0001752724-24-242952.txt : 20241029
0001752724-24-242952.hdr.sgml : 20241029
20241029115932
ACCESSION NUMBER: 0001752724-24-242952
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: 241403970
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY DIVERSIFIED TRUST
DATE OF NAME CHANGE: 19930706
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH FUND
DATE OF NAME CHANGE: 19920130
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH INVESTMENT SERIES
DATE OF NAME CHANGE: 19911204
0000795422
S000062808
Fidelity Series Investment Grade Securitized Fund
C000203455
Fidelity Series Investment Grade Securitized Fund
FHPFX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000795422
XXXXXXXX
S000062808
C000203455
Fidelity Advisor Series II
811-04707
0000795422
EIVUM2R16VT371T5KS40
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Series Investment Grade Securitized Fund
S000062808
549300SCBY1VRBYHW061
2024-08-31
2024-08-31
N
1027038171.18
440956896.81
586081274.37
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
288614588.96000000
0.00000000
0.00000000
0.00000000
USD
N
Bloomberg US Securitized Index
19910058
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2032#AS8602
3138WJRY6
181136.81600000
PA
USD
172898.13000000
0.029500708785
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
0.043122353682
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
76896.45000000
PA
USD
63775.56000000
0.010881692145
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#FM4368
3140X72A6
25687.14500000
PA
USD
22816.19000000
0.003893007846
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#CB0447
3140QKP93
1561523.33500000
PA
USD
1343724.87000000
0.229272786687
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES 2023-3 OWNER TR
N/A
HONDA AUTO RECEIVABLES 2023-3 OWNER TR 5.41% 02/18/2028
43815QAC1
600000.00000000
PA
USD
605577.24000000
0.103326495229
Long
ABS-CBDO
CORP
US
N
2
2028-02-18
Fixed
0.05410000
N
N
N
N
N
N
BX COML MTG TR 2024-XL4
N/A
BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A
05611VAA9
554530.79000000
PA
USD
553837.63000000
0.094498434640
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.06778920
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 03/20/2047#784299
3622A2X49
11018.46300000
PA
USD
10674.31000000
0.001821302004
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A
46645WAU7
59000.00000000
PA
USD
53907.50000000
0.009197956385
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04247500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 11/01/2031#ZS8629
3132A9SS7
153493.18900000
PA
USD
146602.99000000
0.025014105792
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#FS1573
3140XGXB0
312211.46500000
PA
USD
278909.21000000
0.047588828068
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
HPEFS EQUIP TR 2024-2
N/A
HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A
40444MAE1
400000.00000000
PA
USD
405118.52000000
0.069123266297
Long
ABS-CBDO
CORP
US
N
2
2031-10-20
Fixed
0.05360000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM1884
3140J6CW5
12580.48800000
PA
USD
12155.51000000
0.002074031458
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2021-1
N/A
TOWD POINT MORTGAGE TRUST 2021-1 VAR 11/25/2061 144A
89179YAR4
1791794.74000000
PA
USD
1659386.66000000
0.283132516353
Long
ABS-CBDO
CORP
US
N
2
2061-11-25
Variable
0.02250000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A
05492PAA6
100000.00000000
PA
USD
93000.00000000
0.015868106364
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03112000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 10/01/2051#QC9772
3133AU2D9
12804.83800000
PA
USD
11787.05000000
0.002011163044
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2041#ZL1693
3131XG3A4
1614498.31000000
PA
USD
1611966.62000000
0.275041481530
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.75% MAC 09/18/26
N/A
-23122000.00000000
NC
USD
-271270.31000000
-0.04628544228
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2026-09-18
0.00000000
USD
0.00000000
USD
-22882569.84000000
USD
-271270.31000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2052#RA7122
3133KN4F7
24294.00800000
PA
USD
22416.16000000
0.003824752808
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
N
N
N
N
N
N
BANK 2018-BNK13
549300664283JRAXM588
BANK 2018-BN13 A5 4.217% 08/15/2061
06539LBB5
700000.00000000
PA
USD
684592.86000000
0.116808519558
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
0.04217000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3037
3140QNLT7
285047.05100000
PA
USD
235874.84000000
0.040246097310
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
260710.82200000
PA
USD
247724.48000000
0.042267939760
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 3.5853% 12/10/2054
12532BAC1
439884.22000000
PA
USD
425230.36000000
0.072554844967
Long
ABS-MBS
CORP
US
N
2
2054-12-10
Fixed
0.03585300
N
N
N
N
N
N
DISCOVER CARD EXECUTION NT TR
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NT TR 5.03% 10/15/2027
254683CX1
2100000.00000000
PA
USD
2106343.89000000
0.359394504160
Long
ABS-CBDO
CORP
US
N
2
2027-10-15
Fixed
0.05030000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2% 08/25/2044
3137FU6H2
340023.25100000
PA
USD
315876.02000000
0.053896282617
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.02000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
1000000.00000000
NC
USD
-19951.70000000
-0.00340425481
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
22800.95000000
USD
1000000.00000000
USD
2849.25000000
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
0.056593546749
Long
ABS-CBDO
CORP
US
N
2
2051-08-25
Variable
0.04867700
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9277
3133KRJW5
450734.66000000
PA
USD
464013.98000000
0.079172292358
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2048#BM5106
3140J9U82
40658.58300000
PA
USD
40291.04000000
0.006874650626
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2047#ZM3411
3131XWYG2
107912.87900000
PA
USD
103855.23000000
0.017720277808
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
562076.86100000
PA
USD
575474.81000000
0.098190274142
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06000000
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
2500000.00000000
PA
USD
2548338.00000000
0.434809660612
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Fixed
0.05290000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
230000.00000000
NC
USD
33950.85000000
0.005792856978
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
51032.01000000
USD
0.00000000
USD
230000.00000000
USD
-17081.16000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 09/01/2054 #TBA
21H060697
18400000.00000000
PA
USD
18666834.96000000
3.185024974576
Long
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 5% 09/01/2052#BW8697
3140N1UX9
19562.58700000
PA
USD
19884.51000000
0.003392790534
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
PRPM 2023-RCF2 LLC
N/A
PRPM 2023-RCF2 LLC 4% 11/25/2053 144A
69380RAA3
527877.16000000
PA
USD
515680.72000000
0.087987919517
Long
ABS-CBDO
CORP
US
N
2
2053-11-25
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/01/2052#RA6823
3133KNSL8
2669450.59000000
PA
USD
2208955.41000000
0.376902574199
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047
3137H5J57
140247.28700000
PA
USD
127659.60000000
0.021781893669
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
22590.98400000
PA
USD
22076.82000000
0.003766852988
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/42#Q10245
3132HLHW6
10201.51000000
PA
USD
9706.88000000
0.001656234454
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 11/01/2050#SD7530
3132DVLK9
2408142.41200000
PA
USD
2081289.58000000
0.355119617537
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02500000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-B2
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-B2 4.009% 03/10/2051
17327FAD8
300000.00000000
PA
USD
291614.19000000
0.049756612734
Long
ABS-MBS
CORP
US
N
2
2051-03-10
Fixed
0.04009000
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
1190781.02000000
PA
USD
1190975.47000000
0.203209950920
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2045#AL7231
3138EQA93
8409.88400000
PA
USD
7909.63000000
0.001349579033
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2018-C46
N/A
WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051
95001QAV3
885031.20400000
PA
USD
20254.38000000
0.003455899528
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
0.01078188
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 10/01/2033#BM5832
3140JAPS1
73905.08000000
PA
USD
71079.93000000
0.012127998813
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4.5% 09/01/2054 #TBA
01F042699
-1200000.00000000
PA
USD
-1167796.92000000
-0.19925511547
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.04500000
N
N
N
N
N
N
BANK 2020-BNK25
N/A
BANK 20-BNK25 XB CSTR 01/15/2063
06539WBD7
2000000.00000000
PA
USD
41442.80000000
0.007071169445
Long
ABS-MBS
CORP
US
N
2
2063-01-15
Variable
0.00531881
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 3.8225 02/24/2025
N/A
6400000.00000000
NC
USD
72939.01000000
0.012445203965
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 02/26/35 3.8225%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-02-26
0.00000000
USD
0.00000000
USD
6400000.00000000
USD
1.00000000
3.82250000
USD
2025-02-24
XXXX
-161380.99000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2048#CA2432
3140Q9V26
627068.18100000
PA
USD
621399.61000000
0.106026183939
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2051#FM9049
3140XDBT2
2843662.68400000
PA
USD
2552889.07000000
0.435586186019
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
768280.70700000
PA
USD
688761.20000000
0.117519741735
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#SC0210
3132D9GT5
1721758.07900000
PA
USD
1546176.29000000
0.263816019657
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 11/01/2053#RJ0189
3142GQF72
286094.81300000
PA
USD
292824.91000000
0.049963191592
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% 11/01/2035#QN4142
3133GAS72
62715.89000000
PA
USD
55706.37000000
0.009504888218
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 II 2.5% 12/20/2051#785805
3622ABKS0
974761.76200000
PA
USD
841805.72000000
0.143632932293
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 09/01/2054 #TBA
21H020691
-2100000.00000000
PA
USD
-1768089.33000000
-0.30167988764
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.02000000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
170000.00000000
NC
USD
25094.11000000
0.004281677490
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
47329.02000000
USD
0.00000000
USD
170000.00000000
USD
-22234.91000000
N
N
N
SREIT TR 2021-FLWR
N/A
SREIT TR 2021-FLWR TSFR1M+69.103 66 07/15/2036 144A
78485GAA2
212000.00000000
PA
USD
209598.63000000
0.035762724244
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Variable
0.06028030
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
110000.00000000
NC
USD
16237.36000000
0.002770496296
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
28893.72000000
USD
0.00000000
USD
110000.00000000
USD
-12656.36000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2052#CB5124
3140QQVS1
1228463.39400000
PA
USD
1195860.22000000
0.204043410410
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873245 04/17/65 S
N/A
800000.00000000
NC
USD
-11854.80000000
-0.00202272287
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
10535.78000000
USD
800000.00000000
USD
-1319.02000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 08/20/2047#MA4650
36179TEX9
13788.58500000
PA
USD
12179.31000000
0.002078092328
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#FM9568
3140XDT22
2020355.74300000
PA
USD
1678778.04000000
0.286441166680
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
3400000.00000000
NC
USD
131323.64000000
0.022407069760
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
3400000.00000000
USD
1.00000000
3.53000000
USD
2029-08-01
XXXX
-2806.36000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 06/01/2036#BR2059
3140L0JD0
54516.25200000
PA
USD
48269.85000000
0.008236033483
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2052#CB3509
3140QN3T7
3686986.75200000
PA
USD
3534525.43000000
0.603077693243
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.04000000
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
0.085507833455
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
3400000.00000000
NC
USD
135898.24000000
0.023187609968
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
3400000.00000000
USD
1.00000000
3.53000000
USD
2029-08-01
XXXX
1768.24000000
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
453000.00000000
PA
USD
459220.46000000
0.078354398968
Long
ABS-CBDO
CORP
US
N
2
2027-05-17
Fixed
0.05410000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 10/01/2047#ZM4388
3131XX2V2
7657.26700000
PA
USD
7213.74000000
0.001230842942
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2052#FS0840
3140XF5A5
403446.93300000
PA
USD
360175.96000000
0.061454951002
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5% 08/01/2053#RA9615
3133KRVG6
380144.46000000
PA
USD
378440.84000000
0.064571392492
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#CB2420
3140QMVN1
351327.71100000
PA
USD
315293.54000000
0.053796897083
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 02/01/2047#FS0594
3140XFUU3
314545.79300000
PA
USD
270476.92000000
0.046150070276
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#QC0031
3133AJA86
19364.96700000
PA
USD
15313.28000000
0.002612825331
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
174595.96600000
PA
USD
165728.22000000
0.028277344328
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 30YR 3% 06/01/2051#CB0850
3140QK5L8
908940.79900000
PA
USD
815430.61000000
0.139132684434
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.03000000
N
N
N
N
N
N
BANK5 2023-5YR1
N/A
BANK5 2023-5YR1 6.26% 04/15/2056
06644EAG3
800000.00000000
PA
USD
832923.28000000
0.142117367748
Long
ABS-MBS
CORP
US
N
2
2056-04-15
Fixed
0.06260000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD2175
3132DPMY1
176116.63500000
PA
USD
176758.32000000
0.030159352931
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2051#QD1240
3133AXLV2
103772.83200000
PA
USD
92480.72000000
0.015779504318
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
UBS COML MTG TR 2017-C3
N/A
UBS COML MTG TR 2017-C3 3.215% 08/15/2050
90276GAQ5
838106.87500000
PA
USD
818355.55000000
0.139631751736
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
0.03215000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 11/25/2047
3136BLRR3
751239.15300000
PA
USD
686251.63000000
0.117091546857
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 0.8% 06/15/2023 144A
05608WAA2
87673.78600000
PA
USD
86714.85000000
0.014795703905
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Variable
0.06121480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#CA5122
3140QCVQ6
220885.77700000
PA
USD
199041.54000000
0.033961422878
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
PRPM 2021-RPL2
N/A
PRPM 2021-RPL2 VAR 10/25/2051 144A
69357QAA4
116921.97000000
PA
USD
106009.06000000
0.018087774620
Long
ABS-CBDO
CORP
US
N
2
2051-10-25
Variable
0.01455000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2040#FM5042
3140X8S81
139214.31500000
PA
USD
121376.70000000
0.020709875115
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
-5100000.00000000
PA
USD
-4836433.53000000
-0.82521550192
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.04000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-VINO
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VINO A TSFR1M+76.681 82 05/15/2038 144A
05608KAA8
288380.29000000
PA
USD
285316.25000000
0.048682027984
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Variable
0.06103810
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A
34528QHV9
789000.00000000
PA
USD
793267.07000000
0.135351034863
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04920000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 06/20/2051#MA7418
36179WG36
1889940.93800000
PA
USD
1651645.84000000
0.281811740492
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2033#SB0621
3132CWVN1
39061.55800000
PA
USD
37894.18000000
0.006465686869
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 04/01/2047#SD0978
3132DNCP6
462810.09400000
PA
USD
397462.74000000
0.067817000368
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#FM2439
3140X5V91
777960.18300000
PA
USD
702726.53000000
0.119902573368
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.412% 03/25/2030
3137HA4B9
1660000.00000000
PA
USD
1677863.43000000
0.286285111532
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
785022.48000000
PA
USD
767400.92000000
0.130937628202
Long
ABS-CBDO
CORP
US
N
2
2054-05-25
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3% 01/20/2032#MA4170
36179ST31
249573.24100000
PA
USD
242104.91000000
0.041309101755
Long
ABS-MBS
USGA
US
N
2
2032-01-20
Fixed
0.03000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 09/18/27
N/A
-15159000.00000000
NC
USD
-159179.13000000
-0.02715990715
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-09-18
0.00000000
USD
0.00000000
USD
-15000864.57000000
USD
-159179.13000000
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 10/01/2054 #TBA
01F0206A2
28700000.00000000
PA
USD
23504849.41000000
4.010510220662
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
659343.65500000
PA
USD
679308.65000000
0.115906902285
Long
ABS-MBS
USGSE
US
N
2
2054-06-01
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 3.303% 11/25/2027
3137FCJK1
900000.00000000
PA
USD
878550.48000000
0.149902499605
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Fixed
0.03303000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.25% 11/25/2047
3136BLHG8
823008.26200000
PA
USD
742973.92000000
0.126769776222
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 10/01/2054 #TBA
21H0506A5
9375000.00000000
PA
USD
9342003.75000000
1.593977517886
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
159593.43000000
PA
USD
138496.28000000
0.023630900023
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2049
3136BKND0
782453.78400000
PA
USD
695317.38000000
0.118638388634
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 04/01/2036#FM9743
3140XDZH2
182819.67400000
PA
USD
174613.79000000
0.029793442929
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 09/01/2054 #TBA
01F052698
13350000.00000000
PA
USD
13441259.27000000
2.293412169574
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.865 05/15/2025
N/A
1500000.00000000
NC
USD
81498.06000000
0.013905590156
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
1500000.00000000
USD
1.00000000
3.86500000
USD
2025-05-15
XXXX
33048.06000000
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
0.048751772577
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 15YR 1.5% 05/36#MA4328
31418DY22
26676.31400000
PA
USD
23619.78000000
0.004030120229
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 30YR 3.5% 02/01/2052#CB2906
3140QNGQ9
175326.70200000
PA
USD
162541.56000000
0.027733621104
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
0.028153876811
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6239
3133KM4Y8
375196.32000000
PA
USD
310707.35000000
0.053014379333
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2049#FM1534
3140X4V45
631204.59100000
PA
USD
625104.12000000
0.106658265216
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2052#RA7312
3133KPDR6
797584.00000000
PA
USD
739671.98000000
0.126206383371
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2036#FS2499
3140XHX51
841096.82000000
PA
USD
782267.90000000
0.133474303686
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02500000
N
N
N
N
N
N
RMF BUYOUT ISSUANCE TRUST 2020-2
N/A
RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A
76971EAA2
200169.18000000
PA
USD
190228.16000000
0.032457641681
Long
ABS-CBDO
CORP
US
N
2
2050-10-25
Fixed
0.01718800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0806
3133KT3P3
20586.84300000
PA
USD
18448.83000000
0.003147827921
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
899863.64300000
PA
USD
774352.28000000
0.132123702609
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
CD 2017-CD6 MTG TR
N/A
CD 2017-CD6 ASB MTG TR 3.332% 11/13/2050
125039AD9
1224165.77000000
PA
USD
1197093.47000000
0.204253833444
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Fixed
0.03332000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 02/01/2036#SB8088
3132D56Z0
46965.96300000
PA
USD
41643.37000000
0.007105391661
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#BQ6743
3140KSP50
866139.76800000
PA
USD
748935.38000000
0.127786949140
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST 2018-C12
N/A
UBS COMMERCIAL MORTGAGE TRUST 2018-C12 ASB 4.1945% 08/15/2051
90353DAW5
1612277.61000000
PA
USD
1592589.60000000
0.271735281375
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
0.04194500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/20/2052#MA7880
36179WXH6
15714288.51600000
PA
USD
13218109.93000000
2.255337358152
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
0.02000000
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
0.018198034072
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 II 3.5% 12/20/2049#BR8987
3617M76Y9
2610.93500000
PA
USD
2442.24000000
0.000416706710
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048
3137H5BQ9
1950861.45500000
PA
USD
1740467.88000000
0.296966983268
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Fixed
0.02500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
240000.00000000
NC
USD
35426.98000000
0.006044721363
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
65589.11000000
USD
0.00000000
USD
240000.00000000
USD
-30162.13000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 10/01/2034#C91793
3128P77E7
664856.41500000
PA
USD
646590.15000000
0.110324314779
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#FM9539
3140XDS56
1275337.35600000
PA
USD
1056131.61000000
0.180202244327
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
BINOM SECURITIZATION TRUST 2021
N/A
BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A
05552CAA2
287079.58000000
PA
USD
265842.38000000
0.045359302817
Long
ABS-CBDO
CORP
US
N
2
2061-02-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
32023.24900000
PA
USD
31152.24000000
0.005315344707
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#QK1167
3133D4JL8
106245.48300000
PA
USD
95311.15000000
0.016262445870
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
CFMT 2024-HB15 LLC
N/A
CFMT 2024-HB15 LLC VAR 08/25/2034 144A
15723AAA9
115000.00000000
PA
USD
112803.50000000
0.019247074583
Long
ABS-CBDO
CORP
US
N
2
2034-08-25
Variable
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/01/2036#MA4228
31418DVW9
1154184.96600000
PA
USD
1023382.68000000
0.174614464708
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 07/25/2048
3137H3QP0
212714.18000000
PA
USD
189700.53000000
0.032367614918
Long
ABS-CBDO
USGSE
US
N
2
2048-07-25
Fixed
0.02500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP 12/15/56 S
N/A
400000.00000000
NC
USD
-7980.68000000
-0.00136170192
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
9028.59000000
USD
400000.00000000
USD
1047.91000000
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
1600000.00000000
PA
USD
1572589.28000000
0.268322730783
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
100000.00000000
PA
USD
99031.25000000
0.016897187187
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
0.06251480
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 05/01/2051#RA5267
3133KLZ83
228317.58200000
PA
USD
204329.24000000
0.034863635631
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/49#BR8986
3617M76X1
993.91000000
PA
USD
924.04000000
0.000157664139
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT FUT DEC24 WNZ4
N/A
7.00000000
NC
USD
-23108.47000000
-0.00394287806
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
UNITED STATES TREASURY BOND
UNITED STATES TREASURY BOND 0% 06/30/2040
2024-12-19
946670.97000000
USD
-23108.47000000
N
N
N
BPR TRUST 2022
N/A
BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A
05592DAG9
54000.00000000
PA
USD
54067.50000000
0.009225256353
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.07783890
N
N
N
N
N
N
BMO 2023-5C1 MTG TR
N/A
BMO 2023-5C1 MTG TR 6.534% 08/15/2056
055986AC7
300000.00000000
PA
USD
316285.20000000
0.053966098872
Long
ABS-MBS
CORP
US
N
2
2056-08-15
Fixed
0.06534000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 4.05% 04/23/2029
N/A
9800000.00000000
NC
USD
294946.19000000
0.050325134567
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
9800000.00000000
USD
1.00000000
4.05000000
USD
2029-04-23
XXXX
-110283.81000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
106555.39300000
PA
USD
102582.08000000
0.017503046844
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A
61771LAA0
279000.00000000
PA
USD
267182.34000000
0.045587933224
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03170000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 12/01/2052#
31418EM23
1289219.30600000
PA
USD
1317532.50000000
0.224803718804
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 03/01/2041#MA4286
31418DXQ0
128621.27200000
PA
USD
107618.67000000
0.018362414004
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
0.017433121389
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
43091.88000000
PA
USD
41604.45000000
0.007098750944
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
-13850000.00000000
PA
USD
-11806583.47000000
-2.01449593875
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2034#SB0179
3132CWFU3
176524.53400000
PA
USD
169942.06000000
0.028996329934
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03000000
N
N
N
N
N
N
CAMB COML MTG TR 2019-LIFE
N/A
CAMB COML MTG TR 2019-LIFE A TSFR1M+118.448 12/15/2037 144A
12482HAA2
652000.00000000
PA
USD
651592.50000000
0.111177839745
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Variable
0.06704000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 09/01/2053#CB7123
3140QS4H1
422647.70900000
PA
USD
432722.15000000
0.073833130134
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
2800000.00000000
NC
USD
-55864.76000000
-0.00953191348
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
70329.71000000
USD
2800000.00000000
USD
14464.95000000
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6% 09/01/2054 #TBA
01F060691
-6800000.00000000
PA
USD
-6925109.12000000
-1.18159535594
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.06000000
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
268000.00000000
PA
USD
271207.88000000
0.046274790180
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
-3612000.00000000
NC
USD
-72956.33000000
-0.01244815918
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2029-09-18
0.00000000
USD
0.00000000
USD
-3556130.45000000
USD
-72956.33000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2050#MA4184
31418DUJ9
103695.96400000
PA
USD
92801.07000000
0.015834163973
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.03000000
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
0.003945469853
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 6% 06/01/2054#CB8711
3140QUVD5
1883591.04800000
PA
USD
1920837.18000000
0.327742458938
Long
ABS-MBS
USGSE
US
N
2
2054-06-01
Fixed
0.06000000
N
N
N
N
N
N
GS MTG SECS TR 2017-GS6
N/A
GS MTG SECS TR 2017-GS6 3.164% 05/10/2050
36253PAB8
190517.60600000
PA
USD
181666.71000000
0.030996845991
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
0.03164000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 08/01/2054#CB9061
3140QVB78
1995963.81600000
PA
USD
2035432.00000000
0.347295177138
Long
ABS-MBS
USGSE
US
N
2
2054-08-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 01/01/2040#MA3889
31418DKB7
29355.30400000
PA
USD
26572.69000000
0.004533959906
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 02/01/2042#FS1810
3140XHAL1
235424.46800000
PA
USD
211048.45000000
0.036010099491
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2035#
3140XC4X3
54385.15500000
PA
USD
52759.65000000
0.009002104709
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
7100000.00000000
PA
USD
7149644.62000000
1.219906680636
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
19131.09900000
PA
USD
17935.15000000
0.003060181374
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
1916934.56900000
PA
USD
1656153.45000000
0.282580850545
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 07/51#QC4163
3133ANTU8
95898.27000000
PA
USD
79535.09000000
0.013570658793
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.625% 05/15/2044
912810UB2
3470000.00000000
PA
USD
3613679.69000000
0.616583372994
Long
DBT
UST
US
N
2
2044-05-15
Fixed
0.04625000
N
N
N
N
N
N
COMM 2015-LC21 MTG TR
N/A
COMM 2015-LC21 A4 3.708% 07/10/2048
12593FBD5
1000000.00000000
PA
USD
986253.90000000
0.168279374061
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Fixed
0.03708000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3% 08/20/2031#MA3850
36179SH34
26832.15000000
PA
USD
26051.59000000
0.004445047323
Long
ABS-MBS
USGA
US
N
2
2031-08-20
Fixed
0.03000000
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
-0.00272340385
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
19966.44000000
USD
800000.00000000
USD
4005.08000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 09/01/2054 #TBA
21H050698
-9375000.00000000
PA
USD
-9355186.88000000
-1.59622688680
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
25953.45200000
PA
USD
24985.67000000
0.004263174937
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
PRPM 2021-RPL1 LLC
N/A
PRPM 2021-RPL1 LLC 1.484% 07/25/2051 144A
69360GAA1
86113.79000000
PA
USD
78262.84000000
0.013353581392
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
597193.34800000
PA
USD
528101.24000000
0.090107168253
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
250000.00000000
PA
USD
252326.85000000
0.043053218219
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
285171.72800000
PA
USD
236156.24000000
0.040294111128
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6636
3140QSLS8
669163.37800000
PA
USD
679859.49000000
0.116000889250
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/20/2048#MA5398
36179T7K5
339281.79200000
PA
USD
327412.19000000
0.055864639311
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
0.04000000
N
N
N
N
N
N
BENCHMARK 2024-V9 MORTGAGE TRUST
N/A
BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057
081919AN2
900000.00000000
PA
USD
927505.26000000
0.158255399133
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
141554.57300000
PA
USD
137663.18000000
0.023488752502
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2041#CB0471
3140QKQZ4
120431.17900000
PA
USD
108864.88000000
0.018575048335
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
BANK 2018-BNK14
N/A
BANK 2018-BNK14 4.231% 09/15/2060
06035RAS5
600000.00000000
PA
USD
588536.34000000
0.100418895081
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
0.04231000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/50#FM3269
3140X6T35
41027.68400000
PA
USD
36970.30000000
0.006308050029
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
136435.15400000
PA
USD
123331.83000000
0.021043468780
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3433
3133B0Y64
122670.83000000
PA
USD
101586.09000000
0.017333106250
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2052#RA6799
3133KNRU9
156349.61200000
PA
USD
145046.04000000
0.024748451510
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
36106.91000000
PA
USD
35171.59000000
0.006001145496
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/01/2052#RA6913
3133KNVE0
307882.65100000
PA
USD
251980.98000000
0.042994204220
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6241
3133KM5A9
1836083.67600000
PA
USD
1519348.96000000
0.259238611851
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2052#FS1647
3140XGZM4
677735.22000000
PA
USD
649921.85000000
0.110892785424
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.04000000
N
N
N
N
N
N
CSAIL 2016-C7 COML MTG TR
5493006MX7HG5PC85C29
CSAIL 2016-C7 COML MTG TR 3.3143% 11/15/2049
12637UAX7
301952.50000000
PA
USD
298623.72000000
0.050952612386
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
0.03314300
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 10/01/2041#RB5132
3133KYVZ9
328857.97800000
PA
USD
292546.89000000
0.049915754485
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
2320929.16400000
PA
USD
2000111.30000000
0.341268589778
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 08/01/2034#CA4087
3140QBRH3
77684.64100000
PA
USD
75864.46000000
0.012944358285
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 15YR 1.5% 08/01/2036#
31418D3L4
54203.84800000
PA
USD
47993.24000000
0.008188836958
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.01500000
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
596243.19000000
PA
USD
592983.95000000
0.101177767646
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
0.07401480
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050
12532CAZ8
694201.96600000
PA
USD
666824.31000000
0.113776764275
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
0.03304800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 04/01/2054#CB8330
3140QUHG4
3927633.06400000
PA
USD
3958501.51000000
0.675418526936
Long
ABS-MBS
USGSE
US
N
2
2054-04-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 06/01/2050#RA2677
3133KH6N1
1476627.76100000
PA
USD
1224669.88000000
0.208959052874
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.02000000
N
N
N
N
N
N
DLLMT 2024-1 LLC
N/A
DLLMT 2024-1 LLC 4.84% 08/21/2028 144A
23347AAE1
521000.00000000
PA
USD
522295.41000000
0.089116549673
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
443273.18000000
PA
USD
382277.37000000
0.065225999655
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 06/01/2051#CB0788
3140QK2W7
173641.01600000
PA
USD
137256.23000000
0.023419316740
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 07/20/2054#MA9773
36179Y2E3
576264.32000000
PA
USD
502930.13000000
0.085812352653
Long
ABS-MBS
USGA
US
N
2
2054-07-20
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% 06/25/2049
3137H4HQ6
211575.62000000
PA
USD
187805.80000000
0.032044326992
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
586426.45200000
PA
USD
569575.78000000
0.097183753330
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
957481.92800000
PA
USD
961568.94000000
0.164067507707
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.26% 01/25/2029
3137H5YC5
3800000.00000000
PA
USD
3516048.80000000
0.599925121951
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
0.02260000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 10/01/2054 #TBA
01F0306A1
-3225000.00000000
PA
USD
-2862061.40000000
-0.48833865287
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 20YR 2.5% 10/01/2040#SC0081
3132D9CS1
620486.01800000
PA
USD
558567.28000000
0.095305430223
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#FM9585
3140XDUK0
100043.13400000
PA
USD
89371.96000000
0.015249072766
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 05/01/2035#SB8045
3132D55E8
508031.42200000
PA
USD
473609.45000000
0.080809517504
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 3.5% 07/01/2042#ZA1228
31329JLH8
438692.31400000
PA
USD
416926.77000000
0.071138046587
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
293179.19600000
PA
USD
262192.88000000
0.044736607611
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 07/01/2047#ZA4926
31329NPK8
135379.99900000
PA
USD
127623.16000000
0.021775676101
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 15YR 2.5% 06/01/2031#J34501
31307RAA3
10713.34400000
PA
USD
10264.55000000
0.001751386786
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2047#FM1187
3140X4J98
233215.00000000
PA
USD
225466.15000000
0.038470116664
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#CB2166
3140QMMQ4
662319.94900000
PA
USD
593353.76000000
0.101240866403
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
393885.97600000
PA
USD
355548.54000000
0.060665398392
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 06/01/2036#MA4359
31418DZZ8
52471.15500000
PA
USD
46459.08000000
0.007927071215
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047
3137H3SE3
237461.99700000
PA
USD
211636.51000000
0.036110437110
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2017-HR2
N/A
MORGAN STANLEY CAPITAL I INC 3.587% 12/15/2050
61691NAE5
340000.00000000
PA
USD
326372.97000000
0.055687322607
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
0.03587000
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
147000.00000000
PA
USD
149792.57000000
0.025558327240
Long
ABS-CBDO
CORP
US
N
2
2029-11-20
Fixed
0.05330000
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
0.007801320738
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
MSC 2021-L6
N/A
MSC 2021-L6 XA 1.35631% 06/15/2054
61692CBK3
956504.78000000
PA
USD
48288.00000000
0.008239130324
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
0.01314822
N
N
N
N
N
N
BANK 2017-BNKS
N/A
BANK 2017-BNKS 3.39% 06/15/2060
06541WAX0
600000.00000000
PA
USD
577968.00000000
0.098615674186
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Fixed
0.03390000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/01/2054 #TBA
21H030690
-7250000.00000000
PA
USD
-6556282.30000000
-1.11866435368
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 09/01/2054 #TBA
01F022691
13850000.00000000
PA
USD
11806583.47000000
2.014495938757
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.02500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.625% 05/15/2054
912810UA4
770000.00000000
PA
USD
822937.50000000
0.140413546036
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 3.5% 02/01/2052#RA6700
3133KNNR0
95181.78700000
PA
USD
88270.70000000
0.015061170499
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/46#BC1443
3140EVS99
40208.77300000
PA
USD
38948.18000000
0.006645525408
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
160000.00000000
NC
USD
23617.98000000
0.004029813104
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
36716.49000000
USD
0.00000000
USD
160000.00000000
USD
-13098.51000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 02/01/2054#RJ0836
3142GQ4W9
124968.21900000
PA
USD
125950.38000000
0.021490258349
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
198648.50700000
PA
USD
188922.26000000
0.032234822756
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 15YR 1.5% 03/01/2036#FM6804
3140XAR20
18413.95300000
PA
USD
16304.11000000
0.002781885501
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 30YR 5.5% 11/01/2052#CB5139
3140QQV93
1955289.12100000
PA
USD
1974933.52000000
0.336972636111
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
81761.47200000
PA
USD
75901.48000000
0.012950674815
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.811% 01/25/2025
3137BHCY1
1117509.94100000
PA
USD
1106700.94000000
0.188830626125
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
0.02811000
N
N
N
N
N
N
CARMAX SELECT RECEIVABLES TRUST 2024-A
N/A
CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028
14319FAD5
67000.00000000
PA
USD
67937.13000000
0.011591759192
Long
ABS-CBDO
CORP
US
N
2
2028-11-15
Fixed
0.05400000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027
3137FBBX3
400000.00000000
PA
USD
390082.68000000
0.066557779109
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Fixed
0.03244000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/01/2051#RA6434
3133KNEF6
1016625.89000000
PA
USD
876099.52000000
0.149484305046
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/41 #004922
36202FPF7
43216.61900000
PA
USD
42184.86000000
0.007197783284
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 04/01/2048#ZM6138
3131Y0ZB1
20771.26000000
PA
USD
20512.09000000
0.003499871246
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2052
3136BLLH1
150974.10700000
PA
USD
138885.61000000
0.023697329376
Long
ABS-CBDO
USGSE
US
N
2
2052-02-25
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1862
3132DPB72
456915.26000000
PA
USD
459865.10000000
0.078464390539
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 03/01/2047#FS0976
3140XGCN7
45970.04300000
PA
USD
39479.22000000
0.006736134001
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.02500000
N
N
N
N
N
N
BBCMS MORTGAGE TRUST 2023-C21
N/A
BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056
05553WAC3
246000.00000000
PA
USD
265160.30000000
0.045242923054
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 20YR 4.5% 09/01/2042#MA4766
31418EJL5
186308.42800000
PA
USD
185206.45000000
0.031600813419
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 02/01/2051#MA4254
31418DWQ1
888357.84300000
PA
USD
694993.17000000
0.118583070368
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
35837.36300000
PA
USD
35475.17000000
0.006052943772
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
BENCHMARK 2018-B2 MTG TR
N/A
BENCHMARK 2018-B2 MTG TR 3.7802% 02/15/2051
08161CAF8
243458.88000000
PA
USD
239529.48000000
0.040869669527
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Fixed
0.03780200
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG3507
3617GM3Q3
11157.03500000
PA
USD
10728.36000000
0.001830524275
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.75% MAC 09/18/34
N/A
1393000.00000000
NC
USD
36695.45000000
0.006261153803
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2034-09-18
0.00000000
USD
0.00000000
USD
1392011.57000000
USD
36695.45000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#QD1841
3133AYBJ8
1755885.34500000
PA
USD
1437072.58000000
0.245200221000
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
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
-0.00227556323
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
17988.06000000
USD
900000.00000000
USD
4651.41000000
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
0.029341367404
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
268249.29500000
PA
USD
222988.48000000
0.038047364717
Long
ABS-CBDO
USGSE
US
N
2
2048-06-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 04/01/2051#FM6540
3140XAHS4
1758186.34700000
PA
USD
1533836.14000000
0.261710484036
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 09/01/2053#QH0277
3133CCJW7
189649.35900000
PA
USD
198770.09000000
0.033915106776
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
GS MTG SECS TR 2019-GSA1
N/A
GS MTG SECS TR 2019-GSA1 A4 3.0479% 11/10/2052
36261PAT9
400000.00000000
PA
USD
370627.20000000
0.063238191733
Long
ABS-MBS
CORP
US
N
2
2052-11-10
Fixed
0.03047900
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/01/2054 #TBA
21H030690
22975000.00000000
PA
USD
20776632.53000000
3.545008762194
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
5000000.00000000
PA
USD
5104937.50000000
0.871028938006
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.06500000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
160000.00000000
NC
USD
23617.98000000
0.004029813104
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
45472.19000000
USD
0.00000000
USD
160000.00000000
USD
-21854.21000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2518
3140X5YQ0
131832.12500000
PA
USD
123517.72000000
0.021075186224
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
278111.06000000
PA
USD
280847.28000000
0.047919510873
Long
ABS-CBDO
CORP
US
N
2
2036-05-15
Fixed
0.05520000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984
3617M76V5
3464.93100000
PA
USD
3228.07000000
0.000550788796
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY562346 11/18/64 S
N/A
600000.00000000
NC
USD
-6371.88000000
-0.00108720074
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S15 PRC INDX
CY562346
Y
2064-11-18
0.00000000
USD
8176.51000000
USD
600000.00000000
USD
1804.63000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#FM0046
3140X3BQ0
88997.63600000
PA
USD
85150.55000000
0.014528795531
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
203184.46500000
PA
USD
167245.07000000
0.028536156556
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST TSFR1M+77.15 04/15/2037 144A
466317AA2
976279.58000000
PA
USD
937274.28000000
0.159922236213
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.05933390
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2052#RA7311
3133KPDQ8
1502521.60000000
PA
USD
1392955.02000000
0.237672671166
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03500000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TR 2023-B
N/A
WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028
98164QAD0
256000.00000000
PA
USD
255774.85000000
0.043641532528
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04660000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2048#ZM7210
3131Y2AK4
563880.35000000
PA
USD
541444.28000000
0.092383821780
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
GS MTG SECS TR 2018-GS10
N/A
GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051
36250SAF6
159011.94900000
PA
USD
157382.09000000
0.026853287569
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Fixed
0.04106000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#FM6195
3140X93D5
569156.79000000
PA
USD
514471.47000000
0.087781591478
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 06/01/2052#SD1082
3132DNFX6
342767.53900000
PA
USD
306004.62000000
0.052211976970
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/51#MA4468
31418D6E7
71240.96200000
PA
USD
65979.15000000
0.011257679247
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 06/20/2048#MA5266
36179TZ73
242438.96200000
PA
USD
245309.90000000
0.041855952532
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.05000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A
95003EAA4
845000.00000000
PA
USD
823473.12000000
0.140504936091
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Variable
0.06651480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 07/01/2054#CB8867
3140QUZ90
198742.05600000
PA
USD
208175.86000000
0.035519964398
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 4% 04/20/2048#BG7744
3617GSS91
11811.01600000
PA
USD
11357.21000000
0.001937821680
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#CB5128
3140QQVW2
749367.75300000
PA
USD
754205.67000000
0.128686191315
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 06/01/2051#FM7507
3140XBKV1
1873460.90400000
PA
USD
1622106.71000000
0.276771632354
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
404198.00900000
PA
USD
416106.29000000
0.070998052351
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.06000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 4.5% 07/25/2048
3136BM7C6
716630.95900000
PA
USD
707705.75000000
0.120752151783
Long
ABS-CBDO
USGSE
US
N
2
2048-07-25
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 09/01/2054 #TBA
21H060697
-7700000.00000000
PA
USD
-7811664.63000000
-1.33286371218
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.06000000
N
N
N
N
N
N
BANK5 2023-5YR4
N/A
BANK5 2023-5YR4 6.5% 12/15/2056
06211FAV0
865613.59000000
PA
USD
915915.69000000
0.156277931074
Long
ABS-MBS
CORP
US
N
2
2056-12-15
Fixed
0.06500000
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
0.033245327656
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
247000.00000000
PA
USD
247851.29000000
0.042289576691
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
7200000.00000000
NC
USD
243852.70000000
0.041607318074
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
7200000.00000000
USD
1.00000000
3.38600000
USD
2025-08-18
XXXX
-6707.30000000
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4.5% 09/01/2054 #TBA
01F042699
3400000.00000000
PA
USD
3308757.94000000
0.564556160501
Long
ABS-MBS
USGA
US
N
2
2054-09-01
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% 08/15/2038
3137FFWL7
678271.06000000
PA
USD
640870.85000000
0.109348460363
Long
ABS-CBDO
USGSE
US
N
2
2038-08-15
Fixed
0.01000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.745% 01/25/2026
3137BNGT5
1151194.00000000
PA
USD
1124225.90000000
0.191820818914
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Fixed
0.02745000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2052#CB2905
3140QNGP1
87518.36700000
PA
USD
81191.07000000
0.013853210049
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
16557.23700000
PA
USD
15603.39000000
0.002662325292
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 20YR 2% 12/01/2040#MA4204
31418DU67
16218.45200000
PA
USD
14099.83000000
0.002405780668
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.02000000
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST 2024-A
N/A
TOYOTA LEASE OWNER TRUST 2024-A 5.25% 04/20/2027 144A
89238GAD3
262000.00000000
PA
USD
264471.52000000
0.045125400105
Long
ABS-CBDO
CORP
US
N
2
2027-04-20
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/47#BH1302
3140GPNU8
29584.91500000
PA
USD
27889.79000000
0.004758689830
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2043#MA1521
36179NVN5
2265.26200000
PA
USD
2148.59000000
0.000366602738
Long
ABS-MBS
USGA
US
N
2
2043-12-20
Fixed
0.03500000
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
0.002633400976
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/01/2045#G61807
31335CAG9
11869.09500000
PA
USD
11622.97000000
0.001983166927
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3432
3133B0Y56
115846.35000000
PA
USD
95681.20000000
0.016325585577
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
746138.64900000
PA
USD
768964.97000000
0.131204493920
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
3531363.80800000
PA
USD
3085004.72000000
0.526378312174
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
1136709.40600000
PA
USD
1141561.45000000
0.194778693659
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4.5% 04/20/2053#MA8799
36179XX43
1343001.66000000
PA
USD
1315037.41000000
0.224377994573
Long
ABS-MBS
USGA
US
N
2
2053-04-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2047#ZM4820
3131XYK99
72555.67300000
PA
USD
65561.76000000
0.011186462162
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#QC0226
3133AJHB2
1063294.47800000
PA
USD
833845.84000000
0.142274779363
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 05/01/2041#SC0167
3132D9FG4
237711.27800000
PA
USD
213469.91000000
0.036423260618
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 06/01/2053#SD3196
3132DQRR9
252119.22100000
PA
USD
256189.31000000
0.043712249683
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05000000
N
N
N
N
N
N
CCUBS COML MTG TR 2017-C1
N/A
CCUBS COML MTG TR 2017-C1 3.462% 11/15/2050
12508GAS5
63603.25000000
PA
USD
62439.52000000
0.010653730588
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
36892.91600000
PA
USD
35725.30000000
0.006095622153
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
16900000.00000000
PA
USD
17008102.54000000
2.902004087791
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/39 #G08368
3128MJMS6
24942.98500000
PA
USD
24945.20000000
0.004256269751
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8010
3138WH3U4
11528.33200000
PA
USD
11014.87000000
0.001879409986
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2033#G18684
3128MMXN8
33752.77900000
PA
USD
32497.85000000
0.005544939144
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 08/35#MA4095
31418DRR5
439836.86000000
PA
USD
400475.42000000
0.068331038289
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5210 AB 3% 01/25/2042
3137H6W84
399679.93500000
PA
USD
374376.72000000
0.063877952832
Long
ABS-CBDO
USGSE
US
N
2
2042-01-25
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
210000.00000000
NC
USD
30998.60000000
0.005289129913
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
52801.91000000
USD
0.00000000
USD
210000.00000000
USD
-21803.31000000
N
N
N
AJAX MTG LN TR 2021-E
N/A
AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A
009740AA9
1211388.54000000
PA
USD
1057867.21000000
0.180498380730
Long
ABS-CBDO
CORP
US
N
2
2060-12-25
Fixed
0.01740000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
320000.00000000
NC
USD
47235.97000000
0.008059627916
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
79034.47000000
USD
0.00000000
USD
320000.00000000
USD
-31798.50000000
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY885799 12/15/56 S
N/A
500000.00000000
NC
USD
-9975.85000000
-0.00170212740
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
12567.86000000
USD
500000.00000000
USD
2592.01000000
N
N
N
RMF BUYOUT ISSUANCE TRUST 2021
N/A
RMF BUYOUT ISSUANCE TRUST 2021 1.268% 11/25/2031 144A
74969TAA8
59073.54220000
PA
USD
58401.79000000
0.009964793716
Long
ABS-CBDO
CORP
US
N
2
2031-11-25
Fixed
0.01258600
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-H4
N/A
MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051
61691RAE6
600000.00000000
PA
USD
584885.52000000
0.099795974650
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
0.04310000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6302
3133KNAB9
982137.01200000
PA
USD
811178.29000000
0.138407133186
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/51#BQ1010
3140KLDQ2
163079.44000000
PA
USD
135151.17000000
0.023060141299
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
AMERICAN EXPRESS CR ACC MST TR
N/A
AMERICAN EXPRESS CR ACC MST TR 4.87% 05/15/2028
02582JJZ4
679000.00000000
PA
USD
683479.84000000
0.116618610743
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04870000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873245 04/17/65 S
N/A
400000.00000000
NC
USD
-5927.40000000
-0.00101136143
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
6324.96000000
USD
400000.00000000
USD
397.56000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 02/01/2041#
31418DW65
17312.35200000
PA
USD
15023.78000000
0.002563429452
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
1486089.43400000
PA
USD
1319740.89000000
0.225180524905
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#MA3283
31418CUH5
37201.86400000
PA
USD
35814.63000000
0.006110864067
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 01/01/2042#RB5142
3133KYWB1
662526.72000000
PA
USD
589373.37000000
0.100561713157
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.02500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 09/18/54
N/A
302000.00000000
NC
USD
8673.14000000
0.001479852774
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2054-09-18
0.00000000
USD
0.00000000
USD
299544.35000000
USD
8673.14000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
379706.45000000
PA
USD
367536.82000000
0.062710896265
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#FM8393
3140XCKF4
543884.44100000
PA
USD
471136.85000000
0.080387630624
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
COMM 2015-CCRE24 MTG TR
N/A
COMM 2015-CCRE24 MTG TR 3.696% 08/10/2055
12593JBF2
1000000.00000000
PA
USD
985052.10000000
0.168074317177
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
0.03696000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 04/36#MA4302
31418DX80
50076.51900000
PA
USD
44338.82000000
0.007565302277
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 02/01/2052#CB2765
3140QNCB6
700541.68600000
PA
USD
575753.78000000
0.098237873342
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 12/20/2053#MA9356
36179YMD3
632101.09400000
PA
USD
552550.16000000
0.094278760329
Long
ABS-MBS
USGA
US
N
2
2053-12-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#FS0898
3140XF7L9
1510961.28300000
PA
USD
1348905.85000000
0.230156790361
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
449596.94100000
PA
USD
431708.06000000
0.073660101231
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2050#FM3663
3140X7B99
1829944.54200000
PA
USD
1754274.14000000
0.299322673614
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#CB0404
3140QKNW4
4294637.29800000
PA
USD
3721128.43000000
0.634916792726
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2048#Q59935
3132Y4BD3
19588.89700000
PA
USD
18984.03000000
0.003239146314
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
40208.57300000
PA
USD
38979.34000000
0.006650842076
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
0.03000000
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
304000.00000000
PA
USD
307712.05000000
0.052503306871
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
909465.22200000
PA
USD
784278.70000000
0.133817396033
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6642
3140QSLY5
148914.96600000
PA
USD
152179.45000000
0.025965588162
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2041#BU7091
3140M82Z1
450478.87200000
PA
USD
388394.73000000
0.066269772979
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2048#G67716
3132XCSD8
290478.29900000
PA
USD
288904.14000000
0.049294210996
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2034#FS1799
3140XG7M5
78905.65800000
PA
USD
76529.39000000
0.013057811833
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2032#FM1681
3140X42P0
2709880.88700000
PA
USD
2587364.19000000
0.441468496460
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2050#CA6106
3140QDYC2
1205708.97200000
PA
USD
1154721.11000000
0.197024058009
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 08/01/2050#SD7523
3132DVLC7
5696045.02900000
PA
USD
4942511.24000000
0.843314989941
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2052#
31418EAQ3
335902.80700000
PA
USD
309539.71000000
0.052815150992
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
69884.42300000
PA
USD
57435.87000000
0.009799983809
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
17050000.00000000
PA
USD
15867192.06000000
2.707336465758
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 07/01/2036#MA4382
31418D2Q4
37596.47300000
PA
USD
33288.72000000
0.005679881179
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2047#G08793
3128MJ3B4
1096676.48700000
PA
USD
1055273.88000000
0.180055894318
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
AJAXM 2021-C
N/A
AJAXM 2021-C A 2.115% 01/25/2061 144A
009733AA4
129526.88300000
PA
USD
127990.76000000
0.021838397778
Long
ABS-CBDO
CORP
US
N
2
2061-01-25
Fixed
0.02115000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2047#BH6709
3140GVN35
44406.45000000
PA
USD
41848.23000000
0.007140345858
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#BQ5806
3140KRNY1
659162.05700000
PA
USD
585490.02000000
0.099899117341
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 10/01/2052#CB4909
3140QQN35
797495.94500000
PA
USD
810741.79000000
0.138332655461
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05500000
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
239000.00000000
PA
USD
242346.57000000
0.041350334944
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
445300.17900000
PA
USD
396132.05000000
0.067589951654
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 09/01/2042#ZL3774
3131XKFP9
575240.69100000
PA
USD
546383.11000000
0.093226508659
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
124400.27000000
PA
USD
111869.65000000
0.019087736614
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02500000
N
N
N
N
N
N
BX COML MTG TR 2023-XL3
N/A
BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A
12434GAC9
165110.35600000
PA
USD
165058.49000000
0.028163071781
Long
ABS-MBS
CORP
US
N
2
2040-12-09
Variable
0.07527700
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 09/01/2054 #TBA
01F032690
-900000.00000000
PA
USD
-828386.73000000
-0.14134331981
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
136090.57000000
PA
USD
138062.07000000
0.023556813028
Long
ABS-CBDO
CORP
US
N
2
2035-10-15
Fixed
0.06160000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2048#BJ2763
3140H4B94
722029.94300000
PA
USD
713020.96000000
0.121659058424
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048
3136BG6Y2
305582.47600000
PA
USD
255200.79000000
0.043543583656
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
349723.65400000
PA
USD
330581.39000000
0.056405383426
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873245 04/17/65 S
N/A
2800000.00000000
NC
USD
-41491.80000000
-0.00707953006
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
56368.54000000
USD
2800000.00000000
USD
14876.74000000
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 09/25/2048
3136BKUC4
514592.56100000
PA
USD
459638.76000000
0.078425771322
Long
ABS-CBDO
USGSE
US
N
2
2048-09-25
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY885802 12/15/56 B
N/A
100000.00000000
NC
USD
11005.48000000
0.001877807819
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S17 PRC INDX
CY885802
Y
2056-12-15
13923.88000000
USD
0.00000000
USD
100000.00000000
USD
-2918.40000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 03/01/2041#RB5104
3133KYU56
128654.61900000
PA
USD
107646.57000000
0.018367174435
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
53.00000000
NC
USD
-14040.98000000
-0.00239573939
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
UST NOTES
UST NOTES 0% 06/30/2040
2024-12-31
11014025.36000000
USD
-14040.98000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/45#MA3174
36179RQ36
2190.92100000
PA
USD
2125.23000000
0.000362616942
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
188527.27000000
PA
USD
192645.06000000
0.032870024760
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2048#BK5486
3140HKCY2
41079.68800000
PA
USD
38648.93000000
0.006594465936
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#FS0106
3140XFDL2
461950.03500000
PA
USD
400305.99000000
0.068302129330
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2020-NNN
N/A
J P MORGAN CHASE COML MTG SECS TR 2020-NNN 2.8123% 01/16/2037 144A
46652BAY5
670000.00000000
PA
USD
591476.00000000
0.100920473979
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Fixed
0.02812300
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2286
3140X5RG0
145121.86200000
PA
USD
138848.71000000
0.023691033321
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#FM8066
3140XB6C9
288869.76300000
PA
USD
250231.81000000
0.042695752439
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2033#ZS8686
3132A9UK1
19151.63800000
PA
USD
18437.49000000
0.003145893036
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 08/01/2049#
3132DV3M5
54125.35300000
PA
USD
48654.29000000
0.008301628481
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.03000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 3.755 03/19/2029
N/A
3200000.00000000
NC
USD
144099.14000000
0.024586886887
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 03/21/34 SOFRV3.755%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-03-21
0.00000000
USD
0.00000000
USD
3200000.00000000
USD
1.00000000
3.75500000
USD
2029-03-19
XXXX
12419.14000000
N
N
N
CNH EQUIP TR 2023-A
N/A
CNH EQUIP TR 2023-A 5.34% 09/15/2026
12664QAB0
288278.13000000
PA
USD
288319.70000000
0.049194491038
Long
ABS-CBDO
CORP
US
N
2
2026-09-15
Fixed
0.05340000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY562346 11/18/64 S
N/A
1900000.00000000
NC
USD
-20177.62000000
-0.00344280236
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S15 PRC INDX
CY562346
Y
2064-11-18
0.00000000
USD
18895.89000000
USD
1900000.00000000
USD
-1281.73000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 10/20/2050#MA6930
36179VVX5
5192776.37600000
PA
USD
4373595.13000000
0.746243792672
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
0.02000000
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
0.001877807819
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
14016.83000000
USD
0.00000000
USD
100000.00000000
USD
-3011.35000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 05/01/2051#SD7540
3132DVLV5
1582894.54400000
PA
USD
1372008.35000000
0.234098649794
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
BENCHMARK 2020-B17 MORTGAGE TRUST
N/A
BENCHMARK 2020-B17 MORTGAGE TRUST CSTR 03/15/2053
08162MAZ1
2086736.53000000
PA
USD
91766.33000000
0.015657611668
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Variable
0.01534641
N
N
N
N
N
N
VOLKSWAGEN AUTO LEASE TR 2024-A
N/A
VOLKSWAGEN AUTO LSE TRUST 5.21% 06/21/2027
92866EAD1
229000.00000000
PA
USD
232003.38000000
0.039585530223
Long
ABS-CBDO
CORP
US
N
2
2027-06-21
Fixed
0.05210000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 09/01/2054 #TBA
21H020691
14000000.00000000
PA
USD
11787262.20000000
2.011199250935
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 5% 11/01/2052#FS3295
3140XJUV3
450164.72400000
PA
USD
451804.90000000
0.077089120529
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 1.47% 09/25/2027
3137F72B0
900000.00000000
PA
USD
831094.38000000
0.141805312052
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
0.01470000
N
N
N
N
N
N
BLP COML MTG 2024-INDS
N/A
BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A
05625AAA9
233000.00000000
PA
USD
231835.00000000
0.039556800419
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
261510.92300000
PA
USD
233871.65000000
0.039904303417
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
FORD CR AUTO OWNER TR 2020-REV2
N/A
FORD CR AUTO OWNER TR 2020-REV2 1.06% 04/15/2033 144A
34532JAA2
2750000.00000000
PA
USD
2635823.85000000
0.449736916237
Long
ABS-CBDO
CORP
US
N
2
2033-04-15
Fixed
0.01060000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2019-GC41
N/A
CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056
17328FBB0
4220137.75600000
PA
USD
155367.75000000
0.026509591211
Long
ABS-MBS
CORP
US
N
2
2056-08-10
Variable
0.01159920
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
266338.53600000
PA
USD
223313.60000000
0.038102838252
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
0.016791476592
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2035#MA4013
31418DN73
4281117.84300000
PA
USD
3991048.13000000
0.680971787452
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.02500000
N
N
N
N
N
N
VLS COMMERCIAL MORTGAGE TRUST 2020
N/A
VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A
92858TAL0
1600000.00000000
PA
USD
34886.72000000
0.005952539609
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Variable
0.00516169
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
0.018804263985
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2049#FM3160
3140X6QN4
107826.86900000
PA
USD
106481.48000000
0.018168381188
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.04500000
N
N
N
N
N
N
CARMAX SELECT RECEIVABLES TRUST 2024-A
N/A
CARMAX SELECT RECEIVABLES TRUST 2024-A 5.78% 09/15/2027
14319FAB9
84000.00000000
PA
USD
84347.55000000
0.014391783817
Long
ABS-CBDO
CORP
US
N
2
2027-09-15
Fixed
0.05780000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 S
N/A
2040000.00000000
NC
USD
-6734.65000000
-0.00114909830
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
45985.05000000
USD
2040000.00000000
USD
39250.40000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#RA2976
3133KJJV5
498467.75400000
PA
USD
430811.62000000
0.073507146336
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.287% 11/05/2032 144A
05492PAQ1
600000.00000000
PA
USD
580500.00000000
0.099047696178
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03287000
N
N
N
N
N
N
MERCHANTS FLEET FUNDING LLC
N/A
MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A
588926AA3
835481.13000000
PA
USD
845284.16000000
0.144226440421
Long
ABS-CBDO
CORP
US
N
2
2036-05-20
Fixed
0.07210000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2348
3140QMTE4
376464.45600000
PA
USD
311757.52000000
0.053193564379
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2052#CB2914
3140QNGY2
480876.91900000
PA
USD
443105.58000000
0.075604800797
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2048#BJ2757
3140H4B37
72360.94100000
PA
USD
68079.21000000
0.011616001564
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#BQ6318
3140KSAU1
694992.09900000
PA
USD
616229.55000000
0.105144043488
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 2% 12/20/2051#MA7766
36179WTX6
1913657.03000000
PA
USD
1611171.96000000
0.274905892827
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02000000
N
N
N
N
N
N
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3
N/A
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3 5.45% 06/16/2028
36267KAD9
214000.00000000
PA
USD
216477.69000000
0.036936462478
Long
ABS-CBDO
CORP
US
N
2
2028-06-16
Fixed
0.05450000
N
N
N
N
N
N
BMO 2022-C3 MTG TR
N/A
BMO 2022-C3 MTG TR 22-C3 ASB VAR 09/15/2054
05602QAZ6
500000.00000000
PA
USD
519387.60000000
0.088620405174
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Variable
0.05503196
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
0.042336460974
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#CB1280
3140QLM60
1412792.63900000
PA
USD
1214855.87000000
0.207284539385
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 12/01/2035#SB8078
3132D56P2
695999.89100000
PA
USD
617123.13000000
0.105296510396
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2% 09/01/2039 #TBA
01F020497
-2150000.00000000
PA
USD
-1944238.34000000
-0.33173527717
Short
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 30YR 4.5% 09/01/2041#AI9851
3138AP5M6
354193.32000000
PA
USD
353573.41000000
0.060328392231
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 02/01/2051#SD8127
3132DWA45
1108406.93400000
PA
USD
867145.21000000
0.147956477697
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#CB1801
3140QMAB0
2014874.56400000
PA
USD
1668556.72000000
0.284697156003
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 07/01/2053#RA9382
3133KRM76
457668.60000000
PA
USD
471867.31000000
0.080512265215
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048
3136BLRV4
355537.14300000
PA
USD
330602.58000000
0.056408998966
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 02/01/2048#ZS4754
3132A5H73
607927.75600000
PA
USD
548567.38000000
0.093599199290
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#RA6506
3133KNGP2
56713.25200000
PA
USD
46610.89000000
0.007952973766
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 2% 04/01/2052#RA7142
3133KN5B5
690810.88000000
PA
USD
571642.13000000
0.097536323885
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2050#CA7323
3140QFD55
687344.29900000
PA
USD
573928.64000000
0.097926459195
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
803128.32000000
PA
USD
799605.72000000
0.136432565749
Long
ABS-MBS
CORP
US
N
2
2041-04-15
Variable
0.06778768
N
N
N
N
N
N
MFA 2022-RPL1 TR
N/A
MFA 2022-RPL1 TR 3.3% 08/25/2061 144A
55285TAA4
800961.34000000
PA
USD
751855.12000000
0.128285129192
Long
ABS-CBDO
CORP
US
N
2
2061-08-25
Fixed
0.03300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#RA6926
3133KNVT7
104891.62200000
PA
USD
93641.66000000
0.015977589473
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 15YR 3% 11/01/2034#CA4460
3140QB5W4
655028.90500000
PA
USD
626918.80000000
0.106967894627
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 09/01/2054 #TBA
21H052694
-8925000.00000000
PA
USD
-8982089.66000000
-1.53256724840
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05500000
N
N
N
N
N
N
DLLAA 2023-1A
N/A
DLLAA 2023-1A 5.93% 07/20/2026 144A
23292HAB7
87070.60000000
PA
USD
87369.44000000
0.014907393192
Long
ABS-CBDO
CORP
US
N
2
2026-07-20
Fixed
0.05930000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
1841.59100000
PA
USD
1757.55000000
0.000299881616
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28
N/A
MSBAM 2016-C28 3.272% 01/15/49
61766LBR9
75875.19000000
PA
USD
74291.93000000
0.012676045669
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Fixed
0.03272000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2047#CA0257
3140Q7JB4
162134.20200000
PA
USD
152793.76000000
0.026070404683
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
7200000.00000000
NC
USD
240472.30000000
0.041030538001
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
7200000.00000000
USD
1.00000000
3.38600000
USD
2025-08-18
XXXX
-10087.70000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/20/2051#MA7192
36179V7D6
497062.23300000
PA
USD
418648.68000000
0.071431847135
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
44865.31300000
PA
USD
43178.32000000
0.007367292197
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 15YR 3% 04/20/2031#MA3572
36179R6H7
83677.43000000
PA
USD
81304.24000000
0.013872519658
Long
ABS-MBS
USGA
US
N
2
2031-04-20
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 3.78% 10/25/2028
3137FJZ93
300000.00000000
PA
USD
295473.84000000
0.050415164742
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Fixed
0.03780000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
200000.00000000
NC
USD
29522.48000000
0.005037267234
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
32761.97000000
USD
0.00000000
USD
200000.00000000
USD
-3239.49000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 08/01/2041#RB5122
3133KYVP1
493325.46100000
PA
USD
440087.90000000
0.075089909752
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2028#FS3865
3140XKJK7
116168.35200000
PA
USD
112277.69000000
0.019157358357
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 30YR 2% 11/01/2051#BU5834
3140M7PU9
150217.12600000
PA
USD
123458.86000000
0.021065143248
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2031#AS8511
3138WJN53
324437.49000000
PA
USD
309682.33000000
0.052839485501
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 06/01/2038#MA3388
31418CXS8
17459.02400000
PA
USD
16840.59000000
0.002873422294
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.25% 04/25/2052
3137H6RT4
997986.81800000
PA
USD
945103.90000000
0.161258163556
Long
ABS-CBDO
USGSE
US
N
2
2052-04-25
Fixed
0.03250000
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
1218866.82000000
PA
USD
1215057.86000000
0.207319003888
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
614530.09700000
PA
USD
529776.75000000
0.090393051811
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
107353.98300000
PA
USD
96406.22000000
0.016449291969
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
216118.61000000
PA
USD
210012.09000000
0.035833270773
Long
ABS-CBDO
CORP
US
N
2
2061-08-25
Fixed
0.04669600
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2047#CA0607
3140Q7U96
2911362.01400000
PA
USD
2719985.67000000
0.464097009911
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
1500000.00000000
NC
USD
21470.54000000
0.003663406585
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
1500000.00000000
USD
1.00000000
3.86500000
USD
2025-05-15
XXXX
-26979.46000000
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
1174883.73000000
PA
USD
1058976.52000000
0.180687656526
Long
ABS-CBDO
USGSE
US
N
2
2049-03-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#MA4785
31418EJ76
306703.61300000
PA
USD
304945.74000000
0.052031305782
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 11/32#ZK9037
3131XDBE4
465233.86400000
PA
USD
448963.61000000
0.076604325992
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 02/01/2041#RB5100
3133KYUZ0
206115.43700000
PA
USD
178868.40000000
0.030519384908
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.02000000
N
N
N
N
N
N
BENCHMARK 2020-B18 MORTGAGE TRUST
N/A
BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053
08163AAF0
1427774.10000000
PA
USD
81441.52000000
0.013895943030
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Variable
0.01907916
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
0.002518633617
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 2% 02/01/2052#FS2040
3140XHHS9
917794.08800000
PA
USD
751151.96000000
0.128165152658
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/01/2054 #TBA
21H032696
-500000.00000000
PA
USD
-465313.55000000
-0.07939403122
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9278
3133KRJX3
524898.83000000
PA
USD
539214.92000000
0.092003437676
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
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
1165000.00000000
PA
USD
1147546.90000000
0.195799959866
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06401480
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 06/25/2049
3136BMER5
296640.19600000
PA
USD
277323.05000000
0.047318189836
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6416
3140QEDW9
1088781.37900000
PA
USD
980171.95000000
0.167241642561
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#FM8334
3140XCHL5
435899.31200000
PA
USD
377595.34000000
0.064427129224
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
COMM 2016-COR1 MTG TR
N/A
COMM 2016-COR1 ASB 2.972% 10/49
12594MBA5
299796.50300000
PA
USD
293435.00000000
0.050067288076
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Fixed
0.02972000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 07/01/2054#CB8850
3140QUZQ2
1290489.61800000
PA
USD
1334961.83000000
0.227777594743
Long
ABS-MBS
USGSE
US
N
2
2054-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 04/01/2051#MA4305
31418DYB2
1741109.27100000
PA
USD
1433140.82000000
0.244529365238
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02000000
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
0.045067967797
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
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 A12 TSFR1M+179.1 08/15/2041 144A
95003TAS2
900000.00000000
PA
USD
897653.07000000
0.153161875196
Long
ABS-MBS
CORP
US
N
2
2041-08-15
Variable
0.07041150
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 3.5% 05/01/2049#Q63646
3132VQBQ8
187856.98000000
PA
USD
175416.75000000
0.029930447818
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2051#FM7031
3140XAY55
368476.69100000
PA
USD
353354.89000000
0.060291107300
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#CB2886
3140QNF49
666651.47700000
PA
USD
596817.60000000
0.101831883409
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
244488.96200000
PA
USD
231159.42000000
0.039441529717
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#MA4494
31418D7G1
4705064.83600000
PA
USD
4193079.91000000
0.715443419431
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 04/01/2037#BM1257
3140J5MF3
502402.06400000
PA
USD
467025.07000000
0.079686058985
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
1189976.22600000
PA
USD
1096038.79000000
0.187011398918
Long
ABS-CBDO
CORP
US
N
2
2061-07-25
Fixed
0.02042400
N
N
N
N
N
N
PRPM 2024-RCF4 LLC
N/A
PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A
74448JAA1
288867.91000000
PA
USD
280677.06000000
0.047890467120
Long
ABS-CBDO
CORP
US
N
2
2054-07-25
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 12/01/2047#ZM5206
3131XYYB9
14411.43900000
PA
USD
13576.70000000
0.002316521716
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
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
-0.05153735210
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05500000
N
N
N
N
N
N
GS MTG SECS TR 2011-GC5
N/A
GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A
36191YAE8
611877.18000000
PA
USD
584637.02000000
0.099753574387
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
0.05209000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/44#MA1760
36179N5V6
2228.63700000
PA
USD
2113.14000000
0.000360554089
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
180419.62200000
PA
USD
171487.26000000
0.029259979374
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2034#BO4944
3140K0P69
10808.89600000
PA
USD
10123.82000000
0.001727374758
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.02500000
N
N
N
N
N
N
BX TR 2021-LGCY
N/A
BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A
05608UAA6
500548.77000000
PA
USD
501173.91000000
0.085512697968
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Variable
0.07501890
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-IMC
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A
05608BAA8
56046.55000000
PA
USD
55521.88000000
0.009473409649
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.06383300
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 09/01/2036#MA4417
31418D4B5
55945.29600000
PA
USD
49535.16000000
0.008451926749
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 30YR 5.5% 06/01/2054#CB8689
3140QUUP9
1144475.54800000
PA
USD
1153470.32000000
0.196810642216
Long
ABS-MBS
USGSE
US
N
2
2054-06-01
Fixed
0.05500000
N
N
N
N
N
N
RMF BUYOUT ISSUANCE TR 2022-HB1
N/A
RMF BUYOUT ISSUANCE TR 2022-HB1 A 0% 04/25/2032 144A
76970HAA6
4684.71000000
PA
USD
4672.21000000
0.000797194895
Long
ABS-CBDO
CORP
US
N
2
2032-04-25
Fixed
0.04272000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 12/20/2051#785791
3622ABKC5
502774.79200000
PA
USD
434197.06000000
0.074084786357
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 30YR 2.5% 02/01/2051#RA4575
3133KLCL9
696928.35900000
PA
USD
600157.63000000
0.102401775358
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02500000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A
78472UAC2
216251.01000000
PA
USD
213551.14000000
0.036437120470
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06531170
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 11/20/2050#MA6994
36179VXX3
2350980.10700000
PA
USD
1980838.27000000
0.337980132896
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
0.02000000
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
0.001003123671
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 30YR 6.5% 09/01/2053#CB7134
3140QS4U2
660757.58600000
PA
USD
690470.27000000
0.117811351461
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 02/01/2041#QK0646
3133D3WF8
59021.91700000
PA
USD
51219.63000000
0.008739339105
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2346
3140QMTC8
421753.33300000
PA
USD
350711.89000000
0.059840145955
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 10/01/2051#FS6478
3140XNFU3
128024.81200000
PA
USD
110168.14000000
0.018797416811
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02500000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
140000.00000000
NC
USD
20665.74000000
0.003526087746
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
39312.09000000
USD
0.00000000
USD
140000.00000000
USD
-18646.35000000
N
N
N
BENCHMARK 2019-B10 MTG TR
N/A
BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062
08162VAE8
229000.00000000
PA
USD
219411.50000000
0.037437043221
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Fixed
0.03717000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047
38380HES7
116733.52600000
PA
USD
106562.43000000
0.018182193265
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5345
3140J95F4
53231.68900000
PA
USD
51515.11000000
0.008789755321
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 05/15/2034
91282CKQ3
1850000.00000000
PA
USD
1917062.50000000
0.327098404920
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 30YR 5% 10/01/2052#FS3047
3140XJL50
917918.47600000
PA
USD
921262.91000000
0.157190299415
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
2048499.51600000
PA
USD
1754456.46000000
0.299353781928
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02500000
N
N
N
N
N
N
COMM 2015-LC19 MTG TR
N/A
COMM 2015-LC19 MTG TR 2.922% 02/10/2048
200474BB9
168346.76000000
PA
USD
168096.19000000
0.028681378735
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
0.02922000
N
N
N
N
N
N
BPR TRUST 2021-TY
N/A
BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A
05592DAA2
1680000.00000000
PA
USD
1682100.00000000
0.287007975439
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.07234890
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#BT9396
3140LYNN9
106903.57200000
PA
USD
95901.52000000
0.016363177633
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 GTD MTG PASS THRU CTF 2% 05/25/2045
3136BBQQ8
571967.62800000
PA
USD
534673.85000000
0.091228618517
Long
ABS-CBDO
USGSE
US
N
2
2045-05-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 03/01/2054#CB8112
3140QUAN6
593733.21900000
PA
USD
605473.70000000
0.103308828737
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 04/01/2051#QC0798
3133AJ3F8
5522543.40000000
PA
USD
4320477.33000000
0.737180578690
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#CB1071
3140QLFM3
432746.89400000
PA
USD
375270.27000000
0.064030414621
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 08/25/2048
3137H3S94
208698.51800000
PA
USD
186037.16000000
0.031742553146
Long
ABS-CBDO
USGSE
US
N
2
2048-08-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BC4754
3140F0H80
44507.05400000
PA
USD
43083.89000000
0.007351180098
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 08/15/2034
91282CLF6
2490000.00000000
PA
USD
2480657.27000000
0.423261649617
Long
DBT
UST
US
N
2
2034-08-15
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2050#CA7616
3140QFPA1
389194.38800000
PA
USD
322299.42000000
0.054992273954
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#CA5039
3140QCS56
18810.96900000
PA
USD
18009.59000000
0.003072882684
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
FINANCE OF AMERICA HECM BUYOUT 2022-HB1
N/A
FINANCE OF AMERICA HECM BUYOUT 2022-HB1 A VAR 02/25/2032 144A
31735JAA3
285327.11000000
PA
USD
280077.26000000
0.047788126365
Long
ABS-CBDO
CORP
US
N
2
2032-02-25
Variable
0.02694800
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.75% 08/15/2027
91282CLG4
2000000.00000000
PA
USD
1997812.50000000
0.340876357489
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
1514759.75300000
PA
USD
1259608.92000000
0.214920519573
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2051#MA4281
31418DXK3
2555710.68500000
PA
USD
2103655.05000000
0.358935721374
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 02/01/2041#MA4266
31418DW40
126191.37700000
PA
USD
105585.55000000
0.018015513311
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
815121.47600000
PA
USD
698627.82000000
0.119203231795
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2022-DKLX
N/A
BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A
05530SAA4
275000.00000000
PA
USD
271092.80000000
0.046255154678
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
0.06487000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/01/2037#FS2747
3140XJBR3
1131738.41400000
PA
USD
1002065.30000000
0.170977191017
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
2082241.12000000
PA
USD
1991420.43000000
0.339785711826
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
703325.87200000
PA
USD
724046.91000000
0.123540358933
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
315839.70800000
PA
USD
319999.89000000
0.054599917109
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
0.05500000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 5.34% 06/15/2028 144A
361886CR3
1126000.00000000
PA
USD
1141128.26000000
0.194704780702
Long
ABS-CBDO
CORP
US
N
2
2028-06-15
Fixed
0.05340000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 02/20/2052#MA7881
36179WXJ2
3111438.36800000
PA
USD
2718157.23000000
0.463785032702
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 03/01/2036#BR4700
3140L3GJ4
48142.14200000
PA
USD
42626.08000000
0.007273066358
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#G61047
31335BEU6
35712.76400000
PA
USD
35552.71000000
0.006066174019
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES 2023-2 OWNER TRUST
N/A
HONDA AUTO RECEIVABLES 2023-2 OWNER TRUST 4.93% 11/15/2027
437927AC0
219000.00000000
PA
USD
219643.62000000
0.037476648650
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
1668320.36400000
PA
USD
1494601.17000000
0.255016025142
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2051#MA4414
31418D3Y6
39162.15600000
PA
USD
33540.79000000
0.005722890572
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 07/01/2053#CB6673
3140QSMX6
737833.81700000
PA
USD
749627.57000000
0.127905053920
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 06/36#SB8106
3132D6AF7
52976.18400000
PA
USD
46906.24000000
0.008003367800
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.01500000
N
N
N
N
N
N
DISCOVER CARD EXECUTION NT TR
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NT TR 4.31% 03/15/2028
254683CY9
1200000.00000000
PA
USD
1195870.32000000
0.204045133720
Long
ABS-CBDO
CORP
US
N
2
2028-03-15
Fixed
0.04310000
N
N
N
N
N
N
TOWD PT MTG TR 2022
N/A
TOWD PT MTG TR 2022 3.75% 07/25/2062 144A
89170VAA6
384377.63100000
PA
USD
364132.08000000
0.062129963184
Long
ABS-CBDO
CORP
US
N
2
2062-07-25
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6527
3140QSHD6
363151.27900000
PA
USD
368956.00000000
0.062953043568
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+81.548 1 11/15/2036 144A
26863LAA2
948895.51000000
PA
USD
936441.26000000
0.159780102342
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06152480
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 11/01/2050#QB6612
3133ADKZ8
89256.45700000
PA
USD
70497.85000000
0.012028681529
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
605956.60000000
PA
USD
606081.43000000
0.103412522546
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
0.150220830881
Long
ABS-MBS
USGA
US
N
2
2054-07-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 12/01/2036#BU1384
3140M2RE4
91064.69200000
PA
USD
82573.73000000
0.014089126135
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
80000.00000000
NC
USD
11808.99000000
0.002014906552
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
18808.44000000
USD
0.00000000
USD
80000.00000000
USD
-6999.45000000
N
N
N
WELLS FARGO COML MTG TR 2019-C54
N/A
WELLS FARGO COML MTG TR 2019-C54 VAR 12/15/2052
95001YAF1
5832313.00400000
PA
USD
202306.61000000
0.034518524792
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Variable
0.00942219
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
249617.85800000
PA
USD
232100.00000000
0.039602015991
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2049#RA1171
3133KGJQ2
1828425.25600000
PA
USD
1810753.89000000
0.308959519641
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 06/01/2052#RA7575
3133KPMY1
580617.07500000
PA
USD
584728.42000000
0.099769169494
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
0.05000000
N
N
N
N
N
N
GS MTG SECS TR 2015-GC34
54930070360RBP384M53
GSMS 2015 GC34 AAB 3.278% 10/10/2048
36250VAE2
17873.46000000
PA
USD
17621.80000000
0.003006716093
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
0.03278000
N
N
N
N
N
N
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2
N/A
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2 4.47% 02/16/2028
362583AD8
313000.00000000
PA
USD
312113.24000000
0.053254259033
Long
ABS-CBDO
CORP
US
N
2
2028-02-16
Fixed
0.04470000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/51#SD7541
3132DVLW3
6407927.20000000
PA
USD
5334563.51000000
0.910208829950
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 30YR 3.5% 09/01/2047#ZM4140
3131XXS51
6707.50300000
PA
USD
6321.09000000
0.001078534714
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2040#004799
36202FKL9
3981.19700000
PA
USD
3797.22000000
0.000647899901
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32
549300VOKB4Z9J8DIM89
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 A3FL TSFR1M+153.448 01/15/2059
94989YBG7
883078.54200000
PA
USD
886476.63000000
0.151254897360
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Variable
0.06873120
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
350000.00000000
NC
USD
1155.46000000
0.000197150130
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
3120.95000000
USD
0.00000000
USD
350000.00000000
USD
-1965.49000000
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 12/01/2036#BM3680
3140J8CS0
230619.36200000
PA
USD
224035.92000000
0.038226083957
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
203565.90500000
PA
USD
181506.26000000
0.030969469242
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
0.002805520448
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
1454000.00000000
PA
USD
1480698.35000000
0.252643859265
Long
ABS-MBS
CORP
US
N
2
2041-07-05
Variable
0.05330800
N
N
N
N
N
N
CFMT 2022-HB8 LLC
N/A
CFMT 2022-HB8 LLC 3.75% 04/24/2025 144A
12526WAA7
1195149.86000000
PA
USD
1180688.55000000
0.201454747256
Long
ABS-CBDO
CORP
US
N
2
2025-04-25
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1863
3132DPB80
268253.78600000
PA
USD
269398.83000000
0.045966121386
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
RLGH TR 2021-TROT
N/A
RLGH TR 2021-TROT VAR 04/15/2026 144A
74969CAA5
1900000.00000000
PA
USD
1880330.25000000
0.320830972124
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.06251480
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 04/01/2054#RJ1229
3142GRLK4
960715.84000000
PA
USD
979713.04000000
0.167163341134
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 30YR 6% 05/01/2054#
3140QUNN2
1840335.88400000
PA
USD
1876726.69000000
0.320216115421
Long
ABS-MBS
USGSE
US
N
2
2054-05-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#MA4178
31418DUC4
17807.85800000
PA
USD
15817.54000000
0.002698864592
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 2% 04/51#MA7311
36179WDQ8
166412.60800000
PA
USD
140004.34000000
0.023888212458
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 08/01/2032#MA3090
31418CNG5
154014.80000000
PA
USD
148738.55000000
0.025378485289
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 03/01/2049#ZN6553
3131YDH64
673654.57300000
PA
USD
646640.22000000
0.110332857963
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
2865649.04000000
PA
USD
2936528.86000000
0.501044648313
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
9175000.00000000
PA
USD
8134569.68000000
1.387959321639
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 2.5% 11/51#MA7705
36179WR26
268341.85600000
PA
USD
234423.85000000
0.039998522432
Long
ABS-MBS
USGA
US
N
2
2051-11-20
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 4.5% 10/25/2044
3137H9AA7
191546.20300000
PA
USD
190539.26000000
0.032510723057
Long
ABS-CBDO
USGSE
US
N
2
2044-10-25
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 01/20/2052#MA7827
36179WVU9
4773385.41300000
PA
USD
4170036.66000000
0.711511669517
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 10/01/2054 #TBA
01F0226A8
4050000.00000000
PA
USD
3456580.23000000
0.589778309111
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
5100000.00000000
PA
USD
4836433.53000000
0.825215501928
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 06/01/2036#SB8107
3132D6AG5
1545182.38800000
PA
USD
1400625.17000000
0.238981388972
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
394675.46000000
PA
USD
411683.05000000
0.070243337912
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2051#RA6347
3133KNBQ5
248672.59900000
PA
USD
222390.22000000
0.037945286724
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
4933.61900000
PA
USD
4803.63000000
0.000819618406
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY885799 12/15/56 S
N/A
1000000.00000000
NC
USD
-19951.70000000
-0.00340425481
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
26794.31000000
USD
1000000.00000000
USD
6842.61000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3038
3140QNLU4
224062.68700000
PA
USD
185060.52000000
0.031575914142
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
-10950000.00000000
PA
USD
-9708287.52000000
-1.65647461274
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
18204.36200000
PA
USD
15797.87000000
0.002695508403
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.25% 08/15/2054
912810UC0
400000.00000000
PA
USD
402500.00000000
0.068676481846
Long
DBT
UST
US
N
2
2054-08-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/42#G07184
3128M9J52
150233.43300000
PA
USD
146974.22000000
0.025077446836
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
193913.45600000
PA
USD
186197.89000000
0.031769977670
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY885802 12/15/56 B
N/A
100000.00000000
NC
USD
11005.48000000
0.001877807819
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
14271.24000000
USD
0.00000000
USD
100000.00000000
USD
-3265.76000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 11/01/2041#RB5135
3133KYV48
255517.31100000
PA
USD
220941.19000000
0.037698046271
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 01/01/2033#ZS8682
3132A9UF2
30703.56000000
PA
USD
29558.65000000
0.005043438733
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 01/01/2051#MA4236
31418DV66
1101113.14500000
PA
USD
861439.02000000
0.146982860171
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.01500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3% 05/25/2048
3136BMAC2
218582.58300000
PA
USD
203265.87000000
0.034682198338
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
FEDERAL HOME LN MTG MLT CTF GT 3.65% 02/25/2028
3137F4X72
2900000.00000000
PA
USD
2851992.53000000
0.486620653946
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Fixed
0.03650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2048#ZN4472
3131YA6H8
26147.35800000
PA
USD
23602.40000000
0.004027154770
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
110000.00000000
NC
USD
16237.36000000
0.002770496296
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
25167.30000000
USD
0.00000000
USD
110000.00000000
USD
-8929.94000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.35% 01/25/2028
3137FETN0
700000.00000000
PA
USD
682408.93000000
0.116435886939
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Fixed
0.03350000
N
N
N
N
N
N
FORD CR AUTO OWNER TR 2023-REV2
N/A
FORD CR AUTO OWNER TR 2023-REV2 5.28% 02/15/2036 144A
34535CAA4
700000.00000000
PA
USD
720642.86000000
0.122959543584
Long
ABS-CBDO
CORP
US
N
2
2036-02-15
Fixed
0.05280000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 09/01/2052#BW7430
3140N0HG3
22592.07200000
PA
USD
22963.85000000
0.003918202304
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BM5096
3140J9UW9
1679251.05600000
PA
USD
1593592.80000000
0.271906452174
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 1.5% 08/01/2036#SB8114
3132D6AP5
32649.77000000
PA
USD
28908.80000000
0.004932558207
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049
3137H5VK0
221111.27400000
PA
USD
197390.85000000
0.033679774227
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
106260.90000000
PA
USD
106310.05000000
0.018139130978
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
152727.87600000
PA
USD
140733.79000000
0.024012674718
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 01/01/2051#FS2528
3140XHY27
90008.08600000
PA
USD
70416.45000000
0.012014792671
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2050#MA4211
31418DVD1
961653.02800000
PA
USD
860616.28000000
0.146842480324
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
1840763.66700000
PA
USD
1711133.78000000
0.291961858334
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050
3137H5MS3
348187.79500000
PA
USD
307249.68000000
0.052424415083
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#CB1337
3140QLPX8
263467.05300000
PA
USD
228473.86000000
0.038983306580
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
306235.04100000
PA
USD
299330.36000000
0.051073182694
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3248
3140XJTE3
719260.79100000
PA
USD
722330.96000000
0.123247575308
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 4.5% 09/01/2054 #TBA
21H042695
2000000.00000000
PA
USD
1957659.00000000
0.334025174597
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
100000.00000000
NC
USD
14761.24000000
0.002518633617
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
19290.83000000
USD
0.00000000
USD
100000.00000000
USD
-4529.59000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 12/01/2035#MA4205
31418DU75
721230.61400000
PA
USD
639494.49000000
0.109113619213
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8985
3617M76W3
7963.48500000
PA
USD
7431.55000000
0.001268006729
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-NUGS
N/A
MORGAN STANLEY CAP I TR 2019-NUGS A TSFR1M+106.448 4 12/15/2021 144A
61692AAA0
1000000.00000000
PA
USD
810575.70000000
0.138304316388
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.06401480
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.653% 08/25/2026
3137BSP72
1700000.00000000
PA
USD
1646829.61000000
0.280989972213
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Fixed
0.02653000
N
N
N
N
N
N
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30
N/A
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30 2.729% 09/15/2049
61766NAY1
306275.14600000
PA
USD
300729.54000000
0.051311917502
Long
ABS-MBS
CORP
US
N
2
2049-09-15
Fixed
0.02729000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#FS0631
3140XFVZ1
819152.00800000
PA
USD
733343.21000000
0.125126538258
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
163131.92900000
PA
USD
135296.63000000
0.023084960382
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 02/25/2048
3137H65B7
3881371.36400000
PA
USD
3628180.19000000
0.619057517901
Long
ABS-CBDO
USGSE
US
N
2
2048-02-25
Fixed
0.03000000
N
N
N
N
N
N
MERCHANTS FLEET FUNDING LLC
N/A
MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A
588926AF2
260000.00000000
PA
USD
263333.49000000
0.044931223964
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
0.048120573431
Long
ABS-CBDO
CORP
US
N
2
2066-02-25
Variable
0.04250000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 10/01/2054 #TBA
01F0226A8
-4050000.00000000
PA
USD
-3456580.23000000
-0.58977830911
Short
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 09/01/2051#BT0233
3140LNHK6
427080.61600000
PA
USD
354874.91000000
0.060550460408
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#MA4399
31418D3H3
89559.77200000
PA
USD
76704.30000000
0.013087655817
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025
3137BLMZ8
42642.81000000
PA
USD
41956.70000000
0.007158853530
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Fixed
0.03010000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2048#ZM5941
3131Y0S60
30175.80100000
PA
USD
27229.32000000
0.004645997268
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040
3137F64V6
1040854.24100000
PA
USD
877048.45000000
0.149646216037
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6308
3133KNAH6
149778.43800000
PA
USD
124034.43000000
0.021163349764
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
OCWEN LN INVT TR 2024-HB1
N/A
OCWEN LN INVT TR 2024-HB1 3% 02/25/2037 144A
675952AA3
55441.95000000
PA
USD
53800.32000000
0.009179668819
Long
ABS-CBDO
CORP
US
N
2
2037-02-25
Fixed
0.03000000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRST
N/A
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRST 5.47% 11/17/2025
981944AB7
80913.19000000
PA
USD
80929.57000000
0.013808591664
Long
ABS-CBDO
CORP
US
N
2
2025-11-17
Fixed
0.05470000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2048
3137H6E50
347568.99000000
PA
USD
322780.54000000
0.055074364958
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#BT9493
3140LYRP0
338241.58000000
PA
USD
280104.41000000
0.047792758828
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% 04/01/2052#QE0316
3133B9K52
1831137.07600000
PA
USD
1685018.20000000
0.287505892729
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
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
208099.22000000
PA
USD
206279.75000000
0.035196441009
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Variable
0.07028120
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
200421.26600000
PA
USD
169928.87000000
0.028994079393
Long
ABS-CBDO
USGSE
US
N
2
2051-04-25
Fixed
0.01500000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING 1 LLC
549300BSFY0E0XXREF43
WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A
96328GBG1
1087481.07000000
PA
USD
1094935.43000000
0.186823138339
Long
ABS-CBDO
CORP
US
N
2
2038-08-18
Fixed
0.06460000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2031#BC0919
3140EVAV9
11570.84500000
PA
USD
11073.78000000
0.001889461493
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 04/25/2050
3137H6K38
316934.05200000
PA
USD
292135.74000000
0.049845602099
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-P1
N/A
CGCMT 2015-P1 A5 3.717% 09/48
17324DAU8
1090000.00000000
PA
USD
1072322.49000000
0.182964809983
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
0.03717000
N
N
N
N
N
N
CARMAX AUTO OWNER TR 2024-2
N/A
CARMAX AUTO OWNER TR 2024-2 5.5% 01/16/2029
14319EAE6
187000.00000000
PA
USD
190834.32000000
0.032561067610
Long
ABS-CBDO
CORP
US
N
2
2029-01-16
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 01/20/2051#MA7135
36179V4U1
484717.72200000
PA
USD
408403.04000000
0.069683686863
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 03/01/2053#SD2518
3132DPYP7
506848.19600000
PA
USD
525106.90000000
0.089596259591
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 07/01/2035#SB8065
3132D56A5
241669.07300000
PA
USD
214658.64000000
0.036626087436
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3% 03/20/2031#MA3496
36179R3D9
22283.31100000
PA
USD
21655.61000000
0.003694984116
Long
ABS-MBS
USGA
US
N
2
2031-03-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 05/01/2035#SB0836
3132CW4V3
824423.05900000
PA
USD
786982.46000000
0.134278724541
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 12/01/2035#FM7459
3140XBJD3
347710.74000000
PA
USD
339563.74000000
0.057937995095
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.03500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-SOAR
N/A
BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A
05609WAA1
391190.17000000
PA
USD
389735.57000000
0.066498553535
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.06827890
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
0.051604375233
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
255271.30400000
PA
USD
227452.93000000
0.038809110604
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 2.5% 08/01/2051#CB1281
3140QLM78
1809482.32100000
PA
USD
1555968.06000000
0.265486738451
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/01/2047#ZM4961
3131XYQN2
53463.03200000
PA
USD
50366.36000000
0.008593750082
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 15YR 3% 09/32#MA3125
31418CPK4
10186.66700000
PA
USD
9837.72000000
0.001678559003
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 05/01/2033#G16550
3128MFQB7
8984.36800000
PA
USD
8658.75000000
0.001477397483
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
68110.58000000
PA
USD
66331.61000000
0.011317817664
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 04/01/2036#SB8097
3132D57J5
50917.17500000
PA
USD
45083.15000000
0.007692303434
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.023% 01/25/2025
3137BHXJ1
1089847.22500000
PA
USD
1078846.31000000
0.184077935463
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
0.03023000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#FM7352
3140XBE22
979534.63900000
PA
USD
845359.75000000
0.144239337949
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
FEDERAL HOME LN MTG MLT CTF GT 3.9% 04/25/2028
3137FEZU7
500000.00000000
PA
USD
495473.60000000
0.084540083716
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Fixed
0.03900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2048#ZM8580
3131Y3Q90
263006.63100000
PA
USD
252459.75000000
0.043075894255
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
-5349000.00000000
NC
USD
-93010.62000000
-0.01586991839
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2044-09-18
0.00000000
USD
0.00000000
USD
-5425527.54000000
USD
-93010.62000000
N
N
N
GS MTG SECS TR 2018-GS10
N/A
GS MTG SECS TR 2018-GS10 A4 3.89% 07/10/2051
36250SAD1
3200000.00000000
PA
USD
3105638.72000000
0.529898984289
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Fixed
0.03890000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 09/01/2041#FM8850
3140XCZQ4
570244.71200000
PA
USD
508706.35000000
0.086797919033
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040
3137FXC30
116018.68900000
PA
USD
106879.32000000
0.018236262558
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
290000.00000000
PA
USD
295212.23000000
0.050370527588
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
860704.43200000
PA
USD
810162.32000000
0.138233783509
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048
3136BNE69
226054.84000000
PA
USD
219130.98000000
0.037389179552
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
100000.00000000
NC
USD
11005.48000000
0.001877807819
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
12918.92000000
USD
0.00000000
USD
100000.00000000
USD
-1913.44000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#BQ6772
3140KSQ26
375966.61700000
PA
USD
310522.82000000
0.052982893939
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#CB2110
3140QMKY9
372401.42400000
PA
USD
322707.02000000
0.055061820623
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
358187.57300000
PA
USD
330711.11000000
0.056427516875
Long
ABS-CBDO
USGSE
US
N
2
2045-01-25
Fixed
0.02000000
N
N
N
N
N
N
BENCHMARK 2019-B12 MTG TR
N/A
BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A
08162FAK9
890353.75000000
PA
USD
30759.50000000
0.005248333523
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
0.01209595
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 12/01/2050#QB7301
3133AEDE1
64209.58800000
PA
USD
50714.96000000
0.008653229887
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
262619.14100000
PA
USD
247407.77000000
0.042213901180
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2052#SD4401
3132E03J9
93683.72300000
PA
USD
80675.44000000
0.013765230784
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2041#MA4473
31418D6K3
2035858.35500000
PA
USD
1690698.32000000
0.288475062066
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2047#FM3371
3140X6W98
921928.72400000
PA
USD
920961.71000000
0.157138907225
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2036#MA4383
31418D2R2
1672033.01100000
PA
USD
1515608.47000000
0.258600391495
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2051#FM9210
3140XDGU4
1651204.38300000
PA
USD
1479783.44000000
0.252487752929
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
CSAIL 2015-C4 COML MTG TR
N/A
CSAIL 2015-C4 COML MTG TR 3.544% 11/15/2048
12635RAW8
1103577.39600000
PA
USD
1087793.26000000
0.185604507014
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Fixed
0.03543800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#BT0330
3140LNLL9
418120.68600000
PA
USD
359801.97000000
0.061391139033
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 10YR NOTE FUT (CBT)DEC24 TYZ4
N/A
-31.00000000
NC
USD
28277.89000000
0.004824909314
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
UST NOTES
UST NOTES 0% 06/30/2040
2024-12-19
-3548715.39000000
USD
28277.89000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#FM9501
3140XDRX6
1966227.46300000
PA
USD
1695053.83000000
0.289218220087
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6538
3140QSHQ7
952605.92700000
PA
USD
982159.57000000
0.167580779825
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3128
3140QNPN6
497699.91600000
PA
USD
461873.34000000
0.078807046086
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
1341235.63500000
PA
USD
1370691.18000000
0.233873907927
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
3516246.04600000
PA
USD
3037734.19000000
0.518312787465
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2047#ZM4743
3131XYHU6
55922.89300000
PA
USD
50479.85000000
0.008613114291
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 07/01/2041#SC0162
3132D9FB5
1640672.47300000
PA
USD
1427888.57000000
0.243633201134
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FDG TR 2022-RPL1
N/A
BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A
10569XAA7
945272.72000000
PA
USD
863644.92000000
0.147359241417
Long
ABS-CBDO
CORP
US
N
2
2061-09-25
Fixed
0.02750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 09/20/2051#785616
3622ABDV1
1585694.84100000
PA
USD
1367426.32000000
0.233316841844
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 09/01/2052#FS2960
3140XJJE4
564095.68300000
PA
USD
573464.92000000
0.097847337063
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2040#FM4644
3140X8ES2
42267.71400000
PA
USD
36812.30000000
0.006281091311
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#Q49499
3132WPRV1
15657.69600000
PA
USD
15558.16000000
0.002654607932
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2049#SD7507
3132DVKU8
1093215.23800000
PA
USD
990227.48000000
0.168957365352
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 09/01/2041#FM8862
3140XCZ43
290187.57200000
PA
USD
250919.94000000
0.042813164482
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-L2
N/A
MORGAN STANLEY CAP I TR 2019-L2 A3 3.806% 03/15/2052
61768HAV8
489641.20000000
PA
USD
469595.39000000
0.080124619320
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
0.03806000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#SD8133
3132DWBA0
1158178.99400000
PA
USD
906083.62000000
0.154600336100
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-GC33
N/A
CITIGROUP COML MTG TR 2015-GC33 AAB 3.522% 09/10/58
29425AAE3
68780.19200000
PA
USD
68110.84000000
0.011621398426
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Fixed
0.03522000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 05/01/2038#C91994
3128P8GB1
266819.16500000
PA
USD
262576.74000000
0.044802103647
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.04000000
N
N
N
N
N
N
BANK 2019
N/A
BANK 2019 2.846% 12/15/2052
06541RAZ6
100000.00000000
PA
USD
95505.06000000
0.016295531725
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
0.02846000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.85% 05/25/2028
3137FG6X8
1600000.00000000
PA
USD
1582804.80000000
0.270065751836
Long
ABS-MBS
USGSE
US
N
2
2028-05-25
Fixed
0.03850000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
14221837.52100000
NS
USD
14224681.89000000
2.427083497129
Long
STIV
RF
US
N
1
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3% 12/20/2031#MA4102
36179SRX7
132864.07000000
PA
USD
128909.72000000
0.021995195143
Long
ABS-MBS
USGA
US
N
2
2031-12-20
Fixed
0.03000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A
05609PAA6
475000.00000000
PA
USD
470398.44000000
0.080261639566
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06140580
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2039#AL0939
3138EHBH4
618766.28800000
PA
USD
618011.76000000
0.105448132712
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040
3137F6YK7
1370159.85600000
PA
USD
1154676.32000000
0.197016415725
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 05/01/2041#RB5111
3133KYVC0
187247.89300000
PA
USD
162202.44000000
0.027675758822
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02000000
N
N
N
N
N
N
DLLAD 2024-1 LLC
N/A
DLLAD 2024-1 LLC 5.3% 07/20/2029 144A
23346MAC0
82000.00000000
PA
USD
83697.38000000
0.014280848691
Long
ABS-CBDO
CORP
US
N
2
2029-07-20
Fixed
0.05300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 05/01/2052#RA7375
3133KPFQ6
965989.51500000
PA
USD
860497.37000000
0.146822191329
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
14260.70300000
PA
USD
13921.01000000
0.002375269541
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
255224.12600000
PA
USD
219625.92000000
0.037473628591
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 02/01/2051#FM6338
3140XABG6
17722.62500000
PA
USD
14609.99000000
0.002492826616
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02000000
N
N
N
N
N
N
CAPTIAL ONE MULTI-ASSET EXECUT
R42WS16M9R97TJJKGU15
CAPITAL ONE MULTI-ASST EXEC TR 4.42% 05/15/2028
14041NGD7
1400000.00000000
PA
USD
1399370.56000000
0.238767321393
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04420000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3168
3133B0QV8
250325.38000000
PA
USD
207299.30000000
0.035370401523
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 15YR 1.5% 01/01/2036#SB8083
3132D56U1
632963.59000000
PA
USD
561230.65000000
0.095759867196
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.01500000
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
0.188161082468
Long
ABS-MBS
USGSE
US
N
2
2054-07-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 08/25/2046
3136BL5X4
280675.55000000
PA
USD
264962.55000000
0.045209182000
Long
ABS-CBDO
USGSE
US
N
2
2046-08-25
Fixed
0.03000000
N
N
N
N
N
N
CFMT 2021-EBO1 LLC
N/A
CFMT 2021-EBO1 LLC 1.1581% 11/25/2050 144A
12530AAA9
15673.73000000
PA
USD
15447.49000000
0.002635724885
Long
ABS-CBDO
CORP
US
N
2
2050-11-25
Variable
0.00984900
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAE2
26000.00000000
PA
USD
24638.71000000
0.004203974956
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03283000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 01/01/2052#QD4275
3133B1XC0
208611.09700000
PA
USD
186236.89000000
0.031776632037
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#CB2113
3140QMK37
93181.23400000
PA
USD
83241.99000000
0.014203147863
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#BU1269
3140M2MT6
638982.73700000
PA
USD
530951.14000000
0.090593431870
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 04/01/2053#FS4829
3140XLLK2
345369.06500000
PA
USD
351052.46000000
0.059898255643
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
0.05000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 3.755 03/19/2029
N/A
3200000.00000000
NC
USD
108242.53000000
0.018468859991
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 03/21/34 3.755%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-03-21
0.00000000
USD
0.00000000
USD
3200000.00000000
USD
1.00000000
3.75500000
USD
2029-03-19
XXXX
-23437.47000000
N
N
N
OPG TR 2021-PORT
N/A
OPG TR 2021-PORT TSFR1M+59.848 8 10/15/2036 144A
67118AAA3
599537.65800000
PA
USD
589607.82000000
0.100601716141
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.05935480
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A
78472UAA6
1722353.20900000
PA
USD
1701362.03000000
0.290294555448
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06182170
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#BU6530
3140M8HG7
195975.06100000
PA
USD
169456.09000000
0.028913411400
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 10/01/2054 #TBA
21H0306A7
7250000.00000000
PA
USD
6561379.78000000
1.119534110188
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 3% 09/01/2047#ZS4734
3132A5HK4
29293.11400000
PA
USD
26441.98000000
0.004511657539
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#FM9558
3140XDTQ9
683684.28300000
PA
USD
608194.80000000
0.103773115879
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
BANK 2020-BNK26
N/A
BANK 2020-BNK26 2.313% 03/15/2063
06540JBA9
900000.00000000
PA
USD
842358.06000000
0.143727175195
Long
ABS-MBS
CORP
US
N
2
2063-03-15
Fixed
0.02313000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 12/01/2040#RB5089
3133KYUN7
74833.10400000
PA
USD
62613.58000000
0.010683429540
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#QC9113
3133AUDS4
281748.77400000
PA
USD
234114.04000000
0.039945661163
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2% 09/01/2039 #TBA
01F020497
2150000.00000000
PA
USD
1944238.34000000
0.331735277174
Long
ABS-MBS
USGA
US
N
2
2039-09-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 10/20/2052#MA8346
36179XHX7
4128687.87800000
PA
USD
3942960.92000000
0.672766916881
Long
ABS-MBS
USGA
US
N
2
2052-10-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 06/01/2041#FM7891
3140XBXV7
38400.11300000
PA
USD
33515.88000000
0.005718640309
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 01/01/2041#MA4231
31418DVZ2
123585.00300000
PA
USD
103404.77000000
0.017643418160
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2052#SD8214
3132DWDT7
1035176.30300000
PA
USD
952896.04000000
0.162587695883
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2043#MA1375
36179NQ43
2851.48200000
PA
USD
2705.88000000
0.000461690232
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
121206.93700000
PA
USD
101415.02000000
0.017303917465
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#CA4890
3140QCNG7
20210.95100000
PA
USD
19349.93000000
0.003301577928
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785564
3622ABB92
914864.42200000
PA
USD
790364.18000000
0.134855729838
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
2100000.00000000
PA
USD
1770058.08000000
0.302015805214
Long
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.02000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068
38380LGR8
37813.48000000
PA
USD
36571.35000000
0.006239979265
Long
ABS-CBDO
USGA
US
N
2
2068-08-20
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 07/01/2036#SB0535
3132CWSY1
246430.93100000
PA
USD
230349.93000000
0.039303410648
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 15YR 2% 10/01/2035#BK5705
3140HKKT4
345388.59300000
PA
USD
313723.88000000
0.053529074160
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
1300000.00000000
NC
USD
4291.69000000
0.000732268746
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
8621.03000000
USD
0.00000000
USD
1300000.00000000
USD
-4329.34000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3% 09/20/2031#MA3913
36179SK22
10706.11200000
PA
USD
10392.82000000
0.001773272829
Long
ABS-MBS
USGA
US
N
2
2031-09-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#BC2778
3140EXCQ4
16180.83100000
PA
USD
15480.38000000
0.002641336735
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
WILLIS ENGINE STRUCTURED TR VII
N/A
WILLIS ENGINE STRUCTURED TR VII 23-A A 8% 10/15/2048 144A
97064YAA2
254924.95000000
PA
USD
270830.61000000
0.046210418562
Long
ABS-CBDO
CORP
US
N
2
2048-10-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2048#CA0990
3140Q8C45
267996.20700000
PA
USD
252473.38000000
0.043078219871
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
86115.52100000
PA
USD
77333.62000000
0.013195033416
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#RA6510
3133KNGT4
556119.38000000
PA
USD
460533.25000000
0.078578393499
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2350
3140QMTG9
582948.67300000
PA
USD
482386.76000000
0.082307144263
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/47#Q48876
3132WN2J0
21629.93400000
PA
USD
21492.44000000
0.003667143268
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2041#FM7587
3140XBND8
153291.83900000
PA
USD
137659.41000000
0.023488109246
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% 11/01/2047#CA1757
3140Q85T8
99091.66600000
PA
USD
93352.10000000
0.015928183356
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
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
0.091851996223
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.01500000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2017
N/A
CITIGROUP COML MTG TR 2017-P7 3.509% 04/14/2050
17325HBQ6
194383.91000000
PA
USD
191209.64000000
0.032625106510
Long
ABS-MBS
CORP
US
N
2
2050-04-14
Fixed
0.03509000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2051#QC7496
3133ASKH5
100998.06000000
PA
USD
90323.50000000
0.015411429088
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING 1 LLC
549300BSFY0E0XXREF43
WHEELS FLEET LEASE FUNDING 1 LLC 4.87% 06/21/2039 144A
96328GBT3
402000.00000000
PA
USD
403709.42000000
0.068882838891
Long
ABS-CBDO
CORP
US
N
2
2039-06-21
Fixed
0.04870000
N
N
N
N
N
N
BX COML MTG TR 2019
N/A
BX COML MTG TR 2019-XCALM AL TSFR1M+99.048 72 11/25/2286 144A
05608FAA9
6072.94000000
PA
USD
6067.25000000
0.001035223315
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
0.06327480
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2050#SD8115
3132DWAQ6
580191.51900000
PA
USD
519233.29000000
0.088594076061
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/48#BK3801
3140HHGK5
42897.44800000
PA
USD
40359.13000000
0.006886268469
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/52#RA6824
3133KNSM6
2687384.30000000
PA
USD
2225475.07000000
0.379721237876
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 02/01/2036#FM5367
3140X86D4
37003.65100000
PA
USD
32810.08000000
0.005598213325
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785575
3622ABCL4
560390.87000000
PA
USD
484129.52000000
0.082604502339
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873245 04/17/65 S
N/A
1100000.00000000
NC
USD
-16300.35000000
-0.00278124395
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
22064.00000000
USD
1100000.00000000
USD
5763.65000000
N
N
N
ARI FLEET LEASE TRUST 2024-B
N/A
ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A
04033HAB1
118000.00000000
PA
USD
119095.31000000
0.020320613404
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
137450.23000000
PA
USD
123304.44000000
0.021038795367
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2035#BP5615
3140KDGZ7
1358269.71300000
PA
USD
1236716.80000000
0.211014556185
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#CB1069
3140QLFK7
444598.49600000
PA
USD
386937.14000000
0.066021071977
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
400000.00000000
NC
USD
-7980.68000000
-0.00136170192
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
8363.97000000
USD
400000.00000000
USD
383.29000000
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
184755.56000000
PA
USD
167980.59000000
0.028661654508
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
415481.19500000
PA
USD
403023.20000000
0.068765752741
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.04000000
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
1316000.00000000
PA
USD
1329130.92000000
0.226782696892
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
268077.23000000
PA
USD
257997.20000000
0.044020720552
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
INTOWN 2022-STAY MORTGAGE TRUST
N/A
INTOWN 2022-STAY MORTGAGE TRUST TSFR1M+223.92 08/15/2037 144A
46117NAA0
1857000.00000000
PA
USD
1858740.94000000
0.317147300431
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Variable
0.07825600
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.25% 02/15/2054
912810TX6
8420000.00000000
PA
USD
8452890.63000000
1.442272769947
Long
DBT
UST
US
N
2
2054-02-15
Fixed
0.04250000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
1020000.00000000
NC
USD
3367.33000000
0.000574550006
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
10895.51000000
USD
0.00000000
USD
1020000.00000000
USD
-7528.18000000
N
N
N
KUBOTA CREDIT OWNER TRUST 2024-2
N/A
KUBOTA CREDIT OWNER TRUST 2024-2 5.26% 11/15/2028 144A
50117DAC0
528000.00000000
PA
USD
538404.50000000
0.091865159926
Long
ABS-CBDO
CORP
US
N
2
2028-11-15
Fixed
0.05260000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 3.8225 02/24/2025
N/A
6400000.00000000
NC
USD
303795.52000000
0.051835049725
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 02/26/35 SOFRV3.8225%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-02-26
0.00000000
USD
0.00000000
USD
6400000.00000000
USD
1.00000000
3.82250000
USD
2025-02-24
XXXX
69475.52000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2052#CB3331
3140QNVZ2
5034239.19900000
PA
USD
4679719.01000000
0.798476118355
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2043#ZS3792
3132A4F94
56469.68400000
PA
USD
50701.77000000
0.008650979346
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 03/01/2040#MA3965
31418DMP4
19987.58400000
PA
USD
18092.95000000
0.003087105968
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
9800000.00000000
NC
USD
515246.37000000
0.087913808635
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
9800000.00000000
USD
1.00000000
4.05000000
USD
2029-04-23
XXXX
110016.37000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 09/01/2054 #TBA
21H050698
9375000.00000000
PA
USD
9355186.88000000
1.596226886801
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.05000000
N
N
N
N
N
N
OPEN TR 2023-AIR
N/A
OPEN TR 2023-AIR TSFR1M+308.92 10/15/2028 144A
68373BAA9
282157.81000000
PA
USD
284626.69000000
0.048564371947
Long
ABS-MBS
CORP
US
N
2
2028-10-15
Variable
0.08425978
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 09/18/31
N/A
-19441000.00000000
NC
USD
-446789.19000000
-0.07623331601
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2031-09-18
0.00000000
USD
0.00000000
USD
-19113613.15000000
USD
-446789.19000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2037#BM1951
3140J6EZ6
63266.82100000
PA
USD
58811.84000000
0.010034758415
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 03/01/2033#ZS8690
3132A9UP0
37564.51000000
PA
USD
36163.76000000
0.006170434303
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 12/01/2035#FM4701
3140X8GK7
18038.59500000
PA
USD
15994.30000000
0.002729024232
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#QD0399
3133AWNQ3
97156.69800000
PA
USD
80457.35000000
0.013728019221
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#RA8291
3133KQF84
562495.56000000
PA
USD
564896.57000000
0.096385364061
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
BMP 2024-MF23
N/A
BROOKFIELD 2024-MF23 A TSFR1M+149.177 06/15/2041 144A
05593JAA8
313000.00000000
PA
USD
311728.44000000
0.053188602610
Long
ABS-MBS
CORP
US
N
2
2041-06-15
Variable
0.06708830
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 03/01/2051#RA4749
3133KLH26
672611.67500000
PA
USD
579217.39000000
0.098828851104
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
26332.18400000
PA
USD
25463.30000000
0.004344670460
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
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
80818.78000000
PA
USD
81102.40000000
0.013838080748
Long
ABS-CBDO
CORP
US
N
2
2034-07-17
Fixed
0.05950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3% 05/20/2031#MA3639
36179SBG1
173820.31000000
PA
USD
168857.64000000
0.028811300989
Long
ABS-MBS
USGA
US
N
2
2031-05-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 02/01/2042#SC0248
3132D9HZ0
320740.43100000
PA
USD
289635.60000000
0.049419016212
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.9% 08/25/2028
3137FJEH8
300000.00000000
PA
USD
297034.65000000
0.050681477636
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Fixed
0.03900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#FM9633
3140XDV37
1288875.66800000
PA
USD
1155070.14000000
0.197083611183
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#FM8410
3140XCKY3
53886.17000000
PA
USD
46678.59000000
0.007964525065
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047
3137H5KC0
676085.21800000
PA
USD
618230.10000000
0.105485386931
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 30YR 3% 11/01/2050#SD8108
3132DWAH6
68823.55800000
PA
USD
61592.56000000
0.010509218208
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#CB1331
3140QLPR1
1452014.42000000
PA
USD
1248582.55000000
0.213039147401
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 04/01/2041#
31418DYH9
146375.28000000
PA
USD
127025.48000000
0.021673697071
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
0.226331865222
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05500000
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
0.112816194428
Long
ABS-CBDO
CORP
US
N
2
2054-07-25
Variable
0.06801160
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
22580.14000000
PA
USD
20762.61000000
0.003542616170
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
1622101.50700000
PA
USD
1660766.73000000
0.283367990520
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
0.019180547974
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
265593.59000000
PA
USD
218283.24000000
0.037244534085
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 B
N/A
1410000.00000000
NC
USD
4654.83000000
0.000794229436
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
9732.04000000
USD
0.00000000
USD
1410000.00000000
USD
-5077.21000000
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9276
3133KRJV7
524552.95000000
PA
USD
540826.68000000
0.092278443903
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
2268842.34600000
PA
USD
2060838.28000000
0.351630118572
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
392515.00800000
PA
USD
348645.10000000
0.059487500325
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2042#AB7124
31417D4J9
9933.05900000
PA
USD
9437.52000000
0.001610274958
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047
3137H62Q7
150322.39300000
PA
USD
136934.79000000
0.023364471104
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+123.468 02 11/15/2036 144A
26863LAE4
661230.34000000
PA
USD
650085.57000000
0.110920720116
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06571680
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/01/2051#CB1110
3140QLGU4
35615.80000000
PA
USD
29316.06000000
0.005002046863
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#SD7521
3132DVLA1
235851.83700000
PA
USD
205093.05000000
0.034993960559
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
1164686.65800000
PA
USD
1004786.01000000
0.171441411616
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02500000
N
N
N
N
N
N
LIFE FINANCIAL SERVICES TRUST 2022
N/A
LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A
53218DAE8
400000.00000000
PA
USD
383032.76000000
0.065354887922
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Variable
0.07130800
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
78658.28000000
PA
USD
78804.02000000
0.013445920121
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
2272510.40700000
PA
USD
2058425.61000000
0.351218457237
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2049#FM1277
3140X4M37
88215.27600000
PA
USD
84391.04000000
0.014399204289
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2051#
3140QMKN3
764738.57300000
PA
USD
707538.57000000
0.120723626729
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
0.021678488215
Long
ABS-CBDO
USGSE
US
N
2
2049-01-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 06/01/2051#QC3131
3133AMPQ3
48114.23200000
PA
USD
38032.36000000
0.006489263804
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 01/01/2052#FS0286
3140XFJ85
2596845.81900000
PA
USD
2150498.40000000
0.366928358581
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2049#BN2615
3617K53Y8
115178.50700000
PA
USD
110465.17000000
0.018848097496
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 07/01/2052#QE5952
3133BFTH3
54015.94600000
PA
USD
49722.53000000
0.008483896717
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 04/01/2051#FM6944
3140XAWE8
884915.40000000
PA
USD
734474.83000000
0.125319620694
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
BENCHMARK 2019-B14 MTG TR
N/A
BENCHMARK 2019-B14 MTG TR CSTR 12/15/2062
08162YAK8
9595548.63600000
PA
USD
219360.00000000
0.037428256044
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
43509.67700000
PA
USD
41873.66000000
0.007144684846
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
266873.53200000
PA
USD
241231.98000000
0.041160158249
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
352223.16000000
PA
USD
358783.18000000
0.061217308194
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
189189.87600000
PA
USD
170428.73000000
0.029079367905
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 12/20/2051#785792
3622ABKD3
660644.23700000
PA
USD
569707.55000000
0.097206236560
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2349
3140QMTF1
1837372.33000000
PA
USD
1521563.67000000
0.259616496301
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#BQ6615
3140KSK55
188671.41800000
PA
USD
163140.76000000
0.027835859484
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#QD0109
3133AWDN1
104825.25400000
PA
USD
86807.83000000
0.014811568599
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/01/2051#RA5287
3133KL2U0
86325.70200000
PA
USD
71056.36000000
0.012123977186
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
19565.43000000
PA
USD
18813.53000000
0.003210054786
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#BP2186
3140K9NC9
1094355.12100000
PA
USD
988524.09000000
0.168666724775
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048
3136BG6S5
287549.51000000
PA
USD
240140.93000000
0.040973998061
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 20YR 2.5% 05/01/2040#MA4016
31418DPA4
79499.09300000
PA
USD
71963.32000000
0.012278727054
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/01/2051#SD7532
3132DVLM5
1927249.82500000
PA
USD
1608038.28000000
0.274371209305
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033
3136ADB57
79540.39700000
PA
USD
73454.83000000
0.012533215649
Long
ABS-CBDO
USGSE
US
N
2
2033-05-25
Fixed
0.01850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2041#FM9851
3140XD5M4
163758.18700000
PA
USD
141803.44000000
0.024195183535
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 11/01/2041#QK1180
3133D4JZ7
343129.00000000
PA
USD
296697.44000000
0.050623941247
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5% 04/25/2048
3137H8BP5
330378.70400000
PA
USD
332240.16000000
0.056688410725
Long
ABS-CBDO
USGSE
US
N
2
2048-04-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#BM5108
3140J9VA6
169476.81300000
PA
USD
163587.63000000
0.027912106588
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
CARMAX AUTO OWNER TR 2023-4
N/A
CARMAX AUTO OWNER TR 2023-4 6% 07/17/2028
14318XAC9
234000.00000000
PA
USD
239126.89000000
0.040800977689
Long
ABS-CBDO
CORP
US
N
2
2028-07-17
Fixed
0.06000000
N
N
N
N
N
N
JPMDB COML MTG SECS TR 2018-C8
N/A
JPMDB COML MTG SECS TR 2018-C8 4.145% 06/15/2051
46591ABB0
757602.15000000
PA
USD
746273.73000000
0.127332805642
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Fixed
0.04145000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2022-DKLX
N/A
BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A
05530SAG1
100000.00000000
PA
USD
98146.70000000
0.016746261020
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
0.06887000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#
31418D5G3
19447.09600000
PA
USD
16815.55000000
0.002869149849
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 09/01/2051#QC7468
3133ASJM6
521336.91400000
PA
USD
433195.47000000
0.073913890264
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
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
0.034035962028
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
2078.51600000
PA
USD
2016.19000000
0.000344012014
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
24057.60000000
PA
USD
23813.92000000
0.004063245328
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
1126007.89600000
PA
USD
1016412.08000000
0.173425107480
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
702240.00000000
PA
USD
634796.38000000
0.108312005136
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
BANK 2021-BNK33
N/A
BANK 2021-BNK33 VAR 05/15/2064
06541CBR6
3002801.13000000
PA
USD
144346.75000000
0.024629135294
Long
ABS-MBS
CORP
US
N
2
2064-05-15
Variable
0.01163002
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2051#SD8163
3132DWB85
1259455.70100000
PA
USD
1167613.92000000
0.199223891132
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.03500000
N
N
N
N
N
N
GM FINANCIAL LEASING TRUST 2023-3
N/A
GM FINANCIAL LEASING TRUST 2023-3 5.38% 11/20/2026
379929AD4
106000.00000000
PA
USD
106567.58000000
0.018183071983
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
411108.99400000
PA
USD
365850.25000000
0.062423125596
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
13963.73900000
PA
USD
13481.09000000
0.002300208279
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
0.060599306876
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
0.086899766682
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 30YR 2.5% 01/01/2051#FM5651
3140X9H57
247133.34300000
PA
USD
212818.09000000
0.036312043961
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2017-HR2
N/A
MORGAN STANLEY CAP I TR 2017-HR2 3.33% 12/15/2050
61691NAD7
297208.08300000
PA
USD
284016.80000000
0.048460309588
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
0.03330000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 20-49 JA 2% 08/25/2044
3136BAF41
222336.13000000
PA
USD
206434.16000000
0.035222787184
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 08/01/2036#RC2195
3133L8NL5
2076444.13500000
PA
USD
1884781.07000000
0.321590392394
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.02000000
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
689601.85000000
PA
USD
688309.74000000
0.117442711463
Long
ABS-MBS
CORP
US
N
2
2041-05-15
Floating
0.06978190
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#MA4466
31418D6C1
2327479.97900000
PA
USD
1991209.86000000
0.339749783362
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.125% 08/15/2053
912810TT5
1039000.00000000
PA
USD
1020289.89000000
0.174086758034
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
787333.31000000
PA
USD
704407.04000000
0.120189310050
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
266094.79000000
PA
USD
238469.97000000
0.040688890846
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
3225000.00000000
PA
USD
2862061.40000000
0.488338652873
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
1056007.39100000
PA
USD
1060514.96000000
0.180950152543
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
363971.51100000
PA
USD
322723.09000000
0.055064562563
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2048#BM4426
3140J84L4
1558359.90100000
PA
USD
1456409.19000000
0.248499526207
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1.5% 10/25/2051
3136BJHA6
271343.30200000
PA
USD
229195.82000000
0.039106490861
Long
ABS-CBDO
USGSE
US
N
2
2051-10-25
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2048
3136BLFC9
709889.86300000
PA
USD
638558.50000000
0.108953916107
Long
ABS-CBDO
USGSE
US
N
2
2048-02-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2043#MA0783
36179M2Q2
2791.56300000
PA
USD
2652.74000000
0.000452623230
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 15YR 1.5% 05/01/2036#BR1069
3140KYFK5
52787.07900000
PA
USD
46738.80000000
0.007974798384
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.01500000
N
N
N
N
N
N
BX 2021-MFM1
N/A
BX 2021-MFM1 A TSFR1M+81.448 01/15/2034 144A
05608VAA4
60887.10000000
PA
USD
60392.39000000
0.010304439442
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Variable
0.06151480
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
171000.00000000
PA
USD
175122.72000000
0.029880279008
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
2060000.00000000
NC
USD
-6800.68000000
-0.00116036466
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
47755.17000000
USD
2060000.00000000
USD
40954.49000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 03/01/2054#CB8165
3140QUCB0
1501934.02900000
PA
USD
1531633.27000000
0.261334619783
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2034#FM8940
3140XC5A2
159758.41300000
PA
USD
155098.87000000
0.026463713614
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
55175000.00000000
PA
USD
45127113.86000000
7.699804759759
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 20YR 2% 10/01/2041#FM9396
3140XDNN2
909314.94800000
PA
USD
786268.18000000
0.134156850659
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2052#
3132DWC92
56699.49100000
PA
USD
52245.93000000
0.008914451337
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) FUT DEC24 FVZ4
N/A
-40.00000000
NC
USD
18515.30000000
0.003159169352
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
UST NOTES
UST NOTES 0% 06/30/2040
2024-12-31
-4394452.80000000
USD
18515.30000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3% 11/20/2031#MA4044
36179SP50
87820.15300000
PA
USD
85206.12000000
0.014538277151
Long
ABS-MBS
USGA
US
N
2
2031-11-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 04/01/2036#FM6100
3140X9X67
50638.07400000
PA
USD
44836.03000000
0.007650138634
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
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% 11/25/2040
3137F6YL5
259903.04500000
PA
USD
239665.38000000
0.040892857438
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 07/01/2036#SB8110
3132D6AK6
44717.92800000
PA
USD
39594.21000000
0.006755754147
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
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 1.5% 10/25/2051
3137H2UC6
269478.95000000
PA
USD
228161.98000000
0.038930092118
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 1.5% 02/01/2036#MA4260
31418DWW8
39488.13800000
PA
USD
35013.00000000
0.005974086109
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
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
154245.23000000
PA
USD
154661.91000000
0.026389157402
Long
ABS-CBDO
CORP
US
N
2
2029-05-15
Fixed
0.06270000
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
340814.44000000
PA
USD
289102.12000000
0.049327991294
Long
ABS-CBDO
USGSE
US
N
2
2051-11-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#BT9503
3140LYRZ8
86293.78300000
PA
USD
77038.50000000
0.013144678625
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
GS MTG SECS TR 2013-GC13
N/A
GS MTG SECS TR 2013-GC13 AS CSTR 07/10/2046 144A
36198EAP0
53505.84000000
PA
USD
51012.47000000
0.008703992471
Long
ABS-MBS
CORP
US
N
2
2046-07-10
Variable
0.03996607
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 04/20/2052#
36179W2U1
550674.13100000
PA
USD
481069.75000000
0.082082429696
Long
ABS-MBS
USGA
US
N
2
2052-04-20
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 3.187% 09/25/2027
3137FBU79
698648.48200000
PA
USD
679972.14000000
0.116020110134
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
0.03187000
N
N
N
N
N
N
CFMT 2024-HB13 LLC
N/A
CFMT 2024-HB13 LLC VAR 05/25/2034 144A
12530VAA3
204517.05000000
PA
USD
195584.58000000
0.033371579771
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
-45.00000000
NC
USD
109600.20000000
0.018700512163
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
UST NOTES
UST NOTES 0% 06/30/2040
2024-12-19
-5650225.20000000
USD
109600.20000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 11/01/2053#CB7520
3140QTLA5
935907.36100000
PA
USD
975945.57000000
0.166520517320
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
-48550000.00000000
PA
USD
-39708588.63000000
-6.77526997815
Short
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5.482% 01/25/2029
3137HC2C5
2600000.00000000
PA
USD
2707115.32000000
0.461901009021
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
0.05355000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0710
3133KTYF1
56658.61300000
PA
USD
50933.79000000
0.008690567712
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 03/01/2033#G18680
3128MMXJ7
21485.11100000
PA
USD
20380.92000000
0.003477490391
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.02500000
N
N
N
N
N
N
GS MTG SECS TR 2018-GS9
N/A
GS MTG SECS TR 2018-GS9 3.992% 03/10/2051
36255NAT2
300000.00000000
PA
USD
289466.04000000
0.049390085071
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
1818515.54800000
PA
USD
1577374.57000000
0.269139219930
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
1084062.02600000
PA
USD
1069519.55000000
0.182486558907
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2040#MA4175
31418DT93
119681.04500000
PA
USD
100138.29000000
0.017086075665
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
498452.43500000
PA
USD
509379.41000000
0.086912759761
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 10/01/2050#SD7525
3132DVLE3
1286466.33600000
PA
USD
1117082.85000000
0.190602037439
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 12/01/2052#CB5273
3140QQ2F1
454737.70000000
PA
USD
456678.75000000
0.077920720209
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
DLLAA 2023-1A
N/A
DLLAA 2023-1A 5.64% 02/22/2028 144A
23292HAC5
102000.00000000
PA
USD
103906.15000000
0.017728966022
Long
ABS-CBDO
CORP
US
N
2
2028-02-22
Fixed
0.05640000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6.5% 09/01/2054 #TBA
01F062697
1025000.00000000
PA
USD
1055389.61000000
0.180075640726
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6% 09/01/2054 #TBA
01F060691
26950000.00000000
PA
USD
27445836.88000000
4.682940418033
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
479727.24000000
PA
USD
426109.95000000
0.072704924834
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 3.5% 12/01/2052#SD2253
3132DPQE1
36300.12400000
PA
USD
33414.83000000
0.005701398673
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.03500000
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
0.002014906552
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
18552.32000000
USD
0.00000000
USD
80000.00000000
USD
-6743.33000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 03/01/2052#SD8199
3132DWDC4
155491.68100000
PA
USD
127259.35000000
0.021713601093
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2052#MA4600
31418EDE7
917607.37700000
PA
USD
844672.00000000
0.144121990744
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0045
3140X3BP2
25968.71800000
PA
USD
24935.44000000
0.004254604453
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2044#MA1600
36179NX52
4587.69800000
PA
USD
4350.78000000
0.000742350965
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#RA6988
3133KNXR9
476848.06000000
PA
USD
424922.26000000
0.072502275466
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
522495.43000000
PA
USD
524399.14000000
0.089475498183
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
0.068879504883
Long
ABS-CBDO
CORP
US
N
2
2029-02-15
Fixed
0.05610000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2041#005258
36202FZX7
2157.79500000
PA
USD
2055.55000000
0.000350727806
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
0.03500000
N
N
N
N
N
N
BLOX 2021-BLOX
N/A
BLOX 2021-BLOX A TSFR1M+86.448 09/15/2026 144A
055522AA4
531000.00000000
PA
USD
516371.59000000
0.088105799072
Long
ABS-MBS
CORP
US
N
2
2026-09-15
Variable
0.06201480
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/46#MA3664
36179SB97
21333.00000000
PA
USD
20693.34000000
0.003530796990
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST 2023-C
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028
98164FAD4
130000.00000000
PA
USD
130884.05000000
0.022332064804
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
469151.05800000
PA
USD
389832.58000000
0.066515105847
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 09/01/2052#BW9350
3140N2L82
37021.08000000
PA
USD
37653.44000000
0.006424610654
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2042#MA0535
36179MSY7
68792.75900000
PA
USD
67036.25000000
0.011438046723
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.04000000
N
N
N
N
N
N
BANK 2017-BNK9
N/A
BANK 2017-BNK9 A4 3.538% 11/15/2054
06540RAE4
1159000.00000000
PA
USD
1115445.71000000
0.190322700754
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Fixed
0.03538000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2045#FM2986
3140X6J85
2642109.06800000
PA
USD
2565055.39000000
0.437662061931
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
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
0.002788005813
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#QC9114
3133AUDT2
298190.86000000
PA
USD
246937.64000000
0.042133685343
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 02/01/2041#RB5099
3133KYUY3
126788.83600000
PA
USD
106085.45000000
0.018100808648
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
BANK 2018-BNK14
N/A
BANK 2018-BNK14 4.185% 09/15/2060
06035RAQ9
236180.70000000
PA
USD
234149.12000000
0.039951646681
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
0.04185000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4.5% 12/01/2042#RB5198
3133KYX38
64086.19100000
PA
USD
63707.13000000
0.010870016290
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2043 #MA1090
36179NF78
33631.43200000
PA
USD
31944.13000000
0.005450460780
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.5% 05/01/2039#FM1194
3140X4KG0
420358.89300000
PA
USD
422601.59000000
0.072106311612
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2049#BN2228
3140JJPN3
84212.96000000
PA
USD
83083.26000000
0.014176064589
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2050#FS3728
3140XKEA4
1712312.33900000
PA
USD
1625869.50000000
0.277413657644
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
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 5180 KA 2.5% 10/25/2047
3137H5BG1
296610.93600000
PA
USD
269944.55000000
0.046059234752
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
PRPM 2024-RPL2 LLC
N/A
PRPM 2024-RPL2 A1 LLC VAR 05/25/2054 144A
69381DAA3
612761.96000000
PA
USD
590540.21000000
0.100760804998
Long
ABS-CBDO
CORP
US
N
2
2054-05-25
Variable
0.03500000
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
32386.11000000
PA
USD
32389.37000000
0.005526429766
Long
ABS-CBDO
CORP
US
N
2
2025-10-20
Fixed
0.05440000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2045#G61419
31335BSG2
12963.06100000
PA
USD
12327.30000000
0.002103343092
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/46#BC2843
3140EXER0
46712.18400000
PA
USD
45247.70000000
0.007720379745
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2013-LC11
N/A
JP MORGAN CH CMS 13-LC11 3.216% 04/15/2046
46639YAU1
79978.51000000
PA
USD
73061.17000000
0.012466047491
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Fixed
0.03216000
N
N
N
N
N
N
BANK 2018-BNK10
N/A
BANK 2017-BNK4 3.428% 02/15/2061
065404BA2
233271.21700000
PA
USD
224424.90000000
0.038292453592
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
0.03428000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 01/01/2051#SD8120
3132DWAV5
1090952.26500000
PA
USD
853489.81000000
0.145626527808
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
9374.05700000
PA
USD
9092.98000000
0.001551487890
Long
ABS-MBS
USGA
US
N
2
2046-01-20
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
4883332.80400000
PA
USD
4112967.52000000
0.701774258940
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
0.02000000
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
258000.00000000
PA
USD
261724.10000000
0.044656622118
Long
ABS-CBDO
CORP
US
N
2
2027-11-22
Fixed
0.05560000
N
N
N
N
N
N
NEW RESIDENTIAL MTG LN TR 2020-1
N/A
NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A
64830TAD0
44697.70000000
PA
USD
41803.32000000
0.007132683098
Long
ABS-CBDO
CORP
US
N
2
2059-10-25
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#BO1835
3140JWBD1
20888.34500000
PA
USD
20398.92000000
0.003480561637
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 06/01/2040#MA4054
31418DQG0
480365.52000000
PA
USD
434831.34000000
0.074193010255
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 10/01/2054 #TBA
21H0606A4
7700000.00000000
PA
USD
7808356.71000000
1.332299298999
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
91954.05600000
PA
USD
82404.33000000
0.014060222294
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
201437.60600000
PA
USD
174557.15000000
0.029783778740
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3% 02/20/2031#MA3428
36179RYZ6
10747.26200000
PA
USD
10446.61000000
0.001782450737
Long
ABS-MBS
USGA
US
N
2
2031-02-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 08/01/2032#G18654
3128MMWQ2
7164576.22500000
PA
USD
6830204.02000000
1.165402192271
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
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% 10/25/2047
3136BLES5
1984029.76400000
PA
USD
1776482.00000000
0.303111885277
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 10/01/2041#RB5131
3133KYVY2
19698.38200000
PA
USD
17032.83000000
0.002906223205
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 09/01/2053#QH0300
3133CCKM7
186311.22000000
PA
USD
194398.08000000
0.033169133446
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049
3136BLYE4
298864.92400000
PA
USD
267083.30000000
0.045571034544
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
UPSTART SECURITIZATION TR 2022-1
N/A
UPSTART SECURITIZATION TR 2022-1 3.12% 03/20/2032 144A
91679WAA6
53121.31000000
PA
USD
52943.84000000
0.009033532091
Long
ABS-CBDO
CORP
US
N
2
2032-03-20
Fixed
0.03120000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 04/01/2051#SD8139
3132DWBG7
7266761.56400000
PA
USD
5685039.73000000
0.970008764758
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 07/01/2054#CB8875
3140QU2H8
859011.91400000
PA
USD
885022.88000000
0.151006851558
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 15YR 3% 03/01/2033#MA3312
31418CVE1
17069.37000000
PA
USD
16432.87000000
0.002803855150
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/20/2045#MA3311
36179RVC0
12218.64800000
PA
USD
11852.28000000
0.002022292900
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 07/01/2050#FM3611
3140X7AM1
933580.92200000
PA
USD
807451.15000000
0.137771190671
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 06/30/2031
91282CKW0
1310000.00000000
PA
USD
1344387.50000000
0.229385847798
Long
DBT
UST
US
N
2
2031-06-30
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 10/01/2054 #TBA
21H0526A1
8925000.00000000
PA
USD
8979997.64000000
1.532210297906
Long
ABS-MBS
USGA
US
N
2
2054-10-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 04/01/2042#BV7699
3140MMRV2
95782.27900000
PA
USD
85535.66000000
0.014594504847
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 06/01/2041#RB5114
3133KYVF3
318853.21100000
PA
USD
276204.81000000
0.047127390360
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 3% 09/01/2030#AL7320
3138EQD25
1181510.98000000
PA
USD
1149668.08000000
0.196161885778
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2050#FM3830
3140X7HG7
46588.10200000
PA
USD
41980.83000000
0.007162970706
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 02/20/2050#BS8922
3617MK4F3
215418.77000000
PA
USD
193732.61000000
0.033055587760
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2047#MA4383
36179S2Q9
584282.85500000
PA
USD
564937.54000000
0.096392354559
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 12/01/2050#BQ9522
3140KVSL5
8762.31300000
PA
USD
6928.99000000
0.001182257530
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
447518.43300000
PA
USD
371158.09000000
0.063328774733
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#SD2219
3132DPPC6
490794.81400000
PA
USD
439382.49000000
0.074969549312
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 15YR 3% 10/20/2031#MA3979
36179SM46
81015.54800000
PA
USD
78630.84000000
0.013416371318
Long
ABS-MBS
USGA
US
N
2
2031-10-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 03/01/2036#SB8092
3132D57D8
29961.32900000
PA
USD
26528.40000000
0.004526402934
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 10/01/2053#RJ0001
3142GQAB8
390284.84000000
PA
USD
407835.01000000
0.069586766858
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/48#BJ6757
3140H8QK4
102046.39900000
PA
USD
96071.91000000
0.016392250392
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 02/20/2049
38381RQS1
85108.12800000
PA
USD
83803.85000000
0.014299015113
Long
ABS-CBDO
USGA
US
N
2
2049-02-20
Variable
0.05900160
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHLMC MULTIFAM STRUCTURED PASS THROUGH K071 A2 3.286% 11/25/2027
3137FCLD4
500000.00000000
PA
USD
486908.05000000
0.083078588464
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Fixed
0.03286000
N
N
N
N
N
N
BENCHMARK 2023-V3 MTG TR
N/A
BENCHMARK 2023-V3 MTG TR 6.3629% 07/15/2056
08163VAC1
500000.00000000
PA
USD
525222.70000000
0.089616017943
Long
ABS-MBS
CORP
US
N
2
2056-07-15
Fixed
0.06362900
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 15YR 3% 07/20/2031#MA3778
36179SFT9
3173.89200000
PA
USD
3082.14000000
0.000525889519
Long
ABS-MBS
USGA
US
N
2
2031-07-20
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
20000.00000000
NC
USD
66.03000000
0.000011266355
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
59.08000000
USD
0.00000000
USD
20000.00000000
USD
6.95000000
N
N
N
ALLY AUTO RECEIVABLES TRUST 2024-1
N/A
ALLY AUTO RECEIVABLES TRUST 2024-1 5.08% 12/15/2028
02008FAC8
255000.00000000
PA
USD
257158.68000000
0.043877648245
Long
ABS-CBDO
CORP
US
N
2
2028-12-15
Fixed
0.05080000
N
N
N
N
N
N
MARLETTE FDG TR 2023-3
N/A
MARLETTE FDG TR 2023-3 6.49% 09/15/2033 144A
57109RAA8
49979.60000000
PA
USD
50022.69000000
0.008535111457
Long
ABS-CBDO
CORP
US
N
2
2033-09-15
Fixed
0.06490000
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
0.047314533346
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 3.5% 05/01/2047#FM2438
3140X5V83
7061.18800000
PA
USD
6621.30000000
0.001129757985
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.03500000
N
N
N
N
N
N
PRET 2024-RPL1 TR
N/A
PRET 2024-RPL1 TR 3.9% 10/25/2063 144A
693989AA3
657538.97000000
PA
USD
626324.28000000
0.106866454771
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
0.028153868280
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
2893.08100000
PA
USD
2745.94000000
0.000468525462
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 6% 07/01/2054#CB8821
3140QUYT7
3750969.93100000
PA
USD
3838035.57000000
0.654864050062
Long
ABS-MBS
USGSE
US
N
2
2054-07-01
Fixed
0.06000000
N
N
N
N
N
N
JPMDB COML MTG SECS TR 2017-C5
N/A
JPMDB 2017-C5 ASB 3.4919% 03/50
46590TAF2
208818.37000000
PA
USD
205427.51000000
0.035051027730
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
0.03491900
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.673% 03/25/2026
3137BPW21
2300000.00000000
PA
USD
2236978.62000000
0.381684028790
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Fixed
0.02673000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#FM9632
3140XDV29
814866.05800000
PA
USD
731288.75000000
0.124775996432
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 12/01/2032#G18669
3128MMW74
116037.18800000
PA
USD
110455.66000000
0.018846474854
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 09/25/2029
3137H9D71
2200000.00000000
PA
USD
2091785.30000000
0.356910447659
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#RA6076
3133KMXD2
2023684.83100000
PA
USD
1674587.87000000
0.285726219763
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/01/2051#FM9973
3140XECK8
486251.85500000
PA
USD
436834.95000000
0.074534875810
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.03000000
N
N
N
N
N
N
BENCHMARK 2018-B1 MTG TR
N/A
BENCHMARK MTG TR 2018-B1 ASB 3.602% 01/15/2051
08162PAV3
270950.39000000
PA
USD
264985.06000000
0.045213022764
Long
ABS-MBS
CORP
US
N
2
2051-01-15
Fixed
0.03602000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 01/01/2054#RJ0706
3142GQYC0
1405953.18000000
PA
USD
1469175.52000000
0.250677778705
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
FEDERAL HOME LN MTG MLT CTF GT 2.425% 08/25/2029
3137FPHK4
200000.00000000
PA
USD
185086.42000000
0.031580333324
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Fixed
0.02425000
N
N
N
N
N
N
BANK 2018-BNK10
N/A
BANK 2018-BNK10 3.688% 02/15/2061
065404BB0
1900000.00000000
PA
USD
1836224.22000000
0.313305389593
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
0.03688000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 08/01/2052#SD8238
3132DWEK5
23510.44000000
PA
USD
22901.17000000
0.003907507542
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
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 3.329% 05/25/2025
3137BKRJ1
1857522.85000000
PA
USD
1834703.74000000
0.313045957998
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Fixed
0.03329000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2043#MA1224
36179NLD8
2718.33000000
PA
USD
2580.64000000
0.000440321182
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
172500.99300000
PA
USD
167576.64000000
0.028592730620
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
130332.28100000
PA
USD
109050.28000000
0.018606682173
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6312
3140QEAN2
363833.91100000
PA
USD
327540.31000000
0.055886499760
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2044#MA2149
36179QL66
92124.41200000
PA
USD
89618.98000000
0.015291220504
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
0.04000000
N
N
N
N
N
N
NATIXIS COML MTG SECS TR 2020-2PAC
N/A
NATIXIS COML MTG SECS TR 2020-2PAC 2.966% 12/15/2038 144A
63875DAA9
790017.31000000
PA
USD
741293.78000000
0.126483102671
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Fixed
0.02966000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 01/01/2037#FS0216
3140XFG21
1918882.76800000
PA
USD
1747160.03000000
0.298108830021
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2017-H1
N/A
MORGAN STANLEY CAPITAL I TRUST 2017-H1 A4 3.259% 06/15/2050
61691JAU8
700000.00000000
PA
USD
676126.29000000
0.115363912748
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
0.03259000
N
N
N
N
N
N
DBJPM 2017-C6 MTG TR
N/A
DBJPM 2017-C6 ASB 3.121% 06/50
23312JAD5
379904.52000000
PA
USD
371568.09000000
0.063398730901
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Fixed
0.03121000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
160000.00000000
NC
USD
23617.98000000
0.004029813104
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
41821.55000000
USD
0.00000000
USD
160000.00000000
USD
-18203.57000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2046#G08711
3128MJYH7
5791.28900000
PA
USD
5427.69000000
0.000926098518
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2040#
31418DUA8
2242475.59100000
PA
USD
1949539.66000000
0.332639813837
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 01/20/2052#785831
3622ABLL4
625294.42300000
PA
USD
540005.20000000
0.092138279043
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 3% 09/01/2051#RA5901
3133KMRW7
211609.25000000
PA
USD
189244.12000000
0.032289740054
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 01/01/2054#CB7801
3140QTU31
3246797.02600000
PA
USD
3385695.33000000
0.577683587253
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2289
3140QMRK2
1338571.30500000
PA
USD
1153543.00000000
0.196823043227
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#CA3925
3140QBLF3
61753.89500000
PA
USD
60306.98000000
0.010289866378
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
763916.68400000
PA
USD
658321.86000000
0.112326035447
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
1900000.00000000
PA
USD
1921913.84000000
0.327926163835
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
242000.00000000
PA
USD
241678.94000000
0.041236420709
Long
ABS-CBDO
CORP
US
N
2
2026-04-20
Fixed
0.04930000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 08/01/2050#SD7524
3132DVLD5
1992292.96000000
PA
USD
1802116.05000000
0.307485689921
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.03000000
N
N
N
N
N
N
CFMT 2023-HB12 LLC
N/A
CFMT 2023-HB12 LLC 4.25% 04/25/2033 144A
12530QAA4
103056.62000000
PA
USD
101119.66000000
0.017253521725
Long
ABS-CBDO
CORP
US
N
2
2033-04-25
Fixed
0.04250000
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
98000.00000000
PA
USD
99592.58000000
0.016992964006
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
80000.00000000
NC
USD
11808.99000000
0.002014906552
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
20921.69000000
USD
0.00000000
USD
80000.00000000
USD
-9112.70000000
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY885802 12/15/56 B
N/A
100000.00000000
NC
USD
11005.48000000
0.001877807819
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S17 PRC INDX
CY885802
Y
2056-12-15
13163.99000000
USD
0.00000000
USD
100000.00000000
USD
-2158.51000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 09/01/2034#SB0072
3132CWCH5
298112.84500000
PA
USD
285878.50000000
0.048777961777
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 03/01/2036#
31418DXG2
49224.60600000
PA
USD
43584.51000000
0.007436598285
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3434
3133B0Y72
114861.92000000
PA
USD
95047.60000000
0.016217477704
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/01/2054 #TBA
21H040699
2900000.00000000
PA
USD
2771127.19000000
0.472823021513
Long
ABS-MBS
USGA
US
N
2
2054-09-01
Fixed
0.04000000
N
N
N
N
N
N
BX COML MTG TR 2023-XL3
N/A
BX COML MTG TR 2023-XL3 A TSFR1M+189.123 12/09/2040 144A
12434GAA3
298024.19000000
PA
USD
298769.25000000
0.050977443413
Long
ABS-MBS
CORP
US
N
2
2040-12-09
Variable
0.07098310
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2052#SD1772
3132DN6H1
698225.17600000
PA
USD
670443.70000000
0.114394321968
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
1839154.35200000
PA
USD
1657848.13000000
0.282870004980
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
170000.00000000
NC
USD
25094.11000000
0.004281677490
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
50932.34000000
USD
0.00000000
USD
170000.00000000
USD
-25838.23000000
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
0.032985445612
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
524963.38400000
PA
USD
469479.64000000
0.080104869500
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2035#FS0112
3140XFDS7
331612.32900000
PA
USD
321048.95000000
0.054778912761
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
704000.00000000
PA
USD
716595.12000000
0.122268898758
Long
ABS-CBDO
CORP
US
N
2
2036-12-11
Fixed
0.04980000
N
N
N
N
N
N
2024-09-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer