0001752724-20-078254.txt : 20200424
0001752724-20-078254.hdr.sgml : 20200424
20200424123240
ACCESSION NUMBER: 0001752724-20-078254
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200229
FILED AS OF DATE: 20200424
PERIOD START: 20200831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Cavanal Hill Funds
CENTRAL INDEX KEY: 0000864508
IRS NUMBER: 000000000
STATE OF INCORPORATION: OH
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06114
FILM NUMBER: 20813727
BUSINESS ADDRESS:
STREET 1: 4400 EASTON COMMONS #200
CITY: COLUMBUS
STATE: OH
ZIP: 43219
BUSINESS PHONE: 800-762-7085
MAIL ADDRESS:
STREET 1: 4400 EASTON COMMONS #200
CITY: COLUMBUS
STATE: OH
ZIP: 43219
FORMER COMPANY:
FORMER CONFORMED NAME: AMERICAN PERFORMANCE FUNDS
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: AMERICAN PLUS FUNDS
DATE OF NAME CHANGE: 19900910
0000864508
S000008938
Limited Duration Fund
C000024285
Investor
APSTX
C000024286
Institutional
AISTX
C000102307
Class A
AASTX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000864508
XXXXXXXX
S000008938
C000102307
C000024285
C000024286
Cavanal Hill Funds
811-06114
0000864508
5493008U4I3BDPVDR774
4400 Easton Commons, Suite 200
Columbus
43219
800-762-7085
Limited Duration Fund
S000008938
549300E9XGUQJ2M47608
2020-08-31
2020-02-29
N
124128627.80
298876.86
123829750.94
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
22568.59000000
USD
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136A3XT3
46751.98000000
PA
USD
47603.60000000
0.038442781026
Long
ABS-MBS
USGSE
US
N
2
2041-05-25
Fixed
2.50000000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP.
22540VR20
56548.45400000
PA
USD
25040.94000000
0.020222070875
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Fixed
7.50000000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST
362341WA3
26347.74100000
PA
USD
19106.11000000
0.015429337340
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
6.00000000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP.
2254W0BZ7
110980.92000000
PA
USD
115350.88000000
0.093152799811
Long
ABS-MBS
CORP
US
N
2
2032-12-25
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136ACYK1
428737.77000000
PA
USD
434821.43000000
0.351144556699
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
2.00000000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERT
92922FWU8
8928.01900000
PA
USD
8896.48000000
0.007184444717
Long
ABS-MBS
CORP
US
N
2
2044-07-25
Floating
2.46675000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST
92537LAA0
1477824.79000000
PA
USD
1504913.91000000
1.215308840223
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Fixed
4.14800000
N
N
N
N
N
N
FIRST HORIZON MORTGAGE PASS-THROUGH TRUST
N/A
FIRST HORIZON MORTGAGE PASS-THROUGH TRUST
32051GTX3
12106.70600000
PA
USD
12010.68000000
0.009699349234
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
4.07336000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST
36242DH55
36351.97700000
PA
USD
37198.29000000
0.030039864990
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
3.79502000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST
89173HAA4
1586308.95000000
PA
USD
1611711.15000000
1.301554059315
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.75000000
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST
N/A
SAXON ASSET SECURITIES TRUST
805564PB1
5936.30800000
PA
USD
6002.97000000
0.004847760699
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Fixed
5.53600000
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIZATION TRUST (CWMBS)
N/A
RESIDENTIAL ASSET SECURITIES CORP.
76112HAE7
44823.83300000
PA
USD
26621.93000000
0.021498815751
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.00000000
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORPORATION
N/A
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN
86359BGB1
3336.41900000
PA
USD
3457.50000000
0.002792139993
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
4.13957000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
38378CGT8
1385.35000000
PA
USD
1383.66000000
0.001117388987
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
3.00000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST
46647SAJ9
1278687.20200000
PA
USD
1308274.75000000
1.056510846600
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Variable
3.50000000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
12667FSH9
72874.05100000
PA
USD
74882.94000000
0.060472495043
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
7.00000000
N
N
N
N
N
N
RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED
N/A
RESIDENTIAL FUNDING MORTGAGE SECURITIES I
76111JZ72
14750.27100000
PA
USD
15251.03000000
0.012316127492
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC
312914VY7
896.97000000
PA
USD
945.97000000
0.000763927887
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136A5HW9
241366.27000000
PA
USD
244859.20000000
0.197738587166
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Fixed
2.00000000
N
N
N
N
N
N
NOMURA ASSET SECURITIES CORPORATION
N/A
NOMURA ASSET ACCEPTANCE CORP.
65535VMX3
1067983.03500000
PA
USD
1077557.72000000
0.870192915531
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.32502000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST
81747DAK5
607370.63000000
PA
USD
614524.24000000
0.496265425178
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
4.00000000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
12667GNS8
20000.83900000
PA
USD
17016.63000000
0.013741956089
Long
ABS-MBS
CORP
US
N
2
2035-07-20
Floating
3.27583000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FNMA
31373TZL7
3828.53000000
PA
USD
3890.20000000
0.003141571367
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Floating
3.69000000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
31281BD64
14329.19000000
PA
USD
15090.12000000
0.012186182953
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.00000000
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LOAN TRUST
N/A
NEW CENTURY HOME EQUITY LOAN TRUST
64352VMN8
694065.90000000
PA
USD
709013.23000000
0.572570989296
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.03500000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137AKAS0
217434.45000000
PA
USD
220222.33000000
0.177842827210
Long
ABS-MBS
USGSE
US
N
2
2039-05-15
Fixed
2.00000000
N
N
N
N
N
N
GEORGIA ST
N/A
GEORGIA ST BAB-SER H
373384NZ5
1175000.00000000
PA
USD
1294391.75000000
1.045299485926
Long
DBT
MUN
US
N
2
2025-11-01
Fixed
4.50300000
N
N
N
N
N
N
GMACM MORTGAGE LOAN TRUST
N/A
GMAC MORTGAGE CORPORATION LOAN TRUST
36185MBL5
67645.20400000
PA
USD
65072.49000000
0.052549964371
Long
ABS-MBS
CORP
US
N
2
2035-11-19
Variable
3.89420000
N
N
N
N
N
N
FLAGSTAR MORTGAGE TRUST
N/A
FLAGSTAR MORTGAGE TRUST
33850BAE7
2624947.48000000
PA
USD
2706977.09000000
2.186047431615
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Variable
3.50000000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP.
22541NPC7
42192.33000000
PA
USD
20986.25000000
0.016947663902
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Variable
4.08938000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY NOTE
912828YB0
6050000.00000000
PA
USD
6321068.37000000
5.104644337904
Long
DBT
UST
US
N
2
2029-08-15
Fixed
1.62500000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136AFTK0
190514.01000000
PA
USD
195749.91000000
0.158079870559
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
2.25000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST, INC.
17307GGY8
101745.79000000
PA
USD
110800.12000000
0.089477786363
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
6.75000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST, INC.
17307GPF9
1218.02100000
PA
USD
1224.81000000
0.000989108021
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
5.01000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE
31359KTH0
1000.00000000
PA
USD
1102.86000000
0.000890626034
Long
ABS-MBS
USGSE
US
N
2
2026-09-25
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137BFC25
308016.33000000
PA
USD
313563.43000000
0.253221400850
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137AXGC1
193561.19000000
PA
USD
197063.60000000
0.159140754547
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
1.50000000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
12668AC60
18473.30600000
PA
USD
16803.62000000
0.013569937654
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36202K2W4
1077.71000000
PA
USD
1086.00000000
0.000877010566
Long
ABS-MBS
USGA
US
N
2
2021-12-20
Floating
3.12500000
N
N
N
N
N
N
EVERBANK MORTGAGE LOAN TRUST
N/A
EVERBANK MORTGAGE LOAN TRUST
29978CAD2
1428431.69000000
PA
USD
1465928.02000000
1.183825380308
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Fixed
3.50000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2018-1
92536FAA4
1838926.63000000
PA
USD
1839205.96000000
1.485269853196
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Fixed
2.92900000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
J.P. MORGAN MORTGAGE TRUST 2019-2
46650TAF9
885245.20000000
PA
USD
892437.82000000
0.720697419824
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
4.00000000
N
N
N
N
N
N
THORNBURG MORTGAGE SECURITIES TRUST
N/A
THORNBURG MORTGAGE SECURITIES TRUST
88522YAC3
141217.13000000
PA
USD
141713.55000000
0.114442247460
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
4.00814000
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TRUST
N/A
INDYMAC INDX MORTGAGE LOAN TRUST 2006-AR13
45661XAA0
28969.74900000
PA
USD
25096.88000000
0.020267245802
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
3.69735000
N
N
N
N
N
N
DEUTSCHE ALT-A SECURITIES, INC
N/A
DEUTSCHE ALT-A SECURITIES, INC.
251510CG6
9382.68500000
PA
USD
9475.52000000
0.007652054476
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.32000000
N
N
N
N
N
N
STRUCTURED ASSET MORTGAGE INVESTORS
N/A
STRUCTURED ASSET MORTGAGE INVESTMENTS, INC.
86359LPY9
9532.85600000
PA
USD
9957.78000000
0.008041508542
Long
ABS-MBS
CORP
US
N
2
2035-12-27
Variable
3.81246000
N
N
N
N
N
N
IMC HOME EQUITY LOAN TRUST
N/A
IMC HOME EQUITY LOAN TRUST
449670EB0
167.66600000
PA
USD
168.98000000
0.000136461552
Long
ABS-MBS
CORP
US
N
2
2029-06-20
Fixed
6.52000000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200
93362FAA1
1940.64300000
PA
USD
1937.09000000
0.001564317125
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Variable
3.87802000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST
89175JAA8
1021058.87000000
PA
USD
1046812.94000000
0.845364649491
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137AERH0
508813.10000000
PA
USD
523090.19000000
0.422426909550
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36202KAY1
1916.32000000
PA
USD
1947.85000000
0.001573006474
Long
ABS-MBS
USGA
US
N
2
2023-01-20
Floating
4.00000000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANKOF AMERICA MORTGAGE SECURITIES
05950TAC9
6251.43700000
PA
USD
6088.71000000
0.004917000925
Long
ABS-MBS
CORP
US
N
2
2046-11-20
Variable
3.87649000
N
N
N
N
N
N
MORGAN STANLEY DEAN WITTER CAPITAL I INC
N/A
MORGAN STANLEY MORTGAGE LOAN TRUST
61748HBN0
17365.60700000
PA
USD
17612.60000000
0.014223237845
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.58977000
N
N
N
N
N
N
Freddie Mac
N/A
FHLMC STRUCTURED PASS THROUGH SECURITIES
31396HZN2
446259.42000000
PA
USD
457699.55000000
0.369620019846
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Variable
3.68621000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC
312910B68
721.10000000
PA
USD
763.59000000
0.000616645026
Long
ABS-MBS
USGSE
US
N
2
2022-07-15
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORPORATION
3137ARVC7
749350.62000000
PA
USD
757366.57000000
0.611619230637
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Fixed
2.00000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST
17323GAA6
1911054.88000000
PA
USD
1915977.18000000
1.547267248343
Long
ABS-MBS
CORP
US
N
2
2054-02-25
Variable
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136B3LV0
2476571.82000000
PA
USD
2551722.15000000
2.060669694180
Long
ABS-MBS
USGSE
US
N
2
2048-11-25
Fixed
3.00000000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RALI SERIES 2006-QA1 TRUST
761118TB4
24061.33200000
PA
USD
21715.41000000
0.017536504624
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
4.67344000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE WHOLE LOAN
31393T4J2
715194.30000000
PA
USD
785753.65000000
0.634543511583
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Floating
4.5401124
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY NOTE
912828YM6
17925000.00000000
PA
USD
18400432.66000000
14.85946028343
Long
DBT
UST
US
N
2
2024-10-31
Fixed
1.50000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC
02209SBC6
2150000.00000000
PA
USD
2405642.91000000
1.942701888470
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
23245LAB6
153287.57000000
PA
USD
106886.07000000
0.086316954680
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136AJAV8
549918.76000000
PA
USD
572147.74000000
0.462043842983
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Fixed
3.00000000
N
N
N
N
N
N
ACCESS GROUP, INC.
N/A
ACCESSLEX INSTITUTE
00432CDS7
1820048.41000000
PA
USD
1597698.56000000
1.290238046892
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.19413000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORPORATION
3137B2JG6
1003522.32000000
PA
USD
1009418.21000000
0.815166147341
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
1.50000000
N
N
N
N
N
N
CHASEFLEX TRUST
N/A
CHASEFLEX TRUST
16165TAJ2
15177.11600000
PA
USD
13773.16000000
0.011122658242
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
5.50000000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP.
2254W0FJ9
23867.04600000
PA
USD
24732.96000000
0.019973358431
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Fixed
7.00000000
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIZATION TRUST (CWMBS)
N/A
RESIDENTIAL ASSET SECURITIES CORP.
76114HAK1
33140.74600000
PA
USD
28312.99000000
0.022864448797
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST
N/A
HARBORVIEW MORTGAGE LOAN TRUST
41161PWU3
9910.68100000
PA
USD
9862.73000000
0.007964749928
Long
ABS-MBS
CORP
US
N
2
2035-12-19
Variable
4.34757000
N
N
N
N
N
N
MASTR ADJUSTABLE RATE MORTGAGE TRUST
N/A
MASTR ADJUSTABLE RATE MORTGAGES TRUST 2004-13
576433UE4
29200.07300000
PA
USD
29929.31000000
0.024169724781
Long
ABS-MBS
CORP
US
N
2
2034-04-21
Variable
4.57549000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST
36228FPF7
53213.33000000
PA
USD
53304.85000000
0.043046884610
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Fixed
4.50000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST
89173FAA8
831354.20000000
PA
USD
848610.95000000
0.685304576289
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST
92536KAA3
719325.18000000
PA
USD
718605.85000000
0.580317609092
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Fixed
2.69000000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC .
3129072D9
265.98000000
PA
USD
268.45000000
0.000216789582
Long
ABS-MBS
USGSE
US
N
2
2021-11-15
Fixed
7.00000000
N
N
N
N
N
N
PRIME MORTGAGE TRUST
N/A
PRIME MORTGAGE TRUST
74160MHL9
2427.80200000
PA
USD
2421.27000000
0.001955321707
Long
ABS-MBS
CORP
US
N
2
2020-07-25
Fixed
5.25000000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RESIDENTIAL ACCREDIT LOANS, INC.
76110HYF0
252.95900000
PA
USD
252.20000000
0.000203666726
Long
ABS-MBS
CORP
US
N
2
2019-09-25
Fixed
5.00000000
N
N
N
N
N
N
DEUTSCHE ALT-A SECURITIES, INC
N/A
DEUTSCHE ALT-A SECURITIES MLT
251513AR8
1683.79100000
PA
USD
1285.88000000
0.001038425733
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.72675000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE WHOLE LOAN
31359S2G4
9885.39000000
PA
USD
11823.31000000
0.009548036647
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
6.90200000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137B6DF5
941352.49000000
PA
USD
958223.03000000
0.773822948625
Long
ABS-MBS
USGSE
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC
3128QGEV0
4094.15000000
PA
USD
4242.47000000
0.003426050660
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Floating
3.66900000
N
N
N
N
N
N
CSMC TRUST
N/A
CREDIT SUISSE MORTGAGE TRUST
12649XAQ2
1668001.67000000
PA
USD
1720778.91000000
1.389632860388
Long
ABS-MBS
CORP
US
N
2
2045-03-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36225DAS3
12175.76000000
PA
USD
12708.07000000
0.010262533763
Long
ABS-MBS
USGA
US
N
2
2034-05-20
Floating
3.87500000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE POOL
31402CXP2
2995.69000000
PA
USD
3097.77000000
0.002501636300
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Floating
4.16100000
N
N
N
N
N
N
ASSET BACKED SECURITIES CORPORATION
N/A
ASSET BACKED SECURITIES CORP HOME EQUITY LN TRUST
04541GVK5
1300000.00000000
PA
USD
1290570.58000000
1.042213660451
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
1.92675000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36225CEP7
2299.67000000
PA
USD
2379.85000000
0.001921872556
Long
ABS-MBS
USGA
US
N
2
2027-12-20
Floating
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE
31358NW40
1005.20000000
PA
USD
1046.02000000
0.000844724302
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
38378TQS2
366408.19000000
PA
USD
372136.36000000
0.300522578116
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
2.00000000
N
N
N
N
N
N
BEAR STEARNS MORTGAGE SECURITIES INCORPORATED
N/A
BEAR STEARNS MORTGAGE SECURITIES INC
073914VW0
24440.03700000
PA
USD
24344.11000000
0.019659338579
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Variable
6.31524000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FNMA
3136A1Y90
145564.25000000
PA
USD
153362.00000000
0.123849074100
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
3.00000000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200
93363EAB1
11519.26500000
PA
USD
11172.78000000
0.009022694397
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
3.70548000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
31393ELU1
2181178.18000000
PA
USD
2301656.65000000
1.858726705438
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Variable
4.46086000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
CWALT CORPORATE BOND
02148HAR2
22165.97700000
PA
USD
18888.43000000
0.015253547597
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6.00000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST
46648HAD5
2045255.77000000
PA
USD
2087189.65000000
1.685531654675
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Variable
3.00000000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST
07384MW40
7816.40500000
PA
USD
7750.40000000
0.006258915923
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
4.31719000
N
N
N
N
N
N
CWABS ASSET-BACKED CERTIFICATES TRUST
N/A
COUNTRYWIDE ASSET-BACKED CERTIFICATES
126671PV2
299.64400000
PA
USD
299.34000000
0.000241735122
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Fixed
6.46000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136A2VR1
286931.38000000
PA
USD
290177.55000000
0.234335890847
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Fixed
2.25000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST
89172EAU8
809351.43000000
PA
USD
817654.89000000
0.660305688893
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
2.75000000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
24380PAA2
864396.41000000
PA
USD
863513.17000000
0.697339018648
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Fixed
2.97600000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
N/A
FEDERAL FARM CREDIT BANK
3133ELBE3
1000000.00000000
PA
USD
1000000.00000000
0.807560374149
Long
DBT
USGSE
US
N
2
2025-02-26
Fixed
2.04000000
N
N
N
N
N
N
Countrywide Home Equity Loan Trust
N/A
COUNTRYWIDE HOME EQUITY LOAN TRUST
1266715Y8
3714.62700000
PA
USD
3693.93000000
0.002983071492
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
1.87850000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WASHINGTON MUTUAL
9292275G7
5271.69100000
PA
USD
5369.20000000
0.004335953160
Long
ABS-MBS
CORP
US
N
2
2032-02-25
Fixed
4.00000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
N/A
FEDERAL FARM CREDIT BANK
3133EK2H8
3503000.00000000
PA
USD
3517706.40000000
2.840760296533
Long
DBT
USGSE
US
N
2
2026-10-15
Fixed
2.23000000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
12668BLC5
21244.78200000
PA
USD
15116.43000000
0.012207429866
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
5.50000000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CO.
22541QVP4
89660.33600000
PA
USD
92744.36000000
0.074896670061
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOC.
36206LZV4
103.56000000
PA
USD
114.92000000
0.000092804838
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137APKC3
521660.41000000
PA
USD
528510.80000000
0.426804379390
Long
ABS-MBS
USGSE
US
N
2
2041-02-15
Fixed
2.00000000
N
N
N
N
N
N
AGATE BAY MORTGAGE TRUST
N/A
AGATE BAY MORTGAGE LOAN TRUST
00842CAF2
212776.80000000
PA
USD
213644.10000000
0.172530509330
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137AN2S3
365240.75000000
PA
USD
372968.00000000
0.301194177625
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
2.00000000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RESIDENTIAL ACCREDIT LOANS, INC.
76110HTG4
6843.27400000
PA
USD
6611.48000000
0.005339169262
Long
ABS-MBS
CORP
US
N
2
2019-05-25
Fixed
5.00000000
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORPORATION
N/A
STRUCTURED ASSET SECURITIES CORPORATION
86359AH71
23319.08400000
PA
USD
23939.15000000
0.019332308930
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Variable
3.73438000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOC.
36204QEL0
251.46000000
PA
USD
256.51000000
0.000207147311
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
7.50000000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WASHINGTON MUTUAL
92922FNJ3
6701.02200000
PA
USD
6828.82000000
0.005514684434
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
4.46572000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE TRUST
N/A
MLCC MORTGAGE INVESTORS, INC.
59020UNP6
12119.49200000
PA
USD
12355.95000000
0.009978175604
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
3.65358000
N
N
N
N
N
N
FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST
N/A
FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES
32051HAF0
52332.77000000
PA
USD
39789.30000000
0.032132261995
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTER ALTERNATIVE LOANS TRUST (MALT)
576434PB4
3877.18100000
PA
USD
4019.76000000
0.003246198889
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Fixed
7.00000000
N
N
N
N
N
N
COAST S&L
N/A
COAST SAVINGS & LOAN ASSOCIATION
190348AA0
247406.66400000
PA
USD
250977.11000000
0.202679168854
Long
ABS-MBS
CORP
US
N
2
2022-07-25
Variable
3.03536000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
12667FJL0
382.46300000
PA
USD
381.96000000
0.000308455760
Long
ABS-MBS
CORP
US
N
2
2019-07-25
Fixed
5.00000000
N
N
N
N
N
N
MFA LLC
N/A
MFRA TRUST
552759AA0
1098762.13000000
PA
USD
1099960.22000000
0.888284286813
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Variable
2.58800000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE
31358JLN9
32.00000000
PA
USD
32.76000000
0.000026455677
Long
ABS-MBS
USGSE
US
N
2
2021-09-25
Fixed
7.00000000
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN ASSET-BACKED CERTIFICATES
N/A
SOUNDVIEW HOME EQUITY LOAN TRUST
83611MHM3
118046.91500000
PA
USD
113789.42000000
0.091891826589
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
6.22500000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137A2VD0
36422.18000000
PA
USD
36533.24000000
0.029502796963
Long
ABS-MBS
USGSE
US
N
2
2040-04-15
Fixed
2.75000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST
81747EAM9
585668.39000000
PA
USD
595542.99000000
0.480936919826
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
4.00000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC
00206RCR1
1743000.00000000
PA
USD
1757132.07000000
1.418990231880
Long
DBT
CORP
US
N
2
2021-02-17
Fixed
2.80000000
N
N
N
N
N
N
MORGAN STANLEY DEAN WITTER CAPITAL I INC
N/A
MORGAN STANLEY MORTGAGE LOAN TRUST 2004-6AR
61748HBQ3
11833.03000000
PA
USD
12115.74000000
0.009784191527
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.03852000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST
46629CAK3
2827.41600000
PA
USD
2621.52000000
0.002117035672
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
4.13668000
N
N
N
N
N
N
FREMONT HOME LOAN OWNER TRUST
N/A
FREMONT HOME LOAN TRUST
35729PFQ8
457984.47500000
PA
USD
320542.23000000
0.258857203189
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
3.50175000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137AQPD4
671973.90000000
PA
USD
678750.96000000
0.548132379212
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC
312904AD7
114.69000000
PA
USD
115.28000000
0.000093095559
Long
ABS-MBS
USGSE
US
N
2
2021-09-15
Fixed
6.50000000
N
N
N
N
N
N
CITIMORTGAGE ALTERNATIVE LOAN TRUST
N/A
CITIGROUP MORTGAGE ALTERNATIVE LOAN TRUST
17309KAE7
25281.35500000
PA
USD
25330.23000000
0.020455690016
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36202KY58
1428.12000000
PA
USD
1443.12000000
0.001165406527
Long
ABS-MBS
USGA
US
N
2
2026-03-20
Floating
4.00000000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RESIDENTIAL ACCREDIT LOANS, INC.
74922EAB5
38346.21900000
PA
USD
36949.44000000
0.029838903591
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136A75E8
555835.31000000
PA
USD
564822.89000000
0.456128584376
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Fixed
2.00000000
N
N
N
N
N
N
BAIDU, INC.
254900AL64IANZYI1E02
BAIDU INC
056752AK4
3000000.00000000
PA
USD
3177483.36000000
2.566009651056
Long
DBT
CORP
KY
N
2
2023-09-29
Fixed
3.87500000
N
N
N
N
N
N
ADJUSTABLE RATE MORTGAGE TRUST
N/A
ADJUSTABLE RATE MORTGAGE TRUST
007036FR2
6522.91400000
PA
USD
6620.79000000
0.005346687649
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.11474000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136AE4V6
304264.98000000
PA
USD
308940.16000000
0.249487831199
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
2.25000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE
31385YX34
43287.98000000
PA
USD
44446.10000000
0.035892909145
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Floating
4.48500000
N
N
N
N
N
N
DEUTSCHE ALT-A SECURITIES, INC
N/A
DEUTSCHE ALT-A SECURITIES, INC.
251513AQ0
5718.38500000
PA
USD
5530.43000000
0.004466156120
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
6.00500000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WASHINGTON MUTUAL MORTGAGE PASS -THOUGH CERTIFICAT
93363PAA8
70110.77200000
PA
USD
67970.81000000
0.054890532754
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
3.27056000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL CORP
60687YAP4
1000000.00000000
PA
USD
1052485.57000000
0.849945640696
Long
DBT
CORP
JP
N
2
2023-03-05
Fixed
3.54900000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36225CJH0
3501.21000000
PA
USD
3540.57000000
0.002859224033
Long
ABS-MBS
USGA
US
N
2
2029-03-20
Floating
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE
3139216U7
16869.62000000
PA
USD
18020.47000000
0.014552617495
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Fixed
5.61000000
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORPORATION
N/A
STRUCTURED ASSET SECURITIES
86359BJT9
698625.43000000
PA
USD
716455.40000000
0.578580990885
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
6.03000000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2003-H TRUST
05948XTJ0
9449.13800000
PA
USD
9530.29000000
0.007696284558
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
4.58650000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC
312910XS6
1044.48000000
PA
USD
1103.24000000
0.000890932907
Long
ABS-MBS
USGSE
US
N
2
2022-06-15
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137B7PR4
602381.20000000
PA
USD
619742.85000000
0.500479767822
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
2.50000000
N
N
N
N
N
N
GALTON FUNDING MORTGAGE TRUST
N/A
GMRF MORTGAGE ACQUISITION CO LLC
36417JAY5
101775.24000000
PA
USD
102492.87000000
0.082769180444
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36208ALJ8
5262.95000000
PA
USD
5304.67000000
0.004283841289
Long
ABS-MBS
USGA
US
N
2
2029-11-20
Floating
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136AFJD7
402910.80000000
PA
USD
406242.27000000
0.328065159556
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Fixed
1.00000000
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST
N/A
BEAR STEARNS ALT-A TRUST
07386HUN9
11566.92100000
PA
USD
10345.74000000
0.008354809665
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.85928000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136A2F57
40043.18000000
PA
USD
40138.38000000
0.032414165170
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
3.00000000
N
N
N
N
N
N
PEARL STREET MORTGAGE COMPANY TRUST (PSMC)
N/A
PSMC TRUST
69371VAC1
1122334.04000000
PA
USD
1148933.36000000
0.927833054074
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.50000000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANK OF AMERICA MORRTGAGE SECURITIES
05949AGR5
5527.45100000
PA
USD
5626.04000000
0.004543366967
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
4.82556000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136A56N1
564540.39000000
PA
USD
569935.31000000
0.460257172184
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Fixed
2.00000000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST
07387AEG6
8112.11700000
PA
USD
8350.75000000
0.006743734794
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
4.26583000
N
N
N
N
N
N
RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.
N/A
RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC
760985JL6
146119.43200000
PA
USD
153558.69000000
0.124007913150
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Variable
6.03000000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137AMHK6
111992.62000000
PA
USD
114662.08000000
0.092596552225
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Fixed
3.00000000
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TRUST
N/A
INDYMAC INDX MORTGAGE LOAN TRUST
45660NQ24
14493.49100000
PA
USD
14795.56000000
0.011948307969
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.91929000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE
31358RBM4
217.40000000
PA
USD
227.19000000
0.000183469641
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE
31406BXP0
16788.82000000
PA
USD
17413.54000000
0.014062484877
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
3.32800000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST
362341WZ8
15853.60700000
PA
USD
15995.80000000
0.012917574232
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
4.25866000
N
N
N
N
N
N
CAZENOVIA CREEK FUNDING I, LLC
N/A
CAZENOVIA CREEK FUNDING LLC
14980AAA0
712824.44000000
PA
USD
723270.03000000
0.584084216038
Long
ABS-MBS
CORP
US
N
2
2030-07-15
Fixed
3.56070000
N
N
N
N
N
N
RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED
N/A
RESIDENTIAL FUNDING MTG SEC
76111XZR7
9057.99200000
PA
USD
8705.35000000
0.007030095703
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
WELLS FARGO MORTGAGE BACKED SECURITIES TRUST
N/A
WELLS FARGO MORTGAGE BACKED SECURITIES TRUST
94981FAG7
18286.76200000
PA
USD
18434.44000000
0.014886923263
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
5.50000000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
02149FAD6
22419.89200000
PA
USD
18518.49000000
0.014954798713
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
31393XVJ3
2725000.00000000
PA
USD
3108955.50000000
2.510669266795
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Fixed
5.50000000
N
N
N
N
N
N
WACHOVIA MORTGAGE LOAN TRUST, LLC
N/A
WACHOVIA MORTGAGE LOAN TRUST, LLC
92977YAP6
3486.88600000
PA
USD
344.45000000
0.000278164170
Long
ABS-MBS
CORP
US
N
2
2035-08-20
Variable
4.72160000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136AFKA1
254130.44000000
PA
USD
256462.32000000
0.207108807094
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Fixed
2.00000000
N
N
N
N
N
N
ADJUSTABLE RATE MORTGAGE TRUST
N/A
ADJUSTABLE RATE MORTGAGE TRUST
007036DL7
11335.25000000
PA
USD
11324.87000000
0.009145516254
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
3.35311000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOC.
36202BZU2
81.58000000
PA
USD
86.40000000
0.000069773216
Long
ABS-MBS
USGA
US
N
2
2024-04-20
Fixed
7.00000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST, INC.
17307GCK2
18066.51300000
PA
USD
18757.68000000
0.015147959078
Long
ABS-MBS
CORP
US
N
2
2031-06-25
Fixed
6.50000000
N
N
N
N
N
N
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST
N/A
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST
86359BNL1
68652.48700000
PA
USD
69200.05000000
0.055883218269
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
4.45843000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE TRUST
N/A
MLCC MORTGAGE INVESTORS, INC. - SERIES 2004
59020UAC9
1495.07200000
PA
USD
1520.54000000
0.001227927851
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
3.93371000
N
N
N
N
N
N
LEHMAN MORTGAGE TRUST
N/A
LEHMAN MORTGAGE TRUST
52520MDP5
12945.93300000
PA
USD
10776.99000000
0.008703070076
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.50000000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
COUNTRYWIDE HOME LOANS
12669FDH3
12182.06300000
PA
USD
12612.93000000
0.010185702469
Long
ABS-MBS
CORP
US
N
2
2034-02-19
Variable
4.08840000
N
N
N
N
N
N
STRUCTURED ASSET MORTGAGE INVESTORS
N/A
STRUCTURED ASSET MORTGAGE INVESTMENTS, INC.
86358HHV4
101576.14200000
PA
USD
105143.53000000
0.084909748426
Long
ABS-MBS
CORP
US
N
2
2029-05-25
Fixed
6.75000000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
COUNTRYWIDE HOME LOANS
12669FN82
10330.80100000
PA
USD
10394.45000000
0.008394145931
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.10754000
N
N
N
N
N
N
CHASE MORTGAGE FINANCE CORPORATION
N/A
CHASE MORTGAGE FINANCE CORPORATION,
16163LAQ5
15903.34800000
PA
USD
14469.12000000
0.011684687960
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
3.80699000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY NOTE
912828YP9
5930000.00000000
PA
USD
5984667.19000000
4.832980075119
Long
DBT
UST
US
N
2
2021-10-31
Fixed
1.50000000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CREDIT SUISSE FIRST BOSTON MOTGAGE SECURITIES CO.
2254W0KC8
6902.61400000
PA
USD
7159.37000000
0.005781623515
Long
ABS-MBS
CORP
US
N
2
2019-10-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137A0MP7
106620.33000000
PA
USD
108381.09000000
0.087524273591
Long
ABS-MBS
USGSE
US
N
2
2021-11-15
Fixed
6.00000000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
COUNTRYWIDE HOME LOANS
12669EH33
273.42000000
PA
USD
255.36000000
0.000206218617
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
3.99100000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE
313920XZ8
12213.44000000
PA
USD
12978.96000000
0.010481293793
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Fixed
6.58900000
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TRUST
N/A
INDYMAC INDX MORTGAGE LOAN TRUST
45660NQ40
30320.14800000
PA
USD
30460.58000000
0.024598757381
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.12509000
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TRUST
N/A
INDYMAC INDX MORTGAGE LOAN TRUST
45661HAK3
18592.27800000
PA
USD
18693.46000000
0.015096097551
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
3.47771000
N
N
N
N
N
N
OBX TRUST
N/A
ONSLOW BAY FINANCIAL LLC
67097XBJ8
1272033.26000000
PA
USD
1296294.50000000
1.046836071428
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
4.00000000
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST
N/A
HARBORVIEW MORTGAGE LOAN TRUST
41161PJM6
76837.16400000
PA
USD
77569.99000000
0.062642450147
Long
ABS-MBS
CORP
US
N
2
2035-01-19
Variable
3.86707000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST, INC.
17307GHC5
17439.38900000
PA
USD
19638.00000000
0.015858870627
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
8.00000000
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TRUST
N/A
INDYMAC INDX MORTGAGE LOAN TRUST
45660GAB6
43715.22800000
PA
USD
35562.21000000
0.028718631613
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
3.82095000
N
N
N
N
N
N
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST
N/A
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SER
863579FR4
37472.10800000
PA
USD
36890.00000000
0.029790902202
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
3.81834000
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTR ALTERNATIVE LOANS TRUST
576434E34
765.33200000
PA
USD
796.54000000
0.000643254140
Long
ABS-MBS
CORP
US
N
2
2020-01-25
Fixed
5.50000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP
05367AAA1
447000.00000000
PA
USD
461835.96000000
0.372960420653
Long
DBT
CORP
US
Y
2
2020-10-15
Fixed
7.12500000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP.
22541SRP5
34303.73500000
PA
USD
35666.57000000
0.028802908613
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
4.17428000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC
3137BCRG5
680775.51000000
PA
USD
721352.52000000
0.582535710945
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST, INC.
17307GTJ7
13640.13200000
PA
USD
13942.13000000
0.011259111719
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.49294000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE TRUST
N/A
MLCC MORTGAGE INVESTORS, INC. - SERIES 2004
59020UGT6
10900.39000000
PA
USD
11117.76000000
0.008978262425
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
4.79311000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANK OF AMERICA MORRTGAGE SECURITIES
05949CRS7
9499.68700000
PA
USD
8939.47000000
0.007219161737
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
3.69322000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST
362341WJ4
2073.92300000
PA
USD
1111.05000000
0.000897239953
Long
ABS-MBS
CORP
US
N
2
2020-10-25
Fixed
5.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY
95000U2B8
1500000.00000000
PA
USD
1537593.66000000
1.241699711360
Long
DBT
CORP
US
N
2
2022-07-22
Fixed
2.62500000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST
07384M4G4
5633.39700000
PA
USD
5594.75000000
0.004518098403
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
4.30082000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOC.
36202CSH7
31.88000000
PA
USD
32.38000000
0.000026148804
Long
ABS-MBS
USGA
US
N
2
2026-11-20
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36202KRE7
4208.73000000
PA
USD
4322.41000000
0.003490607036
Long
ABS-MBS
USGA
US
N
2
2025-01-20
Floating
4.00000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST
466247RQ8
2623.56300000
PA
USD
2670.86000000
0.002156880700
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.10626000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIEMAE WHOLE LOAN
31393E6M6
952663.01000000
PA
USD
1000044.75000000
0.807596512476
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Variable
4.41830000
N
N
N
N
N
N
Cavanal Hill Funds: Cavanal Hill Government Securities Money Market Fund; Select Class Shares
N/A
CAVANAL HILL GOVERNMENT SECURITIES MONEY MARKET
14956P810
10806366.71000000
NS
USD
10806366.71000000
8.726793543529
Long
STIV
RF
US
N
1
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST
81747GAD4
1105386.18000000
PA
USD
1128184.77000000
0.911077314971
Long
ABS-MBS
CORP
US
N
2
2048-05-25
Variable
3.50000000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST
073882AA0
22119.92700000
PA
USD
21769.00000000
0.017579781784
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
4.58070000
N
N
N
N
N
N
Freddie Mac
N/A
FEDERAL HOME LOAN MORTGAGE CORP.
3137ADHX8
68162.38000000
PA
USD
69411.33000000
0.056053839625
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Fixed
2.50000000
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST
N/A
BEAR STEARNS ALT-A TRUST 2006-1
07386HB83
113345.91900000
PA
USD
97768.38000000
0.078953869532
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
3.66751000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP
60687YAH2
1500000.00000000
PA
USD
1543032.30000000
1.246091741513
Long
DBT
CORP
JP
N
2
2022-02-28
Fixed
2.95300000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
COUNTRYWIDE HOME LOANS
12669FJD6
3590.51900000
PA
USD
3684.59000000
0.002975528878
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
3.99100000
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTER ALTERNATIVE LOANS TRUST (MALT)
576434LU6
21626.79700000
PA
USD
22473.10000000
0.018148385044
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Fixed
7.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP
06051GHF9
1450000.00000000
PA
USD
1525898.37000000
1.232255058591
Long
DBT
CORP
US
N
2
2024-03-05
Fixed
3.55000000
N
N
N
N
N
N
FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST
N/A
FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES
32051D6B3
7541.65200000
PA
USD
7584.94000000
0.006125296984
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
3.55528000
N
N
N
N
N
N
LEHMAN BROTHERS HOLDINGS INC
549300FDK6ZP3YIHRJ47
LEHMAN BROTHERS HOLDINGS
52517P4C2
2000000.00000000
PA
USD
25000.00000000
0.020189009353
Long
DBT
CORP
US
N
2
2012-07-19
Fixed
6.00000000
Y
N
N
N
N
N
SUNTRUST STUDENT LOAN TRUST
N/A
SUN TRUST STUDENT LOAN TRUST
86800NAE0
978593.62500000
PA
USD
870476.74000000
0.702962521843
Long
ABS-MBS
CORP
US
N
2
2037-10-28
Floating
2.06538000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RESIDENTIAL ACCREDIT LOANS, INC.
76110HFL8
1689.29800000
PA
USD
1681.06000000
0.001357557442
Long
ABS-MBS
CORP
US
N
2
2018-07-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC
31392KDJ2
1000.00000000
PA
USD
1005.18000000
0.000811743536
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.25000000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP.
22541NX20
34557.55800000
PA
USD
35737.86000000
0.028860479592
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Fixed
6.50000000
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTER ALTERNATIVE LOANS TRUST (MALT)
576434NY6
396792.33600000
PA
USD
410262.09000000
0.331311406899
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
6.50000000
N
N
N
N
N
N
AMERICAN HOME MORTGAGE INVESTMENT TRUST
N/A
AMERICAN HOME MORTGAGE INVESTMENT TRUST
02660YAU6
341175.73800000
PA
USD
112814.81000000
0.091104770173
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.70000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST
46648RAE1
1263872.11000000
PA
USD
1292309.23000000
1.043617725296
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36202KQ99
2913.23000000
PA
USD
2991.36000000
0.002415703800
Long
ABS-MBS
USGA
US
N
2
2025-01-20
Floating
4.00000000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RESIDENTIAL ACCREDIT LOANS, INC.
76110HZH5
39910.82200000
PA
USD
40281.51000000
0.032529751286
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
4.36672000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIEMAE GRANTOR TRUST
31393AV61
979028.71000000
PA
USD
1102912.85000000
0.890668713800
Long
ABS-MBS
USGSE
US
N
2
2033-09-26
Floating
4.61580936
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTER ALTERNATIVE LOANS TRUST (MALT)
576434NW0
4354.45700000
PA
USD
4491.46000000
0.003627125118
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Fixed
6.00000000
N
N
N
N
N
N
2020-03-30
Cavanal Hill Funds
Joel B. Engle
Joel B. Engle
Treasurer