0001752724-22-239789.txt : 20221027
0001752724-22-239789.hdr.sgml : 20221027
20221027152031
ACCESSION NUMBER: 0001752724-22-239789
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220831
FILED AS OF DATE: 20221027
DATE AS OF CHANGE: 20221027
PERIOD START: 20220831
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: 221337036
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
C000024286
C000102307
C000024285
Cavanal Hill Funds
811-06114
0000864508
5493008U4I3BDPVDR774
4400 Easton Commons
Suite 200
Columbus
43219
800-762-7085
Limited Duration Fund
S000008938
549300E9XGUQJ2M47608
2022-08-31
2022-08-31
N
44828364.33
134072.99
44694291.34
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
792.67000000
USD
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST
073882AA0
10546.24000000
PA
USD
9675.14000000
0.021647373098
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
3.33558000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE
31406BXP0
11533.28000000
PA
USD
11610.19000000
0.025976896941
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
1.67300000
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
1616750.85000000
NS
USD
1616750.85000000
3.617354256052
Long
STIV
RF
US
N
1
N
N
N
MELLO WAREHOUSE SECURITIZATION TRUST
N/A
MELLO WAREHOUSE SECURITIZATION TRUST 2021 2
58552NAC3
600000.00000000
PA
USD
587340.54000000
1.314128767658
Long
ABS-MBS
CORP
US
Y
2
2055-04-25
Floating
3.54371000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING
04685A3F6
670000.00000000
PA
USD
620485.43000000
1.388287880615
Long
DBT
CORP
US
Y
2
2025-01-07
Fixed
1.71600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP
3137B6DF5
229533.02000000
PA
USD
225810.27000000
0.505232912817
Long
ABS-MBS
USGSE
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIEMAE GRANTOR TRUST
31393AV61
744166.05000000
PA
USD
732315.50000000
1.638498962717
Long
ABS-MBS
USGSE
US
N
2
2033-09-26
Fixed
4.52244000
N
N
N
N
N
N
SONIC CAPITAL LLC
N/A
SONIC CAPITAL LLC
83546DAN8
1535791.63000000
PA
USD
1280072.34000000
2.864062280934
Long
ABS-MBS
CORP
US
Y
2
2051-08-20
Fixed
2.19000000
N
N
N
N
N
N
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST
N/A
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SER
863579FR4
20691.52800000
PA
USD
19005.64000000
0.042523641006
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
3.15031000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP
22540VR20
34825.94900000
PA
USD
10782.76000000
0.024125586683
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Fixed
7.50000000
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTER ALTERNATIVE LOANS TRUST MALT
576434NY6
261092.97600000
PA
USD
242925.79000000
0.543527557360
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP
3137AKAS0
67029.22000000
PA
USD
65240.46000000
0.145970454042
Long
ABS-MBS
USGSE
US
N
2
2039-05-15
Fixed
2.00000000
N
N
N
N
N
N
LendingPoint
N/A
LENDINGPOINT 2021 A ASSET SECURITIZATION TRUST
52607FAA2
155683.72000000
PA
USD
154716.18000000
0.346165417017
Long
ABS-MBS
CORP
US
Y
2
2028-12-15
Fixed
1.00000000
N
N
N
N
N
N
WENDYS FUNDING LLC
N/A
WENDY S FUNDING LLC
95058XAG3
846375.00000000
PA
USD
795632.28000000
1.780165332407
Long
ABS-MBS
CORP
US
Y
2
2049-06-15
Fixed
3.78300000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36225CEP7
1242.70000000
PA
USD
1233.95000000
0.002760867133
Long
ABS-MBS
USGA
US
N
2
2027-12-20
Floating
1.75000000
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORPORATION
N/A
STRUCTURED ASSET SECURITIES
86359BJT9
189958.45000000
PA
USD
187172.99000000
0.418785004501
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
5.59067000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP
3137AERH0
117257.35000000
PA
USD
114825.00000000
0.256912004995
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Fixed
2.50000000
N
N
N
N
N
N
TEXTAINER MARINE CONTAINERS LIMITED
N/A
TEXTAINER MARINE CONTAINERS VII LTD
88315LAE8
560167.68000000
PA
USD
520697.76000000
1.165020731705
Long
ABS-MBS
CORP
US
Y
2
2045-08-21
Fixed
2.73000000
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTER ALTERNATIVE LOANS TRUST MALT
576434NW0
3003.43700000
PA
USD
2846.41000000
0.006368620946
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136B3LV0
502567.79000000
PA
USD
476988.50000000
1.067224662701
Long
ABS-MBS
USGSE
US
N
2
2048-11-25
Fixed
3.00000000
N
N
N
N
N
N
GMACM MORTGAGE LOAN TRUST
N/A
GMAC MORTGAGE CORPORATION LOAN TRUST
36185MBL5
31727.95100000
PA
USD
29749.25000000
0.066561632611
Long
ABS-MBS
CORP
US
N
2
2035-11-19
Variable
2.88532000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136AFTK0
89149.92000000
PA
USD
84930.86000000
0.190026192280
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
2.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE
31359KTH0
1000.00000000
PA
USD
1024.22000000
0.002291612573
Long
ABS-MBS
USGSE
US
N
2
2026-09-25
Fixed
7.50000000
N
N
N
N
N
N
CIT MORTGAGE LOAN TRUST
N/A
CIT MORTGAGE LOAN TRUST 2007 1
12559QAA0
672982.41000000
PA
USD
670786.67000000
1.500832992064
Long
ABS-MBS
CORP
US
Y
2
2037-10-25
Floating
3.79371000
N
N
N
N
N
N
AMERICAN HOME MORTGAGE INVESTMENT TRUST
N/A
AMERICAN HOME MORTGAGE INVESTMENT TRUST
02660YAU6
327919.66800000
PA
USD
61869.39000000
0.138427947160
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U S TREASURY NOTE
91282CEX5
500000.00000000
PA
USD
495878.91000000
1.109490485547
Long
DBT
UST
US
N
2
2024-06-30
Fixed
3.00000000
N
N
N
N
N
N
CHASEFLEX TRUST
N/A
CHASEFLEX TRUST
16165TAJ2
10554.62600000
PA
USD
8323.20000000
0.018622512518
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
5.50000000
N
N
N
N
N
N
BAYVIEW FINANCIAL MORTGAGE PASS-THROUGH TRUST
N/A
BAYVIEW FINANCIAL ACQUISITION TRUST
07325NBR2
197041.91000000
PA
USD
197275.66000000
0.441388942715
Long
ABS-MBS
CORP
US
N
2
2044-06-28
Floating
3.46843000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136A75E8
46679.78000000
PA
USD
46145.08000000
0.103246026766
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Fixed
2.00000000
N
N
N
N
N
N
WELLS FARGO BANK, NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
SOUTHTRUST BANK GEORGIA
8447HEAA4
1057740.00000000
PA
USD
1137945.53000000
2.546064599935
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.74000000
N
N
N
N
N
N
IMC HOME EQUITY LOAN TRUST
N/A
IMC HOME EQUITY LOAN TRUST
449670EB0
21.68600000
PA
USD
21.46000000
0.000048015080
Long
ABS-MBS
CORP
US
N
2
2029-06-20
Fixed
6.52000000
N
N
N
N
N
N
HI-FI MUSIC IP ISSUER II L.P
635400DIIFNAZIG5QF27
HI FI MUSIC IP ISSUER II L P
428357AA5
345000.00000000
PA
USD
316408.78000000
0.707940031072
Long
ABS-MBS
CORP
CA
N
2
2062-02-01
Fixed
3.93900000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST
07387AEG6
3822.10700000
PA
USD
3718.24000000
0.008319272749
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.40417000
N
N
N
N
N
N
BEAR STEARNS MORTGAGE SECURITIES INCORPORATED
N/A
BEAR STEARNS MORTGAGE SECURITIES INC
073914VW0
5314.19700000
PA
USD
5272.89000000
0.011797681184
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Variable
6.34462000
N
N
N
N
N
N
STRUCTURED ASSET MORTGAGE INVESTORS
N/A
STRUCTURED ASSET MORTGAGE INVESTMENTS INC
86359LPY9
5755.00400000
PA
USD
5831.49000000
0.013047505229
Long
ABS-MBS
CORP
US
N
2
2035-12-27
Variable
2.81381000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE
31385YX34
22592.93000000
PA
USD
22473.22000000
0.050282081505
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Floating
4.29000000
N
N
N
N
N
N
CWABS ASSET-BACKED CERTIFICATES TRUST
N/A
COUNTRYWIDE ASSET BACKED CERTIFICATES
126671PV2
227.51400000
PA
USD
226.05000000
0.000505769290
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Fixed
6.46000000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST
362341WZ8
4779.10700000
PA
USD
4751.30000000
0.010630664135
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.05730000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP
3134GXF74
249000.00000000
PA
USD
248084.88000000
0.555070619898
Long
ABS-MBS
USGSE
US
N
2
2024-07-26
Fixed
3.62500000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST INC
17307GHC5
12163.83900000
PA
USD
12277.97000000
0.027471002743
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
8.00000000
N
N
N
N
N
N
BANC OF AMERICA FUNDING TRUST
N/A
BANC OF AMERICA FUNDING CORP
05990QAL7
358960.21000000
PA
USD
356059.67000000
0.796655812912
Long
ABS-MBS
CORP
US
Y
2
2037-03-27
Floating
2.59371000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST
89173FAA8
139239.20000000
PA
USD
138044.11000000
0.308862957351
Long
ABS-MBS
CORP
US
Y
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
12668BLC5
15797.75100000
PA
USD
7651.29000000
0.017119166163
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
5.50000000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANK OF AMERICA MORRTGAGE SECURITIES
05949CRS7
5002.03100000
PA
USD
4697.87000000
0.010511118666
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
2.75835000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST
36228FPF7
16695.56000000
PA
USD
15337.70000000
0.034316910594
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Fixed
4.50000000
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTER ALTERNATIVE LOANS TRUST MALT
576434LU6
19131.38700000
PA
USD
18120.15000000
0.040542426016
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOC
36206LZV4
63.23000000
PA
USD
66.48000000
0.000148743828
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136A56N1
5435.06000000
PA
USD
5425.58000000
0.012139313181
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Fixed
2.00000000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
12667FSH9
55377.89100000
PA
USD
47858.80000000
0.107080341952
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP
31281BD64
2183.98000000
PA
USD
2155.34000000
0.004822405581
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.00000000
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST
N/A
BEAR STEARNS ALT A TRUST
07386HUN9
9052.34400000
PA
USD
6940.77000000
0.015529432936
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.04164000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U S TREASURY NOTE
91282CFB2
1000000.00000000
PA
USD
974765.62000000
2.180962245457
Long
DBT
UST
US
N
2
2027-07-31
Fixed
2.75000000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANK OF AMERICA MORRTGAGE SECURITIES
05949AGR5
4047.84100000
PA
USD
3827.35000000
0.008563397886
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
3.30862000
N
N
N
N
N
N
RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED
N/A
RESIDENTIAL FUNDING MORTGAGE SECURITIES I
76111JZ72
12467.65100000
PA
USD
12077.29000000
0.027021996854
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY DEAN WITTER CAPITAL I INC
N/A
MORGAN STANLEY MORTGAGE LOAN TRUST
61748HBN0
5116.37700000
PA
USD
5070.59000000
0.011345050671
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.71677000
N
N
N
N
N
N
ZAXBYS FUNDING LLC
N/A
ZAXBY S FUNDING LLC
98920MAA0
648450.00000000
PA
USD
554086.87000000
1.239726267914
Long
ABS-MBS
CORP
US
Y
2
2051-07-30
Fixed
3.23800000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
12667FJL0
372.11300000
PA
USD
357.19000000
0.000799184838
Long
ABS-MBS
CORP
US
N
2
2019-07-25
Fixed
5.00000000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE TRUST
N/A
MLCC MORTGAGE INVESTORS INC
59020UNP6
6564.61200000
PA
USD
6323.92000000
0.014149279047
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
2.70900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION
31394ALV6
924738.57000000
PA
USD
934224.82000000
2.090255359220
Long
ABS-MBS
USGSE
US
N
2
2034-08-25
Fixed
5.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE
313920XZ8
4797.89000000
PA
USD
4900.12000000
0.010963637308
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Fixed
6.58900000
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST
N/A
BEAR STEARNS ALT A TRUST 2006 1
07386HB83
80003.48800000
PA
USD
62904.83000000
0.140744663611
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
3.30016000
N
N
N
N
N
N
THE BOEING COMPANY
RVHJWBXLJ1RFUBSY1F30
BOEING CO THE
097023AH8
920000.00000000
PA
USD
965672.70000000
2.160617544316
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
7.95000000
N
N
N
N
N
N
STRUCTURED ASSET MORTGAGE INVESTORS
N/A
STRUCTURED ASSET MORTGAGE INVESTMENTS INC
86358HHV4
59956.71200000
PA
USD
57704.50000000
0.129109329782
Long
ABS-MBS
CORP
US
N
2
2029-05-25
Fixed
6.75000000
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TRUST
N/A
INDYMAC INDX MORTGAGE LOAN TRUST
45660NQ24
9125.26100000
PA
USD
8649.33000000
0.019352203023
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.49591000
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST
N/A
HARBORVIEW MORTGAGE LOAN TRUST
41161PJM6
60892.02400000
PA
USD
56706.47000000
0.126876315296
Long
ABS-MBS
CORP
US
N
2
2035-01-19
Variable
2.95791000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2003 H TRUST
05948XTJ0
4789.80800000
PA
USD
4476.83000000
0.010016558861
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
3.97677000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST
46648HAD5
433432.28000000
PA
USD
383717.60000000
0.858538279712
Long
ABS-MBS
CORP
US
Y
2
2047-05-25
Variable
3.00000000
N
N
N
N
N
N
FIRST HORIZON MORTGAGE PASS-THROUGH TRUST
N/A
FIRST HORIZON MORTGAGE PASS THROUGH TRUST
32051GTX3
5447.79600000
PA
USD
5233.36000000
0.011709235884
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.28606000
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST
N/A
GS MORTGAGE BACKED SECURITIES
36263NAH8
593030.23000000
PA
USD
533704.02000000
1.194121226668
Long
ABS-MBS
CORP
US
Y
2
2052-05-28
Variable
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP
3137AN2S3
129471.20000000
PA
USD
122289.72000000
0.273613735297
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
2.00000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANK
3133ENAK6
350000.00000000
PA
USD
349933.99000000
0.782950080443
Long
DBT
USGSE
US
N
2
2024-10-08
Floating
2.35000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36225DAS3
6709.97000000
PA
USD
6672.34000000
0.014928841693
Long
ABS-MBS
USGA
US
N
2
2034-05-20
Floating
2.87500000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST
03464VAA2
619411.89000000
PA
USD
606648.29000000
1.357328356288
Long
ABS-MBS
CORP
US
Y
2
2059-11-25
Fixed
2.62000000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WAMU MORTGAGE PASS THROUGH CERTIFICATES SERIES 200
93362FAA1
1177.44800000
PA
USD
1094.51000000
0.002448880980
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Variable
3.68615000
N
N
N
N
N
N
FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST
N/A
FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES
32051D6B3
3321.00200000
PA
USD
3110.34000000
0.006959143789
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
3.72879000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST INC
17307GTJ7
5152.95200000
PA
USD
5092.01000000
0.011392976255
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.74052000
N
N
N
N
N
N
FLEXENTIAL LLC
N/A
FLEXENTIAL ISSUER 2021 1
33938MAA7
806000.00000000
PA
USD
747313.13000000
1.672054993142
Long
ABS-MBS
CORP
US
N
2
2051-11-27
Fixed
3.25000000
N
N
N
N
N
N
NOMURA ASSET SECURITIES CORPORATION
N/A
NOMURA ASSET ACCEPTANCE CORP
65535VMX3
237013.10500000
PA
USD
237456.04000000
0.531289417240
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.41628000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136ACYK1
132662.49000000
PA
USD
122343.92000000
0.273735003580
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
2.00000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021 5
03465HAA2
510482.22000000
PA
USD
451701.77000000
1.010647571439
Long
ABS-MBS
CORP
US
Y
2
2066-07-25
Variable
1.11800000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST
46652FAD2
555179.88000000
PA
USD
480703.11000000
1.075535813608
Long
ABS-MBS
CORP
US
Y
2
2050-11-25
Variable
2.50000000
N
N
N
N
N
N
CWABS ASSET-BACKED CERTIFICATES TRUST
N/A
COUNTRYWIDE ASSET BACKED CERTIFICATES
126670EL8
116454.09000000
PA
USD
116329.06000000
0.260277222240
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
3.17871000
N
N
N
N
N
N
STRUCTURED ASSET INVESTMENT LOAN TRUST
N/A
STRUCTURED ASSET INVESTMENT LOAN TRUST
86358EWX0
771431.81000000
PA
USD
763199.40000000
1.707599286437
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
3.16371000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST
89173HAA4
273389.03000000
PA
USD
271220.81000000
0.606835463475
Long
ABS-MBS
CORP
US
Y
2
2057-04-25
Variable
2.75000000
N
N
N
N
N
N
DEUTSCHE ALT-A SECURITIES, INC
N/A
DEUTSCHE ALT A SECURITIES INC
251513AQ0
3441.09900000
PA
USD
3052.85000000
0.006830514386
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
6.00500000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST
92536PAA2
368057.91000000
PA
USD
358549.32000000
0.802226211111
Long
ABS-MBS
CORP
US
Y
2
2060-01-25
Fixed
2.41700000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RESIDENTIAL ACCREDIT LOANS INC
74922EAB5
22762.39500000
PA
USD
19364.07000000
0.043325600248
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST
07384MW40
4620.91500000
PA
USD
4174.87000000
0.009340946852
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
2.74849000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE WHOLE LOAN
31359S2G4
6257.25000000
PA
USD
6981.65000000
0.015620898756
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
6.90200000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP
22541NPC7
24246.71000000
PA
USD
13495.99000000
0.030196227740
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Variable
2.64851000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANK
3133ENAJ9
400000.00000000
PA
USD
399950.20000000
0.894857459440
Long
DBT
USGSE
US
N
2
2023-07-13
Floating
2.30750000
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST
N/A
HARBORVIEW MORTGAGE LOAN TRUST
41161PWU3
3131.82600000
PA
USD
2937.71000000
0.006572897593
Long
ABS-MBS
CORP
US
N
2
2035-12-19
Variable
3.26027000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
12667GNS8
10079.15100000
PA
USD
8396.24000000
0.018785933836
Long
ABS-MBS
CORP
US
N
2
2035-07-20
Floating
2.41417000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
CWALT CORPORATE BOND
02148HAR2
16773.99200000
PA
USD
11052.98000000
0.024730182912
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6.00000000
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIZATION TRUST (CWMBS)
N/A
RESIDENTIAL ASSET SECURITIES CORP
76114HAK1
24882.50800000
PA
USD
16082.10000000
0.035982447685
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36202KAY1
107.63000000
PA
USD
107.25000000
0.000239963531
Long
ABS-MBS
USGA
US
N
2
2023-01-20
Floating
2.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIEMAE WHOLE LOAN
31393E6M6
591800.51000000
PA
USD
571165.96000000
1.277939403166
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Variable
3.84141000
N
N
N
N
N
N
ADJUSTABLE RATE MORTGAGE TRUST
N/A
ADJUSTABLE RATE MORTGAGE TRUST
007036FR2
252.53400000
PA
USD
251.28000000
0.000562219452
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
3.27877000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RESIDENTIAL ACCREDIT LOANS INC
76110HZH5
26211.05200000
PA
USD
25569.00000000
0.057208648427
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
3.23282000
N
N
N
N
N
N
WELLS FARGO MORTGAGE BACKED SECURITIES TRUST
N/A
WELLS FARGO MORTGAGE BACKED SECURITIES TRUST
94981FAG7
8091.81800000
PA
USD
7709.93000000
0.017250368601
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
5.50000000
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST
N/A
GS MORTGAGE BACKED SECURITIES CORP TRUST
36257LAH0
478008.11000000
PA
USD
464484.73000000
1.039248450023
Long
ABS-MBS
CORP
US
Y
2
2049-11-25
Variable
4.00000000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
COUNTRYWIDE HOME LOANS
12669EH33
224.78000000
PA
USD
191.74000000
0.000429003334
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
3.99100000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RALI SERIES 2006 QA1 TRUST
761118TB4
13727.63600000
PA
USD
11157.70000000
0.024964485766
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
4.58696000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FNMA
31373TZL7
7.94000000
PA
USD
7.92000000
0.000017720383
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Floating
2.07500000
N
N
N
N
N
N
CHASE MORTGAGE FINANCE CORPORATION
N/A
CHASE MORTGAGE FINANCE CORPORATION
16163LAQ5
9147.19800000
PA
USD
7990.67000000
0.017878502512
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
3.71872000
N
N
N
N
N
N
JACK IN THE BOX FUNDING SERIES LLC
N/A
JACK IN THE BOX FUNDING LLC
466365AD5
777150.00000000
PA
USD
713734.56000000
1.596925554922
Long
ABS-MBS
CORP
US
N
2
2052-02-26
Fixed
3.44500000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK
3130ANQ78
35000.00000000
PA
USD
31449.83000000
0.070366548069
Long
DBT
USGSE
US
N
2
2026-08-27
Fixed
0.90000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36202KRE7
1448.66000000
PA
USD
1447.32000000
0.003238265909
Long
ABS-MBS
USGA
US
N
2
2025-01-20
Floating
2.62500000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RESIDENTIAL ACCREDIT LOANS INC
76110HYF0
101.27900000
PA
USD
102.67000000
0.000229716138
Long
ABS-MBS
CORP
US
N
2
2019-09-25
Fixed
5.00000000
N
N
N
N
N
N
GOODGREEN TRUST
N/A
GOODGREEN 2020 1 TRUST
38217TAA3
1450195.13000000
PA
USD
1300534.56000000
2.909844906380
Long
ABS-MBS
CORP
US
Y
2
2055-04-15
Fixed
2.63000000
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORPORATION
N/A
STRUCTURED ASSET SECURITIES CORPORATION
86359AH71
10184.76400000
PA
USD
10092.68000000
0.022581586366
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Variable
3.76679000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CO
22541QVP4
57420.54600000
PA
USD
53833.54000000
0.120448357913
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE
3139216U7
2716.35000000
PA
USD
2758.54000000
0.006172018656
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Fixed
5.61000000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
COUNTRYWIDE HOME LOANS
12669FDH3
6784.05300000
PA
USD
6691.57000000
0.014971867322
Long
ABS-MBS
CORP
US
N
2
2034-02-19
Variable
2.50526000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE TRUST
N/A
MLCC MORTGAGE INVESTORS INC SERIES 2004
59020UAC9
716.54200000
PA
USD
686.88000000
0.001536840566
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.33612000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CREDIT SUISSE FIRST BOSTON MOTGAGE SECURITIES CO
2254W0KC8
3480.67400000
PA
USD
3324.74000000
0.007438847110
Long
ABS-MBS
CORP
US
N
2
2021-10-25
Fixed
5.00000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST INC
17307GPF9
16.17100000
PA
USD
16.14000000
0.000036111994
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
5.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP
3137AXGC1
48381.26000000
PA
USD
46913.98000000
0.104966380701
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36202KY58
620.56000000
PA
USD
612.08000000
0.001369481384
Long
ABS-MBS
USGA
US
N
2
2026-03-20
Floating
2.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FHLMC STRUCTURED PASS THROUGH SECURITIES
31396HZN2
274425.14000000
PA
USD
279740.32000000
0.625897204347
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Variable
3.22156000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP
2254W0BZ7
186003.04000000
PA
USD
178556.52000000
0.399506323171
Long
ABS-MBS
CORP
US
N
2
2032-12-25
Fixed
7.50000000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WASHINGTON MUTUAL MORTGAGE PASS THOUGH CERTIFICAT
93363PAA8
42662.06600000
PA
USD
39618.34000000
0.088642953746
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
2.59409000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANK
3133ENA75
475000.00000000
PA
USD
474929.87000000
1.062618638221
Long
DBT
USGSE
US
N
2
2024-02-13
Floating
2.34250000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST INC
17307GCK2
10551.89300000
PA
USD
10247.20000000
0.022927312846
Long
ABS-MBS
CORP
US
N
2
2031-06-25
Fixed
6.50000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST
46629CAK3
1481.15700000
PA
USD
1260.79000000
0.002820919545
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
3.51142000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36225CJH0
1153.12000000
PA
USD
1138.21000000
0.002546656330
Long
ABS-MBS
USGA
US
N
2
2029-03-20
Floating
2.62500000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WASHINGTON MUTUAL
92922FNJ3
3253.55200000
PA
USD
3083.53000000
0.006899158500
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
3.09810000
N
N
N
N
N
N
TACO BELL FUNDING, LLC
N/A
TACO BELL FUNDING LLC
87342RAC8
1326500.00000000
PA
USD
1314418.24000000
2.940908560336
Long
ABS-MBS
CORP
US
Y
2
2046-05-25
Fixed
4.97000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOC
36202CSH7
21.47000000
PA
USD
21.56000000
0.000048238822
Long
ABS-MBS
USGA
US
N
2
2026-11-20
Fixed
7.00000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC THE
38150AJF3
1116000.00000000
PA
USD
1040362.30000000
2.327729714038
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
1.30000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36208ALJ8
4085.98000000
PA
USD
3976.39000000
0.008896863292
Long
ABS-MBS
USGA
US
N
2
2029-11-20
Floating
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOC
36204QEL0
94.71000000
PA
USD
95.16000000
0.000212913097
Long
ABS-MBS
USGA
US
N
2
2024-03-15
Fixed
7.50000000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
02149FAD6
16134.19300000
PA
USD
9948.51000000
0.022259017207
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INCORPORATED
N/A
RESIDENTIAL ACCREDIT LOANS INC
76110HTG4
5571.21800000
PA
USD
5198.89000000
0.011632111941
Long
ABS-MBS
CORP
US
N
2
2019-05-25
Fixed
5.00000000
N
N
N
N
N
N
MASTR ADJUSTABLE RATE MORTGAGE TRUST
N/A
MASTR ADJUSTABLE RATE MORTGAGES TRUST 2004 13
576433UE4
15495.55300000
PA
USD
14972.33000000
0.033499423642
Long
ABS-MBS
CORP
US
N
2
2034-04-21
Variable
2.86206000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST
89175JAA8
382701.13000000
PA
USD
371727.83000000
0.831712102049
Long
ABS-MBS
CORP
US
Y
2
2057-10-25
Fixed
2.75000000
N
N
N
N
N
N
GEORGIA ST
N/A
GEORGIA ST BAB SER H
373384NZ5
1285000.00000000
PA
USD
1302824.49000000
2.914968446616
Long
DBT
MUN
US
N
2
2025-11-01
Fixed
4.50300000
N
N
N
N
N
N
B.A.T CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP
05526DBJ3
806000.00000000
PA
USD
753950.31000000
1.686905167070
Long
DBT
CORP
US
N
2
2026-09-06
Fixed
3.21500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136AJAV8
138520.00000000
PA
USD
135007.34000000
0.302068420713
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Fixed
3.00000000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANKOF AMERICA MORTGAGE SECURITIES
05950TAC9
2735.27200000
PA
USD
2493.51000000
0.005579034649
Long
ABS-MBS
CORP
US
N
2
2046-11-20
Variable
3.00939000
N
N
N
N
N
N
THE WESTERN UNION COMPANY
28ID94QU1140NC23S047
WESTERN UNION CO THE
959802AZ2
1206000.00000000
PA
USD
1068755.86000000
2.391258095736
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORPORATION
3137B2JG6
424403.08000000
PA
USD
406774.35000000
0.910125964198
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
1.50000000
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST
N/A
SAXON ASSET SECURITIES TRUST
805564PB1
1613.67800000
PA
USD
1541.35000000
0.003448650719
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Fixed
5.53600000
N
N
N
N
N
N
RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED
N/A
RESIDENTIAL FUNDING MTG SEC
76111XZR7
4357.76000000
PA
USD
3685.66000000
0.008246377533
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST
36242DH55
16294.31700000
PA
USD
15199.10000000
0.034006803876
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
3.19345000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST INC
17307GGY8
62650.66000000
PA
USD
59113.91000000
0.132262775015
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
6.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U S TREASURY NOTE
912828WJ5
1700000.00000000
PA
USD
1673437.50000000
3.744186225640
Long
DBT
UST
US
N
2
2024-05-15
Fixed
2.50000000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP
22541NX20
10144.98800000
PA
USD
9969.74000000
0.022306517680
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Fixed
6.50000000
N
N
N
N
N
N
RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.
N/A
RAAC SERIES 2007 SP1 TRUST
74978AAD2
354561.65000000
PA
USD
352803.84000000
0.789371146565
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.29871000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST
07384M4G4
2937.54700000
PA
USD
2823.42000000
0.006317182609
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
2.82033000
N
N
N
N
N
N
LEHMAN BROTHERS HOLDINGS INC
549300FDK6ZP3YIHRJ47
LEHMAN BROTHERS HOLDINGS
52517P4C2
2000000.00000000
PA
USD
8000.00000000
0.017899377661
Long
DBT
CORP
US
N
2
2012-07-19
Fixed
6.00000000
Y
N
N
N
N
N
DRIVEN BRANDS FUNDING LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAE8
1350948.36000000
PA
USD
1235163.98000000
2.763583318960
Long
ABS-MBS
CORP
US
Y
2
2049-10-20
Fixed
3.98100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136AFJD7
169051.14000000
PA
USD
146174.33000000
0.327053692132
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Fixed
1.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOC
36202BZU2
19.50000000
PA
USD
19.68000000
0.000044032469
Long
ABS-MBS
USGA
US
N
2
2024-04-20
Fixed
7.00000000
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTR ALTERNATIVE LOANS TRUST
576434E34
705.07700000
PA
USD
612.02000000
0.001369347139
Long
ABS-MBS
CORP
US
N
2
2020-01-25
Fixed
5.50000000
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORPORATION
N/A
STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN
86359BGB1
2129.68900000
PA
USD
2015.26000000
0.004508987478
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.93875000
N
N
N
N
N
N
NOVASTAR HOME EQUITY LOAN
N/A
NOVASTAR HOME EQUITY LOAN
66987WAS6
1583325.39000000
PA
USD
1598241.74000000
3.575941562294
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Floating
5.21871000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL
31402CXP2
677.97000000
PA
USD
675.56000000
0.001511512946
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Floating
3.17500000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WAMU MORTGAGE PASS THROUGH CERTIFICATES SERIES 200
93363EAB1
6830.47300000
PA
USD
6403.48000000
0.014327288358
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
3.46770000
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN ASSET-BACKED CERTIFICATES
N/A
SOUNDVIEW HOME EQUITY LOAN TRUST
83611MHM3
51907.24800000
PA
USD
47728.09000000
0.106787888495
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
5.94613000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST
362341WA3
20347.22500000
PA
USD
9875.80000000
0.022096334238
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
6.00000000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
COUNTRYWIDE HOME LOANS
12669FJD6
3275.89900000
PA
USD
3056.24000000
0.006838099247
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.11601000
N
N
N
N
N
N
NMEF FUNDING LLC
N/A
NMEF FUNDING 2021 A LLC
62919TAB2
297743.13500000
PA
USD
291873.52000000
0.653044295477
Long
ABS-MBS
CORP
US
N
2
2027-12-15
Fixed
0.81000000
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TRUST
N/A
INDYMAC INDX MORTGAGE LOAN TRUST 2006 AR13
45661XAA0
19137.96900000
PA
USD
15283.54000000
0.034195731807
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
3.33814000
N
N
N
N
N
N
STRUCTURED ASSET INVESTMENT LOAN TRUST
N/A
STRUCTURED ASSET INVESTMENT LOAN TRUST
86358EAJ5
606187.26000000
PA
USD
602770.36000000
1.348651789586
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Floating
3.12371000
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TRUST
N/A
INDYMAC INDX MORTGAGE LOAN TRUST
45660GAB6
32224.94100000
PA
USD
26180.78000000
0.058577458586
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
3.34300000
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TRUST
N/A
INDYMAC INDX MORTGAGE LOAN TRUST
45660NQ40
19734.42800000
PA
USD
18986.80000000
0.042481487972
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.69425000
N
N
N
N
N
N
RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.
N/A
RESIDENTIAL ASSET MORTGAGE PRODUCTS INC
760985JL6
76772.16200000
PA
USD
70816.12000000
0.158445559548
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Variable
6.03000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK
3130AQBK8
370000.00000000
PA
USD
348792.60000000
0.780396309109
Long
DBT
USGSE
US
N
2
2025-06-30
Variable
1.00000000
N
N
N
N
N
N
LSTAR SECURITIES INVESTMENT LTD.
N/A
LSTAR SECURITIES INVESTMENT LTD
54912MAA3
475900.58300000
PA
USD
467572.32000000
1.046156692457
Long
ABS-MBS
CORP
US
Y
2
2026-02-01
Floating
2.86171000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
23245LAB6
118432.81400000
PA
USD
59578.18000000
0.133301543024
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTER ALTERNATIVE LOANS TRUST MALT
576434PB4
2804.97100000
PA
USD
2662.39000000
0.005956890511
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Fixed
7.00000000
N
N
N
N
N
N
DEUTSCHE ALT-A SECURITIES, INC
N/A
DEUTSCHE ALT A SECURITIES MLT
251513AR8
1007.90900000
PA
USD
858.20000000
0.001920155738
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.54371000
N
N
N
N
N
N
CDC MORTGAGE CAPITAL TRUST
N/A
CDC MORTGAGE CAPITAL TRUST
12506YAF6
636552.66000000
PA
USD
624466.43000000
1.397195058423
Long
ABS-MBS
CORP
US
N
2
2033-01-25
Floating
3.06371000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136AE4V6
90276.86000000
PA
USD
87158.30000000
0.195009916002
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
2.25000000
N
N
N
N
N
N
FREMONT HOME LOAN OWNER TRUST
N/A
FREMONT HOME LOAN TRUST
35729PFQ8
457984.47500000
PA
USD
347983.61000000
0.778586256917
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
4.31871000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FNMA
3136A1Y90
66690.18000000
PA
USD
63819.53000000
0.142791233704
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
3.00000000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE TRUST
N/A
MLCC MORTGAGE INVESTORS INC SERIES 2004
59020UGT6
7245.17000000
PA
USD
6980.40000000
0.015618101978
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
3.67960000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE WHOLE LOAN
31393T4J2
387627.57000000
PA
USD
372414.20000000
0.833247801530
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Fixed
4.57601000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC
3137BCRG5
395736.03000000
PA
USD
381309.39000000
0.853150097177
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
Fixed
3.00000000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP
22541SRP5
20879.23500000
PA
USD
21011.71000000
0.047012066575
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
3.51222000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL
36202KQ99
931.95000000
PA
USD
930.13000000
0.002081093518
Long
ABS-MBS
USGA
US
N
2
2025-01-20
Floating
2.62500000
N
N
N
N
N
N
DEUTSCHE ALT-A SECURITIES, INC
N/A
DEUTSCHE ALT A SECURITIES INC
251510CG6
1872.56500000
PA
USD
1786.61000000
0.003997400890
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.32000000
N
N
N
N
N
N
PHILADELPHIA PA AUTH FOR INDL DEV CITY SVC AGREEMENT REV
N/A
PHILADELPHIA AUTHORITY FOR INDUSTRIAL DEVELOPMENT
71783DAD7
250000.00000000
PA
USD
247379.93000000
0.553493349112
Long
DBT
MUN
US
N
2
2026-04-15
Fixed
3.96400000
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIZATION TRUST (CWMBS)
N/A
RESIDENTIAL ASSET SECURITIES CORP
76112HAE7
40573.74500000
PA
USD
14764.56000000
0.033034554430
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC
3128QGEV0
2778.84000000
PA
USD
2825.55000000
0.006321948318
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Floating
2.29400000
N
N
N
N
N
N
NEWREZ WAREHOUSE SECURITIZATION TRUST
N/A
NEWREZ WAREHOUSE SECURITIZATION TRUST
65246PAD3
1550000.00000000
PA
USD
1514612.26000000
3.388827106526
Long
ABS-MBS
CORP
US
Y
2
2055-05-25
Floating
3.65900000
N
N
N
N
N
N
CLI FUNDING LLC
N/A
CLI FUNDING VIII LLC
12565KAC1
672860.81400000
PA
USD
582435.86000000
1.303154927704
Long
ABS-MBS
CORP
US
Y
2
2046-02-18
Fixed
2.38000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION
3136A5HW9
45173.66000000
PA
USD
44172.02000000
0.098831458505
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Fixed
2.00000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANK
3133EL6D1
1000000.00000000
PA
USD
851103.92000000
1.904278811639
Long
DBT
USGSE
US
N
2
2029-09-10
Fixed
1.23000000
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON CORPORATION
N/A
CS FIRST BOSTON MORTGAGE SECURITIES CORP
2254W0FJ9
15433.66600000
PA
USD
15330.72000000
0.034301293387
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Fixed
7.00000000
N
N
N
N
N
N
MORGAN STANLEY DEAN WITTER CAPITAL I INC
N/A
MORGAN STANLEY MORTGAGE LOAN TRUST 2004 6AR
61748HBQ3
1816.61000000
PA
USD
1796.54000000
0.004019618492
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.71019000
N
N
N
N
N
N
MASTR ALTERNATIVE LOAN TR
N/A
MASTER ALTERNATIVE LOANS TRUST
576434NU4
112.97300000
PA
USD
107.41000000
0.000240321519
Long
ABS-MBS
CORP
US
N
2
2019-03-25
Fixed
5.00000000
N
N
N
N
N
N
LEHMAN MORTGAGE TRUST
N/A
LEHMAN MORTGAGE TRUST
52520MDP5
9462.27800000
PA
USD
5734.09000000
0.012829580306
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.50000000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WASHINGTON MUTUAL MORTGAGE PASS THROUGH CERT
92922FWU8
4263.85900000
PA
USD
3957.69000000
0.008855023497
Long
ABS-MBS
CORP
US
N
2
2044-07-25
Floating
3.28371000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC
312914VY7
24.13000000
PA
USD
24.17000000
0.000054078494
Long
ABS-MBS
USGSE
US
N
2
2023-02-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
38378TQS2
323384.23000000
PA
USD
295213.07000000
0.660516278811
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
2.00000000
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
COUNTRYWIDE ALTERNATIVE LOAN TRUST
12668AC60
12680.97600000
PA
USD
9587.75000000
0.021451844771
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
CITIMORTGAGE ALTERNATIVE LOAN TRUST
N/A
CITIGROUP MORTGAGE ALTERNATIVE LOAN TRUST
17309KAE7
14743.64700000
PA
USD
12947.04000000
0.028967994819
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
2022-09-30
Cavanal Hill Funds
Denise Lewis
Denise Lewis
Treasurer