0001752724-23-120105.txt : 20230526
0001752724-23-120105.hdr.sgml : 20230526
20230526110043
ACCESSION NUMBER: 0001752724-23-120105
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230331
FILED AS OF DATE: 20230526
DATE AS OF CHANGE: 20230526
PERIOD START: 20230930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: LOOMIS SAYLES FUNDS II
CENTRAL INDEX KEY: 0000872649
IRS NUMBER: 043113285
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06241
FILM NUMBER: 23964486
BUSINESS ADDRESS:
STREET 1: 888 BOYLSTON STREET
STREET 2: 8TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
BUSINESS PHONE: 617-449-2810
MAIL ADDRESS:
STREET 1: 888 BOYLSTON STREET
STREET 2: 8TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
FORMER COMPANY:
FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS I
DATE OF NAME CHANGE: 20031119
FORMER COMPANY:
FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS
DATE OF NAME CHANGE: 20031015
FORMER COMPANY:
FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS II
DATE OF NAME CHANGE: 20030718
0000872649
S000006702
Loomis Sayles Limited Term Government and Agency Fund
C000018239
Class A
NEFLX
C000018241
Class C
NECLX
C000018242
Class Y
NELYX
C000182250
Class N
LGANX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000872649
XXXXXXXX
S000006702
C000018241
C000182250
C000018239
C000018242
LOOMIS SAYLES FUNDS II
811-06241
0000872649
5493007QOEDY6IHOTU14
888 BOYLSTON STREET
Suite 800
BOSTON
02199-8197
617-449-2139
Loomis Sayles Limited Term Government and Agency Fund
S000006702
5HBZDB7NR78KJHZJWI31
2023-09-30
2023-03-31
N
702352206.37
2876320.61
699475885.76
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
3.15000000
USD
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWJ68
2855000.00000000
PA
USD
2818239.02000000
0.402907244892
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Floating
5.00900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6VQ4
1095134.30000000
PA
USD
1067224.15000000
0.152574830916
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Floating
5.29500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283GRK5
27.86000000
PA
USD
28.17000000
0.000004027301
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403CY21
84628.71000000
PA
USD
85670.35000000
0.012247791774
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
3.84600000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWGC8
778975.63000000
PA
USD
760584.02000000
0.108736274614
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
4.96900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380L7U1
7246482.89000000
PA
USD
7199061.91000000
1.029208019398
Long
ABS-MBS
USGA
US
N
2
2070-04-20
Floating
5.21600000
N
N
N
N
N
N
GM Financial Consumer Automobile Receivables Trust 2020-2
N/A
GM Financial Consumer Automobile Receivables Trust 2020-2
36258VAD6
92745.29000000
PA
USD
91932.66000000
0.013143077820
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
1.49000000
N
N
N
N
N
N
GM Financial Revolving Receivables Trust
N/A
GM Financial Revolving Receivables Trust 2021-1
36263HAA6
655000.00000000
PA
USD
577705.42000000
0.082591184594
Long
ABS-O
CORP
US
N
2
2034-06-12
Fixed
1.17000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BUL4
258408.78000000
PA
USD
256949.47000000
0.036734571588
Long
ABS-MBS
USGA
US
N
2
2062-08-20
Floating
5.08600000
N
N
N
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust 2020-A
12597PAC2
78055.64000000
PA
USD
76711.76000000
0.010967034255
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
1.16000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H2NK6
7524541.65000000
PA
USD
7425602.96000000
1.061595276001
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Floating
4.70600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BNT5
28640.72000000
PA
USD
26489.06000000
0.003786986876
Long
ABS-MBS
USGA
US
N
3
2061-12-20
Fixed
3.00000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183CJ1
371147.04000000
PA
USD
366735.33000000
0.052430017598
Long
ABS-O
CORP
US
N
2
2032-08-15
Fixed
0.87000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ3P6
7999425.60000000
PA
USD
7560819.49000000
1.080926397024
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Fixed
2.54100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409AW21
1475.94000000
PA
USD
1523.71000000
0.000217835958
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FF3L9
2491489.86000000
PA
USD
2462725.36000000
0.352081524200
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Floating
4.70600000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFF3
14950000.00000000
PA
USD
14069351.56000000
2.011413380564
Long
DBT
UST
US
N
2
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414EWD2
299464.71000000
PA
USD
294975.19000000
0.042170887661
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Floating
3.91900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEN7
3620000.00000000
PA
USD
3488916.40000000
0.498790089984
Long
DBT
UST
US
N
2
2027-04-30
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5FU8
800278.96000000
PA
USD
815177.84000000
0.116541235601
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Floating
3.78700000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FXLS5
657204.32000000
PA
USD
649517.66000000
0.092857762965
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Floating
4.95900000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FU2A1
3007655.35000000
PA
USD
2986806.28000000
0.427006325851
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Floating
5.10600000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FRZ20
6920051.29000000
PA
USD
6991881.42000000
0.999588629478
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Floating
5.42600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403GKF8
2897.77000000
PA
USD
2996.60000000
0.000428406477
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371L3D9
1428.13000000
PA
USD
1511.87000000
0.000216143262
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
6.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-D
63941HAA0
495230.63000000
PA
USD
450195.84000000
0.064361881397
Long
ABS-O
CORP
US
N
2
2069-05-15
Fixed
1.69000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGR6
20570000.00000000
PA
USD
21039253.13000000
3.007859678699
Long
DBT
UST
US
N
2
2026-03-15
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374BQR7
80223.85000000
PA
USD
78743.29000000
0.011257470286
Long
ABS-MBS
USGA
US
N
2
2045-11-16
Variable
5.37900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MB4Q7
940.85000000
PA
USD
938.94000000
0.000134234791
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400WUJ7
45130.86000000
PA
USD
44695.43000000
0.006389845727
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Floating
3.21100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36297E2D6
1990.00000000
PA
USD
1953.54000000
0.000279286254
Long
ABS-MBS
USGA
US
N
2
2061-04-20
Variable
4.89200000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FREB3
11782.60000000
PA
USD
11782.60000000
0.001684489807
Long
ABS-MBS
USGSE
US
N
2
2025-02-25
Fixed
1.76600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S5NT7
76685.28000000
PA
USD
75405.26000000
0.010780251547
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Floating
3.94200000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHQ6
596729.58000000
PA
USD
584493.64000000
0.083561656934
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Floating
4.85600000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FJY29
1251278.34000000
PA
USD
1244018.05000000
0.177850026759
Long
ABS-MBS
USGSE
US
N
2
2025-10-25
Floating
5.05900000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-D
78449MAA4
906886.58000000
PA
USD
810703.01000000
0.115901495177
Long
ABS-O
CORP
US
N
2
2053-03-17
Fixed
1.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412CBQ2
121232.57000000
PA
USD
125164.79000000
0.017894082204
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Floating
4.15200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHMV1
110313.57000000
PA
USD
108638.54000000
0.015531420340
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Floating
4.36400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371J7C2
8674.61000000
PA
USD
9013.63000000
0.001288626267
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AH2T2
112295.20000000
PA
USD
109903.32000000
0.015712238582
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Floating
4.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RYM2
886925.26000000
PA
USD
881750.94000000
0.126058804592
Long
ABS-MBS
USGA
US
N
2
2066-09-20
Floating
5.11600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJZZ4
19104.19000000
PA
USD
18680.34000000
0.002670619585
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Floating
3.39500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BND6
21782.51000000
PA
USD
22469.89000000
0.003212389512
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S4WG8
69743.63000000
PA
USD
68197.43000000
0.009749790005
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Floating
3.47700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BLH3
21394.37000000
PA
USD
21320.27000000
0.003048035026
Long
ABS-MBS
USGA
US
N
2
2061-02-20
Floating
5.16600000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FRZ79
21043633.75000000
PA
USD
21341255.97000000
3.051035268615
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Floating
5.52600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BGP1
487534.22000000
PA
USD
483996.23000000
0.069194126610
Long
ABS-MBS
USGA
US
N
2
2060-10-20
Floating
4.91600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36177X4K1
47984.39000000
PA
USD
46954.90000000
0.006712869014
Long
ABS-MBS
USGA
US
N
2
2063-04-20
Variable
4.63000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-E
63942EAA6
3785716.68000000
PA
USD
3209621.46000000
0.458860916486
Long
ABS-O
CORP
US
N
2
2069-12-16
Fixed
0.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403G5H1
286088.86000000
PA
USD
289927.96000000
0.041449314537
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Floating
4.02000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGT2
20265000.00000000
PA
USD
20298247.16000000
2.901922364049
Long
DBT
UST
US
N
2
2028-03-31
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620E1AW4
427652.86000000
PA
USD
436420.81000000
0.062392545459
Long
ABS-MBS
USGA
US
N
2
2063-02-20
Floating
6.72100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31294L6P3
19713.77000000
PA
USD
19788.26000000
0.002829012465
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RAH9
223976.67000000
PA
USD
222288.94000000
0.031779357162
Long
ABS-MBS
USGA
US
N
2
2065-04-20
Floating
5.04600000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BXQY1
2580000.00000000
PA
USD
2483229.62000000
0.355012899022
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Fixed
3.22400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NB58
270603.28000000
PA
USD
271281.16000000
0.038783489970
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Floating
4.03700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BUB6
88.21000000
PA
USD
84.65000000
0.000012101918
Long
ABS-MBS
USGA
US
N
3
2062-05-20
Floating
5.01600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403BAF0
134810.76000000
PA
USD
133445.96000000
0.019077992925
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Floating
3.91700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375LQF0
712992.69000000
PA
USD
708404.30000000
0.101276443465
Long
ABS-MBS
USGA
US
N
3
2037-10-20
Floating
5.28100000
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae REMIC Trust 2002-W10
31392ET59
5554.48000000
PA
USD
5090.26000000
0.000727724872
Long
ABS-MBS
USGSE
US
N
3
2042-08-25
Variable
4.33800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414FJD4
213957.36000000
PA
USD
210177.10000000
0.030047797826
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
3.88900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFU0
5270000.00000000
PA
USD
5371076.97000000
0.767871642088
Long
DBT
UST
US
N
2
2027-10-31
Fixed
4.12500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UWF3
5095.85000000
PA
USD
4600.75000000
0.000657742474
Long
ABS-MBS
USGA
US
N
3
2065-03-20
Fixed
1.75000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FRE98
1901507.60000000
PA
USD
1898551.71000000
0.271424898077
Long
ABS-MBS
USGSE
US
N
2
2027-01-25
Floating
5.07900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F3T0
29287.58000000
PA
USD
28754.18000000
0.004110817911
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Floating
2.31500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-c
63942JAA5
1621392.53000000
PA
USD
1411762.69000000
0.201831502520
Long
ABS-O
CORP
US
N
2
2069-10-15
Fixed
1.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGTA2
292976.04000000
PA
USD
299196.14000000
0.042774332338
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398JLT8
592172.06000000
PA
USD
541279.61000000
0.077383598351
Long
ABS-MBS
USGSE
US
N
2
2048-06-15
Variable
2.55100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHNE8
383867.39000000
PA
USD
381150.03000000
0.054490803437
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Floating
3.81700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B2PW4
98978.08000000
PA
USD
89457.67000000
0.012789242891
Long
ABS-MBS
USGSE
US
N
3
2043-06-15
Floating
6.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390NP30
1822.49000000
PA
USD
1879.76000000
0.000268738356
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395UKP5
396832.83000000
PA
USD
407581.04000000
0.058269491243
Long
ABS-MBS
USGSE
US
N
3
2035-05-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LFQ1
4495841.40000000
PA
USD
4412742.07000000
0.630864074063
Long
ABS-MBS
USGA
US
N
2
2068-06-20
Floating
2.85500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378DLM5
2112250.23000000
PA
USD
2099516.74000000
0.300155699823
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Floating
5.01100000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FHGE7
8720279.66000000
PA
USD
8516235.58000000
1.217516679756
Long
ABS-MBS
USGSE
US
N
2
2026-09-25
Fixed
3.70000000
N
N
N
N
N
N
Toyota Auto Receivables Owner Trust
N/A
Toyota Auto Receivables 2020-A Owner Trust
89232HAC9
34834.51000000
PA
USD
34744.74000000
0.004967253440
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
1.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGLN2
120658.52000000
PA
USD
121563.57000000
0.017379236722
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
4.07800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36177TN45
129524.32000000
PA
USD
128564.53000000
0.018380123263
Long
ABS-MBS
USGA
US
N
2
2064-01-20
Variable
4.58700000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B8HP7
2121667.15000000
PA
USD
2102606.09000000
0.300597366228
Long
ABS-MBS
USGSE
US
N
2
2027-01-25
Floating
5.12200000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTZZ3
3259412.21000000
PA
USD
3238732.22000000
0.463022712567
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Floating
5.13900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LKR3
6475973.30000000
PA
USD
6338384.12000000
0.906161920523
Long
ABS-MBS
USGA
US
N
2
2068-09-20
Floating
4.98600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411KKA0
440436.71000000
PA
USD
434223.72000000
0.062078440277
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Floating
2.79200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S5HG2
217032.02000000
PA
USD
210061.76000000
0.030031308337
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Floating
3.64300000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2016-C7
12532BAD9
1745000.00000000
PA
USD
1640710.77000000
0.234562878206
Long
ABS-MBS
CORP
US
N
2
2054-12-10
Fixed
3.83900000
N
N
N
N
N
N
Kubota Credit Owner Trust
N/A
Kubota Credit Owner Trust 2020-1
50117WAC8
87951.02000000
PA
USD
87710.83000000
0.012539507334
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
1.96000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378U8D2
2474537.11000000
PA
USD
2455381.97000000
0.351031682433
Long
ABS-MBS
USGA
US
N
2
2064-07-20
Floating
5.06600000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUNV2
2582059.84000000
PA
USD
2568446.19000000
0.367195816509
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Floating
5.03600000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F73D5
680361.50000000
PA
USD
676012.43000000
0.096645566167
Long
ABS-MBS
USGSE
US
N
2
2027-10-25
Floating
4.83600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193DHJ4
925976.55000000
PA
USD
917379.14000000
0.131152361171
Long
ABS-MBS
USGA
US
N
2
2066-02-20
Variable
4.58000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H2NT7
3915927.58000000
PA
USD
3574462.61000000
0.511020134184
Long
ABS-MBS
USGSE
US
N
2
2051-05-25
Variable
1.24200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36230RPD2
6718.93000000
PA
USD
6395.54000000
0.000914333164
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Variable
4.63000000
N
N
N
N
N
N
Hudsons Bay Simon JV Trust
N/A
Hudsons Bay Simon JV Trust 2015-HBS
44422PAU6
2600000.00000000
PA
USD
2278553.16000000
0.325751495710
Long
ABS-MBS
CORP
US
N
2
2034-08-05
Fixed
3.91400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375U6F2
16605.58000000
PA
USD
16477.24000000
0.002355655189
Long
ABS-MBS
USGA
US
N
3
2064-10-20
Floating
4.76600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C2Z4
97332.04000000
PA
USD
95061.04000000
0.013590324117
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Floating
3.85600000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BBBD1
7452252.00000000
PA
USD
7341079.30000000
1.049511419828
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
3.38900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36297E2K0
1252.93000000
PA
USD
1257.76000000
0.000179814633
Long
ABS-MBS
USGA
US
N
2
2061-06-20
Variable
4.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RKZ8
2970.47000000
PA
USD
2849.35000000
0.000407355000
Long
ABS-MBS
USGA
US
N
3
2061-08-20
Floating
5.24600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BANP5
4787227.53000000
PA
USD
4689654.26000000
0.670452599649
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Floating
4.04300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398WB86
490672.95000000
PA
USD
484659.16000000
0.069288901857
Long
ABS-MBS
USGSE
US
N
2
2036-12-15
Floating
3.88100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36178FK54
169772.23000000
PA
USD
167203.08000000
0.023904052077
Long
ABS-MBS
USGA
US
N
2
2063-07-20
Variable
4.43500000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5FZ5
7165000.00000000
PA
USD
6380929.03000000
0.912244318911
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Fixed
2.33300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PQQW4
16659.69000000
PA
USD
16579.98000000
0.002370343329
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KSK1
439468.33000000
PA
USD
438482.93000000
0.062687354764
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
3.61800000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796CT4
11490000.00000000
PA
USD
11478305.71000000
1.640986622080
Long
STIV
UST
US
N
2
2023-04-11
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403LGT2
1684.12000000
PA
USD
1742.09000000
0.000249056477
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BVS8
978713.45000000
PA
USD
975282.77000000
0.139430506448
Long
ABS-MBS
USGA
US
N
2
2062-07-20
Floating
5.46800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ECC50
78144.55000000
PA
USD
72072.20000000
0.010303743340
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36176HMD3
2136.03000000
PA
USD
2127.26000000
0.000304121992
Long
ABS-MBS
USGA
US
N
2
2062-08-20
Variable
4.61600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BJK9
322286.77000000
PA
USD
319968.01000000
0.045743965805
Long
ABS-MBS
USGA
US
N
2
2060-12-20
Floating
4.94600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402LJ86
51423.39000000
PA
USD
50905.34000000
0.007277640449
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Floating
4.26600000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2022-5
30167FAC6
2735000.00000000
PA
USD
2731322.79000000
0.390481336898
Long
ABS-O
CORP
US
N
2
2026-04-15
Fixed
5.43000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S4E94
426694.27000000
PA
USD
425570.32000000
0.060841313998
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
4.01500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGC9
10465000.00000000
PA
USD
10574964.23000000
1.511841143531
Long
DBT
UST
US
N
2
2027-12-31
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620E0KH8
1204317.63000000
PA
USD
1218861.45000000
0.174253533940
Long
ABS-MBS
USGA
US
N
2
2061-02-20
Floating
6.12400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S5GM0
145735.96000000
PA
USD
143641.32000000
0.020535564259
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Floating
3.64200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376ETM7
186905.25000000
PA
USD
186054.39000000
0.026599114249
Long
ABS-MBS
USGA
US
N
3
2059-11-20
Floating
5.91100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378H4T0
24367.99000000
PA
USD
23564.92000000
0.003368939584
Long
ABS-MBS
USGA
US
N
3
2032-07-20
Variable
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHP8
223849.02000000
PA
USD
221365.42000000
0.031647326878
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Floating
4.96900000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJ55
6587303.46000000
PA
USD
6259055.49000000
0.894820767580
Long
ABS-MBS
USGSE
US
N
2
2027-07-25
Fixed
2.60600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KVF7
942833.62000000
PA
USD
930060.72000000
0.132965372921
Long
ABS-MBS
USGA
US
N
3
2035-02-20
Floating
4.96100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406L4W5
296641.61000000
PA
USD
294714.23000000
0.042133579727
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
4.31000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAL5
4010000.00000000
PA
USD
3467553.51000000
0.495735961824
Long
DBT
UST
US
N
2
2027-09-30
Fixed
0.37500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
Commercial Mortgage Pass Through Certificates
12624NAC4
1186266.55000000
PA
USD
1047150.94000000
0.149705080806
Long
ABS-MBS
CORP
US
N
2
2030-10-05
Fixed
3.40000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
RKWYUSIDZTWNAX1D9U96
Enterprise Fleet Financing 2022-3 LLC
29374FAB9
675000.00000000
PA
USD
664591.23000000
0.095012743617
Long
ABS-O
CORP
US
N
2
2029-07-20
Fixed
4.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36176RA85
25730.84000000
PA
USD
25388.29000000
0.003629616190
Long
ABS-MBS
USGA
US
N
2
2061-12-20
Variable
4.14000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FGZ99
6835641.15000000
PA
USD
6697890.68000000
0.957558482909
Long
ABS-MBS
USGSE
US
N
2
2025-12-25
Fixed
3.79900000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZR8
1023301.95000000
PA
USD
1018980.24000000
0.145677679637
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Floating
5.02900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300L5J0
268244.13000000
PA
USD
273834.38000000
0.039148508987
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Floating
4.23400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36177TNH6
12265.35000000
PA
USD
11457.75000000
0.001638047891
Long
ABS-MBS
USGA
US
N
2
2063-06-20
Variable
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BT24
233668.67000000
PA
USD
234994.59000000
0.033595810060
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
4.98900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36297E2R5
19609.29000000
PA
USD
19385.41000000
0.002771419343
Long
ABS-MBS
USGA
US
N
2
2061-08-20
Variable
4.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
312915G96
262.40000000
PA
USD
254.06000000
0.000036321480
Long
ABS-MBS
USGSE
US
N
3
2023-05-15
Floating
3.28000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409VJ46
51015.45000000
PA
USD
50501.30000000
0.007219877200
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Floating
3.93400000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWJ76
3140000.00000000
PA
USD
3103996.76000000
0.443760367325
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Floating
4.89600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AQT7
840410.80000000
PA
USD
846042.91000000
0.120953835182
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Floating
4.16800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36230KSC6
9357.53000000
PA
USD
9288.54000000
0.001327928551
Long
ABS-MBS
USGA
US
N
2
2061-08-20
Variable
4.67700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394URQ7
22094.55000000
PA
USD
21284.38000000
0.003042904041
Long
ABS-MBS
USGSE
US
N
3
2025-11-25
Fixed
5.50000000
N
N
N
N
N
N
Sierra Receivables Funding Co LLC
N/A
Sierra Timeshare 2020-2 Receivables Funding LLC
826525AA5
543715.53000000
PA
USD
505811.49000000
0.072312927478
Long
ABS-O
CORP
US
N
2
2037-07-20
Fixed
1.33000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H6LM5
19106342.95000000
PA
USD
17255645.25000000
2.466939261423
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Fixed
2.20900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406AGS5
96992.13000000
PA
USD
95114.02000000
0.013597898360
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Floating
4.31000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AJDU7
2689291.67000000
PA
USD
2652399.70000000
0.379198161651
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Variable
3.51300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390TZ77
14430.35000000
PA
USD
14442.16000000
0.002064711635
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403GDV1
1889.78000000
PA
USD
1952.01000000
0.000279067518
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AFEL4
1840298.10000000
PA
USD
1672324.71000000
0.239082539376
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Floating
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LXV0
1606397.44000000
PA
USD
1604228.32000000
0.229347194472
Long
ABS-MBS
USGA
US
N
2
2069-08-20
Floating
5.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391WRV5
147025.27000000
PA
USD
149325.45000000
0.021348191272
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407JTE2
84841.37000000
PA
USD
83236.88000000
0.011899892718
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
3.80300000
N
N
N
N
N
N
Toyota Auto Loan Extended Note Trust
549300VJ12IVOF78MZ11
Toyota Auto Loan Extended Note Trust 2022-1
89231EAA1
4365000.00000000
PA
USD
4229965.23000000
0.604733532079
Long
ABS-O
CORP
US
N
2
2035-04-25
Fixed
3.82000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207KEF3
18925.60000000
PA
USD
19189.79000000
0.002743452689
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620E1CU6
553829.66000000
PA
USD
566884.70000000
0.081044209177
Long
ABS-MBS
USGA
US
N
2
2063-03-20
Floating
6.54300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410QY39
135342.52000000
PA
USD
135905.13000000
0.019429566160
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
4.61100000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H3KE1
15258345.49000000
PA
USD
14968589.51000000
2.139972201291
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Floating
4.72600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407RP57
131540.15000000
PA
USD
129407.66000000
0.018500660656
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
4.22300000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FRYZ8
5261371.12000000
PA
USD
5279558.63000000
0.754787797189
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Floating
5.36900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283W8
71120000.00000000
PA
USD
68314094.11000000
9.766468794814
Long
DBT
UST
US
N
2
2028-02-15
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LQV0
83574.42000000
PA
USD
82045.81000000
0.011729612366
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Floating
4.22800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RFW1
42282.53000000
PA
USD
40581.31000000
0.005801673914
Long
ABS-MBS
USGA
US
N
3
2065-07-20
Floating
4.86600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36176HMK7
13376.44000000
PA
USD
13161.60000000
0.001881637418
Long
ABS-MBS
USGA
US
N
2
2062-12-20
Variable
4.39000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401XPH4
182961.47000000
PA
USD
181238.62000000
0.025910631615
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Floating
3.92600000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust 2020-A
44891LAC7
151902.91000000
PA
USD
150282.11000000
0.021484959390
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
1.41000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RAZ9
2298.23000000
PA
USD
2203.18000000
0.000314975833
Long
ABS-MBS
USGA
US
N
3
2065-04-20
Floating
4.81600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405EJP1
189957.62000000
PA
USD
185842.28000000
0.026568790116
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Floating
3.98000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396AXW9
593478.70000000
PA
USD
599770.41000000
0.085745687908
Long
ABS-MBS
USGSE
US
N
3
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411NP84
464191.57000000
PA
USD
457956.14000000
0.065471326363
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Floating
4.44500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RBW5
1765665.24000000
PA
USD
1750708.82000000
0.250288659786
Long
ABS-MBS
USGA
US
N
2
2065-05-20
Floating
4.79600000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGP0
17055000.00000000
PA
USD
17362789.54000000
2.482257057530
Long
DBT
UST
US
N
2
2028-02-29
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UUR9
3492.20000000
PA
USD
3366.93000000
0.000481350403
Long
ABS-MBS
USGA
US
N
3
2061-04-20
Floating
4.86600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300MBP7
630353.64000000
PA
USD
617613.52000000
0.088296613589
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Floating
3.27500000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2022-SSP
05602HAA1
4650000.00000000
PA
USD
4617129.15000000
0.660084106399
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Floating
7.82700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AMRW1
3173402.54000000
PA
USD
3126512.03000000
0.446979244552
Long
ABS-MBS
USGSE
US
N
2
2045-02-25
Floating
5.24500000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2020-2
14315VAD4
148801.76000000
PA
USD
148319.34000000
0.021204353576
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
1.70000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5KW2
7079195.31000000
PA
USD
7029234.60000000
1.004928796417
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Variable
3.45800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BN32
707941.57000000
PA
USD
703024.70000000
0.100507353335
Long
ABS-MBS
USGA
US
N
2
2063-03-20
Floating
4.91600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397RFM3
199657.45000000
PA
USD
203212.43000000
0.029052099455
Long
ABS-MBS
USGSE
US
N
3
2038-02-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FYUR5
944102.51000000
PA
USD
942422.01000000
0.134732594673
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Floating
4.75800000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWGD6
655328.71000000
PA
USD
640516.32000000
0.091570893727
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
4.84600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36176RBE1
3412.59000000
PA
USD
3235.31000000
0.000462533457
Long
ABS-MBS
USGA
US
N
2
2062-02-20
Variable
4.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BH39
26734.55000000
PA
USD
25680.72000000
0.003671423207
Long
ABS-MBS
USGA
US
N
3
2062-12-20
Floating
5.00300000
N
N
N
N
N
N
Ford Credit Auto Owner Trust
N/A
Ford Credit Auto Owner Trust 2020-A
34528GAK2
71274.75000000
PA
USD
70832.11000000
0.010126454884
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
1.04000000
N
N
N
N
N
N
PenFed Auto Receivables Owner Trust
N/A
PenFed Auto Receivables Owner Trust 2022-A
706874AD6
620000.00000000
PA
USD
606806.40000000
0.086751582485
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
4.18000000
N
N
N
N
N
N
Honda Auto Receivables Owner Trust
N/A
Honda Auto Receivables 2020-1 Owner Trust
43813RAC1
48413.21000000
PA
USD
48172.71000000
0.006886972228
Long
ABS-O
CORP
US
N
2
2024-04-22
Fixed
1.61000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385WZT9
835.58000000
PA
USD
873.54000000
0.000124884934
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGD7
21030000.00000000
PA
USD
21048894.19000000
3.009238004985
Long
DBT
UST
US
N
2
2024-12-31
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MS78
803942.14000000
PA
USD
821357.76000000
0.117424742828
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Floating
4.21800000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGU9
44505000.00000000
PA
USD
44369398.61000000
6.343234915352
Long
DBT
UST
US
N
2
2025-03-31
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31386DT42
4165.60000000
PA
USD
4289.05000000
0.000613180538
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36198NVQ5
309550.16000000
PA
USD
307278.15000000
0.043929770311
Long
ABS-MBS
USGA
US
N
2
2064-05-20
Variable
4.70000000
N
N
N
N
N
N
Donlen Fleet Lease Funding
549300ZWUQETU54FDP26
Donlen Fleet Lease Funding 2 LLC
257812AD9
1014346.96000000
PA
USD
985090.25000000
0.140832624834
Long
ABS-O
CORP
US
N
2
2034-12-11
Fixed
0.56000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EHC4
3363924.37000000
PA
USD
3206018.40000000
0.458345807949
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Floating
2.73500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A7YW6
2924528.25000000
PA
USD
2856704.05000000
0.408406366560
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Floating
5.35500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617A5D44
2094271.58000000
PA
USD
2081249.40000000
0.297544124446
Long
ABS-MBS
USGA
US
N
2
2065-10-20
Variable
4.46500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380L2S1
4031755.11000000
PA
USD
3988672.58000000
0.570237325003
Long
ABS-MBS
USGA
US
N
2
2069-06-20
Floating
5.06600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LU50
3524788.28000000
PA
USD
3493742.30000000
0.499480020845
Long
ABS-MBS
USGA
US
N
2
2070-01-20
Floating
5.16600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297ANS9
10638.45000000
PA
USD
10547.89000000
0.001507970498
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RAC0
3199479.75000000
PA
USD
3094912.75000000
0.442461679238
Long
ABS-MBS
USGA
US
N
2
2065-04-20
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BPT9
222219.72000000
PA
USD
219752.89000000
0.031416792840
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Floating
2.86400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411JPT7
175990.06000000
PA
USD
172982.79000000
0.024730343607
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
4.18800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LQS7
40827.73000000
PA
USD
40160.59000000
0.005741526022
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Floating
3.87600000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-DC2 Mortgage Trust
12594CBD1
2346829.49000000
PA
USD
2272218.38000000
0.324845849050
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.55000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N2
14686KAB3
1865000.00000000
PA
USD
1732636.47000000
0.247704960996
Long
ABS-O
CORP
US
N
2
2028-03-10
Fixed
0.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412EJ23
20200.52000000
PA
USD
20432.00000000
0.002921044229
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
5.73700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31342AXY0
215592.26000000
PA
USD
212055.35000000
0.030316320307
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Floating
4.12800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QBX9
6784583.12000000
PA
USD
6746881.19000000
0.964562371248
Long
ABS-MBS
USGA
US
N
2
2070-05-20
Floating
4.96600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LX40
2687680.20000000
PA
USD
2675172.54000000
0.382453862164
Long
ABS-MBS
USGA
US
N
2
2070-01-20
Floating
5.19000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LUJ2
428055.50000000
PA
USD
425838.79000000
0.060879695593
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Floating
4.37700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AR6M1
800488.51000000
PA
USD
812497.09000000
0.116157984362
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Floating
4.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UMN7
2915440.08000000
PA
USD
2894701.97000000
0.413838708228
Long
ABS-MBS
USGA
US
N
2
2064-07-20
Floating
4.89200000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUN59
4595544.88000000
PA
USD
4563238.66000000
0.652379696412
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Floating
5.10900000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK25
06539WBB1
1595000.00000000
PA
USD
1362197.47000000
0.194745451234
Long
ABS-MBS
CORP
US
N
2
2063-01-15
Fixed
2.64900000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust 2020-3
22536BAA0
5293187.94000000
PA
USD
5214708.49000000
0.745516549771
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
1.24000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LQ40
735470.78000000
PA
USD
739351.90000000
0.105700841880
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Floating
4.23700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHAW2
254244.93000000
PA
USD
259640.00000000
0.037119221017
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359HYC2
2544.46000000
PA
USD
2454.20000000
0.000350862703
Long
ABS-MBS
USGSE
US
N
3
2024-04-25
Floating
3.43000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36176HLX0
10999.46000000
PA
USD
10125.37000000
0.001447565270
Long
ABS-MBS
USGA
US
N
2
2062-11-20
Variable
4.70000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FRZ61
21043633.75000000
PA
USD
21052030.16000000
3.009686336381
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Floating
5.46900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S5NW0
59637.72000000
PA
USD
58291.08000000
0.008333536750
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Floating
3.20100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378U8R1
1662457.68000000
PA
USD
1650523.56000000
0.235965755732
Long
ABS-MBS
USGA
US
N
2
2065-02-20
Floating
4.86200000
N
N
N
N
N
N
Toyota Auto Receivables Owner Trust
N/A
Toyota Auto Receivables 2020-B Owner Trust
89239RAC0
118407.87000000
PA
USD
117545.98000000
0.016804865241
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
1.36000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393CLX9
563156.18000000
PA
USD
575325.86000000
0.082250992737
Long
ABS-MBS
USGSE
US
N
3
2033-06-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PWV21
13563.43000000
PA
USD
13220.12000000
0.001890003682
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S4C54
270016.58000000
PA
USD
274104.74000000
0.039187160784
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
3.85800000
N
N
N
N
N
N
FHLMC Structured Pass Through Securities
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31395HHV5
256262.50000000
PA
USD
237889.24000000
0.034009641339
Long
ABS-MBS
USGSE
US
N
3
2044-10-25
Floating
4.33800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BGF3
566441.62000000
PA
USD
562110.27000000
0.080361636683
Long
ABS-MBS
USGA
US
N
2
2060-10-20
Floating
4.89600000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377REZ3
3220000.00000000
PA
USD
3054176.44000000
0.436637845875
Long
ABS-O
CORP
US
N
2
2028-08-21
Fixed
3.83000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36176HLJ1
7892.83000000
PA
USD
7431.34000000
0.001062415467
Long
ABS-MBS
USGA
US
N
2
2062-06-20
Variable
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406CC22
106995.95000000
PA
USD
110368.12000000
0.015778688336
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FXLT3
586864.56000000
PA
USD
580634.99000000
0.083010008181
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Floating
4.84600000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2020-1
36258NAC6
73505.00000000
PA
USD
73209.14000000
0.010466285041
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
1.84000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-F
63935CAB7
1591052.72000000
PA
USD
1483586.66000000
0.212099757861
Long
ABS-O
CORP
US
N
2
2068-08-15
Fixed
2.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RSJ6
3313374.08000000
PA
USD
3284866.47000000
0.469618258023
Long
ABS-MBS
USGA
US
N
2
2066-02-20
Floating
5.48600000
N
N
N
N
N
N
Social Professional Loan Program LLC
N/A
SoFi Professional Loan Program 2016-D LLC
83404LAA9
9832.05000000
PA
USD
9805.71000000
0.001401865339
Long
ABS-O
CORP
US
N
2
2039-01-25
Floating
5.79500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382DYY9
1742990.07000000
PA
USD
1680589.98000000
0.240264176966
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Floating
2.73100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BU42
884236.58000000
PA
USD
878460.39000000
0.125588373792
Long
ABS-MBS
USGA
US
N
2
2063-03-20
Floating
4.96600000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ3S0
6818330.75000000
PA
USD
6805419.56000000
0.972931261612
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Floating
5.16900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411E2N6
35862.92000000
PA
USD
35262.44000000
0.005041265998
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Floating
4.07400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BKL5
392352.02000000
PA
USD
389946.00000000
0.055748312120
Long
ABS-MBS
USGA
US
N
2
2061-02-20
Floating
5.01600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283H6S9
109835.99000000
PA
USD
114673.04000000
0.016394137715
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LUP8
1177674.34000000
PA
USD
1199179.40000000
0.171439705701
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Floating
4.06300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412NSX5
9324.80000000
PA
USD
9294.26000000
0.001328746306
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T0YC2
724.42000000
PA
USD
700.76000000
0.000100183582
Long
ABS-MBS
USGSE
US
N
3
2023-08-15
Floating
3.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RU61
2312856.12000000
PA
USD
2290673.29000000
0.327484240219
Long
ABS-MBS
USGA
US
N
2
2067-02-20
Floating
5.31600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200WT68
4845.85000000
PA
USD
5034.01000000
0.000719683137
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397ME86
547691.21000000
PA
USD
521614.26000000
0.074572157613
Long
ABS-MBS
USGSE
US
N
2
2038-08-25
Variable
3.44700000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAA5
3279463.97000000
PA
USD
2220164.31000000
0.317403981352
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
6.15500000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZS6
767476.47000000
PA
USD
764235.26000000
0.109258271165
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Floating
4.92600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A6G7
121648.52000000
PA
USD
120984.57000000
0.017296460458
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
3.86000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36198NVW2
1599804.76000000
PA
USD
1592824.01000000
0.227716786586
Long
ABS-MBS
USGA
US
N
2
2064-03-20
Variable
4.59300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HRRB1
5200000.00000000
PA
USD
5086316.51000000
0.727161094978
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
3.58000000
N
N
N
N
N
N
MVW 2020-1 LLC
N/A
MVW 2020-1 LLC
55400EAA7
351007.93000000
PA
USD
321932.57000000
0.046024827524
Long
ABS-O
CORP
US
N
2
2037-10-20
Fixed
1.74000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F73C7
566662.28000000
PA
USD
562590.02000000
0.080430223750
Long
ABS-MBS
USGSE
US
N
2
2027-10-25
Floating
4.94900000
N
N
N
N
N
N
Nissan Auto Receivables Owner Trust
N/A
Nissan Auto Receivables 2020-A Owner Trust
65479MAC0
426535.21000000
PA
USD
421545.17000000
0.060265861709
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
1.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375B7T3
2989141.41000000
PA
USD
2984028.48000000
0.426609199938
Long
ABS-MBS
USGA
US
N
2
2063-04-20
Floating
5.34000000
N
N
N
N
N
N
FHLMC Structured Pass Through Securities
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31394XVP8
4989.18000000
PA
USD
4146.74000000
0.000592835304
Long
ABS-MBS
USGSE
US
N
3
2044-03-25
Variable
3.76800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHMU3
1084118.65000000
PA
USD
1105513.36000000
0.158048816622
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Floating
3.85300000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LRU9
6138324.59000000
PA
USD
5847461.31000000
0.835977541047
Long
ABS-MBS
USGA
US
N
2
2068-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404ADY7
7161.70000000
PA
USD
7134.33000000
0.001019953674
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
5.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
Comm 2014-UBS2 Mortgage Trust
12591UAF0
1488000.00000000
PA
USD
1459669.52000000
0.208680463432
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Fixed
3.96100000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5DX2
11380000.00000000
PA
USD
10137440.56000000
1.449290928590
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Variable
2.05000000
N
N
N
N
N
N
Welk Resorts LLC
N/A
Welk Resorts 2019-A LLC
94946DAA9
692327.63000000
PA
USD
651574.46000000
0.093151811701
Long
ABS-O
CORP
US
N
2
2038-06-15
Fixed
2.80000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFZ9
26990000.00000000
PA
USD
27270442.83000000
3.898696636320
Long
DBT
UST
US
N
2
2027-11-30
Fixed
3.87500000
N
N
N
N
N
N
Toyota Auto Loan Extended Note Trust 2020-1
549300XP7ILZSI1BWP36
Toyota Auto Loan Extended Note Trust 2020-1
89237JAA4
765000.00000000
PA
USD
709486.25000000
0.101431123566
Long
ABS-O
CORP
US
N
2
2033-05-25
Fixed
1.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404FAG8
92117.80000000
PA
USD
93556.26000000
0.013375194471
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Floating
2.64200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M87E8
97289.55000000
PA
USD
95317.31000000
0.013626961549
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2020-BID Mortgage Trust
05493BAA6
3895000.00000000
PA
USD
3761131.58000000
0.537707111362
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
6.82400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36177TN29
1088762.21000000
PA
USD
1082519.57000000
0.154761528172
Long
ABS-MBS
USGA
US
N
2
2063-11-20
Variable
4.67700000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNXD7
8515000.00000000
PA
USD
8514971.90000000
1.217336018774
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Floating
5.31900000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H92P3
16300000.00000000
PA
USD
16106176.70000000
2.302606426882
Long
ABS-MBS
USGSE
US
N
2
2032-11-25
Fixed
4.11800000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FKJH0
1005635.31000000
PA
USD
1001145.35000000
0.143127929122
Long
ABS-MBS
USGSE
US
N
2
2045-10-25
Floating
5.05900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RMB9
2425.22000000
PA
USD
2333.59000000
0.000333619792
Long
ABS-MBS
USGA
US
N
3
2065-10-20
Floating
5.26600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BZY1
10883.05000000
PA
USD
10407.28000000
0.001487868304
Long
ABS-MBS
USGA
US
N
3
2062-10-20
Floating
4.74900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375B3P5
117616.13000000
PA
USD
116312.68000000
0.016628547512
Long
ABS-MBS
USGA
US
N
3
2063-05-20
Floating
5.03600000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2021-NRD
05592CAA4
1825000.00000000
PA
USD
1698086.76000000
0.242765589860
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
6.18500000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5JM6
7112111.91000000
PA
USD
7065748.76000000
1.010149013546
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Variable
3.53100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BNA6
29013.13000000
PA
USD
28880.01000000
0.004128807095
Long
ABS-MBS
USGA
US
N
2
2061-09-20
Floating
5.11600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396V4Q8
297433.73000000
PA
USD
289650.68000000
0.041409673427
Long
ABS-MBS
USGSE
US
N
3
2037-07-25
Floating
4.67700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36185KDJ2
515871.09000000
PA
USD
531841.84000000
0.076034335254
Long
ABS-MBS
USGA
US
N
2
2065-06-20
Floating
6.62400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LQP3
149933.83000000
PA
USD
147457.99000000
0.021081211375
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Floating
4.04600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QLUU3
201491.26000000
PA
USD
197978.90000000
0.028303892104
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Floating
3.58500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36186QVP4
534670.91000000
PA
USD
546547.29000000
0.078136687929
Long
ABS-MBS
USGA
US
N
2
2065-05-20
Floating
6.59200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AMC8
467868.80000000
PA
USD
474141.22000000
0.067785213136
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Floating
3.33800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LKG7
94377.62000000
PA
USD
93560.09000000
0.013375742024
Long
ABS-MBS
USGA
US
N
2
2068-09-20
Floating
4.91600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620E1AY0
800479.50000000
PA
USD
815086.81000000
0.116528221571
Long
ABS-MBS
USGA
US
N
2
2063-02-20
Floating
6.27700000
N
N
N
N
N
N
SPGN TFLM Mortgage Trust
N/A
SPGN 2022-TFLM Mortgage Trust
78473HAA4
3295000.00000000
PA
USD
3114089.01000000
0.445203197622
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
6.37700000
N
N
N
N
N
N
DROP Mortgage Trust 2021-FILE
N/A
DROP Mortgage Trust 2021-FILE
26210YAA4
2570000.00000000
PA
USD
2370115.94000000
0.338841693938
Long
ABS-MBS
CORP
US
N
2
2043-10-15
Floating
5.83000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TK5Q9
46240.92000000
PA
USD
45069.95000000
0.006443388673
Long
ABS-MBS
USGSE
US
N
3
2029-03-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31326NF55
1296712.99000000
PA
USD
1312552.95000000
0.187648062888
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Floating
3.93500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S5GE8
146178.81000000
PA
USD
143449.54000000
0.020508146588
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Floating
4.04900000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F8ZR7
3192282.96000000
PA
USD
3150131.74000000
0.450356017145
Long
ABS-MBS
USGSE
US
N
2
2030-12-25
Floating
4.77600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406XSY9
60270.76000000
PA
USD
59077.41000000
0.008445953778
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Floating
4.22300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6JW5
1223365.92000000
PA
USD
1198213.76000000
0.171301653765
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Floating
5.39500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KSG0
632368.46000000
PA
USD
635941.80000000
0.090916901203
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Floating
3.66200000
N
N
N
N
N
N
Fixed Income Clearing Corp
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
1236330.33000000
PA
USD
1236330.33000000
0.176750958134
Long
RA
CORP
US
N
2
Repurchase
N
2.10000000
2023-04-03
1293600.00000000
USD
1261108.65000000
USD
UST
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31349ULH9
80991.38000000
PA
USD
82036.01000000
0.011728211317
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
4.49800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GTH6
14086.09000000
PA
USD
15162.82000000
0.002167740205
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36230KR94
20601.59000000
PA
USD
20451.02000000
0.002923763408
Long
ABS-MBS
USGA
US
N
2
2061-08-20
Variable
4.70000000
N
N
N
N
N
N
2023-04-28
LOOMIS SAYLES FUNDS II
John Sgroi
John Sgroi
Assistant Treasurer