0001752724-20-249876.txt : 20201127
0001752724-20-249876.hdr.sgml : 20201127
20201125212508
ACCESSION NUMBER: 0001752724-20-249876
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200930
FILED AS OF DATE: 20201127
PERIOD START: 20210331
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GOLDMAN SACHS TRUST
CENTRAL INDEX KEY: 0000822977
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05349
FILM NUMBER: 201352617
BUSINESS ADDRESS:
STREET 1: 71 SOUTH WACKER DRIVE
STREET 2: C/O GOLDMAN SACHS & CO
CITY: CHICAGO
STATE: IL
ZIP: 60606
BUSINESS PHONE: 3126554400
MAIL ADDRESS:
STREET 1: 200 WEST STREET
CITY: NEW YORK
STATE: NY
ZIP: 10282
FORMER COMPANY:
FORMER CONFORMED NAME: GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND
DATE OF NAME CHANGE: 19910711
FORMER COMPANY:
FORMER CONFORMED NAME: SHORT INTERMEDIATE GOVERNMENT FUND
DATE OF NAME CHANGE: 19900104
0000822977
S000009303
Goldman Sachs Short Duration Government Fund
C000025388
Institutional
GSTGX
C000025389
Service
GSDSX
C000025390
Class A
GSSDX
C000025392
Class C
GSDCX
C000058952
Investor Shares
GTDTX
C000161286
Class R6 Shares
GSTUX
C000202034
Class P Shares
GMDPX
NPORT-P
1
primary_doc.xml
NPORT-P
false
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C000161286
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GOLDMAN SACHS TRUST
811-05349
0000822977
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71 SOUTH WACKER DRIVE
C/O GOLDMAN SACHS & CO
CHICAGO
60606
312-655-4400
Goldman Sachs Short Duration Government Fund
S000009303
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2021-03-31
2020-09-30
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Freddie Mac Gold Pool
3128M7VD5
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PA
USD
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0.000135361558
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
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Freddie Mac Gold Pool
31296NHA8
2348.46000000
PA
USD
2664.20000000
0.000253998960
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
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N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0306A7
3000000.00000000
PA
USD
3141281.40000000
0.299482850346
Long
ABS-MBS
USGA
US
N
2
2050-10-21
Fixed
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N
N
N
N
N
N
Freddie Mac
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Freddie Mac Gold Pool
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4733.64000000
PA
USD
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0.000511964926
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ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
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Freddie Mac Gold Pool
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2846.60000000
PA
USD
3182.65000000
0.000303426841
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
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240722.88000000
PA
USD
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0.023660956538
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ABS-MBS
USGA
US
N
2
2034-12-20
Floating
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N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312932MW3
7177.64000000
PA
USD
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0.000769483758
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312930WL0
775.44000000
PA
USD
872.62000000
0.000083193668
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312934SC7
16200.16000000
PA
USD
18216.80000000
0.001736749591
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292L6P4
4434.06000000
PA
USD
5216.21000000
0.000497301973
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200C5B7
460.59000000
PA
USD
541.31000000
0.000051607303
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294N2K3
1420.58000000
PA
USD
1667.32000000
0.000158958616
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312934TN2
7256.81000000
PA
USD
8160.16000000
0.000777971682
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294XCV6
45538.61000000
PA
USD
53655.27000000
0.005115375271
Long
ABS-MBS
USGA
US
N
2
2037-09-15
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214324 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214324 IRS USD P F .85500 2 CCPVANILLA
000000000
2420000.00000000
OU
Notional Amount
USD
46961.07000000
0.004477164987
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2045-04-09
87.12000000
USD
0.00000000
USD
2420000.00000000
USD
46873.95000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292LD76
1775.83000000
PA
USD
2094.70000000
0.000199704084
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292HFE8
1729.13000000
PA
USD
2031.50000000
0.000193678735
Long
ABS-MBS
USGA
US
N
2
2036-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T3P8
30769.62000000
PA
USD
36322.44000000
0.003462901433
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294Q6D8
7173.95000000
PA
USD
8442.09000000
0.000804850267
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294SS57
5939.94000000
PA
USD
6662.89000000
0.000635225258
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXAE0
1088.43000000
PA
USD
1216.92000000
0.000116018472
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PND1
1488.57000000
PA
USD
1751.70000000
0.000167003220
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0206A8
19000000.00000000
PA
USD
19742556.10000000
1.882211817749
Long
ABS-MBS
USGA
US
N
2
2050-10-21
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213CYM6
2053.32000000
PA
USD
2419.17000000
0.000230638339
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SE9
1400000.00000000
PA
USD
2037000.00000000
0.194203093729
Long
DBT
UST
US
N
1
2048-11-15
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294SAU1
7983.78000000
PA
USD
9444.72000000
0.000900438803
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PA60
8362.42000000
PA
USD
9641.60000000
0.000919208909
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285V8
62560000.00000000
PA
USD
64466125.00000000
6.146058377896
Long
DBT
UST
US
N
1
2022-01-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PDV2
1527.32000000
PA
USD
1796.73000000
0.000171296281
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296M3H0
10337.52000000
PA
USD
11727.26000000
0.001118051140
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292LHG3
31232.51000000
PA
USD
35078.39000000
0.003344296446
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312930XX3
48157.96000000
PA
USD
54193.03000000
0.005166644125
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296RE37
45204.94000000
PA
USD
53702.38000000
0.005119866635
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LXG1
16672.25000000
PA
USD
18913.60000000
0.001803180968
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PJ38
508.65000000
PA
USD
566.44000000
0.000054003142
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295AD51
8125.13000000
PA
USD
9300.93000000
0.000886730181
Long
ABS-MBS
USGA
US
N
2
2037-11-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RSW0
923.60000000
PA
USD
1085.52000000
0.000103491086
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294N6L7
55948.18000000
PA
USD
67144.76000000
0.006401433539
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294Q6X4
2945.74000000
PA
USD
3468.64000000
0.000330692498
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBK5
4303407.96000000
PA
USD
4692640.84000000
0.447386042656
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NJN8
10987.65000000
PA
USD
12464.36000000
0.001188324631
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291Q6H2
1294.65000000
PA
USD
1527.70000000
0.000145647553
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJM64
3737.47000000
PA
USD
4202.72000000
0.000400678068
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6NW4
3931.64000000
PA
USD
4395.74000000
0.000419080170
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LAM3
28035.27000000
PA
USD
31804.22000000
0.003032144289
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294YMZ4
19894.94000000
PA
USD
23440.95000000
0.002234808546
Long
ABS-MBS
USGA
US
N
2
2037-01-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941XA0
4765.65000000
PA
USD
5351.85000000
0.000510233592
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJLL2
885.53000000
PA
USD
995.76000000
0.000094933565
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312938S46
11692.32000000
PA
USD
13147.81000000
0.001253483248
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131YBQA9
14806.57000000
PA
USD
16231.11000000
0.001547438280
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291LAX3
2189.59000000
PA
USD
2576.64000000
0.000245651182
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296K7C1
1662.84000000
PA
USD
1886.39000000
0.000179844268
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933QN7
236054.25000000
PA
USD
265438.96000000
0.025306365846
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MXM6
2456.59000000
PA
USD
2786.77000000
0.000265684514
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NBH9
82358.41000000
PA
USD
93430.35000000
0.008907443798
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TYS8
16181.30000000
PA
USD
18989.09000000
0.001810378019
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292DTP7
2871.98000000
PA
USD
3266.24000000
0.000311396128
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BDDC7
15857348.69000000
PA
USD
16017580.86000000
1.527080882219
Long
ABS-MBS
USGSE
US
N
2
2021-06-25
Fixed
3.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HYK4
2704.35000000
PA
USD
3067.94000000
0.000292490642
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MM22
34532.71000000
PA
USD
39175.15000000
0.003734872522
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMC60
23821166.69000000
PA
USD
26101241.58000000
2.488434887101
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TYW9
9471.77000000
PA
USD
11108.62000000
0.001059071365
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214479 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214479 IRS USD P F 1.16000 2 CCPVANILLA
000000000
10970000.00000000
OU
Notional Amount
USD
131150.74000000
0.012503622706
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2035-05-21
12971.54000000
USD
0.00000000
USD
10970000.00000000
USD
118179.20000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200JJA9
2611.41000000
PA
USD
3079.12000000
0.000293556519
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
6.50000000
N
N
N
N
N
N
FDIC STRUCTURED SALE GUARANTEED NOTES
N/A
FDIC Guaranteed Notes Trust 2010-S1
30250GAB4
833244.35000000
PA
USD
823433.56000000
0.078504342087
Long
ABS-MBS
USGA
US
N
2
2038-04-25
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T2N4
10649.37000000
PA
USD
12515.73000000
0.001193222133
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200GGA8
2162.17000000
PA
USD
2546.77000000
0.000242803442
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RPG8
3526.26000000
PA
USD
4156.20000000
0.000396242954
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31300MAH6
119382.25000000
PA
USD
124559.00000000
0.011875180732
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Floating
2.95000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312946EV4
10268.39000000
PA
USD
11532.81000000
0.001099512705
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201XQK7
7050.45000000
PA
USD
8306.67000000
0.000791939623
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RFC8
11502.77000000
PA
USD
13583.75000000
0.001295044808
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312940A41
15941.32000000
PA
USD
17902.34000000
0.001706769667
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285C0
620000.00000000
PA
USD
703506.25000000
0.067070736479
Long
DBT
UST
US
N
1
2025-09-30
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TWR6
5424.47000000
PA
USD
6228.29000000
0.000593791451
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TUN7
17878.59000000
PA
USD
21418.47000000
0.002041989757
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933G65
12360.87000000
PA
USD
13899.59000000
0.001325156298
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200GCU8
2306.69000000
PA
USD
2721.93000000
0.000259502811
Long
ABS-MBS
USGA
US
N
2
2036-01-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GGEW1
11425.43000000
PA
USD
12832.32000000
0.001223405127
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
780000.00000000
PA
USD
882253.13000000
0.084112070347
Long
DBT
UST
US
N
1
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QSVG8
46625.07000000
PA
USD
49154.02000000
0.004686236010
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Floating
4.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M66W3
9546.09000000
PA
USD
10835.26000000
0.001033009824
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933AL8
4256.73000000
PA
USD
4786.62000000
0.000456345808
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3129366F9
5716.20000000
PA
USD
6427.77000000
0.000612809435
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJLM0
1087.37000000
PA
USD
1222.73000000
0.000116572385
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200JM56
836.99000000
PA
USD
983.72000000
0.000093785698
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MKF5
7659.93000000
PA
USD
8689.70000000
0.000828456859
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AJHU6
44850000.00000000
PA
USD
45127621.50000000
4.302368045149
Long
DBT
USGSE
US
N
2
2025-04-14
Fixed
0.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941WJ2
2426.22000000
PA
USD
2724.66000000
0.000259763083
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TWX3
3804.35000000
PA
USD
4259.19000000
0.000406061794
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312932SU1
1217.44000000
PA
USD
1368.99000000
0.000130516491
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NDY0
175809.00000000
PA
USD
199445.88000000
0.019014730941
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MPG8
1780.74000000
PA
USD
2020.14000000
0.000192595698
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GESE1
7469.97000000
PA
USD
8389.80000000
0.000799865054
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJC7
19307.50000000
PA
USD
19368.41000000
0.001846541552
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Floating
2.52000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GDQH8
34691.10000000
PA
USD
38962.50000000
0.003714598939
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292KSV9
3680.23000000
PA
USD
4318.09000000
0.000411677190
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TA47
1611.87000000
PA
USD
1896.20000000
0.000180779531
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294N3K2
2195.76000000
PA
USD
2570.67000000
0.000245082016
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202VRZ6
4632.87000000
PA
USD
5468.94000000
0.000521396694
Long
ABS-MBS
USGA
US
N
2
2036-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T2R5
12251.92000000
PA
USD
14556.81000000
0.001387814205
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285P1
380000.00000000
PA
USD
412448.44000000
0.039321925896
Long
DBT
UST
US
N
1
2023-11-30
Fixed
2.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MTL3
3534.42000000
PA
USD
4009.57000000
0.000382263573
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RUN7
10151.70000000
PA
USD
11914.95000000
0.001135945091
Long
ABS-MBS
USGA
US
N
2
2037-03-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T2L8
6025.06000000
PA
USD
7076.31000000
0.000674639810
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401MKT7
361070.70000000
PA
USD
379112.10000000
0.036143712660
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Floating
3.07000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933ED2
1649.45000000
PA
USD
1854.78000000
0.000176830640
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312946PD2
14851.36000000
PA
USD
16680.11000000
0.001590244951
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TZP3
5519.83000000
PA
USD
6441.41000000
0.000614109842
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8BM5
3798.35000000
PA
USD
4271.18000000
0.000407204894
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212NPF8
7434.81000000
PA
USD
8734.55000000
0.000832732760
Long
ABS-MBS
USGA
US
N
2
2035-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290UKK1
9457.49000000
PA
USD
11156.59000000
0.001063644719
Long
ABS-MBS
USGA
US
N
2
2037-11-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201EMY3
3437.34000000
PA
USD
3951.05000000
0.000376684405
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941WK9
6349.04000000
PA
USD
7130.07000000
0.000679765170
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31359MEU3
5200000.00000000
PA
USD
7522372.00000000
0.717166379276
Long
DBT
USGSE
US
N
2
2029-05-15
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31359MFJ7
16080000.00000000
PA
USD
24908402.40000000
2.374712226778
Long
DBT
USGSE
US
N
2
2030-01-15
Fixed
7.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
18790353.60000000
PA
USD
19270905.24000000
1.837245663516
Long
DBT
UST
US
N
1
2022-07-15
Fixed
0.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214356 IRS USD R F .84500 2 CCPVANILLA / Short: SR214356 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
2440000.00000000
OU
Notional Amount
USD
-39545.08000000
-0.00377014083
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-04-10
87.84000000
USD
0.00000000
USD
2440000.00000000
USD
-39632.92000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295JA48
8840.31000000
PA
USD
10139.45000000
0.000966672831
Long
ABS-MBS
USGA
US
N
2
2037-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295PUN0
4058.00000000
PA
USD
4789.86000000
0.000456654703
Long
ABS-MBS
USGA
US
N
2
2037-11-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RU4
200000.00000000
PA
USD
264343.75000000
0.025201950936
Long
DBT
UST
US
N
1
2046-11-15
Fixed
2.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TTL3
27858.52000000
PA
USD
32893.60000000
0.003136003379
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294QAG6
626.61000000
PA
USD
736.91000000
0.000070255376
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312932Z74
1683.48000000
PA
USD
1893.04000000
0.000180478264
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312936NA1
8691.57000000
PA
USD
9773.52000000
0.000931785871
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MFH7
15403.67000000
PA
USD
17474.48000000
0.001665978437
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGU44
18570410.11000000
PA
USD
18743946.88000000
1.787006614042
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Variable
4.21000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292L5P5
6262.13000000
PA
USD
7321.35000000
0.000698001384
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RR35
11324.75000000
PA
USD
13363.36000000
0.001274033311
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MBT5
12721.95000000
PA
USD
14432.24000000
0.001375937976
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405PKH2
117410.59000000
PA
USD
122677.57000000
0.011695809339
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Floating
3.57000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3133X8EW8
1800000.00000000
PA
USD
2148210.00000000
0.204805610201
Long
DBT
USGSE
US
N
2
2024-08-15
Fixed
5.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TY74
4063.71000000
PA
USD
4768.03000000
0.000454573479
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TX79
7279.08000000
PA
USD
8565.81000000
0.000816645460
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358FKA6
18.76000000
PA
USD
19.08000000
0.000001819045
Long
ABS-MBS
USGSE
US
N
2
2020-11-25
Floating
21.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312935H85
3224.59000000
PA
USD
3626.00000000
0.000345694854
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B4PT7
85993.03000000
PA
USD
102347.55000000
0.009757590007
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294NMF2
2591.17000000
PA
USD
3043.28000000
0.000290139612
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DEM2
203075.25000000
PA
USD
209232.90000000
0.019947803873
Long
ABS-MBS
USGA
US
N
2
2034-08-20
Floating
3.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296K5H2
47697.36000000
PA
USD
54110.10000000
0.005158737762
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200GFH4
2557.70000000
PA
USD
2998.40000000
0.000285860852
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828L57
46570000.00000000
PA
USD
48070790.90000000
4.582963333736
Long
DBT
UST
US
N
1
2022-09-30
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T4B8
16556.19000000
PA
USD
19451.77000000
0.001854488911
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294THG3
428.35000000
PA
USD
504.23000000
0.000048072177
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9DF6
18664.03000000
PA
USD
20962.26000000
0.001998495701
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MUC1
839.55000000
PA
USD
952.42000000
0.000090801625
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294YNL4
12992.98000000
PA
USD
15331.90000000
0.001461709579
Long
ABS-MBS
USGA
US
N
2
2037-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294NCZ9
2202.84000000
PA
USD
2520.39000000
0.000240288431
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K6VR8
1326.97000000
PA
USD
1483.62000000
0.000141445063
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296K5E9
4014.51000000
PA
USD
4554.20000000
0.000434187397
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290VKV5
5797.53000000
PA
USD
6796.45000000
0.000647958574
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933W67
619.32000000
PA
USD
696.41000000
0.000066394195
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294P7B3
10427.89000000
PA
USD
11915.73000000
0.001136019455
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292L5H3
11909.60000000
PA
USD
14064.18000000
0.001340847946
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291YK63
6860.16000000
PA
USD
8077.90000000
0.000770129195
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9MP5
6738986.40000000
PA
USD
7453668.71000000
0.710616358919
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TNV7
3668.71000000
PA
USD
4308.82000000
0.000410793409
Long
ABS-MBS
USGA
US
N
2
2036-02-15
Fixed
6.50000000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591EW8
49850000.00000000
PA
USD
50480602.50000000
4.812709464333
Long
DBT
USGA
US
N
2
2025-05-15
Fixed
0.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202S4V7
8754.27000000
PA
USD
10305.84000000
0.000982536088
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409JNR7
153966.90000000
PA
USD
160319.50000000
0.015284508043
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Floating
3.81000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290XDM9
1774.36000000
PA
USD
2088.67000000
0.000199129197
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312940M30
8405.77000000
PA
USD
9439.80000000
0.000899969741
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LCD1
6890.65000000
PA
USD
7817.00000000
0.000745255563
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294R5M7
5005.72000000
PA
USD
5884.92000000
0.000561055311
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJQD5
9427.36000000
PA
USD
10588.22000000
0.001009457575
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294QVQ1
3335.45000000
PA
USD
3882.87000000
0.000370184274
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284L1
350000.00000000
PA
USD
373433.60000000
0.035602336977
Long
DBT
UST
US
N
1
2023-04-30
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933G57
63080.53000000
PA
USD
70932.98000000
0.006762594091
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV5A9
325268.22000000
PA
USD
356562.27000000
0.033993861532
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312939CA7
3372.08000000
PA
USD
3791.85000000
0.000361506627
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
7370000.00000000
PA
USD
10947904.69000000
1.043749121579
Long
DBT
UST
US
N
1
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406GLK3
35070.52000000
PA
USD
36563.23000000
0.003485857821
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.46000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941M53
2428.75000000
PA
USD
2727.52000000
0.000260035749
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GK50
3837.16000000
PA
USD
4069.84000000
0.000388009582
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Floating
3.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285U0
7100000.00000000
PA
USD
7663007.85000000
0.730574291480
Long
DBT
UST
US
N
1
2023-12-31
Fixed
2.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292K6T8
11346.21000000
PA
USD
13346.32000000
0.001272408754
Long
ABS-MBS
USGA
US
N
2
2036-01-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SA7
110000.00000000
PA
USD
149479.69000000
0.014251064431
Long
DBT
UST
US
N
1
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
1474419.04000000
PA
USD
1589856.32000000
0.151573400063
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RSZ3
2477.41000000
PA
USD
2905.54000000
0.000277007784
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4NL6
569993.68000000
PA
USD
623609.34000000
0.059453541044
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ABDT7
1002289.00000000
PA
USD
1266260.55000000
0.120722492036
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XML6
2247.83000000
PA
USD
2551.37000000
0.000243241996
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294N4W5
50834.82000000
PA
USD
59763.39000000
0.005697709980
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292MDS8
26337.02000000
PA
USD
30900.99000000
0.002946032330
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294P5V1
919.74000000
PA
USD
1082.32000000
0.000103186005
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292LDV3
5648.48000000
PA
USD
6644.85000000
0.000633505364
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292JPV5
1366.28000000
PA
USD
1608.43000000
0.000153344173
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TMK8
9992.55000000
PA
USD
11758.94000000
0.001121071441
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TZ81
13457.58000000
PA
USD
15805.65000000
0.001506875860
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MFJ3
1470.65000000
PA
USD
1668.36000000
0.000159057768
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7PU4
4376.67000000
PA
USD
4921.49000000
0.000469204017
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291YKN6
6005.54000000
PA
USD
7069.37000000
0.000673978166
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MQ28
79097.36000000
PA
USD
89730.90000000
0.008554746383
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9H30
6260121.57000000
PA
USD
6924019.36000000
0.660120756385
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GC35
88060.13000000
PA
USD
91679.51000000
0.008740522569
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
3.29000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NBT3
34782.48000000
PA
USD
39458.50000000
0.003761886486
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292N6W5
47051.82000000
PA
USD
55242.90000000
0.005266736419
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286H8
51710000.00000000
PA
USD
53392594.79000000
5.090332395916
Long
DBT
UST
US
N
1
2022-03-15
Fixed
2.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV5B7
908611.08000000
PA
USD
996028.54000000
0.094959167359
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312931D70
7559.61000000
PA
USD
8506.97000000
0.000811035784
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292LBM5
6544.16000000
PA
USD
7684.95000000
0.000732666207
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MLP2
77853.77000000
PA
USD
88320.93000000
0.008420322948
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294N7E2
17133.96000000
PA
USD
20123.48000000
0.001918528263
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MMR7
25410.73000000
PA
USD
28826.85000000
0.002748288391
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MQZ5
2830.61000000
PA
USD
3211.06000000
0.000306135388
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0226B2
62000000.00000000
PA
USD
64988102.40000000
6.195822553614
Long
ABS-MBS
USGA
US
N
2
2050-11-19
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QGHZ8
13835.49000000
PA
USD
14457.79000000
0.001378373856
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Floating
2.43000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJMN7
7132.23000000
PA
USD
8020.07000000
0.000764615810
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LBN0
80930.29000000
PA
USD
91810.24000000
0.008752986079
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TPS2
3060.78000000
PA
USD
3594.82000000
0.000342722221
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MY52
10818.31000000
PA
USD
12272.68000000
0.001170050281
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833Y20
2800000.00000000
PA
USD
2330607.08000000
0.222194946099
Long
DBT
UST
US
N
1
2036-05-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MZQ5
8063.21000000
PA
USD
9147.20000000
0.000872073902
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294SDJ3
2194.64000000
PA
USD
2522.16000000
0.000240457179
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312932Z66
18804.12000000
PA
USD
21144.91000000
0.002015909150
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MYJ2
14737.80000000
PA
USD
16719.09000000
0.001593961218
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MMH48
428.33000000
PA
USD
442.47000000
0.000042184115
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292N7M6
17166.95000000
PA
USD
20141.83000000
0.001920277712
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NBW6
7087.56000000
PA
USD
8040.38000000
0.000766552121
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403YV83
326978.48000000
PA
USD
343476.57000000
0.032746299714
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Floating
3.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312945SX7
9773.03000000
PA
USD
10975.26000000
0.001046357116
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294NA99
53068.42000000
PA
USD
63963.59000000
0.006098147797
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JPHF0
266036.90000000
PA
USD
279439.95000000
0.026641189397
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
3.72000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U6Y3
302872.55000000
PA
USD
330266.64000000
0.031486894081
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312940XF1
36511.65000000
PA
USD
41003.12000000
0.003909147155
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291YF36
1441.93000000
PA
USD
1647.49000000
0.000157068068
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TAS4
3234.19000000
PA
USD
3791.45000000
0.000361468492
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR213187 IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187 IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
000000000
9300000.00000000
OU
Notional Amount
USD
5681.37000000
0.000541649303
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-07-25
0.00000000
USD
0.00000000
USD
9300000.00000000
USD
5681.37000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3129356C8
31585.11000000
PA
USD
35516.92000000
0.003386104930
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9C91
304725.83000000
PA
USD
342211.59000000
0.032625699306
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297QBW8
2403.74000000
PA
USD
2687.48000000
0.000256218424
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TBD6
2972.98000000
PA
USD
3497.40000000
0.000333434413
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294SC96
85757.36000000
PA
USD
101194.88000000
0.009647696988
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NGB1
3430.44000000
PA
USD
4046.41000000
0.000385775817
Long
ABS-MBS
USGA
US
N
2
2036-02-15
Fixed
6.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC20 XCBT 20201221
000000000
-51.00000000
NC
USD
-81062.75000000
-0.00772834405
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNZ0 Comdty
2020-12-21
-11210656.00000000
USD
-81062.75000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294SST5
4894.43000000
PA
USD
5755.94000000
0.000548758642
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312931EM6
21763.94000000
PA
USD
24473.18000000
0.002333219081
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407E2H5
320888.60000000
PA
USD
333524.20000000
0.031797462677
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Floating
3.22000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312938S38
12118.84000000
PA
USD
13627.43000000
0.001299209163
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294QAB7
6848.80000000
PA
USD
8041.08000000
0.000766618857
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GKM52
12043.22000000
PA
USD
13526.06000000
0.001289544770
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TUC1
8323.50000000
PA
USD
9501.60000000
0.000905861617
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TJ48
1464.51000000
PA
USD
1722.29000000
0.000164199335
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NBY2
89743.54000000
PA
USD
101808.31000000
0.009706180053
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCD2
17481598.60000000
PA
USD
19046921.92000000
1.815891587086
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
5.00000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3137EAEX3
17820000.00000000
PA
USD
17772242.40000000
1.694366448992
Long
DBT
USGSE
US
N
2
2025-09-23
Fixed
0.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TZ24
4693.25000000
PA
USD
5519.35000000
0.000526202673
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TE35
7241253.81000000
PA
USD
7891357.65000000
0.752344658497
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TY45
34371.22000000
PA
USD
40394.96000000
0.003851166520
Long
ABS-MBS
USGA
US
N
2
2036-12-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406PKU2
102695.05000000
PA
USD
107164.26000000
0.010216804530
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.51000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294NEZ7
4049.63000000
PA
USD
4776.78000000
0.000455407684
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404MEY0
122321.73000000
PA
USD
128660.06000000
0.012266166760
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
3.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411DUK3
86581.28000000
PA
USD
91050.75000000
0.008680577975
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
3.89000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312942N35
6211.15000000
PA
USD
6975.15000000
0.000664995438
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NA80
69177.56000000
PA
USD
78477.52000000
0.007481873918
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294R3R8
991.12000000
PA
USD
1167.05000000
0.000111263976
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200JM64
2469.25000000
PA
USD
2882.88000000
0.000274847429
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5JU0
671019.38000000
PA
USD
735246.90000000
0.070096820144
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MMY2
27217.85000000
PA
USD
30876.91000000
0.002943736596
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296K5G4
10890.25000000
PA
USD
12354.29000000
0.001177830799
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LYN5
43861.64000000
PA
USD
49758.23000000
0.004743840061
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296GNX5
14019.30000000
PA
USD
16598.40000000
0.001582454899
Long
ABS-MBS
USGA
US
N
2
2038-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312931GB8
2749.55000000
PA
USD
3091.71000000
0.000294756822
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TX61
6824.36000000
PA
USD
7786.59000000
0.000742356341
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) DEC20 XCBT 20201231
000000000
-1536.00000000
NC
USD
-227604.46000000
-0.02169930794
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVZ0 Comdty
2020-12-31
-193308395.54000000
USD
-227604.46000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296JYW0
3375.08000000
PA
USD
3828.81000000
0.000365030312
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941DF1
7518.44000000
PA
USD
8443.32000000
0.000804967533
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417NRH6
7309.00000000
PA
USD
8285.13000000
0.000789886047
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GDEC2
20743.19000000
PA
USD
23297.23000000
0.002221106598
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291YLR6
4403.57000000
PA
USD
5192.26000000
0.000495018633
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391UJW6
7824.00000000
PA
USD
8045.02000000
0.000766994488
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Floating
3.48000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TTM1
3074.38000000
PA
USD
3609.59000000
0.000344130360
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T4V4
4282.22000000
PA
USD
4948.58000000
0.000471786718
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GD5K4
18788.26000000
PA
USD
21101.60000000
0.002011780070
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9BZ4
57929.73000000
PA
USD
65063.03000000
0.006202965985
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292DTS1
376.28000000
PA
USD
443.07000000
0.000042241317
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286C9
71350000.00000000
PA
USD
73666088.07000000
7.023162595076
Long
DBT
UST
US
N
1
2022-02-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJMW7
5184.10000000
PA
USD
5829.43000000
0.000555765017
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UUM2
2223589.41000000
PA
USD
2415048.69000000
0.230245423223
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291YL88
10719.85000000
PA
USD
12230.75000000
0.001166052768
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828W55
43730000.00000000
PA
USD
44804459.66000000
4.271558507052
Long
DBT
UST
US
N
1
2022-02-28
Fixed
1.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294NZL5
2644.37000000
PA
USD
3102.69000000
0.000295803631
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0226A4
77000000.00000000
PA
USD
80855405.40000000
7.708576275631
Long
ABS-MBS
USGA
US
N
2
2050-10-21
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128NHQY2
10497.06000000
PA
USD
11001.60000000
0.001048868314
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
3.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209GR58
2624.78000000
PA
USD
2977.68000000
0.000283885453
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BSCT8
2559866.82000000
PA
USD
2747902.86000000
0.261979006716
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8A20
3396.79000000
PA
USD
3814.65000000
0.000363680329
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31298FT36
4754.00000000
PA
USD
5585.58000000
0.000532516895
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411DUP2
26498.14000000
PA
USD
27793.37000000
0.002649758683
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
4.06000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312945ZL5
2846.29000000
PA
USD
3196.77000000
0.000304773011
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TYJ8
3536.27000000
PA
USD
4151.89000000
0.000395832048
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296ML23
10390.56000000
PA
USD
11787.43000000
0.001123787615
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213CTP5
7482.08000000
PA
USD
8801.02000000
0.000839069863
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T3L7
4792.35000000
PA
USD
5641.27000000
0.000537826257
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292HCB7
4248.35000000
PA
USD
5015.03000000
0.000478121915
Long
ABS-MBS
USGA
US
N
2
2035-12-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RGB9
4600.55000000
PA
USD
5412.07000000
0.000515974834
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0406A0
7000000.00000000
PA
USD
7464024.40000000
0.711603647597
Long
ABS-MBS
USGSE
US
N
2
2050-10-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291NU33
4684.97000000
PA
USD
5506.04000000
0.000524933727
Long
ABS-MBS
USGA
US
N
2
2036-02-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290VKU7
31834.11000000
PA
USD
37319.18000000
0.003557928429
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933AQ7
6776.07000000
PA
USD
7619.57000000
0.000726433022
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY36
89067.13000000
PA
USD
92274.59000000
0.008797256185
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414NHM9
93347.62000000
PA
USD
105021.61000000
0.010012528998
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC20 XCBT 20201231
000000000
2694.00000000
NC
USD
151798.64000000
0.014472148017
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUZ0 Comdty
2020-12-31
595074871.89000000
USD
151798.64000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TRU5
2844.35000000
PA
USD
3316.05000000
0.000316144903
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TXK0
5557.52000000
PA
USD
6557.95000000
0.000625220509
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409DVL4
645261.28000000
PA
USD
683817.13000000
0.065193619141
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Floating
3.72000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJL24
103413.35000000
PA
USD
116286.54000000
0.011086502615
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HYS7
54456.81000000
PA
USD
61778.33000000
0.005889809922
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294NDR6
2050.53000000
PA
USD
2322.10000000
0.000221383899
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406C6V5
407528.83000000
PA
USD
432207.76000000
0.041205735947
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Floating
4.60000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MGK9
6273.42000000
PA
USD
7116.79000000
0.000678499084
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294N7H5
22420.26000000
PA
USD
26400.07000000
0.002516924530
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202TQH2
18921.40000000
PA
USD
22222.79000000
0.002118671855
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201XRL4
6928.19000000
PA
USD
8114.76000000
0.000773643346
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31394PP72
482405.70000000
PA
USD
545115.06000000
0.051970069263
Long
ABS-MBS
USGSE
US
N
2
2034-02-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DAZ7
104650.56000000
PA
USD
108218.10000000
0.010317275315
Long
ABS-MBS
USGA
US
N
2
2034-05-20
Floating
2.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TTJ8
40817.00000000
PA
USD
47938.72000000
0.004570371985
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GEEY2
3953.75000000
PA
USD
4440.56000000
0.000423353210
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSJ5
182587.71000000
PA
USD
198751.80000000
0.018948558882
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NG43
4033.92000000
PA
USD
4576.22000000
0.000436286736
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MY45
7658.85000000
PA
USD
8688.48000000
0.000828340547
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396VGA0
257740.37000000
PA
USD
259163.97000000
0.024708122119
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Floating
0.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RP5
10000.00000000
PA
USD
13435.94000000
0.001280952928
Long
DBT
UST
US
N
1
2045-11-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DG24
193673.65000000
PA
USD
200203.94000000
0.019087002712
Long
ABS-MBS
USGA
US
N
2
2034-10-20
Floating
3.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NBX4
90552.76000000
PA
USD
102726.31000000
0.009793700151
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NJC2
9574.70000000
PA
USD
10861.98000000
0.001035557250
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TY52
21216.97000000
PA
USD
24983.18000000
0.002381841358
Long
ABS-MBS
USGA
US
N
2
2036-12-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296J3U8
16041.09000000
PA
USD
18196.96000000
0.001734858089
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RL31
9599968.75000000
PA
USD
10576672.45000000
1.008356657416
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292M3H3
4877.74000000
PA
USD
5736.31000000
0.000546887161
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294SUR6
2509.53000000
PA
USD
2925.70000000
0.000278929794
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LT84
11522.62000000
PA
USD
13071.23000000
0.001246182280
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294Q6Z9
5934.82000000
PA
USD
6992.62000000
0.000666660990
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M73B0
4268.36000000
PA
USD
4799.70000000
0.000457592827
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296W5V5
1086.95000000
PA
USD
1233.74000000
0.000117622054
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RBT5
13567.97000000
PA
USD
15187.58000000
0.001447950428
Long
ABS-MBS
USGA
US
N
2
2037-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C4RV4
2845.72000000
PA
USD
3288.33000000
0.000313502140
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312943DQ3
7929.94000000
PA
USD
8905.44000000
0.000849025036
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
20391750.63000000
PA
USD
22160300.65000000
2.112714258327
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285T3
4500000.00000000
PA
USD
5043164.09000000
0.480804157322
Long
DBT
UST
US
N
1
2025-12-31
Fixed
2.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294V3W8
8838.95000000
PA
USD
10322.57000000
0.000984131089
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY51
47800.18000000
PA
USD
49521.62000000
0.004721282184
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GE7K0
4452.63000000
PA
USD
5000.91000000
0.000476775745
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PE25
2011.94000000
PA
USD
2366.84000000
0.000225649312
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GGHW8
201183.62000000
PA
USD
225954.72000000
0.021542025364
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295ERY5
17933.83000000
PA
USD
21117.26000000
0.002013273059
Long
ABS-MBS
USGA
US
N
2
2037-04-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9VK6
6305603.82000000
PA
USD
7043292.63000000
0.671492007261
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T2T1
3432.42000000
PA
USD
4041.71000000
0.000385327729
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200C5K7
5114.81000000
PA
USD
6020.85000000
0.000574014578
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GDS86
38601.83000000
PA
USD
43355.15000000
0.004133384516
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PBX0
8074.82000000
PA
USD
9477.34000000
0.000903548722
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K7UX4
17773.76000000
PA
USD
19871.81000000
0.001894534599
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LYL9
74285.34000000
PA
USD
84271.97000000
0.008034304019
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31398CY93
1248001.84000000
PA
USD
1300137.49000000
0.123952244885
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GFCQ8
4570.30000000
PA
USD
5133.07000000
0.000489375588
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291YL47
3948.48000000
PA
USD
4650.16000000
0.000443336012
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312938EM1
21371.42000000
PA
USD
24030.96000000
0.002291058800
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200EHF1
2200.46000000
PA
USD
2583.53000000
0.000246308060
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295HRG7
59997.45000000
PA
USD
71356.48000000
0.006802969648
Long
ABS-MBS
USGA
US
N
2
2037-10-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0306A1
2000000.00000000
PA
USD
2095312.00000000
0.199762431384
Long
ABS-MBS
USGSE
US
N
2
2050-10-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NH26
3625.69000000
PA
USD
3974.04000000
0.000378876221
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PDW0
2798.32000000
PA
USD
3283.33000000
0.000313025451
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292K2K2
2279.66000000
PA
USD
2560.09000000
0.000244073342
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294ST49
28095.46000000
PA
USD
33207.63000000
0.003165942308
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200FDT2
940.67000000
PA
USD
1104.06000000
0.000105258648
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312930QZ6
1346.68000000
PA
USD
1515.44000000
0.000144478712
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
4.50000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3137EAEQ8
50330000.00000000
PA
USD
50573093.90000000
4.821527390707
Long
DBT
USGSE
US
N
2
2023-04-20
Fixed
0.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HYA6
8708.93000000
PA
USD
9879.81000000
0.000941919326
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0206A2
11000000.00000000
PA
USD
11375780.90000000
1.084541897090
Long
ABS-MBS
USGSE
US
N
2
2050-10-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NDX2
312397.48000000
PA
USD
354394.96000000
0.033787234970
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJMK3
3608.77000000
PA
USD
4058.00000000
0.000386880782
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JUNM2
346066.14000000
PA
USD
379415.41000000
0.036172629568
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LBBM9
477.47000000
PA
USD
537.31000000
0.000051225952
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312939EX5
4090.05000000
PA
USD
4593.19000000
0.000437904618
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MDN6
81806.82000000
PA
USD
92804.60000000
0.008847786171
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312938M26
2694.66000000
PA
USD
3030.07000000
0.000288880200
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7L46
60026.73000000
PA
USD
67499.03000000
0.006435208860
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC20 XCBT 20201221
000000000
-153.00000000
NC
USD
16134.35000000
0.001538213394
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYZ0 Comdty
2020-12-21
-21359634.35000000
USD
16134.35000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833X96
28900000.00000000
PA
USD
24273395.82000000
2.314172097974
Long
DBT
UST
US
N
1
2035-11-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128L9LZ4
1810.34000000
PA
USD
2037.21000000
0.000194223114
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K7MY1
6654.68000000
PA
USD
7440.28000000
0.000709339908
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCC4
2438734.98000000
PA
USD
2637864.52000000
0.251488193728
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B66C0
760923.71000000
PA
USD
922885.33000000
0.087985854808
Long
ABS-MBS
USGSE
US
N
2
2043-11-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31300MS46
1321374.24000000
PA
USD
1371028.97000000
0.130710882458
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Floating
2.87000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292MAF9
1955.65000000
PA
USD
2284.32000000
0.000217782037
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C06T0
13550.28000000
PA
USD
16001.68000000
0.001525564929
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201XRM2
2298.69000000
PA
USD
2700.54000000
0.000257463535
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292K2A4
5927.50000000
PA
USD
6656.67000000
0.000634632257
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0506A5
9000000.00000000
PA
USD
9758400.30000000
0.930344392790
Long
ABS-MBS
USGA
US
N
2
2050-10-21
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MGV5
42899.42000000
PA
USD
48666.65000000
0.004639771228
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201CL51
1205.95000000
PA
USD
1319.89000000
0.000125835405
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DFP4
889277.93000000
PA
USD
916216.83000000
0.087350094704
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Floating
3.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933WQ3
359947.67000000
PA
USD
404754.99000000
0.038588449317
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3129345T5
6219.26000000
PA
USD
6993.45000000
0.000666740120
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312934DE9
1438.74000000
PA
USD
1617.84000000
0.000154241302
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294V4Q0
6609.20000000
PA
USD
7570.73000000
0.000721776724
Long
ABS-MBS
USGA
US
N
2
2036-12-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K7NM6
687.27000000
PA
USD
768.40000000
0.000073257563
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MQX0
16462.69000000
PA
USD
18676.04000000
0.001780532521
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BWTG9
12123263.81000000
PA
USD
12269946.82000000
1.169789706600
Long
ABS-MBS
USGSE
US
N
2
2042-11-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GEK58
2598.80000000
PA
USD
2918.81000000
0.000278272917
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402MQC7
331143.07000000
PA
USD
346168.85000000
0.033002975759
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Floating
2.60000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0506A9
5000000.00000000
PA
USD
5477751.50000000
0.522236763860
Long
ABS-MBS
USGSE
US
N
2
2050-10-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413KBG5
94548.88000000
PA
USD
111974.90000000
0.010675440353
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213CZ29
2013.04000000
PA
USD
2359.89000000
0.000224986715
Long
ABS-MBS
USGA
US
N
2
2035-12-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312934BJ0
10082.38000000
PA
USD
11337.36000000
0.001080878933
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291Y3D7
2890.38000000
PA
USD
3411.99000000
0.000325291612
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410AKW5
687249.12000000
PA
USD
713451.18000000
0.068018864202
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Floating
3.54000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HEJY9
666301.71000000
PA
USD
732975.22000000
0.069880243176
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390N3Z3
28227.80000000
PA
USD
29297.60000000
0.002793168659
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Floating
2.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K7ZU5
1514.81000000
PA
USD
1693.64000000
0.000161467907
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NBZ9
52811.81000000
PA
USD
59911.62000000
0.005711841901
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR DEC20 XCME 20201214
000000000
222.00000000
NC
USD
1039273.94000000
0.099082088552
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Eurodollar Time Deposit
EDZ0 Comdty
2020-12-14
54324751.06000000
USD
1039273.94000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297TW66
1594.30000000
PA
USD
1782.51000000
0.000169940577
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NBQ9
48761.14000000
PA
USD
55316.39000000
0.005273742794
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294SDH7
353.50000000
PA
USD
405.83000000
0.000038690938
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290XDT4
4001.79000000
PA
USD
4704.66000000
0.000448531922
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291QYE8
1439.22000000
PA
USD
1697.65000000
0.000161850212
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJL57
10522.98000000
PA
USD
11832.91000000
0.001128123578
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6T65
146702.22000000
PA
USD
165522.59000000
0.015780559185
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294QAX9
5340.66000000
PA
USD
6282.11000000
0.000598922531
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291YKJ5
3324.33000000
PA
USD
3900.41000000
0.000371856499
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292KG67
5251.93000000
PA
USD
6172.36000000
0.000588459208
Long
ABS-MBS
USGA
US
N
2
2036-02-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GDBF8
3172.68000000
PA
USD
3563.35000000
0.000339721941
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GDHH8
6561.20000000
PA
USD
7369.13000000
0.000702556624
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292LCU6
2583.65000000
PA
USD
3035.45000000
0.000289393117
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294QAR2
6106.78000000
PA
USD
7165.03000000
0.000683098180
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294QAV3
14227.95000000
PA
USD
16535.73000000
0.001576480080
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312942E50
10890.49000000
PA
USD
12230.07000000
0.001165987938
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7UU8
4931.79000000
PA
USD
5545.71000000
0.000528715777
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312940RF8
17344.48000000
PA
USD
19478.11000000
0.001857000108
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6T73
90718.32000000
PA
USD
101427.85000000
0.009669907835
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292M3D2
1235.07000000
PA
USD
1454.76000000
0.000138693614
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292L7E8
9029.97000000
PA
USD
10647.26000000
0.001015086318
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933R63
4542.61000000
PA
USD
5108.09000000
0.000486994050
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A9EA2
275903.55000000
PA
USD
341081.68000000
0.032517976176
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GDS9
328879.92000000
PA
USD
343757.16000000
0.032773050546
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Floating
3.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295ERS8
3625.36000000
PA
USD
4277.94000000
0.000407849377
Long
ABS-MBS
USGA
US
N
2
2037-04-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402TUP8
44448.76000000
PA
USD
46193.05000000
0.004403943651
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Floating
3.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RS67
14247.14000000
PA
USD
16721.73000000
0.001594212910
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LHJ3
4941.84000000
PA
USD
5606.01000000
0.000534464646
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405NU52
236269.46000000
PA
USD
246751.48000000
0.023524742660
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Floating
3.92000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292LGU2
5336.60000000
PA
USD
6253.36000000
0.000596181570
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GEJ27
33259.53000000
PA
USD
37355.01000000
0.003561344383
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ANSD0
4778534.70000000
PA
USD
5089697.59000000
0.485240558727
Long
ABS-MBS
USGSE
US
N
2
2045-05-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225B7J1
4719.40000000
PA
USD
5518.79000000
0.000526149284
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407UK97
96978.50000000
PA
USD
101071.14000000
0.009635899889
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
3.99000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DFS8
512502.45000000
PA
USD
528064.59000000
0.050344515005
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Floating
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200QXE9
698.85000000
PA
USD
802.31000000
0.000076490468
Long
ABS-MBS
USGA
US
N
2
2036-01-15
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BFDQ1
18328093.30000000
PA
USD
18589926.61000000
1.772322660713
Long
ABS-MBS
USGSE
US
N
2
2021-09-25
Fixed
2.99000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
312907TB4
9.02000000
PA
USD
36.50000000
0.000003479829
Long
ABS-MBS
USGSE
US
N
2
2021-11-15
Fixed
1172.81000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T4N2
27353.49000000
PA
USD
32586.20000000
0.003106696540
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PNG4
5535.36000000
PA
USD
6517.94000000
0.000621406044
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AXBQ3
289402.00000000
PA
USD
324988.16000000
0.030983655423
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294NMW5
18582.43000000
PA
USD
21927.53000000
0.002090522417
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YD6
630000.00000000
PA
USD
667061.72000000
0.063596195254
Long
DBT
UST
US
N
1
2026-08-31
Fixed
1.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933DC5
16103.87000000
PA
USD
18108.53000000
0.001726427368
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291Q5N0
8310.11000000
PA
USD
9782.96000000
0.000932685860
Long
ABS-MBS
USGA
US
N
2
2036-02-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291YLN5
712.35000000
PA
USD
838.80000000
0.000079969344
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PE58
13239.43000000
PA
USD
15533.70000000
0.001480948746
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MZR3
15115.05000000
PA
USD
17146.47000000
0.001634706686
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133TAG22
201703.05000000
PA
USD
229321.91000000
0.021863045842
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GE3J7
5867.14000000
PA
USD
6589.60000000
0.000628237951
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PAV5
3274.63000000
PA
USD
3847.09000000
0.000366773087
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200GF43
4102.13000000
PA
USD
4824.18000000
0.000459926696
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294P7G2
20363.56000000
PA
USD
23916.58000000
0.002280154063
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Government Fund
38141W273
244124992.26000000
NS
USD
244124992.26000000
23.27433910342
Long
EC
RF
US
N
1
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335HTC7
16293.03000000
PA
USD
16638.93000000
0.001586318940
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312938K51
3638.81000000
PA
USD
4091.78000000
0.000390101293
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DQS4
326092.32000000
PA
USD
358142.80000000
0.034144545781
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290VMA9
19889.63000000
PA
USD
23420.23000000
0.002232833147
Long
ABS-MBS
USGA
US
N
2
2036-12-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409JYV6
360522.21000000
PA
USD
378072.00000000
0.036044551817
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Floating
2.77000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292DTR3
894.05000000
PA
USD
1048.98000000
0.000100007442
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292K2X4
6169.31000000
PA
USD
6928.23000000
0.000660522189
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0306B9
2000000.00000000
PA
USD
2095702.60000000
0.199799670327
Long
ABS-MBS
USGSE
US
N
2
2050-11-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A1PN5
5737.74000000
PA
USD
6443.28000000
0.000614288124
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941GA9
23283.84000000
PA
USD
26148.09000000
0.002492901312
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7CC8
1971.18000000
PA
USD
2218.20000000
0.000211478302
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TRL5
8858.06000000
PA
USD
10419.56000000
0.000993377902
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3129354U0
6396.18000000
PA
USD
7192.39000000
0.000685706622
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MK40
2936.69000000
PA
USD
3331.49000000
0.000317616919
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXNP1
995.27000000
PA
USD
1112.76000000
0.000106088087
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294VCV0
1346.18000000
PA
USD
1584.14000000
0.000151028418
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M4XL2
2458.54000000
PA
USD
2748.78000000
0.000262062631
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212TBB9
2722.19000000
PA
USD
3170.53000000
0.000302271347
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MME6
6128.82000000
PA
USD
6952.75000000
0.000662859872
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LSQ5
1627.85000000
PA
USD
1846.69000000
0.000176059357
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TYH2
8878.54000000
PA
USD
10444.68000000
0.000995772787
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY28
90097.65000000
PA
USD
93340.59000000
0.008898886278
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8GK4
1668.85000000
PA
USD
1865.86000000
0.000177886983
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416QZ40
103252.16000000
PA
USD
116086.22000000
0.011067404547
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292LHC2
190173.02000000
PA
USD
213590.38000000
0.020363236419
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36211SEE3
3505.38000000
PA
USD
4124.99000000
0.000393267461
Long
ABS-MBS
USGA
US
N
2
2035-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933G73
6970.90000000
PA
USD
7838.66000000
0.000747320580
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RB81
144586.24000000
PA
USD
151547.32000000
0.014448187722
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
3.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DC85
230499.70000000
PA
USD
237461.48000000
0.022639054520
Long
ABS-MBS
USGA
US
N
2
2034-07-20
Floating
3.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MF95
239808.14000000
PA
USD
272047.00000000
0.025936361826
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214480 IRS USD R F .98000 2 CCPVANILLA / Short: SR214480 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
10960000.00000000
OU
Notional Amount
USD
-30150.96000000
-0.00287452612
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-05-21
0.00000000
USD
-15491.18000000
USD
10960000.00000000
USD
-14659.78000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200GES1
7378.31000000
PA
USD
8696.38000000
0.000829093716
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294S4W4
12139.36000000
PA
USD
14316.02000000
0.001364857817
Long
ABS-MBS
USGA
US
N
2
2037-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291USQ9
22858.46000000
PA
USD
26837.81000000
0.002558657698
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291Q6N9
7831.52000000
PA
USD
9210.02000000
0.000878063022
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401K5T8
138158.16000000
PA
USD
144693.33000000
0.013794743410
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Floating
2.57000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LSV4
119937.96000000
PA
USD
136061.94000000
0.012971845698
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QLPD7
644139.77000000
PA
USD
673749.01000000
0.064233746754
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Floating
3.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133TCC63
151700.16000000
PA
USD
169961.04000000
0.016203711232
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291YKE6
5520.34000000
PA
USD
6489.93000000
0.000618735632
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290VNF7
22445.77000000
PA
USD
26370.84000000
0.002514137806
Long
ABS-MBS
USGA
US
N
2
2037-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXW0
479274.09000000
PA
USD
520205.44000000
0.049595240953
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941VC8
5129.78000000
PA
USD
5760.82000000
0.000549223891
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MT60
1524.01000000
PA
USD
1789.32000000
0.000170589828
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212USJ1
4268.50000000
PA
USD
5011.59000000
0.000477793953
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291Q3N2
3460.17000000
PA
USD
4078.30000000
0.000388816139
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH54
6948448.31000000
PA
USD
7494637.34000000
0.714522217874
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409BB30
336248.81000000
PA
USD
352872.92000000
0.033642127028
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
3.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406TLS8
57327.86000000
PA
USD
60424.98000000
0.005760784513
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Floating
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANZG1
323060.49000000
PA
USD
360855.14000000
0.034403134303
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292LHH1
21518.08000000
PA
USD
24167.75000000
0.002304100058
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GM26
466316.53000000
PA
USD
490198.37000000
0.046734432987
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Floating
2.92000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3129316G8
30864.43000000
PA
USD
34706.52000000
0.003308843179
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TQQ5
2004.87000000
PA
USD
2211.61000000
0.000210850026
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312931AH1
11820.12000000
PA
USD
13291.40000000
0.001267172803
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292LC77
9235.83000000
PA
USD
10847.29000000
0.001034156738
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128L4RZ9
1155.45000000
PA
USD
1303.68000000
0.000124289979
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PNA7
11298.08000000
PA
USD
13295.24000000
0.001267538900
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K8AJ5
3605.31000000
PA
USD
4030.93000000
0.000384299988
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292MDL3
5020.40000000
PA
USD
5926.40000000
0.000565009923
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294PBV4
738.35000000
PA
USD
869.91000000
0.000082935303
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TZN8
11776.48000000
PA
USD
14000.43000000
0.001334770161
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0426A6
13000000.00000000
PA
USD
14063355.80000000
1.340769368965
Long
ABS-MBS
USGSE
US
N
2
2048-10-11
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NB22
112235.44000000
PA
USD
127323.93000000
0.012138783069
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200RDN9
2555.51000000
PA
USD
2982.17000000
0.000284313519
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AU5H6
108956.36000000
PA
USD
122354.12000000
0.011664972329
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0206B6
24000000.00000000
PA
USD
24890152.80000000
2.372972350107
Long
ABS-MBS
USGA
US
N
2
2050-11-19
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294P5Q2
23525.28000000
PA
USD
27808.36000000
0.002651187797
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M84D3
6199.17000000
PA
USD
6961.76000000
0.000663718865
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128L9C35
277.12000000
PA
USD
311.85000000
0.000029731092
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NFQ5
27285.48000000
PA
USD
30952.57000000
0.002950949854
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GES84
63085.11000000
PA
USD
70853.23000000
0.006754990901
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3129413L9
6308.57000000
PA
USD
7084.62000000
0.000675432067
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294QDK4
3440.69000000
PA
USD
4051.45000000
0.000386256320
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294T3G8
9322.16000000
PA
USD
10973.50000000
0.001046189322
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) DEC20 XCBT 20201221
000000000
-378.00000000
NC
USD
-26014.43000000
-0.00248015846
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USZ0 Comdty
2020-12-21
-66549235.57000000
USD
-26014.43000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292GT96
2116.21000000
PA
USD
2461.05000000
0.000234631086
Long
ABS-MBS
USGA
US
N
2
2036-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200GDB9
3263.86000000
PA
USD
3832.05000000
0.000365339207
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RG5
410000.00000000
PA
USD
578612.50000000
0.055163641419
Long
DBT
UST
US
N
1
2044-05-15
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294TYU3
19399.00000000
PA
USD
23059.25000000
0.002198418109
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT DEC20 XCBT 20201221
000000000
-109.00000000
NC
USD
30159.04000000
0.002875296451
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYZ0 Comdty
2020-12-21
-17448018.42000000
USD
30159.04000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3129382N2
3307.90000000
PA
USD
3719.68000000
0.000354626099
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294RPC7
1469.24000000
PA
USD
1726.73000000
0.000164622635
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.50000000
N
N
N
N
N
N
2020-10-28
GOLDMAN SACHS TRUST
Peter Fortner
Peter Fortner
Vice President