0001752724-23-084856.txt : 20230424
0001752724-23-084856.hdr.sgml : 20230424
20230424121013
ACCESSION NUMBER: 0001752724-23-084856
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230228
FILED AS OF DATE: 20230424
DATE AS OF CHANGE: 20230424
PERIOD START: 20230228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: LEGG MASON PARTNERS INSTITUTIONAL TRUST
CENTRAL INDEX KEY: 0000889512
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06740
FILM NUMBER: 23838761
BUSINESS ADDRESS:
STREET 1: LEGG MASON & CO., LLC
STREET 2: 620 EIGHTH AVENUE, 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 1-877-721-1926
MAIL ADDRESS:
STREET 1: LEGG MASON & CO., LLC
STREET 2: 620 EIGHTH AVENUE, 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
FORMER COMPANY:
FORMER CONFORMED NAME: CITIFUNDS INSTITUTIONAL TRUST
DATE OF NAME CHANGE: 19981030
0000889512
S000014681
Western Asset SMASh Series M Fund
C000040179
SMASh Series M Fund
LMSMX
NPORT-P
1
primary_doc.xml
NPORT-P
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Legg Mason Partners Institutional Trust
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47thFloor
New York
10018
1-877-721-1926
Western Asset SMASh Series M Fund
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2023-02-28
2023-02-28
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0.00000000
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ABS-MBS
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2045-06-25
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Government National Mortgage A
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PA
USD
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-0.55216880721
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ABS-MBS
USGA
US
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2
2053-03-20
Fixed
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N
N
N
N
N
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Government National Mortgage A
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PA
USD
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0.271814432390
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ABS-MBS
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US
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2
2051-04-20
Fixed
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N
N
N
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Goodgreen Trust
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USD
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0.503940515645
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ABS-O
CORP
US
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2
2056-10-15
Fixed
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N
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Fanniemae-Aces
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30315446.25000000
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USD
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0.085213611432
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USGSE
US
N
2
2028-02-25
Variable
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N
N
N
N
N
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USD
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ABS-MBS
USGSE
US
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2
2050-08-01
Fixed
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N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
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CBOT 10 Year US Treasury Note
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-801.00000000
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DIR
CORP
US
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1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
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Short
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United States Treasury Note/Bond
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USD
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N
N
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Freddie Mac
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Freddie Mac Pool
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USD
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4.348548207612
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB5S4
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PA
USD
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0.006106655601
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
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Fannie Mae Pool
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PA
USD
67047.23000000
0.004683320104
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPC0
1018231.72000000
PA
USD
1019217.85000000
0.071193447484
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
5.00000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
1550000.00000000
PA
USD
1401655.70000000
0.097907136800
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGV97
2084904.09000000
PA
USD
1888512.03000000
0.131914567658
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-4
46649CAA1
1977238.54000000
PA
USD
1724847.20000000
0.120482405751
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFB90
8749.00000000
PA
USD
8800.36000000
0.000614714476
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
SLM Student Loan Trust
5493000NQN5E3MSIIG77
SLM Student Loan Trust 2003-10
78442GJH0
7784908.14000000
PA
USD
7635342.93000000
0.533336799307
Long
ABS-O
CORP
US
N
2
2068-12-17
Floating
5.43900000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHG8
40234114.42000000
PA
USD
4391448.98000000
0.306747367444
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Variable
1.32354200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X6PV1
1647160.76000000
PA
USD
1493837.98000000
0.104346166798
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4HK8
170609.81000000
PA
USD
140396.38000000
0.009806836003
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AKTB9
679034.16000000
PA
USD
29260.40000000
0.002043869964
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Variable
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGRD3
76718.39000000
PA
USD
63647.77000000
0.004445864219
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2021-FL7 Ltd
55284AAA6
3560000.00000000
PA
USD
3508061.38000000
0.245041806941
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
5.67129000
N
N
N
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2003-2
759950AW8
600755.33000000
PA
USD
548255.86000000
0.038296253129
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
3.77313100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MKLU1
517983.07000000
PA
USD
486742.35000000
0.033999469233
Long
ABS-MBS
USGA
US
N
2
2050-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B56Y6
34096923.31000000
PA
USD
1094313.48000000
0.076438956863
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Variable
0.63406000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2021-NQM3
64831TAA5
5371882.56000000
PA
USD
4409077.90000000
0.307978766198
Long
ABS-MBS
CORP
US
N
2
2056-11-27
Variable
1.15612000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
2890000.00000000
PA
USD
2226060.79000000
0.155492706442
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GRN5
12084.72000000
PA
USD
12377.56000000
0.000864585689
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
BAC CAPITAL TRUST XIV
549300QO5OB3VGJT6S64
BAC Capital Trust XIV
05518VAA3
200000.00000000
PA
USD
163242.05000000
0.011402630275
Long
DBT
CORP
US
N
2
N/A
Floating
5.16900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6TA2
160663.80000000
PA
USD
133489.64000000
0.009324392891
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR9 Trust
92922FU48
35295.50000000
PA
USD
32581.41000000
0.002275846034
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
5.25700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHBB7
114465.07000000
PA
USD
115414.15000000
0.008061800749
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B7GP0
16393574.94000000
PA
USD
734599.37000000
0.051312544879
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Variable
0.92807000
N
N
N
N
N
N
BX Trust
N/A
BX 2021-MFM1
05608VAA4
2712735.85000000
PA
USD
2672746.33000000
0.186694165025
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
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N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XSQ5
53654255.21000000
PA
USD
260220.46000000
0.018176675039
Long
ABS-MBS
USGA
US
N
2
2055-01-16
Variable
0.14883000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVM3
904716.56000000
PA
USD
755926.72000000
0.052802282890
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KYB9
14879644.69000000
PA
USD
26612.24000000
0.001858893180
Long
ABS-MBS
USGA
US
N
2
2054-06-16
Variable
0.21267000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BDDH8
37410991.98000000
PA
USD
3024046.46000000
0.211232851585
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Variable
1.52848800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XBQG2
6239.34000000
PA
USD
6026.17000000
0.000420934363
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2H3
2250000.00000000
PA
USD
2095257.80000000
0.146355978902
Long
DBT
CORP
CH
N
2
2025-02-21
Fixed
3.70000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2015-SB7 Mortgage Trust
30287WAJ9
1754189.93000000
PA
USD
1676057.43000000
0.117074388585
Long
ABS-MBS
USGSE
US
N
2
2035-09-25
Variable
2.95000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BSPY3
100090396.30000000
PA
USD
232129.65000000
0.016214502176
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Variable
0.91255500
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B7GA3
707446.52000000
PA
USD
651839.88000000
0.045531706754
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Fixed
2.23200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLGL5
986819.03000000
PA
USD
813116.71000000
0.056797064329
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KS87
647647.27000000
PA
USD
91490.67000000
0.006390720305
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLNB6
6477432.32000000
PA
USD
184749.32000000
0.012904935889
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Variable
0.56136800
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F83S0
54305557.63000000
PA
USD
3177081.48000000
0.221922509992
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.02381700
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178NF95
6868801.37000000
PA
USD
6343514.39000000
0.443101206080
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20
46642CBQ2
700000.00000000
PA
USD
614013.89000000
0.042889521246
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
4.55957900
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31352DC24
890676.32000000
PA
USD
34679.79000000
0.002422420101
Long
ABS-MBS
USGSE
US
N
2
2038-02-15
Variable
0.01000000
N
N
N
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2007-3
75971FAC7
762619.78000000
PA
USD
661674.01000000
0.046218631162
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
6.41700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FB62
4013.47000000
PA
USD
4235.53000000
0.000295856261
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBK5
1673255.63000000
PA
USD
1679783.67000000
0.117334670400
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LUTG0
83235.69000000
PA
USD
81907.88000000
0.005721352263
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FNW2
26879.02000000
PA
USD
28365.11000000
0.001981333008
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCC4
11102777.54000000
PA
USD
10778454.53000000
0.752886477164
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FFB0
230576.35000000
PA
USD
41774.07000000
0.002917963081
Long
ABS-MBS
USGA
US
N
2
2045-04-16
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WNF1
4526.90000000
PA
USD
4459.26000000
0.000311484039
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XABM3
170257.14000000
PA
USD
140106.01000000
0.009786553350
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2018-RPL1
36256BAC4
11858106.55000000
PA
USD
11366854.84000000
0.793986862690
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TCY9
217990.18000000
PA
USD
209153.30000000
0.014609579767
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FXC89
1290696.86000000
PA
USD
173384.60000000
0.012111098147
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
2.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-A
78448YAC5
16373912.91000000
PA
USD
14405120.17000000
1.006212917421
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
1.59000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K7E5
3766.72000000
PA
USD
3797.49000000
0.000265258702
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAH1
3571980.33000000
PA
USD
3601041.60000000
0.251536573893
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
6.46700000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAA2
3000000.00000000
PA
USD
2962035.00000000
0.206901285354
Long
ABS-CBDO
CORP
KY
N
2
2034-08-15
Floating
5.65786000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GPR8
68182.59000000
PA
USD
72562.06000000
0.005068536827
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
SUNRUN VULCAN ISSUER LLC
N/A
Sunrun Vulcan Issuer 2021-1 LLC
86773QAA4
3190711.75000000
PA
USD
2615919.80000000
0.182724771653
Long
ABS-O
CORP
US
N
2
2052-01-30
Fixed
2.46000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FQ74
113288.95000000
PA
USD
113122.67000000
0.007901738441
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
4.50000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B6XJ7
11604906.68000000
PA
USD
10278383.45000000
0.717955982008
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Fixed
2.52200000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2004-7
45254NKF3
2448774.66000000
PA
USD
2385729.49000000
0.166645734432
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
5.35700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAZZ0
3888804.66000000
PA
USD
3129896.77000000
0.218626607970
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9PU0
12154.62000000
PA
USD
12991.60000000
0.000907477034
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F72D6
35565284.67000000
PA
USD
983575.73000000
0.068703807612
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Variable
0.74909400
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2022-7R
12662TAA8
19699314.71000000
PA
USD
19826343.77000000
1.384891133928
Long
DBT
CORP
US
N
2
2066-10-25
Floating
6.56173000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-2AX
61751TAB5
19063.13000000
PA
USD
7687.62000000
0.000536988408
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
4.79700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617K1Y72
602383.55000000
PA
USD
579047.99000000
0.040447116057
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379JA50
567744.69000000
PA
USD
96833.11000000
0.006763895404
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
5.50000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BBBW1
2855942.51000000
PA
USD
185739.08000000
0.012974071674
Long
ABS-MBS
USGSE
US
N
2
2034-09-25
Variable
1.49780000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0GX1
2657280.15000000
PA
USD
2728654.96000000
0.190599442110
Long
ABS-MBS
CORP
US
N
2
2028-04-25
Floating
8.31700000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2005-7
576433D52
55771.62000000
PA
USD
34476.48000000
0.002408218682
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.48587600
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multiclass Certificates Series 2020-RR07
3137FRVC2
6000000.00000000
PA
USD
661679.10000000
0.046218986704
Long
ABS-MBS
USGSE
US
N
2
2028-09-27
Variable
2.46823000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L13J2
123993.82000000
PA
USD
101657.39000000
0.007100876477
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8FA3
197608.11000000
PA
USD
8462.82000000
0.000591136950
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
3.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2020-A
78449UAB4
13247515.44000000
PA
USD
12182315.84000000
0.850947678162
Long
ABS-O
CORP
US
N
2
2037-09-15
Fixed
2.23000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLS4
876308.37000000
PA
USD
820527.62000000
0.057314724250
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDB2
16930000.00000000
PA
USD
16978457.05000000
1.185963226962
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
6.78413000
N
N
N
N
N
N
BrightSpire Capital, Inc
N/A
BRSP 2021-FL1 Ltd
05591XAA9
5490000.00000000
PA
USD
5400787.50000000
0.377250733254
Long
ABS-CBDO
CORP
KY
N
2
2038-08-19
Floating
5.74129000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJBJ1
388562.43000000
PA
USD
319712.12000000
0.022332230568
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2020-GS5
52475JAA3
5890417.80000000
PA
USD
5891701.91000000
0.411541625302
Long
ABS-MBS
CORP
US
N
2
2060-06-25
Variable
3.25000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BARE6
10680134.21000000
PA
USD
563657.97000000
0.039372106843
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
1.71340000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
20067.00000000
NC
USD
-8049341.18000000
-0.56225501602
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
2156315805.41000000
USD
-8049341.18000000
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B57A7
531342.41000000
PA
USD
473724.86000000
0.033090183754
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
2.56000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XCSC7
4142.47000000
PA
USD
4043.67000000
0.000282454636
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
RAAC Series
N/A
RAAC Series 2006-RP3 Trust
74919RAA3
20726.80000000
PA
USD
20588.55000000
0.001438132047
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
4.88700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH54
213771.64000000
PA
USD
207529.07000000
0.014496125579
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BJN3
415779.28000000
PA
USD
414247.55000000
0.028935630588
Long
ABS-MBS
USGA
US
N
2
2060-11-20
Floating
4.84157000
N
N
N
N
N
N
Foundation Finance Trust
549300MQ65NOVQXYNB21
Foundation Finance Trust 2021-1
35041LAA8
3781242.57000000
PA
USD
3372351.48000000
0.235562326534
Long
ABS-O
CORP
US
N
2
2041-05-15
Fixed
1.27000000
N
N
N
N
N
N
Thrust Engine Leasing
N/A
Thrust Engine Leasing 2021 DAC
88603UAA7
8066652.31000000
PA
USD
6077156.10000000
0.424495797108
Long
ABS-O
CORP
US
N
2
2040-07-15
Fixed
4.16300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379U6W1
905408.20000000
PA
USD
32551.05000000
0.002273725355
Long
ABS-MBS
USGA
US
N
2
2057-02-16
Variable
0.68052000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6Q56
10208.62000000
PA
USD
8959.80000000
0.000625851529
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
None
0.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
900000.00000000
PA
USD
717978.88000000
0.050151586030
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-RPL3 Trust
12651YAA0
12798303.53000000
PA
USD
11647410.97000000
0.813584005841
Long
ABS-MBS
CORP
US
N
2
2057-08-01
Variable
4.00000000
N
N
N
N
N
N
SFO Commerical Mortgage Trust
N/A
SFO Commercial Mortgage Trust 2021-555
78432WAA1
9120000.00000000
PA
USD
8394575.14000000
0.586369974179
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
5.73800000
N
N
N
N
N
N
Dividend Solar Loans LLC
N/A
Dividend Solar Loans 2019-1 LLC
255388AA8
244036.29000000
PA
USD
221615.99000000
0.015480111877
Long
ABS-O
CORP
US
N
2
2039-08-22
Fixed
3.67000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAG8
3200000.00000000
PA
USD
2741664.96000000
0.191508204404
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.60500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F62P1
11419901.42000000
PA
USD
635015.04000000
0.044356473841
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
0.95890000
N
N
N
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
09228YAB8
15457988.79000000
PA
USD
12934948.23000000
0.903519848609
Long
ABS-O
CORP
KY
N
2
2041-12-16
Variable
4.21300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397UUU1
197978.46000000
PA
USD
201767.15000000
0.014093649358
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Fixed
5.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377REH3
6654000.00000000
PA
USD
5835731.00000000
0.407631997893
Long
ABS-O
CORP
US
N
2
2027-08-20
Fixed
1.38000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSH9
1778510.34000000
PA
USD
1709490.71000000
0.119409738642
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EDT1
582917.83000000
PA
USD
96286.48000000
0.006725712719
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FLFG6
49921.20000000
PA
USD
7974.89000000
0.000557054522
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
3.50000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
1580000.00000000
PA
USD
1510890.80000000
0.105537324356
Long
DBT
NUSS
QA
N
2
2026-06-02
Fixed
3.25000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-4
64829LAA6
3520408.03000000
PA
USD
3226857.40000000
0.225399410781
Long
ABS-MBS
CORP
US
N
2
2056-11-25
Variable
3.75000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91086QAZ1
3430000.00000000
PA
USD
3037985.57000000
0.212206513198
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
5.75000000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-8 Ltd
69357XAA9
3838154.22000000
PA
USD
3732812.24000000
0.260740892812
Long
ABS-MBS
CORP
KY
N
2
2037-08-09
Floating
5.59000000
N
N
N
N
N
N
COMM Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CCRE12 Mortgage Trust
12591KAG0
180000.00000000
PA
USD
163419.57000000
0.011415030235
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Fixed
4.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AKJH4
313644.30000000
PA
USD
260205.95000000
0.018175661500
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2021-CRE5 Trust
04002PAA2
6255857.75000000
PA
USD
6122765.00000000
0.427681627131
Long
ABS-MBS
CORP
KY
N
2
2038-11-17
Floating
5.68143000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WJS8
1016873.22000000
PA
USD
913401.95000000
0.063802094674
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
3.00000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
5493004IHDYOZ9K9WF47
Hertz Vehicle Financing LLC
42806MAA7
3690000.00000000
PA
USD
3426592.30000000
0.239351105322
Long
ABS-O
CORP
US
N
2
2025-12-26
Fixed
1.21000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVL5
1087246.06000000
PA
USD
903094.08000000
0.063082079025
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTZM2
45271086.32000000
PA
USD
5306934.78000000
0.370695021251
Long
ABS-MBS
USGSE
US
N
2
2035-02-25
Variable
1.51092200
N
N
N
N
N
N
Residential Funding Securities
N/A
RFSC Series 2002-RP2 Trust
760985PC9
2067.13000000
PA
USD
2058.51000000
0.000143789106
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Floating
6.11700000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKH4
1100000.00000000
PA
USD
859337.38000000
0.060025627136
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZK3
29799670.20000000
PA
USD
3736854.80000000
0.261023269914
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Variable
1.51064600
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp
86359BYT2
7651.35000000
PA
USD
6587.26000000
0.000460127095
Long
ABS-MBS
CORP
US
N
2
2029-12-25
Variable
7.95323400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGQ64
21971.93000000
PA
USD
22153.84000000
0.001547469213
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
5.00000000
N
N
N
N
N
N
KREF 2021-FL2 Ltd
54930083ELM2GCMVTQ91
KREF 2021-FL2 Ltd
48275RAA5
4360000.00000000
PA
USD
4279299.02000000
0.298913573827
Long
ABS-CBDO
CORP
KY
N
2
2039-02-15
Floating
5.67143000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
-301.00000000
NC
USD
359307.24000000
0.025097991682
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
-41013119.74000000
USD
359307.24000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGRE1
402788.00000000
PA
USD
335165.01000000
0.023411631319
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
N/A
Hertz Vehicle Financing III LP
42806MAE9
16380000.00000000
PA
USD
14289962.78000000
0.998169051630
Long
ABS-O
CORP
US
N
2
2027-12-27
Fixed
1.68000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MQCZ7
726874.65000000
PA
USD
629414.82000000
0.043965292536
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9CG3
23346.24000000
PA
USD
22379.15000000
0.001563207355
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG4R5
5585.97000000
PA
USD
979.08000000
0.000068389776
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVK7
944825.78000000
PA
USD
787226.88000000
0.054988632253
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BDHY7
74520000.00000000
PA
USD
398264.69000000
0.027819210870
Long
ABS-MBS
USGSE
US
N
2
2030-12-25
Variable
0.07020000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KLVW9
486348.09000000
PA
USD
403538.23000000
0.028187573231
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNF1
6135385.73000000
PA
USD
5508639.21000000
0.384784289551
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B3YD6
3000000.00000000
PA
USD
2754926.40000000
0.192434530049
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
3.70000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-A1
59020U5U5
311629.29000000
PA
USD
195259.87000000
0.013639108950
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
3.80121300
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-AFC1 Trust
12657LAA2
5118884.86000000
PA
USD
4093635.70000000
0.285944794069
Long
ABS-MBS
CORP
US
N
2
2056-03-25
Variable
0.83000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNS0
715221.12000000
PA
USD
686211.66000000
0.047932612031
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-C
83208AAG8
6233000.00000000
PA
USD
5681579.58000000
0.396864357762
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
3.93000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W7M4
22675000.07000000
PA
USD
21445760.65000000
1.498009120041
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B7QQ5
92655.10000000
PA
USD
4307.04000000
0.000300851310
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
4.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2020-2
89176UAV6
8740000.00000000
PA
USD
6586450.02000000
0.460070517417
Long
ABS-MBS
CORP
US
N
2
2060-04-25
Variable
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QBN1
2408414.99000000
PA
USD
2428511.77000000
0.169634122051
Long
ABS-MBS
USGA
US
N
2
2070-04-20
Floating
5.64157000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Pass Through Certificates Ser 2001-SB1
86358RDU8
66656.21000000
PA
USD
65990.70000000
0.004609520364
Long
ABS-MBS
CORP
US
N
2
2031-08-25
Fixed
3.37500000
N
N
N
N
N
N
BNY MELLON CASH RESERVE EOD FUND
N/A
BNY MELLON CASH RESERVE EOD FUND
000000000
129541928.72000000
NS
USD
129541928.72000000
9.048641072582
Long
STIV
CORP
US
N
2
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MB5P0
64550.90000000
PA
USD
61549.22000000
0.004299278276
Long
ABS-MBS
USGA
US
N
2
2050-03-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4H36
175072.01000000
PA
USD
144066.95000000
0.010063229209
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
06417XAG6
4420000.00000000
PA
USD
3870057.24000000
0.270327601581
Long
DBT
CORP
CA
N
2
2037-05-04
Fixed
4.58800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377YTW0
27980.22000000
PA
USD
9.07000000
0.000000633549
Long
ABS-MBS
USGA
US
N
2
2026-10-16
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KG64
416900.14000000
PA
USD
60077.73000000
0.004196493140
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FDF0
63967.71000000
PA
USD
67504.39000000
0.004715253215
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
2061.00000000
NC
USD
-944387.46000000
-0.06596646540
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
420824831.74000000
USD
-944387.46000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EUU1
184436.42000000
PA
USD
194650.61000000
0.013596551493
Long
ABS-MBS
USGA
US
N
2
2038-07-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AC3A7
136613.11000000
PA
USD
20189.15000000
0.001410233533
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AFRB2
469769.50000000
PA
USD
23237.48000000
0.001623162616
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6TB0
384440.55000000
PA
USD
318611.27000000
0.022255335028
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABUF7
280535.95000000
PA
USD
251855.31000000
0.017592360442
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Treasure Bond
000000000
38.00000000
NC
USD
-18909.52000000
-0.00132085002
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
4777222.02000000
USD
-18909.52000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617K1ZG1
1872259.62000000
PA
USD
1750679.93000000
0.122286849331
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W5GH5
739920.09000000
PA
USD
670148.27000000
0.046810567208
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGRZ4
1594347.59000000
PA
USD
1444175.83000000
0.100877212964
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VHV5
254991.27000000
PA
USD
250447.71000000
0.017494038089
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EPA1
19549.64000000
PA
USD
20631.07000000
0.001441102114
Long
ABS-MBS
USGA
US
N
2
2037-08-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAZY3
6525409.18000000
PA
USD
5444550.65000000
0.380307635683
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
Bayview Financial Asset Trust
N/A
Bayview Financial Asset Trust 2007-SSR1
07325QAC9
326070.85000000
PA
USD
328872.33000000
0.022972080949
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.51700000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-24
12667GNS8
205212.35000000
PA
USD
172222.41000000
0.012029917943
Long
ABS-MBS
CORP
US
N
2
2035-07-20
Floating
4.10257500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB5B1
171348.01000000
PA
USD
166040.85000000
0.011598129423
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B8TR0
5582349.84000000
PA
USD
167475.52000000
0.011698342643
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Variable
0.74031000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAD2
6810000.00000000
PA
USD
5457896.84000000
0.381239881205
Long
DBT
NUSS
MX
N
2
2048-02-10
Fixed
4.60000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2019-UVIL
12656DAA1
10000000.00000000
PA
USD
8243224.00000000
0.575797936574
Long
ABS-MBS
CORP
US
N
2
2041-12-15
Fixed
3.15950000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QGU0
102912.00000000
PA
USD
99904.15000000
0.006978410804
Long
ABS-MBS
USGA
US
N
2
2070-07-20
Floating
3.56710000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KKH80
567353.52000000
PA
USD
470750.12000000
0.032882395011
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-2
33851HAD5
485413.24000000
PA
USD
473736.48000000
0.033090995424
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Variable
3.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAA3
22570000.00000000
PA
USD
22052650.46000000
1.540401016747
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
5.28787000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-PALM
85237AAA1
12605000.00000000
PA
USD
12291913.23000000
0.858603172058
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Floating
5.17800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMM1
789531.75000000
PA
USD
775220.91000000
0.054150002519
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.50000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-4
64829NAA2
10803515.76000000
PA
USD
9994240.60000000
0.698108302663
Long
ABS-MBS
CORP
US
N
2
2057-05-25
Variable
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMT62
376592.63000000
PA
USD
313363.11000000
0.021888745488
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FDW3
10180.43000000
PA
USD
10165.49000000
0.000710070254
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
4.50000000
N
N
N
N
N
N
Residential Asset Securitizati
N/A
Residential Asset Securitization Trust 2005-A15
45660L3K3
496873.11000000
PA
USD
459447.88000000
0.032092921564
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TJ22
635968.81000000
PA
USD
641541.24000000
0.044812335831
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QDH2
247568.76000000
PA
USD
241626.00000000
0.016877832292
Long
ABS-MBS
USGA
US
N
2
2070-07-20
Floating
4.89157000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375CWH9
1452414.41000000
PA
USD
168878.61000000
0.011796349968
Long
ABS-MBS
USGA
US
N
2
2042-04-16
Floating
2.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L4F53
166647.21000000
PA
USD
137898.67000000
0.009632368311
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Mortgage Loan Trust 2006-AR1
36185MDN9
346400.46000000
PA
USD
264337.60000000
0.018464261633
Long
ABS-MBS
CORP
US
N
2
2036-04-19
Variable
3.24037600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241LW51
63744.79000000
PA
USD
63651.23000000
0.004446105904
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F82T9
9959287.30000000
PA
USD
511444.26000000
0.035724923838
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
0.88108800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELYW7
155803.00000000
PA
USD
164630.51000000
0.011499615678
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSF3
4786.36000000
PA
USD
4327.72000000
0.000302295830
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QGX4
2794052.40000000
PA
USD
2775976.00000000
0.193904866928
Long
ABS-MBS
USGA
US
N
2
2070-08-20
Floating
4.79157000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQA9
47484698.95000000
PA
USD
41168294.74000000
2.875649037754
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SJS7
689918.86000000
PA
USD
626679.43000000
0.043774222644
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADKM0
422151.12000000
PA
USD
71252.86000000
0.004977087819
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Fixed
4.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE20 Mortgage Trust
12592LBM3
1680000.00000000
PA
USD
1590512.45000000
0.111098981030
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Variable
4.23900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HWJ94
4573965.67000000
PA
USD
4001052.18000000
0.279477737032
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.56000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KEL9
25300000.00000000
PA
USD
25162626.06000000
1.757636109870
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
6.58413000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Notes Trust 2006-SD2
23244AAA3
12371.83000000
PA
USD
12081.26000000
0.000843888820
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.27700000
N
N
N
N
N
N
COMM Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CCRE12 Mortgage Trust
12591KAK1
80000.00000000
PA
USD
54675.84000000
0.003819165396
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Variable
5.01954900
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202F2A3
19568.37000000
PA
USD
20649.86000000
0.001442414615
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241LUX2
728106.82000000
PA
USD
727037.82000000
0.050784362595
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030633
45300000.00000000
PA
USD
40455908.37000000
2.825888094476
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Trust 2015-5
46644XAK8
411806.76000000
PA
USD
406091.99000000
0.028365956075
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Variable
5.73660200
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAL9
3534884.34000000
PA
USD
3391595.33000000
0.236906529861
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMK5
1191710.86000000
PA
USD
1114005.82000000
0.077814487691
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSG1
1548118.18000000
PA
USD
1445476.77000000
0.100968085003
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052637
9100000.00000000
PA
USD
9134480.45000000
0.638053144594
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDFQ4
183284.76000000
PA
USD
150482.35000000
0.010511351701
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKP78
448653.46000000
PA
USD
380636.55000000
0.026587866601
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Mastr Asset Backed Securities Trust 2007-NCW
576456AA5
4237299.65000000
PA
USD
3659373.50000000
0.255611118957
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
4.91700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXW0
980735.42000000
PA
USD
965387.89000000
0.067433367703
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEA6
641429.58000000
PA
USD
630008.60000000
0.044006768699
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABP55
751708.84000000
PA
USD
674107.76000000
0.047087141783
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFW5
2380114.84000000
PA
USD
2273771.17000000
0.158825327072
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Floating
3.09600000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG4Y0
7896.58000000
PA
USD
1740.77000000
0.000121594630
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FZD1
4006.19000000
PA
USD
4228.08000000
0.000295335870
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
6.00000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDP6
880000.00000000
PA
USD
766140.66000000
0.053515737429
Long
DBT
CORP
NL
N
2
2033-04-06
Fixed
3.75800000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2021-RPL1
36261WAB3
16090000.00000000
PA
USD
13048447.77000000
0.911447911820
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
2.00000000
N
N
N
N
N
N
JP Morgan ReRemic
5493004MQHFTPQUDN572
JP Morgan Resecuritization Trust Series 2014-6
46643NAB1
4459186.09000000
PA
USD
4000985.10000000
0.279473051423
Long
ABS-MBS
CORP
US
N
2
2036-07-27
Floating
3.30387200
N
N
N
N
N
N
OPG Trust
N/A
OPG Trust 2021-PORT
67118AAL9
2583860.45000000
PA
USD
2481759.20000000
0.173353511494
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
5.71900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EDP9
1546823.26000000
PA
USD
254451.65000000
0.017773717544
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BLQ3
521576.71000000
PA
USD
519756.09000000
0.036305513976
Long
ABS-MBS
USGA
US
N
2
2061-04-20
Floating
4.89157000
N
N
N
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2005-AR7
86359LQM4
168398.23000000
PA
USD
167024.77000000
0.011666857278
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Floating
4.94257500
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG4E4
3281.78000000
PA
USD
677.31000000
0.000047310821
Long
ABS-MBS
USGSE
US
N
2
2039-01-25
Variable
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L7PC0
308359.91000000
PA
USD
255294.60000000
0.017832598495
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AGE55
134637.59000000
PA
USD
10502.46000000
0.000733607966
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Floating
1.36214000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GZ83
415360.98000000
PA
USD
74441.66000000
0.005199828880
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-TMIC
126390AA1
8060000.00000000
PA
USD
8039872.57000000
0.561593623578
Long
ABS-MBS
CORP
US
N
2
2035-12-15
Floating
8.08800000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2013-GC16
36248GAJ9
500000.00000000
PA
USD
491886.35000000
0.034358783087
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
5.16100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FPM2
6240.84000000
PA
USD
6491.45000000
0.000453434665
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
6.00000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
5493004IHDYOZ9K9WF47
Hertz Vehicle Financing LLC
42806MAB5
8690000.00000000
PA
USD
8054731.45000000
0.562631532101
Long
ABS-O
CORP
US
N
2
2025-12-26
Fixed
1.56000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C24
92939KBR8
1670000.00000000
PA
USD
1542180.87000000
0.107722968922
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
4.20400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AARL1
284302.28000000
PA
USD
27466.50000000
0.001918564147
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
1.53300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8N26
81187.31000000
PA
USD
84308.98000000
0.005889071644
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Ultra 10-Year US Treasury Note
000000000
-19.00000000
NC
USD
-2840.52000000
-0.00019841333
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
-2223721.98000000
USD
-2840.52000000
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2007-3
75971FAB9
174184.56000000
PA
USD
150243.92000000
0.010494697113
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
5.61700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A35F4
1136.58000000
PA
USD
1155.05000000
0.000080681467
Long
ABS-MBS
USGSE
US
N
2
2039-06-25
Fixed
6.50000000
N
N
N
N
N
N
Small Business Administration
N/A
SBA Small Business Investment Cos
831641FH3
814366.91000000
PA
USD
776880.54000000
0.054265929434
Long
ABS-MBS
USGA
US
N
2
2027-03-10
Fixed
2.84500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DSH6
5338987.35000000
PA
USD
4375360.94000000
0.305623600792
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2021-1
63942NAB4
2397701.32000000
PA
USD
2351692.07000000
0.164268184555
Long
ABS-O
CORP
US
N
2
2069-12-26
Floating
5.21700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QAW2
1657923.47000000
PA
USD
1648739.73000000
0.115166218276
Long
ABS-MBS
USGA
US
N
2
2070-05-20
Floating
5.54157000
N
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
23330JAB7
20510000.00000000
PA
USD
19865452.74000000
1.387622936950
Long
DBT
CORP
AE
N
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABUA8
183575.24000000
PA
USD
164310.34000000
0.011477251464
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AS82
2941010.14000000
PA
USD
2820186.36000000
0.196993007450
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HBXZ3
265586.29000000
PA
USD
254862.87000000
0.017802441697
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL4 Trust
12662GAC2
6735050.83000000
PA
USD
6210072.48000000
0.433780147180
Long
ABS-MBS
CORP
US
N
2
2060-12-27
Variable
1.79561000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAC3
3290000.00000000
PA
USD
2973223.01000000
0.207682779715
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
3.95300000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300YJP2VT3ZPGT715
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2003-4
16678RAJ6
1102481.67000000
PA
USD
1033066.89000000
0.072160817612
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
5.29700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AANA8
27846331.83000000
PA
USD
25968416.15000000
1.813921402025
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXG89
4444769.60000000
PA
USD
4309106.48000000
0.300995656513
Long
ABS-MBS
USGSE
US
N
2
2057-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ACYK0
172371.09000000
PA
USD
172333.54000000
0.012037680491
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VDS6
1004303.51000000
PA
USD
1007427.80000000
0.070369899991
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2018-GS9
36255NAY1
1725000.00000000
PA
USD
1576440.07000000
0.110116010366
Long
ABS-MBS
CORP
US
N
2
2051-03-10
Variable
4.32100000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAD2
697500.00000000
PA
USD
689647.84000000
0.048172632847
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H9F46
22994568.79000000
PA
USD
3620596.03000000
0.252902471562
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FSG2
125534.35000000
PA
USD
131912.83000000
0.009214251040
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
6.00000000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAA9
11150000.00000000
PA
USD
10955778.15000000
0.765272720035
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
5.83786000
N
N
N
N
N
N
CKE Restaurants Holdings Inc
N/A
Hardee's Funding LLC
411707AK8
8549800.00000000
PA
USD
6914952.56000000
0.483016768143
Long
ABS-O
CORP
US
N
2
2051-06-20
Fixed
2.86500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8W67
8530.40000000
PA
USD
8925.43000000
0.000623450749
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKK99
687879.40000000
PA
USD
668162.62000000
0.046671867450
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FGSM8
450036.42000000
PA
USD
392141.84000000
0.027391523306
Long
ABS-MBS
USGSE
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36195JJM0
16188.29000000
PA
USD
14893.68000000
0.001040339339
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VKQ2
926814.23000000
PA
USD
931128.44000000
0.065040308796
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410VT26
2048.83000000
PA
USD
2050.16000000
0.000143205849
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAHA5
163264.26000000
PA
USD
150010.27000000
0.010478376413
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVN1
1123588.63000000
PA
USD
938165.96000000
0.065531887030
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X0NX2
135527.38000000
PA
USD
129905.32000000
0.009074024338
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG33
14789.86000000
PA
USD
13387.01000000
0.000935096842
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040632
3900000.00000000
PA
USD
3685652.33000000
0.257446723095
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A3YH7
99944.06000000
PA
USD
102260.73000000
0.007143020416
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJE90
294344.23000000
PA
USD
243465.37000000
0.017006314237
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QGC9
1221357.94000000
PA
USD
1146718.78000000
0.080099522632
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9BG4
1736809.11000000
PA
USD
1574472.24000000
0.109978555354
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381XEZ5
3848742.83000000
PA
USD
3446588.85000000
0.240747885542
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
3.00000000
N
N
N
N
N
N
BX Trust
N/A
BX 2021-LBA3 Mortgage Trust
05609PAA6
35380000.00000000
PA
USD
34611924.97000000
2.417679657693
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
5.27710000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9VA7
31803.36000000
PA
USD
33274.49000000
0.002324258406
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5F1
12305330.47000000
PA
USD
11949215.19000000
0.834665350606
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL3 Trust
12661GAA7
8684503.31000000
PA
USD
7486273.73000000
0.522924157631
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XADY5
167239.85000000
PA
USD
138955.48000000
0.009706187610
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HBH73
4046.11000000
PA
USD
3883.82000000
0.000271288944
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050631
8600000.00000000
PA
USD
8499218.75000000
0.593679441289
Long
ABS-MBS
USGA
US
N
2
2053-03-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T4Q5
299298.36000000
PA
USD
293566.54000000
0.020505934083
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ54
31563046.05000000
PA
USD
30147878.06000000
2.105861247863
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6X74
32964.11000000
PA
USD
3471.41000000
0.000242481669
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
1.98300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XLY1
5222.46000000
PA
USD
5265.42000000
0.000367795169
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAB2
8870000.00000000
PA
USD
8671475.21000000
0.605711737662
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
6.03413000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H7BY9
340938.52000000
PA
USD
328123.21000000
0.022919754122
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-HY2
89177HAA0
7192817.30000000
PA
USD
7191667.17000000
0.502345577048
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Floating
3.65127300
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGRB7
311274.42000000
PA
USD
256119.33000000
0.017890206760
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL6 Trust
12657GAA3
10038255.53000000
PA
USD
8850442.81000000
0.618212814278
Long
ABS-MBS
CORP
US
N
2
2060-10-25
Variable
2.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGN8
2210000.00000000
PA
USD
1738486.91000000
0.121435153956
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FMC7
5912.85000000
PA
USD
6002.16000000
0.000419257240
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
5.00000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Inc Asset-Backed Certificates Trust 2004-5
1266716C5
1908781.47000000
PA
USD
1807856.18000000
0.126280671017
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
5.11700000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2006-QO7 Trust
751150AH6
291454.09000000
PA
USD
271388.61000000
0.018956782158
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
5.02700000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAA8
8483110.40000000
PA
USD
8365453.05000000
0.584335765315
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
5.66800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJFA6
409727.77000000
PA
USD
337127.10000000
0.023548685386
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B21 Mortgage Trust
08163LAS8
13020000.00000000
PA
USD
10030311.14000000
0.700627868127
Long
ABS-MBS
CORP
US
N
2
2053-12-17
Fixed
2.45840000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDN6
10656116.65000000
PA
USD
9842540.47000000
0.687511887737
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380REH9
84903298.97000000
PA
USD
5535897.16000000
0.386688286260
Long
ABS-MBS
USGA
US
N
2
2060-10-16
Variable
0.95808000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG4J3
3297.04000000
PA
USD
738.80000000
0.000051605963
Long
ABS-MBS
USGSE
US
N
2
2039-01-25
Variable
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L3H79
662830.24000000
PA
USD
549901.68000000
0.038411215401
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAKS2
378777.25000000
PA
USD
338739.38000000
0.023661304853
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297VKP2
11908.16000000
PA
USD
12146.52000000
0.000848447300
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAC9
1980000.00000000
PA
USD
1902601.80000000
0.132898753032
Long
DBT
CORP
MA
N
2
2025-10-22
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A3CG3
3617094.14000000
PA
USD
3429847.96000000
0.239578516625
Long
ABS-MBS
USGA
US
N
2
2048-06-15
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-S3
466247ZN6
447953.35000000
PA
USD
247642.18000000
0.017298068844
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
1646451.64000000
PA
USD
1619660.25000000
0.113134985765
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBB6
1880000.00000000
PA
USD
1791510.28000000
0.125138892571
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X7HH9
10023.72000000
PA
USD
9818.20000000
0.000685811680
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
4950000.00000000
PA
USD
4819786.79000000
0.336667217633
Long
ABS-O
CORP
US
N
2
2049-06-05
Fixed
4.19400000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-2
64830DAB9
14207164.83000000
PA
USD
13364598.97000000
0.933531408351
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
4.25000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL1 Trust
12660KAC5
13085422.04000000
PA
USD
12496977.15000000
0.872927104297
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
1.66773000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG4D6
6217.35000000
PA
USD
1277.81000000
0.000089256383
Long
ABS-MBS
USGSE
US
N
2
2039-01-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAB0
5980481.25000000
PA
USD
6129915.53000000
0.428181099233
Long
ABS-MBS
CORP
US
N
2
2023-10-25
Floating
9.86700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XUN9
7810393.67000000
PA
USD
60907.79000000
0.004254473711
Long
ABS-MBS
USGA
US
N
2
2055-05-16
Variable
0.19154000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31347AX33
1087569.66000000
PA
USD
1024460.57000000
0.071559657035
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Floating
2.09100000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAN1
2210000.00000000
PA
USD
1952745.97000000
0.136401376473
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNQ4
193232.26000000
PA
USD
174786.88000000
0.012209048892
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L3G88
838158.42000000
PA
USD
689645.47000000
0.048172467300
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-9A
86359ARF2
62683.84000000
PA
USD
59860.58000000
0.004181324982
Long
ABS-MBS
CORP
US
N
2
2033-03-25
Variable
4.66506100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179Q6P1
219289.25000000
PA
USD
204884.12000000
0.014311373017
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36188MYN3
400295.49000000
PA
USD
382880.16000000
0.026744585138
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374YVW0
3503.64000000
PA
USD
30.26000000
0.000002113693
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Floating
2.05214000
N
N
N
N
N
N
Greystone Commercial Real Esta
N/A
Greystone CRE Notes 2021-FL3 Ltd
39809PAA3
3880000.00000000
PA
USD
3813769.56000000
0.266395847452
Long
ABS-CBDO
CORP
KY
N
2
2039-07-15
Floating
5.60786000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374CND4
28818.24000000
PA
USD
29052.97000000
0.002029380758
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUB9
557372.20000000
PA
USD
534778.76000000
0.037354863404
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.39.V1
000000000
1.00000000
NC
USD
2018334.48000000
0.140982803439
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.39.V1
Y
Default Event
2027-12-20
850757.02000000
USD
0.00000000
USD
166561000.00000000
USD
1167577.46000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BAS21
949260.92000000
PA
USD
567138.88000000
0.039615252097
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPAJ3
948128.52000000
PA
USD
955895.28000000
0.066770298830
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.00000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
N/A
Hertz Vehicle Financing III LP
42806MAF6
8690000.00000000
PA
USD
7594072.82000000
0.530454038365
Long
ABS-O
CORP
US
N
2
2027-12-27
Fixed
2.12000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178DH20
1804355.33000000
PA
USD
1668804.15000000
0.116567739287
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAA7
41127614.37000000
PA
USD
40146885.28000000
2.804302503987
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
5.27650000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXTS1
1772002.72000000
PA
USD
1468669.86000000
0.102588146931
Long
ABS-MBS
USGSE
US
N
2
2061-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A36E5
14479.73000000
PA
USD
14946.50000000
0.001044028872
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A3MG2
4154.56000000
PA
USD
4270.18000000
0.000298276600
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L5GZ3
413006.86000000
PA
USD
343665.59000000
0.024005405845
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36188MYH6
345196.76000000
PA
USD
334350.47000000
0.023354734836
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
4.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-RPL1 Trust
22945AAC3
20370000.00000000
PA
USD
16926716.31000000
1.182349081413
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.95425000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB4M8
168541.85000000
PA
USD
163710.94000000
0.011435382739
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
852584.73000000
PA
USD
856203.86000000
0.059806747441
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAE6
17500000.00000000
PA
USD
14356333.25000000
1.002805099331
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LCX9
860403.33000000
PA
USD
859091.30000000
0.060008438187
Long
ABS-MBS
USGA
US
N
2
2068-05-20
Floating
4.69157000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFY88
11749717.46000000
PA
USD
9630260.54000000
0.672683909549
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AMB1
27472.14000000
PA
USD
26401.58000000
0.001844178356
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-3
64829HAD9
2653872.69000000
PA
USD
2407163.11000000
0.168142895514
Long
ABS-MBS
CORP
US
N
2
2056-09-25
Variable
3.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BXR20
48234419.92000000
PA
USD
985998.37000000
0.068873031584
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Variable
0.60136400
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617JYLP6
213291.23000000
PA
USD
196203.46000000
0.013705019712
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B7GF2
9117502.73000000
PA
USD
249970.01000000
0.017460670238
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Variable
0.54207000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFR6
6399585.17000000
PA
USD
6037437.00000000
0.421721375859
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Floating
3.00700000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAD6
10111471.63000000
PA
USD
10388236.76000000
0.725629352187
Long
ABS-MBS
CORP
US
N
2
2024-01-25
Floating
9.01700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VT26
3237231.36000000
PA
USD
3178423.30000000
0.222016237542
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MDZ88
7854.71000000
PA
USD
7548.30000000
0.000527256758
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
COMM Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CCRE12 Mortgage Trust
12591KAH8
160000.00000000
PA
USD
136100.96000000
0.009506796361
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Variable
4.76200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADGQ5
267864.09000000
PA
USD
249783.13000000
0.017447616472
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFV31
12678.67000000
PA
USD
12783.46000000
0.000892938235
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Homebanc Mortgage Trust
N/A
HomeBanc Mortgage Trust 2004-2
43739EAJ6
1251932.06000000
PA
USD
1153779.21000000
0.080592701154
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
5.35700000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDS7
1170000.00000000
PA
USD
758319.14000000
0.052969395964
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
800000.00000000
PA
USD
748235.78000000
0.052265062576
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VFS4
1064576.11000000
PA
USD
1044039.40000000
0.072927259070
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-F
63935CAB7
10786488.42000000
PA
USD
9928549.47000000
0.693519707581
Long
ABS-O
CORP
US
N
2
2068-08-15
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L7M41
165180.38000000
PA
USD
137242.15000000
0.009586509693
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FUJ3
109743.52000000
PA
USD
115817.27000000
0.008089959108
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
6.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-ROSS
36264YAJ9
8660000.00000000
PA
USD
7491767.73000000
0.523307919356
Long
ABS-MBS
CORP
US
N
2
2026-05-15
Floating
7.08800000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BLE9
75755.06000000
PA
USD
70454.54000000
0.004921324320
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Variable
4.39362000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1UL7
859477.91000000
PA
USD
713048.71000000
0.049807208429
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Reference Remic
S6XOOCT0IEG5ABCC6L87
Freddie Mac Reference REMIC
31396NRF5
13184.25000000
PA
USD
13536.79000000
0.000945559134
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
2160000.00000000
PA
USD
2009376.76000000
0.140357097200
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV69
1681025.40000000
PA
USD
1612370.09000000
0.112625760359
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFN49
172253.60000000
PA
USD
156027.01000000
0.010898652081
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG5L7
30175.99000000
PA
USD
5282.66000000
0.000368999402
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L3JA0
148904.70000000
PA
USD
122520.13000000
0.008558160986
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FLEV4
59898.41000000
PA
USD
2493.90000000
0.000174201559
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XLC8
18275106.33000000
PA
USD
15835248.97000000
1.106108930446
Long
ABS-MBS
USGA
US
N
2
2052-11-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFS4
1257883.41000000
PA
USD
1205615.37000000
0.084213511891
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Floating
2.87700000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAG4
5000000.00000000
PA
USD
5167575.00000000
0.360960592857
Long
DBT
CORP
US
N
2
2030-02-01
Variable
7.00000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-57CB
12668AYS8
219033.29000000
PA
USD
133226.08000000
0.009305982945
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EM6F3
3869.94000000
PA
USD
3809.69000000
0.000266110885
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2005-SL1 Trust
76112BMS6
17179.43000000
PA
USD
11413.59000000
0.000797251363
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131Y6Q93
14793.68000000
PA
USD
13790.46000000
0.000963278252
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-RPL1 Trust
22945AAA7
8223720.36000000
PA
USD
7869848.74000000
0.549717278779
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.75000000
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM 2021-AFC1 Trust
69357TAA8
17473264.87000000
PA
USD
13915447.79000000
0.972008782485
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
1.51000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413TFX5
15796.87000000
PA
USD
16372.37000000
0.001143627403
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-RPL3 Trust
12651YAQ5
16888082.40000000
PA
USD
15592953.94000000
1.089184365699
Long
ABS-MBS
CORP
US
N
2
2057-08-01
Variable
4.41529000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLR4
19317.29000000
PA
USD
17554.04000000
0.001226168306
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FHY5
8830.06000000
PA
USD
8931.18000000
0.000623852392
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VX47
919358.45000000
PA
USD
892721.90000000
0.062357571255
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VKGV5
239681.14000000
PA
USD
203965.44000000
0.014247202245
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABQH9
60645.29000000
PA
USD
61606.83000000
0.004303302396
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FGD2
14083.39000000
PA
USD
14062.72000000
0.000982295902
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ62
1388703.11000000
PA
USD
1361253.39000000
0.095084992609
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KQ97
2144806.32000000
PA
USD
295660.48000000
0.020652198012
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AZY6
17150.42000000
PA
USD
17966.30000000
0.001254965104
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
7.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAA3
19205000.00000000
PA
USD
18760991.92000000
1.310475177628
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
5.48710000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WGQ6
9319878.19000000
PA
USD
8607448.90000000
0.601239432022
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXKP6
2079972.70000000
PA
USD
2023114.13000000
0.141316667060
Long
ABS-MBS
USGSE
US
N
2
2058-08-01
Fixed
4.50000000
N
N
N
N
N
N
RAAC Series
N/A
RAAC Series 2006-SP1 Trust
76112B3F5
636932.37000000
PA
USD
613139.76000000
0.042828462339
Long
ABS-MBS
CORP
US
N
2
2045-09-25
Floating
5.21700000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCC3
1460000.00000000
PA
USD
1180136.69000000
0.082433799078
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
3.96900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F6P92
369142.66000000
PA
USD
54083.35000000
0.003777779341
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
2.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-ROSS
36264YAG5
5190000.00000000
PA
USD
4646718.07000000
0.324578184039
Long
ABS-MBS
CORP
US
N
2
2026-05-15
Floating
6.58800000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FFWF2
9240.85000000
PA
USD
2034.14000000
0.000142086835
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXF98
1556659.14000000
PA
USD
1485071.36000000
0.103733809096
Long
ABS-MBS
USGSE
US
N
2
2057-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382HY87
626204.24000000
PA
USD
89573.63000000
0.006256813029
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-A
78448YAD3
10000000.00000000
PA
USD
8968979.00000000
0.626492692832
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
2.31000000
N
N
N
N
N
N
Origen Manufactured Housing
5493001P8LORMOBBQA95
Origen Manufactured Housing Contract Trust 2007-A
68620CAB6
241237.39000000
PA
USD
222867.40000000
0.015567524193
Long
ABS-O
CORP
US
N
2
2037-04-15
Variable
7.03180000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMCT7
5948520.30000000
PA
USD
278327.70000000
0.019441484951
Long
ABS-MBS
USGSE
US
N
2
2029-05-25
Variable
0.95231500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VZV5
5848360.55000000
PA
USD
5744609.99000000
0.401267098730
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
4.50000000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2021-FL8
05493JAA9
1126761.59000000
PA
USD
1106453.48000000
0.077286948735
Long
ABS-MBS
CORP
KY
N
2
2036-01-18
Floating
5.51129000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411UWP2
43133.94000000
PA
USD
43487.48000000
0.003037646587
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABU83
92719.04000000
PA
USD
83210.99000000
0.005812375878
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382JZK5
651109.16000000
PA
USD
94271.10000000
0.006584936289
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFC65
25892.83000000
PA
USD
26044.82000000
0.001819258291
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2017-2
63939RAA2
24106613.16000000
PA
USD
23608570.53000000
1.649083683356
Long
ABS-O
CORP
US
N
2
2066-12-27
Floating
5.66700000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
3410000.00000000
PA
USD
3093557.63000000
0.216088280511
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
3522557.81000000
PA
USD
3253415.72000000
0.227254537593
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust
92922FB64
4210338.85000000
PA
USD
3840521.21000000
0.268264478569
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
5.59700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJ6W8
171941.59000000
PA
USD
143072.59000000
0.009993772109
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032639
31400000.00000000
PA
USD
28862241.95000000
2.016058202437
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042638
45200000.00000000
PA
USD
43838703.01000000
3.062179886810
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
4.50000000
N
N
N
N
N
N
2023-04-21
Legg Mason Partners Institutional Trust
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer