
219436.18370000
PA
USD
198975.73000000
0.032780180111
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
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 2022-1 KA 3% 05/25/2048
3136BLMF4
287290.72730000
PA
USD
267129.04000000
0.044008070955
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2996 ZD 5.5% 06/35
31395UZR5
85299.00930000
PA
USD
87694.93000000
0.014447267514
Long
ABS-CBDO
USGSE
US
N
2
2035-06-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2045#AS6262
3138WF5Y8
3689.47940000
PA
USD
3459.64000000
0.000569957061
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #741372
3620AVT51
38203.57210000
PA
USD
38073.89000000
0.006272468364
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 09/01/2047#ZM4140
3131XXS51
6707.50300000
PA
USD
6321.09000000
0.001041365540
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #710465
36297FJJ2
131600.05060000
PA
USD
131095.38000000
0.021597257957
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2040#004799
36202FKL9
5405.55880000
PA
USD
5155.76000000
0.000849383698
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2050#SD8092
3132DV7D1
18514.46230000
PA
USD
16592.37000000
0.002733503614
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/40 #737790
3620ARUP4
4026.90700000
PA
USD
3931.40000000
0.000647676980
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
421.74380000
PA
USD
433.87000000
0.000071477746
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.08637000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 12/01/2033#C91737
3128P74W0
118068.52240000
PA
USD
115119.88000000
0.018965380354
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 3/42 #Q06886
3132GR6X4
46818.13770000
PA
USD
45840.27000000
0.007551937650
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG 2013-51 GI 3% 10/25/2032
3136AECM7
29912.65070000
PA
USD
1396.28000000
0.000230029611
Long
ABS-CBDO
USGSE
US
N
2
2032-10-25
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNMA 2017-H06 FA T1Y+35 08/66
38376RV60
178781.27120000
PA
USD
177934.94000000
0.029313823255
Long
ABS-CBDO
USGA
US
N
2
2066-08-20
Variable
0.05450000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 12/01/2036#BM3680
3140J8CS0
121884.58250000
PA
USD
118405.17000000
0.019506614192
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
226791.14680000
PA
USD
202214.67000000
0.033313778036
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 06/01/2041#MA4364
31418DZ62
18981.51800000
PA
USD
16442.63000000
0.002708834755
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.02000000
N
N
N
N
N
N
EQT TR 2024-EXTR
N/A
EQT TR 2024-EXTR A VAR 07/05/2041 144A
29439DAA9
1509000.00000000
PA
USD
1536708.26000000
0.253164411265
Long
ABS-MBS
CORP
US
N
2
2041-07-05
Variable
0.05330800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AE8265
31419KFF7
12648.98530000
PA
USD
12408.07000000
0.002044162719
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1863
3132DPB80
1494297.93680000
PA
USD
1500676.35000000
0.247228348110
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 03/01/2043#Q16470
3132J7T44
23912.69800000
PA
USD
22157.47000000
0.003650323873
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/39 #932130
31412QST7
49736.68830000
PA
USD
49629.46000000
0.008176186299
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 04/01/2054#RJ1229
3142GRLK4
384286.34000000
PA
USD
391885.22000000
0.064560979847
Long
ABS-MBS
USGSE
US
N
2
2054-04-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 01/01/2042#AJ8357
3138E1JB4
12293.15030000
PA
USD
12646.58000000
0.002083455958
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Variable
0.06055000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 05/01/2054#
3140QUNN2
1939813.21200000
PA
USD
1978171.08000000
0.325893033756
Long
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19764
3132JBJJ3
10629.50320000
PA
USD
10372.86000000
0.001708872831
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 04/51#MA7311
36179WDQ8
240371.40170000
PA
USD
202226.50000000
0.033315726964
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2587 IM 6.5% 3/33
31393NA66
9972.73040000
PA
USD
1570.94000000
0.000258803906
Long
ABS-CBDO
USGSE
US
N
2
2033-03-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 03/01/2049#ZN6553
3131YDH64
621366.95270000
PA
USD
596449.39000000
0.098261825357
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
3438183.55910000
PA
USD
3523224.62000000
0.580432284965
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 09/01/2054 #TBA
01F030694
8475000.00000000
PA
USD
7513948.56000000
1.237882565601
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19597
3132JBDB6
29728.53670000
PA
USD
29022.50000000
0.004781300600
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/01/2051#CB1109
3140QLGT7
19872.89400000
PA
USD
16357.76000000
0.002694852879
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 6.50% 3/35 #808134
31406EY73
361.87400000
PA
USD
374.97000000
0.000061774288
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2039#AV6581
3138XJJ32
44248.84880000
PA
USD
43365.34000000
0.007144206259
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 10/01/2054 #TBA
01F0226A8
16100000.00000000
PA
USD
13740973.26000000
2.263751354846
Long
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 09/01/2054 #TBA
01F040693
4500000.00000000
PA
USD
4267441.35000000
0.703037983918
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2044#AS3651
3138WDBV2
38774.84320000
PA
USD
38630.32000000
0.006364137210
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2033#MA3462
31418CZ49
358776.33400000
PA
USD
350482.18000000
0.057740051946
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 06/01/2036#SB8107
3132D6AG5
826831.31500000
PA
USD
749478.35000000
0.123472522516
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 10/01/2053#RJ0002
3142GQAC6
355207.71000000
PA
USD
370514.53000000
0.061040273742
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
24815.64100000
PA
USD
24161.79000000
0.003980524800
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 11/33 #G01625
31283HYW9
135804.71090000
PA
USD
137763.00000000
0.022695712450
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12M+1.75 9/1/41 #1B8787
3128UHEK7
19080.23490000
PA
USD
19628.79000000
0.003233737459
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3038
3140QNLU4
181546.94490000
PA
USD
149945.41000000
0.024702698900
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 09/01/2054 #TBA
01F030694
-8475000.00000000
PA
USD
-7513948.56000000
-1.23788256560
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 04/01/2041#
3133KYU98
1339996.92300000
PA
USD
1162858.58000000
0.191574689518
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 3/41 #004978
36202FQ74
10722.19310000
PA
USD
10709.82000000
0.001764385176
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18363
3132J9WZ7
5869.59320000
PA
USD
5728.15000000
0.000943681868
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/42#G07184
3128M9J52
1558284.09470000
PA
USD
1524478.21000000
0.251149576381
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
178862.31920000
PA
USD
171745.62000000
0.028294166112
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 10/32 #G01766
31283H6B6
15538.13330000
PA
USD
16145.02000000
0.002659805110
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 05/01/2053#FS4662
3140XLFC7
834701.04800000
PA
USD
874322.30000000
0.144039891043
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
0.06500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY885802 12/15/56 B
N/A
300000.00000000
NC
USD
33016.44000000
0.005439280709
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
42813.73000000
USD
0.00000000
USD
300000.00000000
USD
-9797.29000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 11/01/2041#RB5135
3133KYV48
586592.61620000
PA
USD
507216.02000000
0.083561108136
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 01/01/2051#MA4236
31418DV66
2515438.66580000
PA
USD
1967914.95000000
0.324203391564
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 11/34 #A45143
3128K5WC2
6304.67970000
PA
USD
6605.83000000
0.001088274922
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.65% 02/25/2028
3137F4X72
1000000.00000000
PA
USD
983445.70000000
0.162017383606
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2041#AH4043
3138A5P55
36682.54500000
PA
USD
36611.94000000
0.006031619974
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2218 ZB 6% 3/30
3133TNM84
5290.99320000
PA
USD
5407.91000000
0.000890924053
Long
ABS-CBDO
USGSE
US
N
2
2030-03-15
Fixed
0.06000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
90000.00000000
NC
USD
13285.12000000
0.002188651984
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
20591.42000000
USD
0.00000000
USD
90000.00000000
USD
-7306.30000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2039#
312936C70
10126.33750000
PA
USD
10126.94000000
0.001668358835
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BM5096
3140J9UW9
1469344.07400000
PA
USD
1394393.13000000
0.229718759908
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
BX 2021-BXMF
N/A
BX 2021-BXMF TSFR1M+75.041 10/15/2026 144A
05609RAA2
279786.87500000
PA
USD
276027.24000000
0.045474001491
Long
ABS-MBS
CORP
US
N
2
2026-10-15
Variable
0.06087410
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
221111.27400000
PA
USD
197390.85000000
0.032519079665
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
TESLA 2024-A A3
N/A
TESLA 2024-A A3 5.37% 06/22/2026 144A
88166VAB2
92486.34000000
PA
USD
92529.11000000
0.015243672639
Long
ABS-CBDO
CORP
US
N
2
2026-06-22
Fixed
0.05370000
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
127276.54400000
PA
USD
117281.21000000
0.019321447834
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 4.50% 9/41 #Q03529
3132GJSS9
5349.85430000
PA
USD
5349.76000000
0.000881344153
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2050#MA4211
31418DVD1
1071104.12110000
PA
USD
958567.82000000
0.157918886834
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
11411059.99740000
PA
USD
10607472.61000000
1.747523995428
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 11/36 #995606
31416CAF3
1583.64860000
PA
USD
1626.29000000
0.000267922520
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.06837000
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
237651.91700000
PA
USD
209710.04000000
0.034548599883
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG2012-9 SH SOFR30A+643.552 06/25/2041
3136A3M81
2136.99940000
PA
USD
9.34000000
0.000001538714
Long
ABS-CBDO
USGSE
US
N
2
2041-06-25
Variable
0.01086680
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#CB1337
3140QLPX8
447636.10480000
PA
USD
388181.93000000
0.063950882760
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
204720.44570000
PA
USD
200104.61000000
0.032966157012
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 7.00% 12/26 #256589
31371M7A9
590.74660000
PA
USD
597.47000000
0.000098429965
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 5/42 #Q08167
3132GTMQ7
38366.56730000
PA
USD
37599.50000000
0.006194315166
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3248
3140XJTE3
557070.12690000
PA
USD
559447.98000000
0.092166042297
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 ARM 3.753% 10/33 #746320
31403EDZ7
2462.29020000
PA
USD
2501.14000000
0.000412049347
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.06402000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 01/01/2036#G30933
3132J4HK8
237809.33400000
PA
USD
235142.90000000
0.038738526622
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2095 PE 6% 11/28
3133TGWC9
27957.14710000
PA
USD
28446.48000000
0.004686404406
Long
ABS-CBDO
USGSE
US
N
2
2028-11-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2043#MA0852
36179M5M8
126232.05470000
PA
USD
119956.25000000
0.019762146270
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 09/01/2054 #TBA
21H042695
2000000.00000000
PA
USD
1957659.00000000
0.322513779025
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745083
3620C0XL7
65994.90700000
PA
USD
65768.66000000
0.010835032596
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 12/01/2035#MA4205
31418DU75
623476.02780000
PA
USD
552818.30000000
0.091073838215
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 7.00% 8/29 #513757
36211HWS6
9.81750000
PA
USD
9.80000000
0.000001614497
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#FS0631
3140XFVZ1
725941.25450000
PA
USD
649896.59000000
0.107066963764
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
268486.23340000
PA
USD
222674.27000000
0.036684386969
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
MERCHANTS FLEET FUNDING LLC
N/A
MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A
588926AF2
269000.00000000
PA
USD
272448.88000000
0.044884485949
Long
ABS-CBDO
CORP
US
N
2
2037-04-20
Fixed
0.05820000
N
N
N
N
N
N
MFRA TRST
N/A
MFRA TRUST VAR 02/25/2066 144A
55287AAA3
297758.58000000
PA
USD
282025.67000000
0.046462210535
Long
ABS-CBDO
CORP
US
N
2
2066-02-25
Variable
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 10/34 #605525
36200NVS7
22376.84030000
PA
USD
23202.82000000
0.003822539656
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 03/01/2037#RC2527
3133L8YY5
104758.57000000
PA
USD
97104.06000000
0.015997371017
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#MA4399
31418D3H3
178354.06100000
PA
USD
152752.99000000
0.025165232587
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
THORNBURG MTG SECS TR
N/A
TMST 2003-4 A1 TSFR1M+75.448 9/43
885220DW0
241467.25180000
PA
USD
229793.81000000
0.037857292848
Long
ABS-CBDO
CORP
US
N
2
2043-09-25
Variable
0.06032430
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
53734.90000000
PA
USD
52870.33000000
0.008710102181
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Fixed
0.03010000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/31 #556294
36213J7F6
1210.58890000
PA
USD
1251.56000000
0.000206187770
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 3/32 #C64888
31287QND9
1292.50490000
PA
USD
1344.05000000
0.000221425000
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.06500000
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
640525.69000000
PA
USD
539722.13000000
0.088916314726
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #711188
36297GCZ1
1545.86870000
PA
USD
1540.49000000
0.000253787432
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2051#FS6219
3140XM4D5
743908.60700000
PA
USD
689893.92000000
0.113656308512
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.37% 6/36 #916726
31411WPK7
11334.24870000
PA
USD
11520.83000000
0.001897994707
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.06395000
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
92116.53000000
PA
USD
92135.18000000
0.015178774793
Long
ABS-CBDO
CORP
US
N
2
2025-11-17
Fixed
0.05470000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2047#Q51296
3132XTNN4
9675.67830000
PA
USD
9577.89000000
0.001577905804
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04500000
N
N
N
N
N
N
BX COML MTG TR 2024-XL4
N/A
BX COML MTG TR 2024-XL5 B TSFR1M+169.12 03/15/2039 144A
05612GAC7
182206.69000000
PA
USD
180613.60000000
0.029755118066
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Variable
0.07028120
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2039#
312933G73
93881.27840000
PA
USD
93875.70000000
0.015465516091
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 04/25/2051
3137H22J2
182200.72700000
PA
USD
154480.44000000
0.025449820673
Long
ABS-CBDO
USGSE
US
N
2
2051-04-25
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 5/46#Q40310
3132WDKY9
84979.52080000
PA
USD
77382.32000000
0.012748320546
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
760000.00000000
NC
USD
2508.99000000
0.000413342592
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
12090.84000000
USD
0.00000000
USD
760000.00000000
USD
-9581.85000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2045#G07949
3128MAEW5
178392.82440000
PA
USD
174064.76000000
0.028676231939
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
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
969549.79000000
PA
USD
976195.76000000
0.160822995029
Long
ABS-CBDO
CORP
US
N
2
2038-08-18
Fixed
0.06460000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13381
3132HPXJ8
1203.03050000
PA
USD
1182.70000000
0.000194843456
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2031#BC0919
3140EVAV9
41197.98250000
PA
USD
39428.20000000
0.006495583644
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.02500000
N
N
N
N
N
N
MERRILL LYNCH CAPITAL SERVICES , INC.
GDWTXX036O1TB7DW3U69
MLCS SWAP CY451600 12/16/72 B
N/A
720000.00000000
NC
USD
2376.94000000
0.000391588066
N/A
DCR
CORP
US
N
2
MERRILL LYNCH CAPITAL SERVICES , INC.
GDWTXX036O1TB7DW3U69
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
11926.93000000
USD
0.00000000
USD
720000.00000000
USD
-9549.99000000
N
N
N
CARMAX AUTO OWNER TR 2024-2
N/A
CARMAX AUTO OWNER TR 2024-2 5.5% 01/16/2029
14319EAE6
158000.00000000
PA
USD
161239.70000000
0.026563372362
Long
ABS-CBDO
CORP
US
N
2
2029-01-16
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 7/36 #658019
36294SAU1
375.43990000
PA
USD
392.32000000
0.000064632607
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 01/20/2051#MA7135
36179V4U1
387774.16700000
PA
USD
326722.42000000
0.053825759423
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 11/01/2053#SD4349
3132E0ZN5
9799597.21400000
PA
USD
10085245.67000000
1.661489919049
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
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
244765.19800000
PA
USD
217408.72000000
0.035816915959
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2044#AX5347
3138Y65H3
151305.41710000
PA
USD
146798.23000000
0.024184217941
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #748144
3620C4ER7
3785.03100000
PA
USD
3689.51000000
0.000607826905
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #481798
36209UGF7
726.93650000
PA
USD
737.46000000
0.000121492564
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/01/2037#FS1697
3140XG3F4
504912.68020000
PA
USD
478826.72000000
0.078884123826
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 07/01/2032#C91467
3128P7TY9
484357.79450000
PA
USD
474531.87000000
0.078176570414
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 08/01/2054#CB9059
3140QVB52
300085.12300000
PA
USD
302443.58000000
0.049825951265
Long
ABS-MBS
USGSE
US
N
2
2054-08-01
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 21-85 L 2.5% 08/25/2048
3136BKJA1
174232.79500000
PA
USD
155245.65000000
0.025575884900
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 4.5% 06/47#BH1008
3140GPDN5
7085.92350000
PA
USD
7004.15000000
0.001153895997
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25
N/A
MSBAM 2015-C25 XA CSTR 10/48
61765TAG8
4369421.79170000
PA
USD
24429.00000000
0.004024546209
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
0.01175071
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 11/41 #005234
36202FY75
1317.79400000
PA
USD
1316.44000000
0.000216876401
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/01/2047#ZM4961
3131XYQN2
53463.45000000
PA
USD
50366.75000000
0.008297650857
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/32 #638545
31389XL27
1452.43190000
PA
USD
1541.92000000
0.000254023017
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.07500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 3.778 02/24/2025
N/A
1600000.00000000
NC
USD
19780.66000000
0.003258757223
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 02/26/35 3.778%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-02-26
0.00000000
USD
0.00000000
USD
1600000.00000000
USD
1.00000000
3.77800000
USD
2025-02-24
XXXX
-38299.34000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
285985.88540000
PA
USD
278516.28000000
0.045884057429
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3949 MK 4.5% 10/34
3137AFZS4
24629.42380000
PA
USD
24564.32000000
0.004046839450
Long
ABS-CBDO
USGSE
US
N
2
2034-10-15
Fixed
0.04500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A
05492PAE8
118000.00000000
PA
USD
101775.00000000
0.016766883231
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03465000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#FM7352
3140XBE22
1640754.19140000
PA
USD
1416006.64000000
0.233279469300
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 11/20/2043#MA1448
36179NTD0
4761.43660000
PA
USD
4517.52000000
0.000744237094
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AI5034
3138AJSY9
7647.71070000
PA
USD
7806.97000000
0.001286156270
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2048#ZM8580
3131Y3Q90
242592.57420000
PA
USD
232864.32000000
0.038363142837
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.75% MAC 09/18/44
N/A
-6132000.00000000
NC
USD
-162688.34000000
-0.02680202800
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2044-09-18
0.00000000
USD
0.00000000
USD
-6163667.24000000
USD
-162688.34000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 3/35 #255661
31371L5W5
728.39000000
PA
USD
761.75000000
0.000125494210
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.06500000
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
2200000.00000000
PA
USD
2135126.62000000
0.351750613827
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Fixed
0.03890000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#768109
36176KDN4
8915.88420000
PA
USD
8705.09000000
0.001434116704
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 09/01/2041#FM8850
3140XCZQ4
394659.00290000
PA
USD
352069.10000000
0.058001488471
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 7.00% 7/29 #514330
36211JLK1
109.20490000
PA
USD
111.74000000
0.000018408563
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040
3137FXC30
96685.75600000
PA
USD
89069.34000000
0.014673694161
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03000000
N
N
N
N
N
N
MERCEDES-BENZ AUTO LEASE TRUST 2024-A
N/A
MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 01/18/2028
58770JAD6
302000.00000000
PA
USD
307427.91000000
0.050647092794
Long
ABS-CBDO
CORP
US
N
2
2028-01-18
Fixed
0.05320000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2046#G60440
31335APZ5
736825.88980000
PA
USD
693558.15000000
0.114259970674
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/25 #318167
31374MMQ4
24.43970000
PA
USD
24.42000000
0.000004023063
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2042#AQ8878
3138MQ2L6
9974.22160000
PA
USD
9463.21000000
0.001559012891
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 1/41 #004946
36202FP75
108254.16540000
PA
USD
108129.06000000
0.017813680402
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 06/01/2029#
31293RUJ8
279.84380000
PA
USD
284.94000000
0.000046942330
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#AL9489
3138ERRK8
93494.13510000
PA
USD
87406.80000000
0.014399799648
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 11/01/2029#
31293YAH9
237.03310000
PA
USD
244.81000000
0.000040331129
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT TSFR1M+61.448 10/20/2049
38382AFL4
125927.00030000
PA
USD
123431.03000000
0.020334597564
Long
ABS-CBDO
USGA
US
N
2
2049-10-20
Variable
0.05950160
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2046#BD0711
3140F7YH6
53424.61330000
PA
USD
50012.95000000
0.008239364212
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2042#Q09230
3132GUST2
322154.43070000
PA
USD
314915.91000000
0.051880700474
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/46#BC1776
3140EV6N2
39246.23150000
PA
USD
37991.29000000
0.006258860459
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
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 4% 12/25/2048
3136BNE69
260530.55180000
PA
USD
252550.74000000
0.041606374528
Long
ABS-CBDO
USGSE
US
N
2
2048-12-25
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
350000.00000000
NC
USD
38519.18000000
0.006345827494
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
45216.22000000
USD
0.00000000
USD
350000.00000000
USD
-6697.04000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/41 #Q02849
3132GGEW1
2686.67200000
PA
USD
2686.15000000
0.000442528748
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR3125
36192XPJ2
15571.80780000
PA
USD
14697.11000000
0.002421269734
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#CB2110
3140QMKY9
628620.46500000
PA
USD
544735.40000000
0.089742223964
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
278590.32900000
PA
USD
257219.75000000
0.042375568785
Long
ABS-CBDO
USGSE
US
N
2
2045-01-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2042#AL5881
3138ENRB7
30688.32720000
PA
USD
30647.97000000
0.005049088030
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 12/01/2050#QB7301
3133AEDE1
48774.49220000
PA
USD
38523.79000000
0.006346586967
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2047#CA0526
3140Q7SQ1
262619.51200000
PA
USD
247408.12000000
0.040759155574
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 20YR 1.5% 11/01/2041#MA4473
31418D6K3
2886717.77230000
PA
USD
2397302.78000000
0.394942724472
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 1/35 #G06928
3128M9A51
14512.66440000
PA
USD
14733.09000000
0.002427197245
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/32 #254335
31371KPU9
4401.59690000
PA
USD
4647.12000000
0.000765587997
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #782989
36241LKA3
118695.72900000
PA
USD
118286.80000000
0.019487113372
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2036#MA4383
31418D2R2
902803.85200000
PA
USD
818343.39000000
0.134817667045
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2046#G60603
31335AU48
571365.52380000
PA
USD
535849.84000000
0.088278375799
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 10YR NOTE FUT (CBT)DEC24 TYZ4
N/A
-220.00000000
NC
USD
200681.80000000
0.033061245957
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
UST NOTES
UST NOTES 0% 06/30/2040
2024-12-19
-25184431.80000000
USD
200681.80000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783295
36241LUU8
58324.03720000
PA
USD
58119.14000000
0.009574815366
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#FM9501
3140XDRX6
2468532.01350000
PA
USD
2128082.69000000
0.350590164288
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 3.5% 2/1/43 #AR5859
3138W3QM8
12017.79150000
PA
USD
11418.55000000
0.001881144628
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
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
11005.48000000
0.001813093569
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
12314.18000000
USD
0.00000000
USD
100000.00000000
USD
-1308.70000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK5316
3138E94A5
14706.13470000
PA
USD
14350.15000000
0.002364109942
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6538
3140QSHQ7
1043330.22100000
PA
USD
1075698.50000000
0.177215535661
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 06/15/2041#783838
3622A2HP0
10346.72630000
PA
USD
10495.20000000
0.001729027687
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 7.00% 4/32 #781432
36225BSV1
27235.77880000
PA
USD
28156.71000000
0.004638666359
Long
ABS-MBS
USGA
US
N
2
2032-04-20
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 1/1/43 #Q14696
3132HRGD6
48971.94940000
PA
USD
45344.17000000
0.007470207846
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3548
3138E75J9
7245.01960000
PA
USD
7082.76000000
0.001166846572
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3128
3140QNPN6
366600.99780000
PA
USD
340211.48000000
0.056048009424
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
384885.31850000
PA
USD
393337.98000000
0.064800314234
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
4708193.68600000
PA
USD
4067474.44000000
0.670094512239
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% 07/01/2041#SC0162
3132D9FB5
1861104.95880000
PA
USD
1619732.49000000
0.266842206104
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 09/01/2033#AL7521
3138EQLB6
638417.82410000
PA
USD
647241.21000000
0.106629504208
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 351 13 6% 3/34
3136FCJC1
12644.91950000
PA
USD
2195.07000000
0.000361625962
Long
ABS-CBDO
USGSE
US
N
2
2034-03-25
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 09/20/2051#785616
3622ABDV1
1875397.29500000
PA
USD
1617251.67000000
0.266433504368
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 4.50% 7/25 #G13844
3128MCP58
4749.37060000
PA
USD
4732.03000000
0.000779576462
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2040#FM4644
3140X8ES2
42267.71400000
PA
USD
36812.30000000
0.006064628205
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745232
3620C04R6
34969.43080000
PA
USD
34849.55000000
0.005741275711
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK1510
3138E5VC9
22739.19940000
PA
USD
22238.26000000
0.003663633590
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 07/20/2043#635118
36291QSF2
44664.64200000
PA
USD
42109.14000000
0.006937254073
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#SD8133
3132DWBA0
1037979.15930000
PA
USD
812047.11000000
0.133780388818
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #783143
36241LP42
35701.23980000
PA
USD
34859.89000000
0.005742979170
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #462495
36208VXY6
29.65800000
PA
USD
30.02000000
0.000004945633
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 01/01/2027#
31283GW60
51.75990000
PA
USD
52.31000000
0.000008617790
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07500000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
84067293.34400000
NS
USD
84084106.80000000
13.85240383544
Long
STIV
RF
US
N
1
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2274 ZM 6.5% 1/31
3133TR4H5
8891.37630000
PA
USD
9007.43000000
0.001483925591
Long
ABS-CBDO
USGSE
US
N
2
2031-01-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 1/32 #C62372
31287MT59
23084.34010000
PA
USD
23938.10000000
0.003943673077
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.06500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885802 12/15/56 B
N/A
100000.00000000
NC
USD
11005.48000000
0.001813093569
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S17 PRC INDX
CY885802
Y
2056-12-15
16170.08000000
USD
0.00000000
USD
100000.00000000
USD
-5164.60000000
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-20 Z 6% 5/31
31359SXB1
26728.74610000
PA
USD
27296.57000000
0.004496962926
Long
ABS-CBDO
USGSE
US
N
2
2031-05-25
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 09/39#G05624
3128M7SM9
27778.16250000
PA
USD
27777.50000000
0.004576193554
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2053#SD8340
3132DWHR7
60469.14000000
PA
USD
58821.79000000
0.009690573170
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2046#BD7792
3140FFUS8
134001.60080000
PA
USD
125444.35000000
0.020666281193
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AL1521
3138EHVP4
139704.68250000
PA
USD
136500.81000000
0.022487773444
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #545934
36212WPT8
22543.88300000
PA
USD
22459.64000000
0.003700104753
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
BENCHMARK 2021-B29 MORTGAGE TRUST
N/A
BENCHMARK 2021-B29 MORTGAGE TRUST 2.205% 09/15/2054
08163JAF1
3400000.00000000
PA
USD
3075457.42000000
0.506665049816
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Fixed
0.02205000
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
843174.96900000
PA
USD
710569.77000000
0.117062543468
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.01500000
N
N
N
N
N
N
DLLAD 2024-1 LLC
N/A
DLLAD 2024-1 LLC 5.3% 07/20/2029 144A
23346MAC0
85000.00000000
PA
USD
86759.47000000
0.014293155516
Long
ABS-CBDO
CORP
US
N
2
2029-07-20
Fixed
0.05300000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/24 #403684
36205XM92
32.07540000
PA
USD
32.06000000
0.000005281712
Long
ABS-MBS
USGA
US
N
2
2024-12-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 05/01/2052#RA7375
3133KPFQ6
771389.08900000
PA
USD
687148.54000000
0.113204021940
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737559
3620ARMG3
94165.63110000
PA
USD
91939.35000000
0.015146512855
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
340553.95190000
PA
USD
332441.92000000
0.054768016250
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
270265.68900000
PA
USD
232569.52000000
0.038314576124
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
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 SOFR30A+660.552 06/25/2035
31394D4V9
46729.85930000
PA
USD
3764.23000000
0.000620136623
Long
ABS-CBDO
USGSE
US
N
2
2035-06-25
Variable
0.01256680
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP7882
3138MBXL5
57377.45840000
PA
USD
54506.22000000
0.008979606250
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2520 BE 6% 11/32
31392XV96
26677.25320000
PA
USD
27573.30000000
0.004542552703
Long
ABS-CBDO
USGSE
US
N
2
2032-11-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/32 #003216
36202DSD4
4014.08940000
PA
USD
4156.31000000
0.000684729692
Long
ABS-MBS
USGA
US
N
2
2032-03-20
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/52#SD8221
3132DWD26
564551.35100000
PA
USD
519678.38000000
0.085614214841
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 01/01/2036#SB8083
3132D56U1
636154.56800000
PA
USD
564060.00000000
0.092925847758
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2041#Q02721
3132GGAW5
3297.95060000
PA
USD
3228.46000000
0.000531871401
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-136 WI 4.5% 5/40
38377YTR1
5968.55590000
PA
USD
319.13000000
0.000052574949
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AP3391
3138M6XV4
16612.80370000
PA
USD
15815.03000000
0.002605441034
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 07/01/2054#CB8857
3140QUZX7
1081393.40100000
PA
USD
1102776.87000000
0.181676551312
Long
ABS-MBS
USGSE
US
N
2
2054-07-01
Fixed
0.06000000
N
N
N
N
N
N
COMM 2006 FL12
N/A
COMM 2014-CR20 XA CSTR 11/10/2047
12592LBK7
967674.37240000
PA
USD
22.55000000
0.000003714991
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Variable
0.00892080
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 01/01/2041#SC0119
3132D9DY7
345855.80610000
PA
USD
310045.65000000
0.051078351363
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2049#BM5577
3140JAFT0
232627.48500000
PA
USD
236673.69000000
0.038990716032
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/47#Q46995
3132WLXZ4
11127.26100000
PA
USD
11014.80000000
0.001814628989
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAE2
83557.00000000
PA
USD
79182.19000000
0.013044839437
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03283000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.7% 05/25/2047
3136AWLF2
3642542.00700000
PA
USD
3318091.68000000
0.546637737660
Long
ABS-CBDO
USGSE
US
N
2
2047-05-25
Fixed
0.02700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 02/01/2047#Q47737
3132WMS39
14182.92030000
PA
USD
14044.01000000
0.002313675026
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2042#Q11138
3132HMHP9
17687.16500000
PA
USD
17342.55000000
0.002857091729
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 3% 01/01/2052#QD4275
3133B1XC0
96405.26600000
PA
USD
86065.49000000
0.014178826048
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2042#AB8144
36178VBM2
6968.67660000
PA
USD
6794.58000000
0.001119370468
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-52 HI 7% 4/41
38377VGY6
119468.45080000
PA
USD
16098.96000000
0.002652216973
Long
ABS-CBDO
USGA
US
N
2
2041-04-16
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/46#BM3928
3140J8LJ0
495263.40500000
PA
USD
494741.25000000
0.081505956950
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
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
647116.80900000
PA
USD
639230.07000000
0.105309712029
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06182170
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55720
3132XYLA3
5385.72390000
PA
USD
5189.13000000
0.000854881226
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 10/01/2054 #TBA
21H0306A7
6700000.00000000
PA
USD
6063619.93000000
0.998948733258
Long
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/26 #256507
31371M3Q8
945.69330000
PA
USD
954.89000000
0.000157312985
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#FM9558
3140XDTQ9
473169.74510000
PA
USD
420924.38000000
0.069345025092
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
700000.00000000
PA
USD
655167.38000000
0.107935298036
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
FGLMC 30YR 3.5% 09/46#Q43176
3132WGQ67
126087.13350000
PA
USD
118013.23000000
0.019442044187
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 12/01/2040#RB5089
3133KYUN7
83750.41350000
PA
USD
70074.78000000
0.011544442679
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2% 09/01/2039 #TBA
01F020497
1900000.00000000
PA
USD
1718164.11000000
0.283058285484
Long
ABS-MBS
USGA
US
N
2
2039-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 06/01/2041#FM7891
3140XBXV7
38400.11300000
PA
USD
33515.88000000
0.005521560760
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 15YR 2.5% 02/01/2035#FM2502
3140X5X81
384962.18320000
PA
USD
360563.05000000
0.059400820997
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 12/15/2040#746175
3620C16L5
9756.44790000
PA
USD
9527.28000000
0.001569568079
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 10/25 #387082
36205C6T2
124.80290000
PA
USD
125.49000000
0.000020673801
Long
ABS-MBS
USGA
US
N
2
2025-10-15
Fixed
0.08000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2020-5058 BE 3% 11/25/2050
3137F8AX1
537459.78300000
PA
USD
476478.74000000
0.078497306764
Long
ABS-CBDO
USGSE
US
N
2
2050-11-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 01/01/2041#MA4231
31418DVZ2
139436.18370000
PA
USD
116667.61000000
0.019220360538
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 12/20/44#MA2446
36179QWF4
12423.18680000
PA
USD
12066.21000000
0.001987843125
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2043#MA1375
36179NQ43
4348.08800000
PA
USD
4126.07000000
0.000679747815
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
138055.63240000
PA
USD
115512.49000000
0.019030060738
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785564
3622ABB92
1224987.65500000
PA
USD
1058283.98000000
0.174346587261
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 10/01/2054 #TBA
21H0206A8
2400000.00000000
PA
USD
2022923.52000000
0.333265757272
Long
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2043#MA0934
36179NBB3
201621.08420000
PA
USD
191568.24000000
0.031559836020
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/46#BC9077
3140F5CP6
517132.41040000
PA
USD
483462.28000000
0.079647807375
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 07/01/2036#SB0535
3132CWSY1
436778.96230000
PA
USD
408276.69000000
0.067261386268
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 3% 07/46#AS7533
3138WHLP5
786388.01100000
PA
USD
715254.26000000
0.117834287972
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 10/01/2035#BK5705
3140HKKT4
524720.18820000
PA
USD
476614.63000000
0.078519693910
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 04/01/2030#
31292HCG7
1.11530000
PA
USD
1.12000000
0.000000184513
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#BC2778
3140EXCQ4
57608.83870000
PA
USD
55115.00000000
0.009079899477
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2048#CA0990
3140Q8C45
268000.72600000
PA
USD
252477.64000000
0.041594331697
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 08/01/2041#QK0985
3133D4CW1
73813.53200000
PA
USD
66286.16000000
0.010920287935
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 07/15/2043#AC1095
36179AGC4
17962.54880000
PA
USD
17054.26000000
0.002809597504
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2007-57 SA 4062-6*1ML 6/37
31396WJV9
29714.72990000
PA
USD
37518.01000000
0.006180890127
Long
ABS-CBDO
USGSE
US
N
2
2037-06-25
Variable
0.07840080
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2041#FM7587
3140XBND8
131392.37100000
PA
USD
117993.21000000
0.019438746000
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2052#MA4654
31418EE48
345411.65300000
PA
USD
317956.85000000
0.052381678964
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 04/01/2041#QK0705
3133D3YA7
643386.05000000
PA
USD
538327.35000000
0.088686532231
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2051#QC7496
3133ASKH5
20458.83150000
PA
USD
18296.52000000
0.003014253150
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
130000.00000000
NC
USD
19189.61000000
0.003161384918
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
36928.98000000
USD
0.00000000
USD
130000.00000000
USD
-17739.37000000
N
N
N
WHEELS FLEET LEASE FUNDING 1 LLC
549300BSFY0E0XXREF43
WHEELS FLEET LEASE FUNDING 1 LLC 4.87% 06/21/2039 144A
96328GBT3
415000.00000000
PA
USD
416764.70000000
0.068659740210
Long
ABS-CBDO
CORP
US
N
2
2039-06-21
Fixed
0.04870000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21605
3132JNYA9
25855.53910000
PA
USD
25259.85000000
0.004161424273
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 06/01/2044#Q26541
3132M65A4
16098.11580000
PA
USD
15689.31000000
0.002584729341
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 12/01/2047#G61305
31335BNW2
555036.33160000
PA
USD
534082.16000000
0.087987160037
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4% 09/15/2045
3137BUF78
65384.68000000
PA
USD
64710.73000000
0.010660744325
Long
ABS-CBDO
USGSE
US
N
2
2045-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AS4297
36193NX21
54011.33920000
PA
USD
50977.41000000
0.008398253804
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2050#SD8115
3132DWAQ6
646442.79650000
PA
USD
578523.83000000
0.095308685869
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.03000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 3.778 02/24/2025
N/A
1600000.00000000
NC
USD
71589.73000000
0.011794022534
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 02/26/35 SOFRV3.778%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-02-26
0.00000000
USD
0.00000000
USD
1600000.00000000
USD
1.00000000
3.77800000
USD
2025-02-24
XXXX
13509.73000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #698474
36296Q6K0
87188.96890000
PA
USD
86872.64000000
0.014311799664
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/41 #Q02511
3132GFYG6
3223.80290000
PA
USD
3223.62000000
0.000531074037
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/46#AS7319
36193TDY0
15102.15600000
PA
USD
14263.28000000
0.002349798577
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/39 #G05457
3128M7ME3
40681.94200000
PA
USD
40673.00000000
0.006700657741
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK2525
3138E6YX8
11708.51500000
PA
USD
11477.56000000
0.001890866207
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 06/20/2054#MA9719
36179YYQ1
498914.49100000
PA
USD
435423.68000000
0.071733706694
Long
ABS-MBS
USGA
US
N
2
2054-06-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BE4159
3140FPTR0
50886.71470000
PA
USD
49180.04000000
0.008102146774
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-4 PZ 5% 2/41
31397QKY3
83823.93580000
PA
USD
82412.96000000
0.013577091398
Long
ABS-CBDO
USGSE
US
N
2
2041-02-25
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785575
3622ABCL4
466992.27900000
PA
USD
403441.17000000
0.066464760385
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/41 #AJ3485
3138AU2T3
12356.63230000
PA
USD
12071.33000000
0.001988686618
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2039#AS2599
3138WB3H6
11660.68310000
PA
USD
11422.90000000
0.001881861267
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 07/01/2029#
31293SRE1
3140.40790000
PA
USD
3205.58000000
0.000528102044
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-170 B 4% 12/40
38377NRP1
72919.66430000
PA
USD
71547.05000000
0.011786991234
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
ARI FLEET LEASE TRUST 2024-B
N/A
ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A
04033HAB1
122000.00000000
PA
USD
123132.44000000
0.020285406470
Long
ABS-CBDO
CORP
US
N
2
2033-04-15
Fixed
0.05540000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#QK1203
3133D4KQ5
153132.44080000
PA
USD
137372.71000000
0.022631414274
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3336 LI SOFR30A+646.552 6/37
31397J7J7
31655.10680000
PA
USD
3821.13000000
0.000629510592
Long
ABS-CBDO
USGSE
US
N
2
2037-06-15
Variable
0.01111990
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 11/40 #004854
36202FMB9
135267.86490000
PA
USD
135105.11000000
0.022257839384
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#CB1069
3140QLFK7
504663.51490000
PA
USD
439212.14000000
0.072357835080
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% #AL9282
3138ERJ43
19540.88370000
PA
USD
18867.19000000
0.003108267960
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2041#AH7219
3138A9AV6
65766.63540000
PA
USD
65645.10000000
0.010814676751
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/39 #713327
36297JPL2
23857.30020000
PA
USD
24210.34000000
0.003988523151
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 7/29 #C47273
31298GCJ7
11365.29480000
PA
USD
11793.02000000
0.001942836544
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
800000.00000000
NC
USD
-15961.36000000
-0.00262954811
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
16727.94000000
USD
800000.00000000
USD
766.58000000
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 13-149 MA 2.5% 5/20/40
38378UQY6
179951.64830000
PA
USD
175348.90000000
0.028887787090
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
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 2.5% 11/25/2047
3137H5F77
212639.73300000
PA
USD
193333.00000000
0.031850570727
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
297230.94900000
PA
USD
288318.63000000
0.047498941810
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 12/34 #G05423
3128M7LC8
54944.23240000
PA
USD
55834.10000000
0.009198367330
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 12/38 #782537
36241KZA9
1173.60950000
PA
USD
1208.98000000
0.000199172945
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
0.05500000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING 1 LLC
549300BSFY0E0XXREF43
WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A
96328GBM8
800000.00000000
PA
USD
807982.32000000
0.133110736552
Long
ABS-CBDO
CORP
US
N
2
2039-02-18
Fixed
0.05490000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/01/2048#ZM8169
3131Y3CE4
247269.49530000
PA
USD
237971.87000000
0.039204584197
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/41 #489862
36210EFB0
105816.61160000
PA
USD
103246.51000000
0.017009306580
Long
ABS-MBS
USGA
US
N
2
2041-11-15
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
837595.00000000
PA
USD
838380.25000000
0.138118631839
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Variable
0.07825600
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2043#Q23023
3132M3AY3
175231.46290000
PA
USD
171127.23000000
0.028192289689
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2045#AL9296
36184HKH6
23768.07060000
PA
USD
21803.55000000
0.003592017458
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/47#Q48877
3132WN2K7
166701.48940000
PA
USD
161345.74000000
0.026580841881
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.25% 02/15/2054
912810TX6
6620000.00000000
PA
USD
6645859.38000000
1.094869547515
Long
DBT
UST
US
N
2
2054-02-15
Fixed
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/40 #736729
3620AQPN7
70889.93470000
PA
USD
70644.51000000
0.011638302629
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
1620000.00000000
NC
USD
5348.11000000
0.000881072325
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
17304.63000000
USD
0.00000000
USD
1620000.00000000
USD
-11956.52000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 03/01/2040#MA3965
31418DMP4
359236.97490000
PA
USD
325184.65000000
0.053572420096
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
0.02500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 4.05 04/23/2029
N/A
10300000.00000000
NC
USD
541534.45000000
0.089214884687
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 04/25/34 SOFRV4.05%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-04-25
0.00000000
USD
0.00000000
USD
10300000.00000000
USD
1.00000000
4.05000000
USD
2029-04-23
XXXX
115629.45000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 09/01/2054 #TBA
21H050698
11550000.00000000
PA
USD
11525590.23000000
1.898778929620
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 09/18/31
N/A
-16303000.00000000
NC
USD
-376373.96000000
-0.06200558328
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2031-09-18
0.00000000
USD
0.00000000
USD
-16026755.48000000
USD
-376373.96000000
N
N
N
COMM 2014-LC17 MTG TR
N/A
COMM 2014-LC17 XA CSTR 10/47
12592MBL3
2758044.81640000
PA
USD
49.09000000
0.000008087313
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
0.00689609
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2037#BM1951
3140J6EZ6
137412.96430000
PA
USD
127736.93000000
0.021043971404
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/42 #MA0090
36179MC32
9716.70970000
PA
USD
9706.06000000
0.001599021121
Long
ABS-MBS
USGA
US
N
2
2042-05-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/33 #604574
36200MT78
329.92010000
PA
USD
328.54000000
0.000054125195
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2043#AV0047
3138XBBR4
8176.06870000
PA
USD
8132.82000000
0.001339838302
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #483492
36209WC59
649.98640000
PA
USD
669.65000000
0.000110321231
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2052#MA4512
31418EAN0
318732.29540000
PA
USD
272104.72000000
0.044827787443
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
429557.05000000
PA
USD
369911.68000000
0.060940957451
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 4/32 #C01344
31292HP57
19502.35670000
PA
USD
20104.48000000
0.003312104825
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 7.00% 8/26 #256430
31371MY35
1559.74860000
PA
USD
1574.88000000
0.000259452999
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/32 #639704
31389YU58
1390.92200000
PA
USD
1468.40000000
0.000241910993
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
114374.17330000
PA
USD
110600.17000000
0.018220782469
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #768770
36176K2B2
9938.54020000
PA
USD
9698.03000000
0.001597698222
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 09/01/2054 #TBA
01F050692
2800000.00000000
PA
USD
2779546.84000000
0.457915375123
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2024-1
N/A
MARLETTE FUNDING TRUST 2024-1 5.95% 07/17/2034 144A
57108VAA0
82435.15000000
PA
USD
82724.44000000
0.013628406051
Long
ABS-CBDO
CORP
US
N
2
2034-07-17
Fixed
0.05950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 4/41 #A97942
312946ZF6
17084.01040000
PA
USD
17081.37000000
0.002814063731
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55141
3132XXWB1
4539.23910000
PA
USD
4373.54000000
0.000720517165
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 12/40 #004882
36202FM78
2605.22380000
PA
USD
2543.11000000
0.000418963678
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 02/01/2042#SC0248
3132D9HZ0
599777.91200000
PA
USD
541612.53000000
0.089227747946
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 3% 04/01/2046#Q39717
3132QWYP8
30510.40640000
PA
USD
27782.76000000
0.004577060110
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA STRIPPED MTG BKD SECS
N/A
FNS 384 6 5% 7/37
3136FER61
24156.39420000
PA
USD
3973.96000000
0.000654688511
Long
ABS-CBDO
USGSE
US
N
2
2037-07-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 09/01/2054 #TBA
01F032690
600000.00000000
PA
USD
552257.82000000
0.090981502153
Long
ABS-MBS
USGA
US
N
2
2054-09-01
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% 11/25/2047
3137H5KC0
770433.32440000
PA
USD
704504.49000000
0.116063321247
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 7.00% 1/36 #A54473
3128KG6J2
4352.85110000
PA
USD
4552.53000000
0.000750004803
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2050#SD8108
3132DWAH6
76907.15020000
PA
USD
68826.85000000
0.011338852931
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 20YR 2% 04/01/2041#
31418DYH9
18414.74400000
PA
USD
15980.44000000
0.002632691441
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
1302014.97000000
PA
USD
1326488.68000000
0.218531867410
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2046#BC6148
3140F1ZN5
49877.67440000
PA
USD
48126.91000000
0.007928649278
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
PRMI SECURITIZATION TR 2024-CMG1
N/A
PRMI SECURITIZATION TR 2024-CMG1 SOFR30A+130 07/25/2054 144A
74275VAA2
663244.48000000
PA
USD
661194.59000000
0.108928248429
Long
ABS-CBDO
CORP
US
N
2
2054-07-25
Variable
0.06801160
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#769036
36176LEH4
14868.75790000
PA
USD
14497.30000000
0.002388352112
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT0668
3138WMW64
17645.67880000
PA
USD
16727.35000000
0.002755740842
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK6409
3138EBDP7
22895.49060000
PA
USD
22358.46000000
0.003683435893
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 08/20/2051#MA7533
36179WLN6
346982.71500000
PA
USD
292136.37000000
0.048127893918
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745094
3620C0XX1
89993.79200000
PA
USD
89680.72000000
0.014774415724
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2040
3136BA7B4
18806.42200000
PA
USD
17292.65000000
0.002848870973
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 30YR 6% 11/01/2053#FS6498
3140XNGG3
1145012.49000000
PA
USD
1172305.58000000
0.193131031900
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2031#MA2803
31418CDH4
117694.16200000
PA
USD
112413.60000000
0.018519535296
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
398391.21200000
PA
USD
327425.55000000
0.053941596304
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.36% 7/36 #1B7105
3128QPH96
10237.63770000
PA
USD
10531.97000000
0.001735085346
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
0.07910000
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
11005.48000000
0.001813093569
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S17 PRC INDX
CY885802
Y
2056-12-15
14271.24000000
USD
0.00000000
USD
100000.00000000
USD
-3265.76000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 05/01/2036#FM7429
3140XBHF0
69315.88170000
PA
USD
61806.98000000
0.010182367148
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 348 14 6.5% 8/34
3136FCEU6
13240.28370000
PA
USD
2433.36000000
0.000400882957
Long
ABS-CBDO
USGSE
US
N
2
2034-08-25
Variable
0.06500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9276
3133KRJV7
622906.51000000
PA
USD
642231.56000000
0.105804191345
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
1190483.44970000
PA
USD
1081341.71000000
0.178145224122
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
506844.32250000
PA
USD
450196.26000000
0.074167409705
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/41 #Q03643
3132GJWC9
73536.49080000
PA
USD
73501.14000000
0.012108917040
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2154 PT 6% 5/29
3133TKW97
22002.05770000
PA
USD
22415.55000000
0.003692841163
Long
ABS-CBDO
USGSE
US
N
2
2029-05-15
Fixed
0.06000000
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
173009.46040000
PA
USD
157601.36000000
0.025963975438
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55504
3132XYDJ3
13173.80770000
PA
USD
12692.93000000
0.002091091871
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 06/01/2032#C91456
3128P7TM5
503774.98390000
PA
USD
493555.15000000
0.081310553362
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035
31394FGT6
56484.02810000
PA
USD
57597.30000000
0.009488845036
Long
ABS-CBDO
USGSE
US
N
2
2035-09-25
Fixed
0.05900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/01/2051#CB1110
3140QLGU4
35196.61400000
PA
USD
28971.02000000
0.004772819547
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/28 #458840
36208RV92
354.39430000
PA
USD
363.72000000
0.000059920911
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#SD7521
3132DVLA1
2286360.38310000
PA
USD
1988183.09000000
0.327542458493
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
1789072.31370000
PA
USD
1543449.32000000
0.254274964602
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2007-37 TS TSFR1M+657.552 6/37
38375KNC2
19624.59960000
PA
USD
2125.30000000
0.000350131731
Long
ABS-CBDO
USGA
US
N
2
2037-06-16
Variable
0.01236880
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 05/15/2042#AA1859
36177YB47
9114.58090000
PA
USD
8893.20000000
0.001465106813
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.04000000
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
85886.34000000
PA
USD
86045.47000000
0.014175527861
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
4555299.01330000
PA
USD
4126161.15000000
0.679762831707
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/40 #AE3832
31419EHJ1
12100.84010000
PA
USD
12086.29000000
0.001991151197
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 06/20/2042#783637
3622A2BE1
210425.02870000
PA
USD
194810.65000000
0.032094005608
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2051#
3140QMKN3
387229.17840000
PA
USD
358265.67000000
0.059022340012
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
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% 01/25/2049
3137H5ZA8
137127.73200000
PA
USD
127053.56000000
0.020931389876
Long
ABS-CBDO
USGSE
US
N
2
2049-01-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #711223
36297GD49
191401.84090000
PA
USD
190729.56000000
0.031421668006
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 06/01/2051#QC3131
3133AMPQ3
40608.57470000
PA
USD
32099.44000000
0.005288209897
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 03/01/2036#QN5653
3133GCH62
342603.78910000
PA
USD
311194.39000000
0.051267600093
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2049#BN2615
3617K53Y8
216833.88690000
PA
USD
207960.61000000
0.034260390711
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 12/20/2051#MA7767
36179WTY4
101300.72190000
PA
USD
88496.46000000
0.014579315266
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 07/01/2041#SC0157
3132D9E67
541231.88090000
PA
USD
482993.60000000
0.079570594869
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 04/01/2051#FM6944
3140XAWE8
1059207.41250000
PA
USD
879136.22000000
0.144832958442
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H17 FA TSFR1M+44.448 7/60
38375BDY5
36412.54020000
PA
USD
36282.43000000
0.005977334975
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Variable
0.05791600
N
N
N
N
N
N
BENCHMARK 2019-B14 MTG TR
N/A
BENCHMARK 2019-B14 MTG TR CSTR 12/15/2062
08162YAK8
13084096.82590000
PA
USD
299110.30000000
0.049276811333
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.00892372
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2048#ZN1277
3131Y7M20
40132.51600000
PA
USD
38623.49000000
0.006363012005
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
1152013.43280000
PA
USD
1041326.48000000
0.171552930446
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
315197.00000000
PA
USD
321067.42000000
0.052894128623
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
160795.91500000
PA
USD
144850.48000000
0.023863336617
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2042#AP4319
3138M7YR0
12462.17540000
PA
USD
11806.11000000
0.001944993051
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 12/20/2051#785792
3622ABKD3
550536.99100000
PA
USD
474756.40000000
0.078213560523
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-33 PK 6% 7/29
31359WKN0
21446.33180000
PA
USD
21801.23000000
0.003591635251
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #650527
31390MVU5
206.70780000
PA
USD
218.23000000
0.000035952217
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/01/2051#RA5287
3133KL2U0
85908.18300000
PA
USD
70712.69000000
0.011649534917
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
110457.04330000
PA
USD
106212.19000000
0.017497886391
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 07/01/2032#J37270
31307UCF3
14266.83710000
PA
USD
13802.36000000
0.002273864489
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q33791
3132QQF98
178986.12470000
PA
USD
168531.67000000
0.027764685155
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#BP2186
3140K9NC9
2185382.30400000
PA
USD
1974042.07000000
0.325212801592
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3% 2/1/43 #Q15788
3132J62W3
16905.16080000
PA
USD
15655.11000000
0.002579095075
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#Q49738
3132WPZC4
10007.45200000
PA
USD
9906.31000000
0.001632011230
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
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 DA 2% 01/25/2048
3136BG6S5
196263.95700000
PA
USD
163905.72000000
0.027002584802
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 02/15/2027
91282CKA8
1080000.00000000
PA
USD
1086707.82000000
0.179029261850
Long
DBT
UST
US
N
2
2027-02-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2040#
312944LX7
12193.84410000
PA
USD
12189.05000000
0.002008080354
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2037#QO0091
3133WJC49
693069.35100000
PA
USD
657262.41000000
0.108280442947
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-32 PL 6% 7/29
31359WHX2
29494.28300000
PA
USD
30006.13000000
0.004943348346
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #484239
36209W4Y5
29.36310000
PA
USD
29.60000000
0.000004876440
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2041#FM9851
3140XD5M4
276426.42780000
PA
USD
239366.46000000
0.039434335390
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 08/01/2041#AI5189
3138AJXT4
1756.92950000
PA
USD
1788.69000000
0.000294677046
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/32 #638123
31389W4G7
7944.69880000
PA
USD
8442.52000000
0.001390859710
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #404745
31378PTA1
46.96870000
PA
USD
47.92000000
0.000007894561
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #726298
3620AC3F9
20321.44290000
PA
USD
20625.14000000
0.003397880756
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/32 #644836
31390FLR8
1663.88540000
PA
USD
1767.35000000
0.000291161396
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#BM5108
3140J9VA6
719021.79720000
PA
USD
694036.36000000
0.114338753197
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
211000.00000000
PA
USD
215622.97000000
0.035522723262
Long
ABS-CBDO
CORP
US
N
2
2028-07-17
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #251298
31371GDB3
173.75650000
PA
USD
177.14000000
0.000029182861
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 04/01/2046#Q40165
3132WDFF6
37903.17230000
PA
USD
34514.61000000
0.005686096149
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2042#G07368
3128M9QV7
159727.75370000
PA
USD
156329.16000000
0.025754387338
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#
31418D5G3
1055318.19520000
PA
USD
912514.54000000
0.150331856932
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
WELLS FARGO COML MORTAGE TR 2024-MGP
N/A
WELLS FARGO COML MORTAGE TR 2024-MGP TSFR1M+199.073 08/15/2041 144A
95003TAA1
200000.00000000
PA
USD
199478.40000000
0.032862992287
Long
ABS-MBS
CORP
US
N
2
2041-08-15
Variable
0.07340730
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 09/45#MA3106
36179RNX3
3311.90700000
PA
USD
3212.60000000
0.000529258551
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
47578.19670000
PA
USD
47096.28000000
0.007758858535
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
2248591.54350000
PA
USD
2029733.21000000
0.334387617032
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
1313014.59000000
PA
USD
1186911.75000000
0.195537319759
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2045#BM4643
3140J9ER8
99927.96600000
PA
USD
99652.63000000
0.016417234202
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04500000
N
N
N
N
N
N
BANK 2021-BNK33
N/A
BANK 2021-BNK33 VAR 05/15/2064
06541CBR6
4942569.00620000
PA
USD
237592.75000000
0.039142126218
Long
ABS-MBS
CORP
US
N
2
2064-05-15
Variable
0.01163002
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AD8812
36180MYH4
50182.04430000
PA
USD
46214.48000000
0.007613586733
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21900
3132JPDD1
7744.21450000
PA
USD
7553.05000000
0.001244324317
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2045#AZ4750
3138YWH42
83885.41740000
PA
USD
78659.62000000
0.012958748843
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 10/28 #780881
36225A6S4
1572.12460000
PA
USD
1614.55000000
0.000265988418
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.08500000
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
103000.00000000
PA
USD
103551.51000000
0.017059553688
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
280598.49300000
PA
USD
249707.57000000
0.041137977580
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
21233.82680000
PA
USD
20499.89000000
0.003377246493
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
NYMT LOAN TRUST 2024-CP1
N/A
NYMT LOAN TRUST 2024-CP1 3.75% 02/25/2068 144A
67118PAA0
378195.69000000
PA
USD
355161.19000000
0.058510893649
Long
ABS-CBDO
CORP
US
N
2
2068-02-25
Fixed
0.03750000
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
578384.78300000
PA
USD
509303.26000000
0.083904969687
Long
ABS-CBDO
USGSE
US
N
2
2045-03-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.54% 4/37 #918912
31411Y3V3
7101.59090000
PA
USD
7270.94000000
0.001197848213
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Variable
0.05945000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #737177
3620AQ6N8
82356.96160000
PA
USD
83617.51000000
0.013775534525
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2051#FM5651
3140X9H57
261576.16000000
PA
USD
225255.47000000
0.037109625770
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719228
3620A5A58
92966.06900000
PA
USD
92645.78000000
0.015262893393
Long
ABS-MBS
USGA
US
N
2
2040-07-15
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 20-49 JA 2% 08/25/2044
3136BAF41
151753.28300000
PA
USD
140899.55000000
0.023212442173
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 30YR 3% 6/46#V82414
3132L7VF3
531845.17700000
PA
USD
484298.01000000
0.079785489393
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2047#784391
3622A22Y7
882640.97230000
PA
USD
833612.83000000
0.137333225065
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2039#A89270
312936JP3
151161.70410000
PA
USD
151193.31000000
0.024908283705
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/40 #004800
36202FKM7
264269.44870000
PA
USD
257970.88000000
0.042499313408
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 08/01/2036#RC2195
3133L8NL5
653695.59400000
PA
USD
593357.20000000
0.097752403704
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2045#Q33547
3132QP5H3
966329.91450000
PA
USD
909887.26000000
0.149899026699
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
BX COML MTG TR 2024-MDHS
N/A
BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A
12433BAA5
712304.79000000
PA
USD
710970.14000000
0.117128502270
Long
ABS-MBS
CORP
US
N
2
2041-05-15
Floating
0.06978190
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
3319643.04400000
NS
USD
3319975.01000000
0.546948006137
Long
STIV
RF
US
N
1
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 8/36 #G02307
3128LXR44
77656.69180000
PA
USD
79018.13000000
0.013017811435
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
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
2583962.37800000
PA
USD
2210636.14000000
0.364190400658
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2502 ZC 6 9/32
31392UTM6
20390.16010000
PA
USD
21070.87000000
0.003471312374
Long
ABS-CBDO
USGSE
US
N
2
2032-09-15
Fixed
0.06000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.125% 08/15/2053
912810TT5
3697000.00000000
PA
USD
3630425.13000000
0.598092991755
Long
DBT
UST
US
N
2
2053-08-15
Fixed
0.04125000
N
N
N
N
N
N
STORE MASTER FUNDING
N/A
STORE MASTER FUNDING 2.12% 06/20/2051 144A
86190BAA2
996775.81780000
PA
USD
891789.91000000
0.146917585734
Long
ABS-CBDO
CORP
US
N
2
2051-06-20
Fixed
0.02120000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#FM9777
3140XD2K1
404214.17100000
PA
USD
362250.39000000
0.059678801176
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 10/01/2054 #TBA
01F0306A1
1525000.00000000
PA
USD
1353377.87000000
0.222961716674
Long
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD1924
3132DPD54
1537458.95260000
PA
USD
1544021.60000000
0.254369244650
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
327014.69000000
PA
USD
289954.54000000
0.047768449173
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
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 1.5% 10/25/2051
3136BJHA6
246675.81000000
PA
USD
208359.90000000
0.034326171588
Long
ABS-CBDO
USGSE
US
N
2
2051-10-25
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2043#MA0783
36179M2Q2
165587.77210000
PA
USD
157353.46000000
0.025923135248
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/39 #A88305
312935GN3
2095.97610000
PA
USD
2095.37000000
0.000345200924
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/26 #256469
31371M2A4
1739.19740000
PA
USD
1756.09000000
0.000289306371
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING 2024-2
N/A
ENTERPRISE FLEET FINANCING 2024-2 5.61% 04/20/2028 144A
29375RAC0
179000.00000000
PA
USD
183315.60000000
0.030200258017
Long
ABS-CBDO
CORP
US
N
2
2028-04-20
Fixed
0.05610000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 S
N/A
3100000.00000000
NC
USD
-10234.03000000
-0.00168600133
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
71864.57000000
USD
3100000.00000000
USD
61630.54000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 03/01/2054#CB8165
3140QUCB0
1314193.21700000
PA
USD
1340180.07000000
0.220787450189
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
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 2.5% 12/25/2049
3136BLGX2
234368.15000000
PA
USD
205041.99000000
0.033779563782
Long
ABS-CBDO
USGSE
US
N
2
2049-12-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 09/01/2036#CB1715
3140QL3Z7
1759103.60900000
PA
USD
1565243.88000000
0.257865501007
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2034#FM8940
3140XC5A2
139806.29800000
PA
USD
135728.68000000
0.022360569184
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 09/01/2054 #TBA
01F020695
111300000.00000000
PA
USD
91031223.78000000
14.99690395040
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2047#BE9249
3140FVH33
48585.92030000
PA
USD
45483.26000000
0.007493122175
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AP4410
3138M73U7
84811.27340000
PA
USD
80596.01000000
0.013277758669
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#733816
3620AMGZ9
58058.07100000
PA
USD
56612.60000000
0.009326621013
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 11/25/2040
3137F6YL5
216589.35600000
PA
USD
199724.37000000
0.032903514520
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
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% 10/25/2051
3137H2UC6
244980.80200000
PA
USD
207419.93000000
0.034171316592
Long
ABS-CBDO
USGSE
US
N
2
2051-10-25
Fixed
0.01500000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TR 2024-X1
N/A
AFFIRM ASSET SECURITIZATION TR 2024-X1 6.27% 05/15/2029 144A
00834XAA7
161016.97000000
PA
USD
161451.94000000
0.026598337759
Long
ABS-CBDO
CORP
US
N
2
2029-05-15
Fixed
0.06270000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 1/1/42 #Q05962
3132GMJF0
127824.87390000
PA
USD
125126.75000000
0.020613958304
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.5% 11/25/2051
3137H3V82
309831.76300000
PA
USD
262820.49000000
0.043298260542
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 3.0% 02/01/2043#AR0015
3138NWAR0
47946.39490000
PA
USD
44330.38000000
0.007303191403
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#BT9503
3140LYRZ8
21850.01150000
PA
USD
19506.53000000
0.003213595782
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.187% 09/25/2027
3137FBU79
199613.86000000
PA
USD
194277.76000000
0.032006214850
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
0.03187000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-160 DY 4% 12/20/2040
38377RLW3
330456.71450000
PA
USD
324571.12000000
0.053471344332
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 7/26 #D97040
3128E3ZD9
423.68800000
PA
USD
426.14000000
0.000070204270
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
0.07000000
N
N
N
N
N
N
CFMT 2024-HB13 LLC
N/A
CFMT 2024-HB13 LLC VAR 05/25/2034 144A
12530VAA3
212845.79000000
PA
USD
203549.56000000
0.033533693975
Long
ABS-CBDO
CORP
US
N
2
2034-05-25
Variable
0.03000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) FUT DEC24 USZ4
N/A
-52.00000000
NC
USD
126649.12000000
0.020864760564
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
UST NOTES
UST NOTES 0% 06/30/2040
2024-12-19
-6529149.12000000
USD
126649.12000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 9/39 #G06670
3128M8W75
23430.57210000
PA
USD
24762.36000000
0.004079465474
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2045#AY9393
3138YPNK4
77663.37450000
PA
USD
75277.07000000
0.012401491945
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 11/01/2053#CB7520
3140QTLA5
701930.73600000
PA
USD
731959.40000000
0.120586369836
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 09/01/2054 #TBA
01F020695
-93650000.00000000
PA
USD
-76595454.69000000
-12.6186887237
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0710
3133KTYF1
105907.27900000
PA
USD
95206.33000000
0.015684730218
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 ARM 4.58% 7/35 #995273
31416BT65
1544.99720000
PA
USD
1587.43000000
0.000261520544
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.06439000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2032#C91403
3128P7RY1
154081.79930000
PA
USD
150956.02000000
0.024869191456
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.03500000
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
1063452.00000000
PA
USD
1026110.80000000
0.169046229096
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
2745010.74230000
PA
USD
2381013.53000000
0.392259158245
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
487977.95320000
PA
USD
481431.83000000
0.079313301671
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/39 #726095
3620ACUU6
23356.10280000
PA
USD
23720.19000000
0.003907773578
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2040#MA4175
31418DT93
135923.78460000
PA
USD
113728.75000000
0.018736199177
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
1495357.36600000
PA
USD
1528138.29000000
0.251752554853
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05500000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 3.502 01/04/2029
N/A
-7600000.00000000
NC
USD
-282402.32000000
-0.04652426159
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Written
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/08/34 SOFRV3.502%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-01-08
0.00000000
USD
0.00000000
USD
-7600000.00000000
USD
1.00000000
3.50200000
USD
2029-01-04
XXXX
33377.68000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2032#MA3060
31418CMJ0
465031.63030000
PA
USD
449209.63000000
0.074004867725
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-74 SV SOFR30A+743.552 11/32
31392FRK5
3432.60510000
PA
USD
85.98000000
0.000014164742
Long
ABS-CBDO
USGSE
US
N
2
2032-11-25
Variable
0.02086680
N
N
N
N
N
N
DLLAA 2023-1A
N/A
DLLAA 2023-1A 5.64% 02/22/2028 144A
23292HAC5
106000.00000000
PA
USD
107980.90000000
0.017789271840
Long
ABS-CBDO
CORP
US
N
2
2028-02-22
Fixed
0.05640000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/32 #648009
31390J3S8
469.57920000
PA
USD
499.31000000
0.000082258633
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6.5% 09/01/2054 #TBA
01F062697
400000.00000000
PA
USD
411859.36000000
0.067851611859
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15400
3132J6NS9
17970.50260000
PA
USD
17550.74000000
0.002891389911
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2041#AH5580
3138A7FW3
154628.70150000
PA
USD
154432.28000000
0.025441886572
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/40 #A93505
3129413N5
82479.66290000
PA
USD
82486.86000000
0.013589266025
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 5/33 #A45795
3128K6NL0
32972.65790000
PA
USD
33950.20000000
0.005593112641
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6% 09/01/2054 #TBA
01F060691
21125000.00000000
PA
USD
21513666.20000000
3.544260663816
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 11/01/2035#SB8073
3132D56J6
591158.35390000
PA
USD
525086.83000000
0.086505227856
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 04/01/2043#Q17518
3132J8YQ7
12539.21570000
PA
USD
12259.31000000
0.002019655310
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2048#BJ4680
3140H6FW4
28147.56900000
PA
USD
27036.41000000
0.004454102967
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2035#AB0067
31416VCD4
53070.67250000
PA
USD
53813.12000000
0.008865421757
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.05000000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
550000.00000000
NC
USD
81186.82000000
0.013375091435
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
157903.24000000
USD
0.00000000
USD
550000.00000000
USD
-76716.42000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2380 SY SOFR30A+808.552 11/31
31339GVS7
16666.23730000
PA
USD
763.01000000
0.000125701788
Long
ABS-CBDO
USGSE
US
N
2
2031-11-15
Variable
0.02731990
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT TSFR1M+51.448 01/20/2049
38381BSP0
74855.63100000
PA
USD
74116.35000000
0.012210269575
Long
ABS-CBDO
USGA
US
N
2
2049-01-20
Variable
0.05850160
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/35 #A47209
3128K8AJ5
6654.61250000
PA
USD
6646.24000000
0.001094932252
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 5/33 #G01785
31283H6W0
15238.62330000
PA
USD
15648.33000000
0.002577978107
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0045
3140X3BP2
81884.05910000
PA
USD
78625.95000000
0.012953201892
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/41 #004945
36202FP67
57287.10250000
PA
USD
55917.22000000
0.009212060902
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2044#MA1600
36179NX52
12583.99890000
PA
USD
11934.12000000
0.001966082009
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2052#QE3536
3133BC4V6
139910.18900000
PA
USD
128745.80000000
0.021210177304
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#RA6988
3133KNXR9
109762.68130000
PA
USD
97810.21000000
0.016113705427
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
183180.73770000
PA
USD
183848.16000000
0.030287994409
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST 2024-A
N/A
AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A
00834BAF4
400000.00000000
PA
USD
403689.88000000
0.066505734018
Long
ABS-CBDO
CORP
US
N
2
2029-02-15
Fixed
0.05610000
N
N
N
N
N
N
BLOX 2021-BLOX
N/A
BLOX 2021-BLOX A TSFR1M+86.448 09/15/2026 144A
055522AA4
772269.00000000
PA
USD
750993.92000000
0.123722204513
Long
ABS-MBS
CORP
US
N
2
2026-09-15
Variable
0.06201480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 9/37 #889631
31410KLL6
890.88830000
PA
USD
939.98000000
0.000154856643
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.06500000
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
127000.00000000
PA
USD
127863.65000000
0.021064847842
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
604751.76930000
PA
USD
502507.54000000
0.082785411409
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% 12/01/2041#MA4501
31418EAB6
490395.75100000
PA
USD
422810.34000000
0.069655726847
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#794219
36177NVM9
87848.12060000
PA
USD
85668.51000000
0.014113425731
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
BANK 2017-BNK9
N/A
BANK 2017-BNK9 A4 3.538% 11/15/2054
06540RAE4
1012812.00000000
PA
USD
974751.34000000
0.160585034612
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
18863.01900000
PA
USD
16339.98000000
0.002691923720
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 20YR 1.5% 02/01/2041#RB5099
3133KYUY3
142874.23710000
PA
USD
119544.26000000
0.019694273136
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4.5% 12/01/2042#RB5198
3133KYX38
64086.19100000
PA
USD
63707.13000000
0.010495406629
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H19 FG TSFR1M+41.448 8/60
38375BFQ0
29843.62420000
PA
USD
29707.00000000
0.004894068289
Long
ABS-CBDO
USGA
US
N
2
2060-08-20
Variable
0.05746400
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.5% 05/01/2039#FM1194
3140X4KG0
420358.89300000
PA
USD
422601.59000000
0.069621336409
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 09/01/2030#
31283HHG3
271.79560000
PA
USD
284.60000000
0.000046886317
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-31 ZC 6.5% 7/31
313920CW8
9814.42220000
PA
USD
9960.61000000
0.001640956863
Long
ABS-CBDO
USGSE
US
N
2
2031-07-25
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2044#Q27808
3132M8KV7
4527.79220000
PA
USD
4400.72000000
0.000724994923
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #783008
36241LKV7
90486.48060000
PA
USD
90177.80000000
0.014856306978
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3455
3138E7ZV9
36051.18280000
PA
USD
35282.48000000
0.005812598597
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
MHP COML MTG TR 2021-STOR
N/A
MERIT 2021-STOR A TSFR1M+81.448 07/15/2038 144A
55293BAB1
340811.00000000
PA
USD
337083.38000000
0.055532671793
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.06151480
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 05/01/2031#
31298MDZ7
2699.51920000
PA
USD
2796.86000000
0.000460767625
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2048#ZS4788
3132A5J97
670940.78720000
PA
USD
605217.91000000
0.099706391812
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
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 5180 KA 2.5% 10/25/2047
3137H5BG1
202448.73500000
PA
USD
184247.86000000
0.030353842832
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT1745
3138WN5F2
82654.30640000
PA
USD
78367.79000000
0.012910671422
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
PRPM 2024-RPL2 LLC
N/A
PRPM 2024-RPL2 A1 LLC VAR 05/25/2054 144A
69381DAA3
637116.56000000
PA
USD
614011.59000000
0.101155103241
Long
ABS-CBDO
CORP
US
N
2
2054-05-25
Variable
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 2004-24 ZM 5% 04/34
38374F2L7
55709.90120000
PA
USD
55435.15000000
0.009132642466
Long
ABS-CBDO
USGA
US
N
2
2034-04-20
Fixed
0.05000000
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
36944.14000000
PA
USD
36947.86000000
0.006086960985
Long
ABS-CBDO
CORP
US
N
2
2025-10-20
Fixed
0.05440000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM RFT1Y+190 9 10/42#849255
31300MH89
8552.45100000
PA
USD
8798.33000000
0.001449477491
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Variable
0.06601000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/39 #704628
36296XYZ1
30387.16540000
PA
USD
30832.33000000
0.005079460347
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-16 ZD 6.50% 4/32
31392CVK7
6814.51310000
PA
USD
7050.46000000
0.001161525321
Long
ABS-CBDO
USGSE
US
N
2
2032-04-25
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 01/01/2051#SD8120
3132DWAV5
2492230.14380000
PA
USD
1949758.12000000
0.321212151589
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
21504.22510000
PA
USD
20859.43000000
0.003436478772
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55725
3132XYLF2
26578.46910000
PA
USD
25616.59000000
0.004220195267
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 12/20/2050#MA7051
36179VZQ6
4479345.62260000
PA
USD
3772710.93000000
0.621533811152
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 3/41 #A97528
312946LH7
23259.01010000
PA
USD
23255.37000000
0.003831196986
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
SBNA AUTO LEASE TRUST 2024-B
N/A
SBNA AUTO LEASE TRUST 2024-B 5.56% 11/22/2027 144A
78437VAE0
268000.00000000
PA
USD
271868.45000000
0.044788863232
Long
ABS-CBDO
CORP
US
N
2
2027-11-22
Fixed
0.05560000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#BO1835
3140JWBD1
65583.22280000
PA
USD
64046.58000000
0.010551329189
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/27 #455361
36208MZ24
159.43240000
PA
USD
161.14000000
0.000026546947
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 4683 LM 3% 05/15/2047
3137BYKR0
208104.44430000
PA
USD
199765.49000000
0.032910288818
Long
ABS-CBDO
USGSE
US
N
2
2047-05-15
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045
3136ANY68
176420.14900000
PA
USD
28187.71000000
0.004643773442
Long
ABS-CBDO
USGSE
US
N
2
2045-06-25
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 07/15/2043#AD2512
36180DYH4
10669.15080000
PA
USD
9840.09000000
0.001621101842
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AL2266
3138EJQU5
253017.72950000
PA
USD
240510.89000000
0.039622874070
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 10/01/2054 #TBA
21H0606A4
7250000.00000000
PA
USD
7352024.18000000
1.211206395895
Long
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 04/01/2042#SC0270
3132D9JP0
102445.62030000
PA
USD
91806.31000000
0.015124595231
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
335563.46410000
PA
USD
290784.84000000
0.047905236627
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
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% 04/15/2043
3137BVEX0
27267.47100000
PA
USD
27031.80000000
0.004453343494
Long
ABS-CBDO
USGSE
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/42#G60488
31335ARH3
71708.67410000
PA
USD
70222.34000000
0.011568752395
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/26 #442193
36207UGA0
18.61770000
PA
USD
18.86000000
0.000003107083
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 07/01/2040#CA6462
3140QEFC1
203469.59820000
PA
USD
183165.22000000
0.030175483722
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AB1801
31416XAB6
137739.04440000
PA
USD
134827.03000000
0.022212027201
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
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 2% 10/25/2047
3136BLES5
2315233.48460000
PA
USD
2073038.76000000
0.341521973211
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2039#AW0113
3138XPDT7
22813.39050000
PA
USD
22361.51000000
0.003683938364
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 10/01/2041#RB5131
3133KYVY2
19698.38200000
PA
USD
17032.83000000
0.002806067027
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
FHLMC MFD HSG COP GTD (FREDMAC
N/A
FHR 2043 CJ 6.5% 4/28
3133TDML7
10248.99830000
PA
USD
10361.07000000
0.001706930492
Long
ABS-CBDO
USGSE
US
N
2
2028-04-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737532
3620ARLM1
8481.47050000
PA
USD
8280.95000000
0.001364241922
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 09/01/2053#QH0300
3133CCKM7
95982.21300000
PA
USD
100148.33000000
0.016498898108
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.472% 12/01/2040#AE0653
31419AWP8
166736.59820000
PA
USD
171530.28000000
0.028258690006
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Variable
0.06444000
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
203987.16500000
PA
USD
182294.95000000
0.030032111425
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 04/01/2051#SD8139
3132DWBG7
1973791.49450000
PA
USD
1544165.58000000
0.254392964580
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719216
3620A5AR0
47547.55970000
PA
USD
47379.76000000
0.007805560338
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 07/01/2054#CB8875
3140QU2H8
859011.91400000
PA
USD
885022.88000000
0.145802753979
Long
ABS-MBS
USGSE
US
N
2
2054-07-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/46#AS7009
36193SYE3
11811.51400000
PA
USD
11148.04000000
0.001836579562
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 2/42 #005306
36202F3P9
1630.17400000
PA
USD
1628.58000000
0.000268299785
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 8/25 #405480
36206AM59
24.82310000
PA
USD
24.92000000
0.000004105435
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/26 #780299
36225AKL3
54.14850000
PA
USD
54.22000000
0.000008932453
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2162 PH 6 6/29
3133TLBA5
2689.42770000
PA
USD
2737.40000000
0.000450971910
Long
ABS-CBDO
USGSE
US
N
2
2029-06-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/20/2045#MA3311
36179RVC0
27563.33360000
PA
USD
26736.86000000
0.004404753717
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 08/01/2032#J37452
31307UH50
12186.55930000
PA
USD
11784.38000000
0.001941413150
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 06/30/2031
91282CKW0
2160000.00000000
PA
USD
2216700.00000000
0.365189388942
Long
DBT
UST
US
N
2
2031-06-30
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 10/01/2050#CA7229
3140QFA74
496316.24420000
PA
USD
430658.22000000
0.070948622819
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 10/01/2054 #TBA
21H0526A1
7875000.00000000
PA
USD
7923527.33000000
1.305358462538
Long
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2045#MA2523
36179QYU9
2685.87000000
PA
USD
2684.71000000
0.000442291516
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4% 03/15/2044
3137BKP61
12262.92400000
PA
USD
12185.87000000
0.002007556466
Long
ABS-CBDO
USGSE
US
N
2
2044-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 05/46#MA3665
36179SCA3
3978.64100000
PA
USD
3976.92000000
0.000655176155
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #738002
3620AR3K5
15172.70720000
PA
USD
14813.43000000
0.002440432828
Long
ABS-MBS
USGA
US
N
2
2041-02-15
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
1117764.47840000
PA
USD
963257.91000000
0.158691553907
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
29752.01100000
PA
USD
23527.06000000
0.003875956451
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
660991.90150000
PA
USD
548206.46000000
0.090314062408
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #468760
36209DWV2
143.33480000
PA
USD
144.94000000
0.000023878084
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-73 SA SOFR30A+1725.235 8/35
31394EB64
1554.54470000
PA
USD
1622.42000000
0.000267284958
Long
ABS-CBDO
USGSE
US
N
2
2035-08-25
Variable
0.03345368
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#SD2219
3132DPPC6
858597.41060000
PA
USD
768656.58000000
0.126632032641
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/30 #590851
31387QL81
28959.18940000
PA
USD
30049.05000000
0.004950419185
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 10/01/2053#RJ0001
3142GQAB8
351256.46000000
PA
USD
367051.62000000
0.060469777966
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
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
244229.10480000
PA
USD
240486.29000000
0.039618821353
Long
ABS-CBDO
USGA
US
N
2
2049-02-20
Variable
0.05900160
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AA6146
36178DZK0
117481.95930000
PA
USD
108130.35000000
0.017813892923
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST 2024-1
N/A
ALLY AUTO RECEIVABLES TRUST 2024-1 5.08% 12/15/2028
02008FAC8
223000.00000000
PA
USD
224887.78000000
0.037049050822
Long
ABS-CBDO
CORP
US
N
2
2028-12-15
Fixed
0.05080000
N
N
N
N
N
N
GS MTG-BACKED SECS TR 2024-RPL2
N/A
GS MTG-BACKED SECS TR 2024-RPL2 3.75% 07/25/2061 144A
36269MAA9
286300.89000000
PA
USD
277301.62000000
0.045683948734
Long
ABS-CBDO
CORP
US
N
2
2061-07-25
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2041#AH1582
3138A2XL8
4911.32540000
PA
USD
4810.64000000
0.000792527036
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
PRET 2024-RPL1 TR
N/A
PRET 2024-RPL1 TR 3.9% 10/25/2063 144A
693989AA3
563604.84000000
PA
USD
536849.39000000
0.088443046279
Long
ABS-CBDO
CORP
US
N
2
2063-10-25
Fixed
0.03900000
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
184853.07000000
PA
USD
165004.55000000
0.027183611127
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
32372.47660000
PA
USD
30726.02000000
0.005061946347
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AP0495
3138M3RR7
13615.34310000
PA
USD
12925.92000000
0.002129475719
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2045#AY8060
3138YM5W5
52967.50050000
PA
USD
51340.01000000
0.008457990201
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027
3136A8PY0
57153.04100000
PA
USD
1665.05000000
0.000274308021
Long
ABS-CBDO
USGSE
US
N
2
2027-09-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AU2962
3138X2JG0
54917.16180000
PA
USD
50787.47000000
0.008366962211
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2040#BM1518
3140J5VL0
354045.36000000
PA
USD
353473.36000000
0.058232832744
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96876
312945T99
23673.99960000
PA
USD
23674.48000000
0.003900243102
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5.5% 05/01/2053#RA9058
3133KRB37
1692205.81800000
PA
USD
1725071.50000000
0.284196240793
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.967% 8/41#AI8879
3138AN2M4
7747.62830000
PA
USD
7970.37000000
0.001313075540
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Variable
0.06434000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 01/01/2048#V83906
3132L9KT1
154505.72250000
PA
USD
148576.13000000
0.024477117393
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BD7599
3140FFNR8
34467.35150000
PA
USD
33214.42000000
0.005471896848
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 01/01/2054#RJ0706
3142GQYC0
1124762.55000000
PA
USD
1175340.42000000
0.193631005448
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3189 PD 6% 7/36
31396UAR1
34591.48960000
PA
USD
36253.22000000
0.005972522785
Long
ABS-CBDO
USGSE
US
N
2
2036-07-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AY3020
3138YGLA8
108170.23100000
PA
USD
104947.98000000
0.017289614601
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/25 #410064
36206FQR6
38.65530000
PA
USD
38.80000000
0.000006392091
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2039#AS2011
3138WBGV1
18058.27560000
PA
USD
17703.24000000
0.002916513465
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2043#MA1224
36179NLD8
11714.23650000
PA
USD
11120.86000000
0.001832101803
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
91232.15950000
PA
USD
88627.77000000
0.014600947881
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
147786.57480000
PA
USD
123654.46000000
0.020371406454
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-52 YZ 6.5% 10/31
313921MN5
3787.58970000
PA
USD
3911.18000000
0.000644345844
Long
ABS-CBDO
USGSE
US
N
2
2031-10-25
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6312
3140QEAN2
973880.23450000
PA
USD
876732.56000000
0.144436968399
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/41 #Q00736
3132GDY97
22422.15130000
PA
USD
22408.12000000
0.003691617111
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2044#MA2149
36179QL66
29772.98190000
PA
USD
28963.27000000
0.004771542776
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/45#G08624
3128MJVS6
2224.83300000
PA
USD
2161.00000000
0.000356013113
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8237
3138EDEK3
144167.88660000
PA
USD
140921.86000000
0.023216117626
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/28 #404244
36205YBM3
344.75740000
PA
USD
347.55000000
0.000057256991
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 01/01/2037#FS0216
3140XFG21
2526507.16530000
PA
USD
2300407.51000000
0.378979750482
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 02/01/2029#
31293KQ33
720.44760000
PA
USD
733.64000000
0.000120863239
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 2/37 #A57709
3128KLR66
1812.10990000
PA
USD
1899.17000000
0.000312878031
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.06500000
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
11808.99000000
0.001945467515
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
20910.77000000
USD
0.00000000
USD
80000.00000000
USD
-9101.78000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY562346 11/18/64 B
N/A
600000.00000000
NC
USD
6371.88000000
0.001049732919
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S15 PRC INDX
CY562346
Y
2064-11-18
11426.86000000
USD
0.00000000
USD
600000.00000000
USD
-5054.98000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2040#
31418DUA8
15809.52100000
PA
USD
13744.31000000
0.002264301064
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
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 4% 08/15/2044
3137BMHE9
17570.13300000
PA
USD
17449.52000000
0.002874714461
Long
ABS-CBDO
USGSE
US
N
2
2044-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 01/20/2052#785831
3622ABLL4
540078.27100000
PA
USD
466412.40000000
0.076838931452
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55661
3132XYJF5
21218.53290000
PA
USD
20444.00000000
0.003368038917
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 4/35 #820389
31406UNE4
464.23310000
PA
USD
485.71000000
0.000080018107
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#BD5247
3140FCZM3
77335.48150000
PA
USD
72396.89000000
0.011926997798
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 01/01/2054#CB7801
3140QTU31
859446.58000000
PA
USD
896213.79000000
0.147646396143
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 359 19 6% 7/35
3136FCUL8
7326.74730000
PA
USD
1332.23000000
0.000219477718
Long
ABS-CBDO
USGSE
US
N
2
2035-07-25
Variable
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2289
3140QMRK2
1694650.77200000
PA
USD
1460402.25000000
0.240593406995
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 30YR 3.5% 12/01/2046#Q45023
3132WJSM4
95476.70300000
PA
USD
89362.92000000
0.014722059885
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#CA3925
3140QBLF3
193889.82850000
PA
USD
189346.91000000
0.031193883863
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
851074.37530000
PA
USD
733431.90000000
0.120828956282
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
USAA AUTO OWNER TR 2024-A
N/A
USAA AUTO OWNER TR 2024-A 5.03% 03/15/2029 144A
90327VAC2
800000.00000000
PA
USD
809226.88000000
0.133315771111
Long
ABS-CBDO
CORP
US
N
2
2029-03-15
Fixed
0.05030000
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
279000.00000000
PA
USD
278629.85000000
0.045902767475
Long
ABS-CBDO
CORP
US
N
2
2026-04-20
Fixed
0.04930000
N
N
N
N
N
N
CFMT 2023-HB12 LLC
N/A
CFMT 2023-HB12 LLC 4.25% 04/25/2033 144A
12530QAA4
118493.54790000
PA
USD
116266.45000000
0.019154271588
Long
ABS-CBDO
CORP
US
N
2
2033-04-25
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE3874
31419EJU4
29308.55400000
PA
USD
29270.98000000
0.004822236342
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2046#G60553
31335ATJ7
1098016.97640000
PA
USD
1032166.92000000
0.170043942256
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
BOFA AUTO TR 2024-1
N/A
BOFA AUTO TR 2024-1A A3 5.35% 11/15/2028 144A
09709AAC6
102000.00000000
PA
USD
103657.58000000
0.017077028149
Long
ABS-CBDO
CORP
US
N
2
2028-11-15
Fixed
0.05350000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
550000.00000000
NC
USD
81186.82000000
0.013375091435
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
143836.65000000
USD
0.00000000
USD
550000.00000000
USD
-62649.83000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033
3137AXRF2
16808.73800000
PA
USD
1200.94000000
0.000197848398
Long
ABS-CBDO
USGSE
US
N
2
2033-01-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2037#QO0016
3133WJAR0
307621.49900000
PA
USD
292016.84000000
0.048108201994
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #486530
36210APP6
1765.28510000
PA
USD
1782.30000000
0.000293624328
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/01/2054 #TBA
21H040699
3800000.00000000
PA
USD
3631132.18000000
0.598209474435
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2052#BV3575
3140MG6M8
541842.51400000
PA
USD
499451.84000000
0.082282001288
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 4135 AB 1.75% 06/15/2042
3137AWAE5
23796.72870000
PA
USD
22154.22000000
0.003649788453
Long
ABS-CBDO
USGSE
US
N
2
2042-06-15
Fixed
0.01750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AD2454
36180DWP8
43041.66090000
PA
USD
39795.27000000
0.006556056450
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4% 06/15/2044
3137BLNS3
17672.72700000
PA
USD
17550.79000000
0.002891398148
Long
ABS-CBDO
USGSE
US
N
2
2044-06-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2052#SD1772
3132DN6H1
1102354.10220000
PA
USD
1058492.87000000
0.174381000764
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
1601936.50180000
PA
USD
1444015.52000000
0.237893781464
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
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
193321.52000000
0.031848679459
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 30YR 3% 01/01/2051#MA4239
31418DV90
584908.66240000
PA
USD
523089.26000000
0.086176138955
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.03000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2010-95 ZC 5% 09/25/2040
31398NFC3
486562.04450000
PA
USD
492846.14000000
0.081193747782
Long
ABS-CBDO
USGSE
US
N
2
2040-09-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2035#FS0112
3140XFDS7
290189.63100000
PA
USD
280945.76000000
0.046284301177
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.03000000
N
N
N
N
N
N
GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1
N/A
GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1 4.98% 12/11/2036 144A
36269KAA3
691000.00000000
PA
USD
703362.54000000
0.115875191134
Long
ABS-CBDO
CORP
US
N
2
2036-12-11
Fixed
0.04980000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q17578
3132J82L3
33292.12580000
PA
USD
31662.50000000
0.005216226384
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
2024-09-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer