0001752724-23-271473.txt : 20231128 0001752724-23-271473.hdr.sgml : 20231128 20231128153655 ACCESSION NUMBER: 0001752724-23-271473 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20230930 FILED AS OF DATE: 20231128 DATE AS OF CHANGE: 20231128 PERIOD START: 20240331 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: 231445908 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 0000822977 XXXXXXXX S000009303 C000161286 C000025392 C000058952 C000025388 C000202034 C000025390 C000025389 GOLDMAN SACHS TRUST 811-05349 0000822977 S2FHCT8U6D2VORP0J605 71 SOUTH WACKER DRIVE C/O GOLDMAN SACHS & CO CHICAGO 60606 312-655-4400 Goldman Sachs Short Duration Government Fund S000009303 N4WK70TBFH7DTTPR0J23 2024-03-31 2023-09-30 N 674226128.49 178742375.21 495483753.28 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2967106.44000000 0.00000000 0.00000000 4655203.82000000 USD N Securities Only Portfolio Securities Only Portfolio_PV100115 Freddie Mac S6XOOCT0IEG5ABCC6L87 31292K2X4 2539.90000000 PA USD 2401.73000000 0.000484724268 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828YD6 4200000.00000000 PA USD 3810515.65000000 0.769049565152 Long DBT UST US N 1 2026-08-31 Fixed 1.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225DJ47 121339.92000000 PA USD 117213.38000000 0.023656351842 Long ABS-MBS USGA US N 2 2034-12-20 Floating 2.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TL2 600500.00000000 PA USD 532474.61000000 0.107465604366 Long DBT UST US N 1 2052-11-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WTZ1 5983143.32000000 PA USD 5082370.32000000 1.025739045196 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GEK58 1135.07000000 PA USD 1072.87000000 0.000216529804 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SE9 380000.00000000 PA USD 298181.25000000 0.060179823864 Long DBT UST US N 1 2048-11-15 Fixed 3.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9DM2 334414.69000000 PA USD 312327.17000000 0.063034795375 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36211SEE3 1907.85000000 PA USD 1951.34000000 0.000393825223 Long ABS-MBS USGA US N 2 2035-05-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QGHZ8 11827.95000000 PA USD 12039.10000000 0.002429766853 Long ABS-MBS USGSE US N 2 2036-10-01 Floating 7.80600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294R3R8 877.39000000 PA USD 899.90000000 0.000181620485 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411DUK3 52825.28000000 PA USD 53931.46000000 0.010884607142 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 4.18500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9GK5 1654927.45000000 PA USD 1501454.28000000 0.303027954006 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291Q5N0 7166.13000000 PA USD 7329.50000000 0.001479261419 Long ABS-MBS USGA US N 2 2036-02-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296XML6 1226.21000000 PA USD 1180.41000000 0.000238233845 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286B1 5630000.00000000 PA USD 5092510.94000000 1.027785655188 Long DBT UST US N 1 2029-02-15 Fixed 2.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABFH0 750054.45000000 PA USD 604466.78000000 0.121995277544 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200GES1 6285.56000000 PA USD 6428.86000000 0.001297491584 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290VMA9 13771.44000000 PA USD 14122.85000000 0.002850315455 Long ABS-MBS USGA US N 2 2036-12-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297QBW8 949.65000000 PA USD 913.36000000 0.000184337022 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312933AL8 2425.23000000 PA USD 2299.61000000 0.000464114107 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NBY2 49810.02000000 PA USD 47958.05000000 0.009679035827 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9JB0 1687584.00000000 PA USD 1575594.58000000 0.317991169149 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291YKE6 4862.19000000 PA USD 4983.58000000 0.001005800889 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DTQ5 2901914.47000000 PA USD 2220053.95000000 0.448057869769 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NBH9 29123.69000000 PA USD 28040.85000000 0.005659287477 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1120000.00000000 OU Notional Amount USD 15064.56000000 0.003040374159 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-08-08 112.85000000 USD 0.00000000 USD 1120000.00000000 USD 14951.71000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312940XF1 16312.45000000 PA USD 15425.05000000 0.003113129320 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCP4 9960000.00000000 PA USD 8865178.17000000 1.789196540010 Long DBT UST US N 1 2026-07-31 Fixed 0.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294RPC7 1287.15000000 PA USD 1318.93000000 0.000266190362 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6NW4 1985.92000000 PA USD 1909.90000000 0.000385461680 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MXM6 1549.49000000 PA USD 1491.92000000 0.000301103717 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWA60 11398586.05000000 PA USD 9077558.08000000 1.832059683069 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312933G65 7385.77000000 PA USD 7003.20000000 0.001413406585 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329PFG3 297772.63000000 PA USD 278012.20000000 0.056109246400 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NA80 34316.88000000 PA USD 33040.96000000 0.006668424500 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MDN6 47333.35000000 PA USD 45573.47000000 0.009197772822 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294RR35 6865.17000000 PA USD 7030.75000000 0.001418966808 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296K7C1 779.03000000 PA USD 750.07000000 0.000151381351 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312931AH1 6092.92000000 PA USD 5776.92000000 0.001165915120 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KPLW6 2345986.36000000 PA USD 2171060.47000000 0.438169860389 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36212NPF8 6349.98000000 PA USD 6476.83000000 0.001307173031 Long ABS-MBS USGA US N 2 2035-05-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJQD5 4197.33000000 PA USD 3967.33000000 0.000800698302 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GDS86 15850.73000000 PA USD 14982.16000000 0.003023743947 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129356C8 12680.35000000 PA USD 12023.54000000 0.002426626487 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296GNX5 12500.81000000 PA USD 12847.50000000 0.002592920537 Long ABS-MBS USGA US N 2 2038-05-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292K2K2 996.15000000 PA USD 941.96000000 0.000190109159 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36209GR58 1302.09000000 PA USD 1328.42000000 0.000268105662 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294T2L8 5283.68000000 PA USD 5413.37000000 0.001092542381 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36213CTP5 6442.02000000 PA USD 6586.94000000 0.001329395758 Long ABS-MBS USGA US N 2 2035-07-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296JYW0 989.43000000 PA USD 952.71000000 0.000192278756 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABKB7 638157.65000000 PA USD 514289.46000000 0.103795423481 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A9EA2 148040.50000000 PA USD 155446.91000000 0.031372756214 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TRL5 7094.60000000 PA USD 7253.12000000 0.001463846181 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GD5K4 7958.19000000 PA USD 7522.10000000 0.001518132522 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F0326B5 -9000000.00000000 PA USD -7744569.30000000 -1.56303193570 Short ABS-MBS USGSE US N 2 2053-11-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TZ24 873.91000000 PA USD 895.73000000 0.000180778884 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312930WL0 365.56000000 PA USD 346.73000000 0.000069978076 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312943DQ3 3491.84000000 PA USD 3301.88000000 0.000666395210 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31401MKT7 213828.00000000 PA USD 215570.23000000 0.043507022898 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 5.39100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABE99 1204550.94000000 PA USD 970744.23000000 0.195918478370 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200GFH4 2160.39000000 PA USD 2201.52000000 0.000444317293 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294QAV3 1629.04000000 PA USD 1664.48000000 0.000335930288 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GDQH8 11769.99000000 PA USD 11125.03000000 0.002245286535 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TAS4 666.89000000 PA USD 671.31000000 0.000135485774 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312933DC5 7746.41000000 PA USD 7345.16000000 0.001482421966 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NEH6 2339.34000000 PA USD 2252.36000000 0.000454577972 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294P7B3 2338.34000000 PA USD 2384.92000000 0.000481331624 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312938S46 6006.65000000 PA USD 5695.52000000 0.001149486731 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292N6W5 31570.75000000 PA USD 32345.67000000 0.006528099011 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -307.00000000 NC USD 904418.69000000 0.182532461258 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10-Year U.S. Treasury Notes Futures UXYZ3 Comdty 2023-12-19 -35149309.32000000 USD 904418.69000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312935H85 1676.20000000 PA USD 1589.38000000 0.000320773383 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312934BJ0 8958.83000000 PA USD 8494.07000000 0.001714298388 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TY52 15799.75000000 PA USD 16205.06000000 0.003270553250 Long ABS-MBS USGA US N 2 2036-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TTM1 2684.05000000 PA USD 2749.17000000 0.000554845639 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294NA99 35001.37000000 PA USD 36804.57000000 0.007428007428 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LHJ3 2881.41000000 PA USD 2774.28000000 0.000559913414 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NBT3 15231.23000000 PA USD 14664.92000000 0.002959717630 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179V4Y3 544807.73000000 PA USD 493407.46000000 0.099580956334 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294SUR6 565.03000000 PA USD 573.55000000 0.000115755561 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312934DE9 703.35000000 PA USD 666.92000000 0.000134599771 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398CY93 66081.39000000 PA USD 65649.38000000 0.013249552496 Long ABS-MBS USGSE US N 2 2024-05-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312933G73 2955.21000000 PA USD 2802.14000000 0.000565536202 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200GF43 3615.37000000 PA USD 3706.13000000 0.000747982143 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312932SU1 476.35000000 PA USD 451.68000000 0.000091159396 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6J77 3008432.83000000 PA USD 2746361.93000000 0.554278906587 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 13840000.00000000 OU Notional Amount USD 362985.83000000 0.073258876319 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-05-11 75007.89000000 USD 0.00000000 USD 13840000.00000000 USD 287977.94000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TBD6 1537.39000000 PA USD 1577.04000000 0.000318282888 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NJC2 2797.41000000 PA USD 2693.59000000 0.000543628319 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RU4 200000.00000000 PA USD 143625.00000000 0.028986823291 Long DBT UST US N 1 2046-11-15 Fixed 2.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294ST49 21979.69000000 PA USD 23051.52000000 0.004652326105 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296RE37 31668.85000000 PA USD 32163.76000000 0.006491385396 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VQX1 201765.96000000 PA USD 194505.46000000 0.039255668568 Long ABS-MBS USGA US N 2 2050-07-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TYS8 13528.18000000 PA USD 14050.32000000 0.002835677236 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBT7 6942000.00000000 PA USD 6276544.25000000 1.266750768002 Long DBT UST US N 1 2026-03-31 Fixed 0.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7PU4 1993.70000000 PA USD 1890.43000000 0.000381532186 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NB22 56000.89000000 PA USD 53918.74000000 0.010882039954 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TUC1 2804.68000000 PA USD 2880.78000000 0.000581407559 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36201XQK7 3557.76000000 PA USD 3647.08000000 0.000736064497 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290UKK1 8373.91000000 PA USD 8594.33000000 0.001734533159 Long ABS-MBS USGA US N 2 2037-11-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L9LZ4 418.86000000 PA USD 397.27000000 0.000080178209 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200JM56 705.00000000 PA USD 718.97000000 0.000145104656 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294T4V4 2650.18000000 PA USD 2735.03000000 0.000551991862 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312933ED2 684.72000000 PA USD 649.25000000 0.000131033559 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292MDL3 2435.85000000 PA USD 2479.89000000 0.000500498751 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8GK4 873.24000000 PA USD 839.87000000 0.000169505053 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620C4RV4 2269.01000000 PA USD 2301.67000000 0.000464529862 Long ABS-MBS USGA US N 2 2039-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABJ86 942652.89000000 PA USD 765278.33000000 0.154450741307 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MZR3 8204.52000000 PA USD 7899.47000000 0.001594294454 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6J69 2276169.41000000 PA USD 2071485.79000000 0.418073403272 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312933R63 2136.84000000 PA USD 2026.16000000 0.000408925617 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294T3P8 17436.22000000 PA USD 17784.53000000 0.003589326568 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJMW7 2251.01000000 PA USD 2134.41000000 0.000430772953 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 4.50000000 N N N N N N TENN VALLEY AUTHORITY 549300HE1ISW43LNKM54 880591EW8 49850000.00000000 PA USD 46320620.00000000 9.348564850687 Long DBT USGA US N 2 2025-05-15 Fixed 0.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200NGB1 2269.81000000 PA USD 2322.91000000 0.000468816582 Long ABS-MBS USGA US N 2 2036-02-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417NRH6 2865.11000000 PA USD 2745.51000000 0.000554106967 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200JJA9 2261.25000000 PA USD 2313.81000000 0.000466979993 Long ABS-MBS USGA US N 2 2035-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294SC96 52037.52000000 PA USD 53231.65000000 0.010743369413 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312942N35 1738.33000000 PA USD 1643.76000000 0.000331748516 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296K5G4 4866.33000000 PA USD 4685.71000000 0.000945683883 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202S4V7 5627.70000000 PA USD 5768.98000000 0.001164312646 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296M3H0 2485.02000000 PA USD 2392.79000000 0.000482919971 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABKS0 980953.64000000 PA USD 790547.79000000 0.159550698638 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36212TBB9 2205.00000000 PA USD 2243.43000000 0.000452775693 Long ABS-MBS USGA US N 2 2035-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294NEZ7 3355.89000000 PA USD 3432.90000000 0.000692838055 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TTL3 16514.76000000 PA USD 17212.44000000 0.003473865668 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TX79 6397.61000000 PA USD 6559.11000000 0.001323779025 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295ERY5 12500.20000000 PA USD 12825.91000000 0.002588563179 Long ABS-MBS USGA US N 2 2037-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PE58 10641.96000000 PA USD 10895.56000000 0.002198974220 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406C6V5 232859.89000000 PA USD 234114.82000000 0.047249747030 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 4.59000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L9C35 176.13000000 PA USD 167.10000000 0.000033724617 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MY52 6087.94000000 PA USD 5861.59000000 0.001183003471 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HHSW6 200870.87000000 PA USD 187540.92000000 0.037850064458 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M73B0 1915.90000000 PA USD 1816.66000000 0.000366643706 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291NU33 4119.53000000 PA USD 4221.80000000 0.000852056191 Long ABS-MBS USGA US N 2 2036-02-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MQX0 10687.47000000 PA USD 10290.81000000 0.002076921782 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TX61 3392.96000000 PA USD 3491.74000000 0.000704713318 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294NMF2 1187.44000000 PA USD 1217.90000000 0.000245800188 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AU5H6 98187.99000000 PA USD 92671.62000000 0.018703261083 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312941DF1 4431.91000000 PA USD 4190.81000000 0.000845801698 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31401K5T8 24463.16000000 PA USD 24685.36000000 0.004982072537 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 5.44500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292N7M6 9815.44000000 PA USD 10059.13000000 0.002030163437 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295HRG7 38027.83000000 PA USD 39978.61000000 0.008068601590 Long ABS-MBS USGA US N 2 2037-10-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GC35 59962.70000000 PA USD 59946.91000000 0.012098663095 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 4.23500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4XL2 1171.29000000 PA USD 1126.53000000 0.000227359624 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GFCQ8 2382.02000000 PA USD 2251.49000000 0.000454402386 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312933QN7 117658.33000000 PA USD 111563.90000000 0.022516157040 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292L7E8 4310.93000000 PA USD 4391.64000000 0.000886333804 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TTJ8 20821.05000000 PA USD 21340.87000000 0.004307077650 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TYU3 13593.95000000 PA USD 14183.01000000 0.002862457125 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410AKW5 273187.44000000 PA USD 276861.95000000 0.055877099534 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 6.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291USQ9 13400.42000000 PA USD 13753.15000000 0.002775701505 Long ABS-MBS USGA US N 2 2037-02-15 Fixed 6.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -72.00000000 NC USD 539898.28000000 0.108963871454 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CME Ultra Long Term U.S. Treasury Bond Futures WNZ3 Comdty 2023-12-19 -9101148.28000000 USD 539898.28000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292LHG3 14859.36000000 PA USD 14045.11000000 0.002834625738 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDPA8 12727547.31000000 PA USD 11186726.89000000 2.257738385153 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABCB6 619837.90000000 PA USD 500106.73000000 0.100933022866 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QQWC5 1930786.35000000 PA USD 1935957.96000000 0.390720774835 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -79.00000000 NC USD 514872.68000000 0.103913130671 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT U.S. Long Bond Futures USZ3 Comdty 2023-12-19 -9510997.68000000 USD 514872.68000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GEJ27 12195.28000000 PA USD 11527.01000000 0.002326415331 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MBT5 5697.41000000 PA USD 5485.58000000 0.001107116018 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409BB30 172514.21000000 PA USD 173969.19000000 0.035110977675 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 4.25100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7UU8 2070.71000000 PA USD 1963.45000000 0.000396269299 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJLL2 405.07000000 PA USD 384.09000000 0.000077518182 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6T73 44451.09000000 PA USD 42752.38000000 0.008628412075 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BY51 11.31000000 PA USD 11.26000000 0.000002272526 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36201CL51 972.43000000 PA USD 988.52000000 0.000199506036 Long ABS-MBS USGA US N 2 2032-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291Q3N2 2998.49000000 PA USD 3068.19000000 0.000619231201 Long ABS-MBS USGA US N 2 2035-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NBX4 51495.70000000 PA USD 49581.06000000 0.010006596517 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GDBF8 1296.02000000 PA USD 1225.00000000 0.000247233131 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TZP3 3629.86000000 PA USD 3697.24000000 0.000746187937 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MY45 6183.72000000 PA USD 5953.81000000 0.001201615584 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294T4N2 14357.81000000 PA USD 15030.96000000 0.003033592908 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N UMBS, TBA N/A 01F0526A5 5000000.00000000 PA USD 4832815.00000000 0.975373050681 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390N3Z3 22129.78000000 PA USD 22308.55000000 0.004502377697 Long ABS-MBS USGSE US N 2 2032-07-01 Floating 6.00500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7390000.00000000 OU Notional Amount USD 393091.10000000 0.079334811161 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-07-28 100849.87000000 USD 0.00000000 USD 7390000.00000000 USD 292241.23000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LBBM9 318.44000000 PA USD 302.04000000 0.000060958608 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312945SX7 2868.37000000 PA USD 2711.19000000 0.000547180403 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7L46 25242.43000000 PA USD 23934.93000000 0.004830618530 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225DC85 134379.50000000 PA USD 130295.60000000 0.026296644266 Long ABS-MBS USGA US N 2 2034-07-20 Floating 2.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36201EMY3 1872.64000000 PA USD 1917.50000000 0.000386995534 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MFH7 3201.24000000 PA USD 3082.22000000 0.000622062777 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJM64 1703.53000000 PA USD 1615.29000000 0.000326002616 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294N7E2 9995.81000000 PA USD 10249.51000000 0.002068586493 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MMR7 9500.26000000 PA USD 9147.05000000 0.001846084748 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403YV83 218811.76000000 PA USD 219959.65000000 0.044392908656 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 4.72800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAZ4 11750000.00000000 PA USD 10644765.63000000 2.148358156959 Long DBT UST US N 1 2025-11-30 Fixed 0.37500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDW8 2210000.00000000 PA USD 1910096.10000000 0.385501257580 Long DBT UST US N 1 2029-01-31 Fixed 1.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPYD3 5449909.56000000 PA USD 5183438.96000000 1.046137017750 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHV38 1846500.56000000 PA USD 1756216.84000000 0.354444889135 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PND1 1315.34000000 PA USD 1348.72000000 0.000272202668 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B4PT7 42370.23000000 PA USD 43487.68000000 0.008776812501 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312945ZL5 1232.85000000 PA USD 1165.29000000 0.000235182282 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292LC77 3367.31000000 PA USD 3448.04000000 0.000695893654 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312941M53 1371.74000000 PA USD 1297.12000000 0.000261788603 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RP5 10000.00000000 PA USD 7395.31000000 0.001492543388 Long DBT UST US N 1 2045-11-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291YF36 441.53000000 PA USD 444.45000000 0.000089700216 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABLL4 980725.02000000 PA USD 790363.55000000 0.159513514775 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DUG5 2901733.79000000 PA USD 2219016.13000000 0.447848413860 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9C91 129644.17000000 PA USD 122591.48000000 0.024741775928 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 17930000.00000000 OU Notional Amount USD 537598.78000000 0.108499779546 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2047-07-28 292031.50000000 USD 0.00000000 USD 17930000.00000000 USD 245567.28000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294RFC8 7639.77000000 PA USD 7816.22000000 0.001577492692 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8A20 1618.30000000 PA USD 1530.26000000 0.000308841609 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PDV2 1348.08000000 PA USD 1382.11000000 0.000278941537 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225DEM2 132380.12000000 PA USD 128377.95000000 0.025909618458 Long ABS-MBS USGA US N 2 2034-08-20 Floating 2.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABJH6 576227.64000000 PA USD 465280.60000000 0.093904310064 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 2.50000000 N N N N N N UMBS, TBA N/A 01F0226B6 -9000000.00000000 PA USD -7147611.90000000 -1.44255222349 Short ABS-MBS USGSE US N 2 2053-11-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MTL3 1573.09000000 PA USD 1514.60000000 0.000305681062 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200MT60 1328.11000000 PA USD 1360.33000000 0.000274545833 Long ABS-MBS USGA US N 2 2035-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UQ54 1004240.85000000 PA USD 916869.89000000 0.185045399355 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KH3R5 520341.74000000 PA USD 482895.59000000 0.097459419567 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296J3U8 10214.86000000 PA USD 9835.06000000 0.001984940966 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404MEY0 22642.60000000 PA USD 22806.19000000 0.004602812877 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.22000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8BM5 2074.86000000 PA USD 1967.39000000 0.000397064482 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296ML23 3060.76000000 PA USD 2946.96000000 0.000594764203 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292KG67 4618.62000000 PA USD 4733.29000000 0.000955286620 Long ABS-MBS USGA US N 2 2036-02-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296K5E9 2479.48000000 PA USD 2387.46000000 0.000481844255 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294VCV0 1188.73000000 PA USD 1218.90000000 0.000246002011 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402TUP8 32716.84000000 PA USD 33101.05000000 0.006680552042 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312941XA0 2118.61000000 PA USD 2003.36000000 0.000404324054 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GEEY2 1479.21000000 PA USD 1398.15000000 0.000282178777 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBS9 11340000.00000000 PA USD 9787837.50000000 1.975410381310 Long DBT UST US N 1 2028-03-31 Fixed 1.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GDHH8 2601.65000000 PA USD 2459.09000000 0.000496300834 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36201XRL4 1471.75000000 PA USD 1499.30000000 0.000302593170 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XHY5 3399842.50000000 PA USD 3142421.01000000 0.634212724271 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294NCZ9 1544.60000000 PA USD 1558.72000000 0.000314585491 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291YK63 6072.95000000 PA USD 6228.74000000 0.001257102772 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RB81 69578.36000000 PA USD 69813.23000000 0.014089913047 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.31700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225DG24 111202.36000000 PA USD 107403.50000000 0.021676492778 Long ABS-MBS USGA US N 2 2034-10-20 Floating 2.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TWR6 3659.75000000 PA USD 3795.24000000 0.000765966588 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJMK3 1582.24000000 PA USD 1500.28000000 0.000302790957 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294SDH7 251.86000000 PA USD 254.43000000 0.000051349816 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292LCU6 2260.91000000 PA USD 2316.41000000 0.000467504733 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294YNL4 1558.04000000 PA USD 1575.20000000 0.000317911533 Long ABS-MBS USGA US N 2 2037-01-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MYJ2 6244.59000000 PA USD 6012.41000000 0.001213442410 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NDX2 148341.25000000 PA USD 142825.83000000 0.028825532432 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291YLR6 3824.69000000 PA USD 3914.16000000 0.000789967375 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K6VR8 1124.20000000 PA USD 1081.24000000 0.000218219062 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294SAU1 3363.44000000 PA USD 3478.87000000 0.000702115856 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L4RZ9 880.10000000 PA USD 834.73000000 0.000168467683 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GKM52 5240.33000000 PA USD 4952.83000000 0.000999594833 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0406A6 2000000.00000000 PA USD 1801945.20000000 0.363673922317 Long ABS-MBS USGA US N 2 2053-10-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UH62 3843992.52000000 PA USD 3705837.51000000 0.747923112608 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LT84 7583.90000000 PA USD 7301.93000000 0.001473697159 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDG3 5940000.00000000 PA USD 5321868.75000000 1.074075328357 Long DBT UST US N 1 2026-10-31 Fixed 1.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129366F9 2580.10000000 PA USD 2446.46000000 0.000493751809 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UEB4 167985.55000000 PA USD 161948.07000000 0.032684839599 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 5.00000000 N N N N N N UMBS, TBA N/A 01F0206B0 -20000000.00000000 PA USD -15226448.00000000 -3.07304687574 Short ABS-MBS USGSE US N 2 2053-11-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292HYS7 24211.18000000 PA USD 23312.60000000 0.004705018044 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TJ48 1257.76000000 PA USD 1288.28000000 0.000260004488 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UKZ4 1959388.99000000 PA USD 1885906.02000000 0.380619143920 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290VNF7 7420.25000000 PA USD 7601.33000000 0.001534122955 Long ABS-MBS USGA US N 2 2037-01-15 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 18070000.00000000 OU Notional Amount USD -758930.96000000 -0.15316969627 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2037-07-28 0.00000000 USD -245527.03000000 USD 18070000.00000000 USD -513403.93000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407E2H5 81599.70000000 PA USD 81226.91000000 0.016393455781 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.07500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292M3H3 4272.89000000 PA USD 4378.97000000 0.000883776707 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9VM2 229789.88000000 PA USD 214469.03000000 0.043284775450 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31300MAH6 79067.05000000 PA USD 79024.80000000 0.015949019413 Long ABS-MBS USGSE US N 2 2042-06-01 Floating 5.59400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NDY0 91663.22000000 PA USD 88261.19000000 0.017813135025 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9DF6 8083.15000000 PA USD 7640.22000000 0.001541971850 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6610000.00000000 OU Notional Amount USD -315950.73000000 -0.06376611299 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2037-08-11 0.00000000 USD -228406.17000000 USD 6610000.00000000 USD -87544.56000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QAJE1 216404.72000000 PA USD 201773.42000000 0.040722509802 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QASP6 273557.23000000 PA USD 254890.83000000 0.051442822960 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225DFS8 318268.65000000 PA USD 308670.46000000 0.062296787322 Long ABS-MBS USGA US N 2 2034-09-20 Floating 2.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294RS67 9352.59000000 PA USD 9572.74000000 0.001931998766 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292KSV9 3139.32000000 PA USD 3200.57000000 0.000645948525 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GESE1 3328.52000000 PA USD 3146.13000000 0.000634961283 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312932Z66 8255.06000000 PA USD 7827.47000000 0.001579763200 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TYW9 5332.08000000 PA USD 5426.76000000 0.001095244791 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312946EV4 6182.10000000 PA USD 5843.34000000 0.001179320201 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292LGU2 2414.08000000 PA USD 2470.55000000 0.000498613725 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TPS2 1597.70000000 PA USD 1637.14000000 0.000330412448 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133TAG22 70908.00000000 PA USD 71822.17000000 0.014495363273 Long ABS-MBS USGSE US N 2 2027-07-15 Fixed 7.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHZ7 5160000.00000000 PA USD 5162596.25000000 1.041930480227 Long DBT UST US N 1 2030-09-30 Fixed 4.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NFQ5 9265.38000000 PA USD 8920.89000000 0.001800440466 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TRU5 2116.75000000 PA USD 2157.38000000 0.000435408827 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295PUN0 3625.44000000 PA USD 3722.30000000 0.000751245621 Long ABS-MBS USGA US N 2 2037-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TXK0 4534.13000000 PA USD 4624.00000000 0.000933229388 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129354U0 2165.77000000 PA USD 2053.59000000 0.000414461621 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312931D70 3686.44000000 PA USD 3496.54000000 0.000705682068 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225DFP4 474603.35000000 PA USD 460252.20000000 0.092889463469 Long ABS-MBS USGA US N 2 2034-09-20 Floating 2.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292HYK4 1346.11000000 PA USD 1296.15000000 0.000261592835 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABD33 465410.25000000 PA USD 376672.67000000 0.076021194944 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HEJY9 138356.20000000 PA USD 132765.57000000 0.026795140934 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PE25 1775.14000000 PA USD 1819.95000000 0.000367307704 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NH26 2970.02000000 PA USD 2859.59000000 0.000577130931 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294QDK4 3045.71000000 PA USD 3123.84000000 0.000630462649 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJLM0 498.87000000 PA USD 473.03000000 0.000095468316 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294Q6Z9 5267.90000000 PA USD 5404.46000000 0.001090744139 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295JA48 2059.19000000 PA USD 2100.64000000 0.000423957392 Long ABS-MBS USGA US N 2 2037-09-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5FT5 982905.44000000 PA USD 917371.89000000 0.185146714484 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292L5H3 5490.21000000 PA USD 5614.55000000 0.001133145125 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294YMZ4 13594.84000000 PA USD 13943.59000000 0.002814136671 Long ABS-MBS USGA US N 2 2037-01-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M84D3 2652.17000000 PA USD 2507.89000000 0.000506149794 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GE7K0 1798.69000000 PA USD 1700.13000000 0.000343125276 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292DTP7 1550.08000000 PA USD 1595.43000000 0.000321994412 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PNG4 4902.43000000 PA USD 5028.19000000 0.001014804212 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413KBG5 83194.44000000 PA USD 87074.89000000 0.017573712442 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 7.50000000 N N N N N N UMBS, TBA N/A 01F0406A0 3000000.00000000 PA USD 2671873.80000000 0.539245491363 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31298FT36 3693.90000000 PA USD 3841.02000000 0.000775206043 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405PKH2 65497.60000000 PA USD 66285.31000000 0.013377897773 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 3.87700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QLPD7 265171.71000000 PA USD 267462.98000000 0.053980171545 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.08900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TXW0 117506.13000000 PA USD 110243.05000000 0.022249579177 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294T2N4 5456.69000000 PA USD 5581.91000000 0.001126557624 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PBV4 631.73000000 PA USD 646.13000000 0.000130403872 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QQWD3 1804912.56000000 PA USD 1804106.67000000 0.364110156600 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GES84 22157.00000000 PA USD 20942.86000000 0.004226750092 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABJ94 329258.85000000 PA USD 265863.25000000 0.053657309294 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407UK97 48465.66000000 PA USD 49284.40000000 0.009946723716 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 4.14300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312940M30 3427.41000000 PA USD 3240.96000000 0.000654100155 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.50000000 N N N N N N Goldman Sachs Financial Square Government Fund 549300BRJMXN4GUWZ402 38141W273 12550637.56000000 NS USD 12550637.56000000 2.533006880027 Long EC RF US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LYN5 20209.80000000 PA USD 19458.39000000 0.003927149956 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F0306A1 2000000.00000000 PA USD 1653516.40000000 0.333717581869 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385HJC7 3959.50000000 PA USD 3928.41000000 0.000792843352 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 4.51000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJMN7 3078.66000000 PA USD 2919.19000000 0.000589159580 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31394PP72 246648.26000000 PA USD 243129.70000000 0.049069156837 Long ABS-MBS USGSE US N 2 2034-02-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312941VC8 2637.91000000 PA USD 2494.41000000 0.000503429221 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CYN8 323135.43000000 PA USD 301691.90000000 0.060888353654 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312942E50 4134.28000000 PA USD 3909.37000000 0.000789000643 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296K5H2 20782.99000000 PA USD 20011.64000000 0.004038808511 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0306B5 -4000000.00000000 PA USD -3391033.60000000 -0.68438845422 Short ABS-MBS USGA US N 2 2053-11-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312941WK9 3341.87000000 PA USD 3160.07000000 0.000637774695 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406TLS8 33396.06000000 PA USD 33720.41000000 0.006805553113 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 5.09500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36213CZ29 1699.40000000 PA USD 1731.49000000 0.000349454444 Long ABS-MBS USGA US N 2 2035-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292GT96 1714.88000000 PA USD 1742.49000000 0.000351674497 Long ABS-MBS USGA US N 2 2036-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292LBM5 5496.12000000 PA USD 5604.21000000 0.001131058276 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405NU52 33279.96000000 PA USD 33564.28000000 0.006774042494 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 3.93500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GDS9 102067.56000000 PA USD 103195.20000000 0.020827161196 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 4.42500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M66W3 4779.04000000 PA USD 4600.54000000 0.000928494621 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294RBT5 4662.68000000 PA USD 4841.55000000 0.000977135974 Long ABS-MBS USGA US N 2 2037-05-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9NW9 265971.32000000 PA USD 248321.25000000 0.050116930849 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291Q6H2 1065.61000000 PA USD 1086.73000000 0.000219327070 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TQQ5 1743.94000000 PA USD 1793.52000000 0.000361973523 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LSQ5 925.23000000 PA USD 890.83000000 0.000179789951 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXNP1 490.77000000 PA USD 472.02000000 0.000095264475 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294RUN7 8676.46000000 PA USD 8886.96000000 0.001793592613 Long ABS-MBS USGA US N 2 2037-03-15 Fixed 6.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -461.00000000 NC USD 933979.33000000 0.188498477259 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year U.S. Treasury Notes TYZ3 Comdty 2023-12-19 -50736385.58000000 USD 933979.33000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294Q6D8 3914.22000000 PA USD 4010.85000000 0.000809481637 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBP5 11010000.00000000 PA USD 9472900.84000000 1.911848930926 Long DBT UST US N 1 2028-02-29 Fixed 1.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312936NA1 3660.69000000 PA USD 3471.07000000 0.000700541637 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129316G8 13228.25000000 PA USD 12543.06000000 0.002531477554 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AXBQ3 134945.42000000 PA USD 127363.95000000 0.025704969972 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312939EX5 1425.21000000 PA USD 1347.68000000 0.000271992772 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MQ28 35478.33000000 PA USD 34159.22000000 0.006894115048 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294P5Q2 14703.15000000 PA USD 15266.85000000 0.003081200927 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6KS9 421390.03000000 PA USD 383775.37000000 0.077454682915 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UPC0 28698.93000000 PA USD 27667.48000000 0.005583932836 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129413L9 1667.53000000 PA USD 1576.82000000 0.000318238487 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABDR0 1598377.69000000 PA USD 1293622.53000000 0.261082734082 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDH1 27195000.00000000 PA USD 25825689.33000000 5.212217183517 Long DBT UST US N 1 2024-11-15 Fixed 0.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294V3W8 5480.41000000 PA USD 5669.86000000 0.001144307954 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1188.00000000 NC USD -610616.35000000 -0.12323640199 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUZ3 Comdty 2023-12-29 241412647.01000000 USD -610616.35000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294T4B8 12191.31000000 PA USD 12691.43000000 0.002561422027 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295AD51 3674.07000000 PA USD 3785.71000000 0.000764043215 Long ABS-MBS USGA US N 2 2037-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292K6T8 7582.33000000 PA USD 7731.44000000 0.001560382141 Long ABS-MBS USGA US N 2 2036-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TZN8 8059.02000000 PA USD 8392.31000000 0.001693760884 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UCC4 603787.76000000 PA USD 566090.15000000 0.114249992306 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294N7H5 19802.86000000 PA USD 20308.17000000 0.004098655075 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292L5P5 4318.68000000 PA USD 4415.83000000 0.000891215901 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409JYV6 151318.49000000 PA USD 153917.84000000 0.031064154774 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 6.16000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K7NM6 183.65000000 PA USD 176.63000000 0.000035647990 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402MQC7 132197.86000000 PA USD 134284.19000000 0.027101633325 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 5.97000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PDW0 1928.58000000 PA USD 1966.51000000 0.000396886878 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294S4W4 4962.23000000 PA USD 5090.20000000 0.001027319254 Long ABS-MBS USGA US N 2 2037-08-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359MEU3 5200000.00000000 PA USD 5586412.00000000 1.127466231338 Long DBT USGSE US N 2 2029-05-15 Fixed 6.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294THG3 378.94000000 PA USD 388.61000000 0.000078430422 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312930XX3 19339.68000000 PA USD 18343.41000000 0.003702121387 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294NZL5 2219.93000000 PA USD 2262.19000000 0.000456561892 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7CC8 964.04000000 PA USD 914.38000000 0.000184542882 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294QAB7 4369.85000000 PA USD 4475.87000000 0.000903333352 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312938K51 1501.13000000 PA USD 1423.37000000 0.000287268753 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WR34 4190259.60000000 PA USD 3562027.39000000 0.718898927849 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292LHH1 8450.35000000 PA USD 7987.30000000 0.001612020565 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VBK5 717120.62000000 PA USD 691190.56000000 0.139498127925 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGD7 19070000.00000000 PA USD 18809277.44000000 3.796144134996 Long DBT UST US N 1 2024-12-31 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290XDT4 3524.22000000 PA USD 3612.21000000 0.000729026930 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312938M26 1100.65000000 PA USD 1043.64000000 0.000210630518 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129382N2 1404.11000000 PA USD 1331.38000000 0.000268703058 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0606A4 1000000.00000000 PA USD 990933.80000000 0.199993197242 Long ABS-MBS USGA US N 2 2053-10-20 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGU9 32950000.00000000 PA USD 32292287.03000000 6.517325102232 Long DBT UST US N 1 2025-03-31 Fixed 3.87500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 14630000.00000000 OU Notional Amount USD -386528.99000000 -0.07801042666 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2038-05-10 0.00000000 USD -98805.80000000 USD 14630000.00000000 USD -287723.19000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292HYA6 4399.72000000 PA USD 4236.43000000 0.000855008861 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294QVQ1 2514.66000000 PA USD 2552.16000000 0.000515084497 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -774.00000000 NC USD 694978.19000000 0.140262558640 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 5 Year U.S. Treasury Notes FVZ3 Comdty 2023-12-29 -82218946.94000000 USD 694978.19000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MMY2 12030.50000000 PA USD 11583.20000000 0.002337755763 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292K2A4 2711.36000000 PA USD 2563.86000000 0.000517445826 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MGV5 9727.41000000 PA USD 9365.74000000 0.001890221412 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200GCU8 2007.85000000 PA USD 2055.41000000 0.000414828939 Long ABS-MBS USGA US N 2 2036-01-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312931EM6 11665.15000000 PA USD 11060.92000000 0.002232347665 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225DAZ7 53771.82000000 PA USD 52602.80000000 0.010616453042 Long ABS-MBS USGA US N 2 2034-05-20 Floating 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9VK6 2410446.74000000 PA USD 2256513.68000000 0.455416280566 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225B7J1 2549.34000000 PA USD 2632.20000000 0.000531238407 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6T65 71609.76000000 PA USD 67918.10000000 0.013707432292 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TWX3 3165.89000000 PA USD 3264.09000000 0.000658768320 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCF6 11760000.00000000 PA USD 10559193.81000000 2.131087798560 Long DBT UST US N 1 2026-05-31 Fixed 0.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQK88 947707.64000000 PA USD 941657.47000000 0.190048102236 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3527368.00000000 OU Notional Amount USD 327987.73000000 0.066195456022 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2052-08-11 71963.12000000 USD 0.00000000 USD 3527368.00000000 USD 256024.61000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TMK8 4462.16000000 PA USD 4576.63000000 0.000923669034 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMKH7 417717.18000000 PA USD 377412.86000000 0.076170582284 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UGE6 3528.76000000 PA USD 3401.93000000 0.000686587597 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292L6P4 3910.26000000 PA USD 4008.43000000 0.000808993226 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXC32 1369.43000000 PA USD 1317.10000000 0.000265821026 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GGEW1 3330.86000000 PA USD 3148.34000000 0.000635407312 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0526A1 11000000.00000000 PA USD 10675538.50000000 2.154568828812 Long ABS-MBS USGA US N 2 2053-10-20 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200RDN9 1941.58000000 PA USD 1980.06000000 0.000399621579 Long ABS-MBS USGA US N 2 2035-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TYH2 6081.98000000 PA USD 6235.51000000 0.001258469114 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJA0 5110000.00000000 PA USD 5112923.02000000 1.031905281687 Long DBT UST US N 1 2028-09-30 Fixed 4.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312934TN2 3265.88000000 PA USD 3096.71000000 0.000624987192 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294NMW5 11612.76000000 PA USD 11879.24000000 0.002397503434 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TE35 2253873.94000000 PA USD 2129352.59000000 0.429752252400 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312933WQ3 165220.38000000 PA USD 156662.34000000 0.031618057900 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NBZ9 24750.78000000 PA USD 23830.53000000 0.004809548212 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QQGB5 3763508.42000000 PA USD 3665653.44000000 0.739813044471 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGZ8 4910000.00000000 PA USD 4595453.13000000 0.927467974394 Long DBT UST US N 1 2030-04-30 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9330000.00000000 OU Notional Amount USD -150059.05000000 -0.03028536233 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-07-31 9676.03000000 USD 0.00000000 USD 9330000.00000000 USD -159735.08000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0226A4 -3000000.00000000 PA USD -2451425.70000000 -0.49475400228 Short ABS-MBS USGA US N 2 2053-10-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MUC1 134.06000000 PA USD 129.08000000 0.000026051308 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312931GB8 842.83000000 PA USD 799.17000000 0.000161290858 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296W5V5 585.00000000 PA USD 563.29000000 0.000113684857 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294RSW0 761.93000000 PA USD 777.27000000 0.000156870935 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294T3L7 2651.14000000 PA USD 2718.79000000 0.000548714257 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409DVL4 368620.14000000 PA USD 373785.17000000 0.075438431134 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 4.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJZE6 1852097.90000000 PA USD 1846061.91000000 0.372577687518 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291YL47 1714.18000000 PA USD 1744.62000000 0.000352104380 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TNV7 3172.71000000 PA USD 3249.23000000 0.000655769231 Long ABS-MBS USGA US N 2 2036-02-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NJN8 7165.75000000 PA USD 6899.32000000 0.001392441216 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620C06T0 3648.55000000 PA USD 3717.44000000 0.000750264761 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TY45 15412.10000000 PA USD 15788.22000000 0.003186425366 Long ABS-MBS USGA US N 2 2036-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291YKN6 3030.94000000 PA USD 3106.61000000 0.000626985240 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NBW6 2269.29000000 PA USD 2185.06000000 0.000440995287 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36201XRM2 1343.65000000 PA USD 1377.01000000 0.000277912240 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416QZ40 55769.48000000 PA USD 52804.65000000 0.010657191007 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294N3K2 1847.03000000 PA USD 1881.31000000 0.000379691561 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHE4 5360000.00000000 PA USD 5137225.00000000 1.036809979336 Long DBT UST US N 1 2028-05-31 Fixed 3.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294N6L7 40274.18000000 PA USD 42273.16000000 0.008531694474 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292HCB7 3686.50000000 PA USD 3773.81000000 0.000761641522 Long ABS-MBS USGA US N 2 2035-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UUM2 479039.62000000 PA USD 461822.70000000 0.093206426435 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294SDJ3 1925.52000000 PA USD 2004.61000000 0.000404576333 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBZ3 11090000.00000000 PA USD 9547796.88000000 1.926964671756 Long DBT UST US N 1 2028-04-30 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHMF1 11815052.99000000 PA USD 10974690.81000000 2.214944634884 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TSJ5 49787.88000000 PA USD 46928.30000000 0.009471208629 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294T3G8 5816.40000000 PA USD 5964.02000000 0.001203676197 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31300MS46 645584.94000000 PA USD 648085.87000000 0.130798611601 Long ABS-MBS USGSE US N 2 2044-11-01 Floating 5.04600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NG43 2538.29000000 PA USD 2443.91000000 0.000493237161 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312941GA9 5933.65000000 PA USD 5610.86000000 0.001132400399 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294RPG8 3047.20000000 PA USD 3117.58000000 0.000629199237 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359MFJ7 16080000.00000000 PA USD 18073598.40000000 3.647667210146 Long DBT USGSE US N 2 2030-01-15 Fixed 7.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PAV5 2776.75000000 PA USD 2832.65000000 0.000571693820 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292M3D2 1094.85000000 PA USD 1123.08000000 0.000226663335 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0506A5 3000000.00000000 PA USD 2843661.90000000 0.573916274988 Long ABS-MBS USGA US N 2 2053-10-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K7MY1 2526.48000000 PA USD 2429.93000000 0.000490415676 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UH54 1650606.46000000 PA USD 1546003.07000000 0.312018922874 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200GGA8 1856.59000000 PA USD 1902.42000000 0.000383952044 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294RSZ3 1525.41000000 PA USD 1552.99000000 0.000313429045 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRXJ7 1893602.72000000 PA USD 1833123.89000000 0.369966497965 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K7UX4 8655.17000000 PA USD 8323.84000000 0.001679942065 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K7ZU5 814.69000000 PA USD 783.56000000 0.000158140402 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312946PD2 6109.53000000 PA USD 5774.75000000 0.001165477164 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179U6Y3 69296.02000000 PA USD 66680.97000000 0.013457751048 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 5.00000000 N N N N N N UMBS, TBA N/A 01F0606A8 22000000.00000000 PA USD 21715535.60000000 4.382693772751 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LXG1 6447.53000000 PA USD 6207.81000000 0.001252878617 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PBX0 4752.60000000 PA USD 4872.57000000 0.000983396522 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202TQH2 10972.86000000 PA USD 11192.06000000 0.002258814729 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDS7 29330000.00000000 PA USD 27800486.25000000 5.610776552402 Long DBT UST US N 1 2025-01-15 Fixed 1.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7VD5 626.61000000 PA USD 603.21000000 0.000121741630 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128283F5 12630000.00000000 PA USD 11486393.03000000 2.318217893919 Long DBT UST US N 1 2027-11-15 Fixed 2.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312930QZ6 776.31000000 PA USD 736.32000000 0.000148606285 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291Q6N9 3163.64000000 PA USD 3243.50000000 0.000654612785 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9BZ4 24750.96000000 PA USD 23394.68000000 0.004721583673 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AS2U2 13950000.00000000 PA USD 12329289.00000000 2.488333657437 Long DBT USGSE US N 2 2032-06-11 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312933AQ7 3303.03000000 PA USD 3131.94000000 0.000632097415 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294SST5 4312.80000000 PA USD 4421.07000000 0.000892273454 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABGK2 921961.52000000 PA USD 748480.35000000 0.151060523184 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NBQ9 19088.98000000 PA USD 18379.24000000 0.003709352703 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297TW66 735.90000000 PA USD 707.78000000 0.000142846257 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312932Z74 451.27000000 PA USD 427.90000000 0.000086360046 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200JM64 1528.01000000 PA USD 1558.77000000 0.000314595582 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABLX8 479452.55000000 PA USD 386689.13000000 0.078042746596 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0426A2 3000000.00000000 PA USD 2770992.00000000 0.559249820333 Long ABS-MBS USGA US N 2 2049-10-21 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294T2R5 5490.64000000 PA USD 5732.68000000 0.001156986472 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294Q6X4 2608.13000000 PA USD 2675.04000000 0.000539884503 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294XCV6 25677.07000000 PA USD 26352.95000000 0.005318630495 Long ABS-MBS USGA US N 2 2037-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312934SC7 7055.04000000 PA USD 6689.61000000 0.001350116922 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292LDV3 4985.55000000 PA USD 5111.40000000 0.001031597901 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXAE0 607.90000000 PA USD 584.67000000 0.000117999832 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJL57 4739.03000000 PA USD 4493.56000000 0.000906903600 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291Y3D7 2442.39000000 PA USD 2498.07000000 0.000504167893 Long ABS-MBS USGA US N 2 2035-08-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LSV4 50093.72000000 PA USD 48231.20000000 0.009734163770 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LCD1 1910.95000000 PA USD 1839.90000000 0.000371334072 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEQ0 31947300.00000000 PA USD 30729309.19000000 6.201880280953 Long DBT UST US N 1 2025-05-15 Fixed 2.75000000 N N N N N N UMBS, TBA N/A 01F0426B4 -8000000.00000000 PA USD -7350308.80000000 -1.48346111276 Short ABS-MBS USGSE US N 2 2053-11-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PNA7 7466.21000000 PA USD 7656.73000000 0.001545303947 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411DUP2 8653.12000000 PA USD 8817.87000000 0.001779648664 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 4.18500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200QXE9 534.72000000 PA USD 541.20000000 0.000109226588 Long ABS-MBS USGA US N 2 2036-01-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133TCC63 67526.76000000 PA USD 68255.99000000 0.013775626253 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312939CA7 1707.46000000 PA USD 1619.02000000 0.000326755416 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202VRZ6 4032.23000000 PA USD 4128.32000000 0.000833189781 Long ABS-MBS USGA US N 2 2036-01-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200C5K7 2162.68000000 PA USD 2217.57000000 0.000447556551 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABE81 973933.56000000 PA USD 784890.33000000 0.158408893289 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294RGB9 4058.65000000 PA USD 4161.10000000 0.000839805538 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294P5V1 812.73000000 PA USD 833.36000000 0.000168191185 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290VKU7 15602.08000000 PA USD 15953.07000000 0.003219695881 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MLP2 28532.96000000 PA USD 27473.98000000 0.005544880093 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LAM3 6021.04000000 PA USD 5797.17000000 0.001170002035 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200GDB9 2858.52000000 PA USD 2928.28000000 0.000590994150 Long ABS-MBS USGA US N 2 2035-11-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MM22 17523.56000000 PA USD 16872.02000000 0.003405161095 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329PHP1 344090.38000000 PA USD 321256.27000000 0.064836892808 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312933G57 29850.05000000 PA USD 28303.89000000 0.005712374989 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJL24 43602.10000000 PA USD 41343.61000000 0.008344089937 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K8AJ5 1597.65000000 PA USD 1536.60000000 0.000310121167 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294QAR2 1451.15000000 PA USD 1478.78000000 0.000298451763 Long ABS-MBS USGA US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36213CYM6 1776.74000000 PA USD 1817.78000000 0.000366869748 Long ABS-MBS USGA US N 2 2035-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PA60 6184.56000000 PA USD 6406.92000000 0.001293063588 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GE3J7 2203.70000000 PA USD 2082.94000000 0.000420385125 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XFH4 2869697.10000000 PA USD 2654821.50000000 0.535803945623 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294QAX9 4259.02000000 PA USD 4342.78000000 0.000876472734 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ABDT7 528180.79000000 PA USD 550878.78000000 0.111179988516 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6JR3 3361752.06000000 PA USD 3061548.95000000 0.617890885368 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294PJ38 448.25000000 PA USD 463.00000000 0.000093444032 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291QYE8 845.06000000 PA USD 861.68000000 0.000173906812 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292LHC2 81323.73000000 PA USD 76867.42000000 0.015513610585 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QSVG8 25606.50000000 PA USD 25938.34000000 0.005234952675 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 5.51500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312932MW3 3290.88000000 PA USD 3120.42000000 0.000629772415 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312938EM1 3269.87000000 PA USD 3100.46000000 0.000625744028 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290TUN7 9070.38000000 PA USD 9446.01000000 0.001906421741 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294V4Q0 4858.31000000 PA USD 5046.14000000 0.001018426934 Long ABS-MBS USGA US N 2 2036-12-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MFJ3 829.46000000 PA USD 798.62000000 0.000161179855 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MGK9 5014.48000000 PA USD 4828.04000000 0.000974409346 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ANZG1 169551.68000000 PA USD 162375.34000000 0.032771072497 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBP7 15050784.18000000 PA USD 11486290.11000000 2.318197122299 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312940RF8 7662.02000000 PA USD 7245.20000000 0.001462247743 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GDEC2 7577.02000000 PA USD 7161.82000000 0.001445419744 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LBN0 29206.66000000 PA USD 28120.74000000 0.005675411113 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179USW3 12589.48000000 PA USD 12137.01000000 0.002449527339 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291YL88 4589.28000000 PA USD 4725.98000000 0.000953811294 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TA47 1047.70000000 PA USD 1062.96000000 0.000214529738 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GGHW8 108750.37000000 PA USD 102791.16000000 0.020745616646 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CFQ9 11965000.00000000 PA USD 11829459.04000000 2.387456493112 Long DBT UST US N 1 2024-10-31 Fixed 4.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312941WJ2 680.23000000 PA USD 643.23000000 0.000129818585 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F0506A9 5000000.00000000 PA USD 4718167.00000000 0.952234451435 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JPHF0 117796.80000000 PA USD 118649.66000000 0.023946226130 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 4.93700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312940A41 7849.26000000 PA USD 7422.26000000 0.001497982517 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UCD2 4413472.71000000 PA USD 4257608.71000000 0.859283211975 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294P7G2 9082.69000000 PA USD 9309.45000000 0.001878860797 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GM26 277260.99000000 PA USD 280284.11000000 0.056567770011 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 5.29100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LYL9 29999.39000000 PA USD 28883.99000000 0.005829452491 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MKF5 3743.41000000 PA USD 3604.23000000 0.000727416383 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292MDS8 15447.77000000 PA USD 15811.39000000 0.003191101604 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MF95 120844.58000000 PA USD 116359.51000000 0.023484021268 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294TZ81 6453.63000000 PA USD 6614.75000000 0.001335008455 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36290VKV5 1948.07000000 PA USD 1983.92000000 0.000400400615 Long ABS-MBS USGA US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291YKJ5 2905.19000000 PA USD 2975.67000000 0.000600558541 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294N4W5 26235.97000000 PA USD 26879.95000000 0.005424991197 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292DTR3 764.78000000 PA USD 782.67000000 0.000157960779 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UKY7 330885.92000000 PA USD 309709.98000000 0.062506586330 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129345T5 2173.05000000 PA USD 2060.49000000 0.000415854200 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414NHM9 42653.03000000 PA USD 40408.19000000 0.008155300700 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MME6 1221.38000000 PA USD 1175.97000000 0.000237337751 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RG5 410000.00000000 PA USD 327167.19000000 0.066029852206 Long DBT UST US N 1 2044-05-15 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296MPG8 1095.17000000 PA USD 1054.45000000 0.000212812225 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312938S38 5256.90000000 PA USD 4984.60000000 0.001006006749 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N 2023-11-21 GOLDMAN SACHS TRUST Peter Fortner Peter Fortner Vice President