0001752724-20-201159.txt : 20200929
0001752724-20-201159.hdr.sgml : 20200929
20200929150812
ACCESSION NUMBER: 0001752724-20-201159
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200731
FILED AS OF DATE: 20200929
PERIOD START: 20210131
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: VANGUARD FIXED INCOME SECURITIES FUNDS
CENTRAL INDEX KEY: 0000106444
IRS NUMBER: 231899003
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0131
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02368
FILM NUMBER: 201208561
BUSINESS ADDRESS:
STREET 1: PO BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
BUSINESS PHONE: 6106691000
MAIL ADDRESS:
STREET 1: PO BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
FORMER COMPANY:
FORMER CONFORMED NAME: VANGUARD FIXED INCOME SECURITIES FUND INC
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: WESTMINSTER BOND FUND INC
DATE OF NAME CHANGE: 19800619
0000106444
S000002590
Vanguard Short-Term Federal Fund
C000007105
Investor Shares
VSGBX
C000007106
Admiral Shares
VSGDX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000106444
XXXXXXXX
S000002590
C000007105
C000007106
VANGUARD FIXED INCOME SECURITIES FUNDS
811-02368
0000106444
549300F3N7VQKU6I4K64
100 Vanguard Boulevard
Malvern
19355
610-669-1000
VANGUARD SHORT-TERM FEDERAL FUND
S000002590
K4A6QLIWM1594TB2F156
2021-01-31
2020-07-31
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
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1788978884.79000000
0.00000000
0.00000000
21226336.94000000
USD
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Fannie Mae Pool
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FN AS1359
3138WAQM2
167439.50000000
PA
USD
177234.71000000
0.002576351918
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI4539
3138AJBH4
65614.06000000
PA
USD
69071.92000000
0.001004055997
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-131 QA
38380YZM0
8013108.01000000
PA
USD
8200454.48000000
0.119204960641
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4950 KE
3137FRCP4
7182016.68000000
PA
USD
7529841.75000000
0.109456676045
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS0001
3138W9AB6
765721.73000000
PA
USD
796840.66000000
0.011583182340
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4604 DB
3137BRMN2
2037049.14000000
PA
USD
2119590.37000000
0.030811180922
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ABS-MBS
USGSE
US
N
2
2046-01-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD8747
31418WWH9
100153.57000000
PA
USD
105271.42000000
0.001530265853
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ABS-MBS
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US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_05-20C
N/A
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83162CPK3
52558.96000000
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USD
55634.71000000
0.000808727544
Long
ABS-CBDO
CORP
US
N
2
2025-03-01
Fixed
4.95000000
N
N
N
N
N
N
N/A
N/A
US 10yr Ultra Fut Sep20
N/A
-2980.00000000
NC
USD
-474565000.00000000
-6.89845938232
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
Ultra 10-Year US Treasury Note Futures
2020-09-21
-467701038.40000000
USD
-6863961.64000000
N
N
N
Fannie Mae Pool
N/A
FN AW5519
3138XVDZ0
329408.67000000
PA
USD
349532.25000000
0.005080935234
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_07-20L
N/A
SBAP 2007-20L 1
83162CRL9
36228.87000000
PA
USD
39310.50000000
0.000571432548
Long
ABS-CBDO
CORP
US
N
2
2027-12-01
Fixed
5.29000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD4670
31418SFL8
180054.97000000
PA
USD
190669.21000000
0.002771640977
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5975
3138WFT97
2935036.87000000
PA
USD
3079910.29000000
0.044770760668
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS0907
3138WAAH0
12180.16000000
PA
USD
12893.19000000
0.000187420369
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2013-26 LA
38378JCB6
5159807.94200000
PA
USD
5295562.49000000
0.076978333302
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Variable
1.99720000
N
N
N
N
N
N
Fannie Mae Interest Strip
N/A
FNS 405 1
3136FGS73
12339252.49000000
PA
USD
11798423.05000000
0.171506415740
Long
ABS-MBS
CORP
US
N
2
2040-10-25
None
0.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28226
31307HD79
586772.07000000
PA
USD
625692.66000000
0.009095309179
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J22457
31307AWS7
17979.50000000
PA
USD
18915.69000000
0.000274965745
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15660
3128PVJD3
806386.91000000
PA
USD
856519.98000000
0.012450703891
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K037 A2
3137B7YY9
1000000.00000000
PA
USD
1091190.00000000
0.015861957568
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Fixed
3.49000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2.5 9/20
01F022493
90000000.00000000
PA
USD
94338000.00000000
1.371333455290
Long
ABS-MBS
USGSE
US
N
2
2020-09-17
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-114 TE
3136AGT77
2566879.45000000
PA
USD
2639445.13000000
0.038367989677
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA3314
3140QAVG2
2143326.32000000
PA
USD
2233924.72000000
0.032473189013
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18343
3128MMLZ4
74884.83000000
PA
USD
79558.39000000
0.001156491359
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL6205
3138EN3P2
3693825.57000000
PA
USD
3983532.31000000
0.057906157931
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6903
3138WGU51
2084977.49000000
PA
USD
2210868.43000000
0.032138033913
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-118 AP
38380ATX5
12509555.62000000
PA
USD
12824296.04000000
0.186418900127
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12604
3128PR3M9
151602.51000000
PA
USD
161091.31000000
0.002341685246
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA2870
31416LFL5
18926.85000000
PA
USD
19959.69000000
0.000290141731
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD7157
31418U5T7
51384.88000000
PA
USD
54431.49000000
0.000791237075
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD8562
31418WQQ6
39415.22000000
PA
USD
41721.80000000
0.000606484133
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL_BUSINESS_ADMINISTRATION_PARTICIPATION_CERTIFICATES SBAP_10-20H
N/A
SBAP 2010-20H 1
83162CTL7
139368.53000000
PA
USD
148860.92000000
0.002163899592
Long
ABS-CBDO
CORP
US
N
2
2030-08-01
Fixed
3.52000000
N
N
N
N
N
N
N/A
N/A
US 2YR NOTE (CBT) Sep20
N/A
-110.00000000
NC
USD
-24308281.25000000
-0.35335452647
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
CBOT 2 Year US Treasury Note Future
2020-09-30
-24260989.28000000
USD
-47291.97000000
N
N
N
Fannie Mae Pool
N/A
FN AB1677
31416W2K7
18804.83000000
PA
USD
19791.52000000
0.000287697147
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_13-20K
N/A
SBAP 2013-20K 1
83162CVX8
84941.09000000
PA
USD
92401.47000000
0.001343183310
Long
ABS-CBDO
CORP
US
N
2
2033-11-01
Fixed
3.38000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC1529
31417KVX2
56921.22000000
PA
USD
59998.95000000
0.000872167815
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G12935
3128MBPU5
3170.95000000
PA
USD
3314.09000000
0.000048174887
Long
ABS-MBS
USGSE
US
N
2
2023-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4927 MA
3137FPQ32
19850862.88000000
PA
USD
20913082.55000000
0.304000612203
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0732
31417YY68
13067.60000000
PA
USD
13867.86000000
0.000201588547
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5102
3138WEU49
1473625.92000000
PA
USD
1557180.51000000
0.022635774865
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AV4456
3138XF5S0
91459.95000000
PA
USD
97554.84000000
0.001418094678
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20L
N/A
SBAP 2018-20L 1
83162CA37
20006800.26000000
PA
USD
22238158.69000000
0.323262428667
Long
ABS-CBDO
CORP
US
N
2
2038-12-01
Fixed
3.54000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K054 X1
3137BNGU2
84283107.46000000
PA
USD
4665912.83000000
0.067825503649
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Variable
1.17120000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC
3137EAEU9
140000000.00000000
PA
USD
139839000.00000000
2.032753493336
Long
DBT
USGSE
US
N
2
2025-07-21
Fixed
0.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0727
31419AYZ4
86.88000000
PA
USD
90.85000000
0.000001320630
Long
ABS-MBS
USGSE
US
N
2
2020-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-91 PA
3136B3RX0
6236075.25000000
PA
USD
6597455.81000000
0.095903155378
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH5193
3138A6XX3
6847.17000000
PA
USD
7160.43000000
0.000104086764
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4012
3140QBN61
7903195.69000000
PA
USD
8237263.77000000
0.119740034639
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC6705
31417TNX2
30561.95000000
PA
USD
32381.91000000
0.000470715899
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD2351
31418PTH8
4496.05000000
PA
USD
4761.68000000
0.000069217612
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH6961
3138A8WX0
14131.85000000
PA
USD
14990.50000000
0.000217907674
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0998
31418ADC9
18161.54000000
PA
USD
19291.19000000
0.000280424158
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 902314
31411AN76
2626.21000000
PA
USD
2682.52000000
0.000038994142
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM2486
3140X5XQ1
27970132.25000000
PA
USD
33270752.01000000
0.483636448875
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA3423
31416LYV2
77409.07000000
PA
USD
81454.47000000
0.001184053507
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 973950
31414RQB4
13251.35000000
PA
USD
13893.64000000
0.000201963295
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Multiclass Certificates Series 2015-P001
N/A
FHMR 2020-RR11 BX
3137FV2D3
88401000.00000000
PA
USD
13201805.34000000
0.191906520521
Long
ABS-MBS
CORP
US
N
3
2028-12-27
Variable
2.44080000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 931068
31412PMR9
1911.11000000
PA
USD
2023.04000000
0.000029407687
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-120 DA
38380ASF5
9462369.18000000
PA
USD
9700537.01000000
0.141010737307
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE1958
31419CE82
4793.20000000
PA
USD
5032.86000000
0.000073159588
Long
ABS-MBS
USGSE
US
N
2
2020-08-01
Fixed
3.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2017-136 GB
38380HHT2
4771000.00000000
PA
USD
5004015.64000000
0.072740296147
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K043 A2
3137BGK24
4000000.00000000
PA
USD
4398360.00000000
0.063936252797
Long
ABS-MBS
USGSE
US
N
2
2024-12-25
Fixed
3.06200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0982
31418ACU0
16577.55000000
PA
USD
17438.75000000
0.000253496377
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB3161
31416YQP6
7984.66000000
PA
USD
8065.78000000
0.000117247280
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE4020
31419EPE3
26070.60000000
PA
USD
27339.72000000
0.000397420686
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J03994
3128PFNK7
10032.67000000
PA
USD
10251.08000000
0.000149013641
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
5.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_07-20C
N/A
SBAP 2007-20C 1
83162CQX4
882954.61000000
PA
USD
949529.39000000
0.013802724451
Long
ABS-CBDO
CORP
US
N
2
2027-03-01
Fixed
5.23000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS4891
3138WENH8
41728.12000000
PA
USD
44526.83000000
0.000647259128
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28376
31307HJV0
374029.42000000
PA
USD
398906.12000000
0.005798652800
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD1613
31418NYK0
16104.18000000
PA
USD
16972.84000000
0.000246723730
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI7512
3138AMK20
18409.97000000
PA
USD
19538.50000000
0.000284019151
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS9928
3138WLA60
4618760.76000000
PA
USD
5088073.04000000
0.073962186846
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18521
3128MMSK0
397214.41000000
PA
USD
420880.44000000
0.006118079968
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-129 JA
38380ADT1
6582334.74000000
PA
USD
6750974.16000000
0.098134757164
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932801
31412RKN6
29.03000000
PA
USD
29.22000000
0.000000424753
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K110 X1
3137FTZS9
40295449.43000000
PA
USD
5474942.71000000
0.079585873179
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.69830000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-42 PH
38380VSH5
23620872.83000000
PA
USD
24395873.67000000
0.354627803586
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
3.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_08-20C
N/A
SBAP 2008-20C 1
83162CRR6
78370.98000000
PA
USD
84995.68000000
0.001235529898
Long
ABS-CBDO
CORP
US
N
2
2028-03-01
Fixed
5.49000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18559
3128MMTR4
541836.67000000
PA
USD
563829.82000000
0.008196047141
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AX0159
3138Y1E92
145171.22000000
PA
USD
153880.04000000
0.002236859451
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2280
31418BRA6
16999.93000000
PA
USD
17850.10000000
0.000259475919
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO5964
3140K1TW6
4331631.18000000
PA
USD
4482545.21000000
0.065160001392
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13408
3128MCAH8
6713.96000000
PA
USD
7123.78000000
0.000103554006
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC1295
31417KNM5
42935.52000000
PA
USD
45235.15000000
0.000657555540
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS2993
3138WCKF9
289091.65000000
PA
USD
307359.35000000
0.004467893737
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT0652
3138WMWN7
5769042.53000000
PA
USD
6427290.28000000
0.093429563779
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J24544
31307DBM7
93334.77000000
PA
USD
98256.31000000
0.001428291516
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K105 X1
3137FRUL3
220041608.10000000
PA
USD
27210345.26000000
0.395540045210
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Variable
1.64520000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K047 A2
3137BKRJ1
1000000.00000000
PA
USD
1117740.00000000
0.016247898580
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Variable
3.32900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8502
3138WJNU8
7557142.56000000
PA
USD
8237587.68000000
0.119744743120
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT2885
3138WQF31
2568767.03000000
PA
USD
2863353.23000000
0.041622803945
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD8176
31418WCN8
113211.33000000
PA
USD
119879.48000000
0.001742614233
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD0044
31418MBN1
3278.59000000
PA
USD
3346.13000000
0.000048640632
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
5.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-116 HK
38380AKN6
2689896.80000000
PA
USD
2756633.14000000
0.040071479667
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14874
3128MDT78
170085.55000000
PA
USD
179239.55000000
0.002605495043
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3707
3138WDDM0
1914729.90000000
PA
USD
2109036.69000000
0.030657768570
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPAT SBAP_06-20D
N/A
SBAP 2006-20D 1
83162CQE6
566570.69000000
PA
USD
609363.77000000
0.008857946153
Long
ABS-CBDO
CORP
US
N
2
2026-04-01
Fixed
5.64000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4935 MD
3137FQ5M1
3187752.49000000
PA
USD
3418067.61000000
0.049686345545
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
2.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC
3137EAES4
82000000.00000000
PA
USD
82048380.00000000
1.192686811744
Long
DBT
USGSE
US
N
2
2023-06-26
Fixed
0.25000000
N
N
N
N
N
N
CMC SECURITIES CORPORATION IV CMC4_97-NAM3
N/A
SBAP 2011-20B 1
83162CTV5
285039.68000000
PA
USD
313358.37000000
0.004555097800
Long
ABS-CBDO
CORP
US
N
2
2031-02-01
Fixed
4.22000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_08-20B
N/A
SBAP 2008-20B 1
83162CRP0
93959.10000000
PA
USD
102490.59000000
0.001489842639
Long
ABS-CBDO
CORP
US
N
2
2028-02-01
Fixed
5.16000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 890359
31410LE81
4470.99000000
PA
USD
4691.14000000
0.000068192215
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0401
31419ANT0
98085.23000000
PA
USD
103890.89000000
0.001510197938
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4122 CA
3137AUYN3
16879925.05000000
PA
USD
17149835.05000000
0.249296599003
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
1.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20B
N/A
SBAP 2018-20B 1
83162CZF3
18627799.05000000
PA
USD
20690455.24000000
0.300764415991
Long
ABS-CBDO
CORP
US
N
2
2038-02-01
Fixed
3.22000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2016-60 LH
3136ATMR2
3265048.64000000
PA
USD
3405902.84000000
0.049509513769
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 310139
31374CPY6
1410343.01000000
PA
USD
1483878.29000000
0.021570225600
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE7088
31419H2W1
3927.01000000
PA
USD
4168.13000000
0.000060589540
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION SBAP_08-20D
N/A
SBAP 2008-20D 1
83162CRS4
192632.38000000
PA
USD
210385.38000000
0.003058242808
Long
ABS-CBDO
CORP
US
N
2
2028-04-01
Fixed
5.37000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2 9/20
21H020691
17000000.00000000
PA
USD
17735760.00000000
0.257813829453
Long
ABS-MBS
USGA
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
Resolution Funding Corp Interest Strip
N/A
RFCO STRIPS
76116EHK9
4590000.00000000
PA
USD
4242399.30000000
0.061669148071
Long
DBT
USGSE
US
N
2
2028-04-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AO4496
3138LU7J8
6040.14000000
PA
USD
6359.54000000
0.000092444719
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K041 A2
3137BFE98
4000000.00000000
PA
USD
4402360.00000000
0.063994398336
Long
ABS-MBS
USGSE
US
N
2
2024-10-25
Fixed
3.17100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD5035
31418SSZ3
18862.46000000
PA
USD
20078.71000000
0.000291871851
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3876
31418DJW3
12772029.06000000
PA
USD
13257366.16000000
0.192714173972
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8377
3138WJJX7
13255805.41000000
PA
USD
14562827.82000000
0.211690866810
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 929298
31412MNP9
1293050.49000000
PA
USD
1503817.72000000
0.021860072824
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889304
31410KAD6
506.19000000
PA
USD
535.38000000
0.000007782489
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 968649
31414KTE0
32542.07000000
PA
USD
34024.36000000
0.000494591184
Long
ABS-MBS
USGSE
US
N
2
2023-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA1019
31418ADZ8
7510.19000000
PA
USD
7667.98000000
0.000111464706
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J24878
31307DM37
292798.01000000
PA
USD
308453.92000000
0.004483804828
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY8156
3138YNB22
1889554.86000000
PA
USD
1986923.62000000
0.028882686014
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB2309
31416XR77
65586.48000000
PA
USD
69587.91000000
0.001011556626
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K152 X1
3137BPVP1
85515361.17000000
PA
USD
6633426.57000000
0.096426040181
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.95660000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION SBAP_02-20L
N/A
SBAP 2002-20L 1
83162CMR1
199372.57000000
PA
USD
205630.87000000
0.002989129422
Long
ABS-CBDO
CORP
US
N
2
2022-12-01
Fixed
5.10000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-6 BD
38381BL77
700000.00000000
PA
USD
775628.00000000
0.011274826954
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889470
31410KFK5
509.67000000
PA
USD
534.96000000
0.000007776384
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2010-107 CP
31398NKF0
4934535.83000000
PA
USD
5175982.67000000
0.075240075042
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4927 LE
3137FPZY4
2827847.67000000
PA
USD
2931573.12000000
0.042614474507
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4310
3140QBYG7
18299703.91000000
PA
USD
19106171.86000000
0.277734663382
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD9746
31418XZL5
293544.10000000
PA
USD
308893.52000000
0.004490195023
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0605
31417YU70
133.45000000
PA
USD
133.93000000
0.000001946857
Long
ABS-MBS
USGSE
US
N
2
2020-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0383
31419AM95
13006.68000000
PA
USD
13704.75000000
0.000199217517
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_09-20D
N/A
SBAP 2009-20D 1
83162CSL8
46229.24000000
PA
USD
49463.44000000
0.000719019590
Long
ABS-CBDO
CORP
US
N
2
2029-04-01
Fixed
4.31000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2016-55 CP
3136ATHU1
30014608.11000000
PA
USD
30733157.83000000
0.446749003784
Long
ABS-MBS
USGSE
US
N
2
2046-03-25
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL8316
3138ETG26
2420783.43000000
PA
USD
2836044.62000000
0.041225835486
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11575
3128PQXC0
15500.68000000
PA
USD
16414.45000000
0.000238606759
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J31851
31307NBU7
232540.34000000
PA
USD
241997.76000000
0.003517772524
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTI SBAP_04-20G
N/A
SBAP 2004-20G 1
83162CNW9
137281.50000000
PA
USD
145691.36000000
0.002117825649
Long
ABS-CBDO
CORP
US
N
2
2024-07-01
Fixed
5.19000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13767
3128MCMQ5
42069.57000000
PA
USD
44604.26000000
0.000648384680
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J20206
31306XGP2
822697.04000000
PA
USD
871425.39000000
0.012667374664
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
3.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-122 PB
38380AXH5
10055661.91000000
PA
USD
10290361.06000000
0.149584646575
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2016-104 DA
3136AUU90
5633558.60000000
PA
USD
5771524.45000000
0.083897099433
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH8812
3138AAYJ4
32829.37000000
PA
USD
34745.62000000
0.000505075697
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_09-20K
N/A
SBAP 2009-20K 1
83162CSX2
854624.80000000
PA
USD
921088.97000000
0.013389303566
Long
ABS-CBDO
CORP
US
N
2
2029-11-01
Fixed
4.09000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2.5 8/20
01F022485
282000000.00000000
PA
USD
295967460.00000000
4.302296843004
Long
ABS-MBS
USGSE
US
N
2
2020-08-17
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-57 QP
3136AEHM2
10616156.64000000
PA
USD
10718390.23000000
0.155806643232
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-49 ZD
3136B2JD5
2320469.61000000
PA
USD
2498867.31000000
0.036324496412
Long
ABS-MBS
USGSE
US
N
2
2048-07-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28524
31307HPH4
178192.38000000
PA
USD
190113.45000000
0.002763562236
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4259 DC
3137B52H5
3836181.11000000
PA
USD
3969680.21000000
0.057704798477
Long
ABS-MBS
USGSE
US
N
2
2043-06-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA4558
31416NB43
17378.88000000
PA
USD
18249.39000000
0.000265280152
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11385
3128PQRE3
9876.72000000
PA
USD
10450.85000000
0.000151917575
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH6067
3138A7W53
197526.16000000
PA
USD
209670.07000000
0.003047844787
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI9793
3138AP3B2
228075.69000000
PA
USD
240184.23000000
0.003491410354
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD1612
31418NYJ3
16568.98000000
PA
USD
17457.74000000
0.000253772423
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J13231
3128PSSU2
24492.98000000
PA
USD
26103.88000000
0.000379456040
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 1.5 8/20
01F012486
103000000.00000000
PA
USD
105591480.00000000
1.534918369242
Long
ABS-MBS
USGSE
US
N
2
2020-08-17
Fixed
1.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_07-20I
N/A
SBAP 2007-20I 1
83162CRG0
2843789.17000000
PA
USD
3104138.07000000
0.045122944998
Long
ABS-CBDO
CORP
US
N
2
2027-09-01
Fixed
5.56000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G12954
3128MBQF7
1254.06000000
PA
USD
1266.68000000
0.000018412947
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J07838
3128PKV76
3782.87000000
PA
USD
3987.75000000
0.000057967467
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
N/A
TSY INFL IX N/B
912828Q60
250000000.00000000
PA
USD
272140312.50000000
3.955936261787
Long
SN
UST
US
N
2
2021-04-15
Fixed
0.12500000
N
N
N
N
N
N
Fannie Mae Principal Strip
N/A
FNMA PRIN STP
31358DDR2
24708000.00000000
PA
USD
22065232.32000000
0.320748704436
Long
DBT
USGSE
US
N
2
2030-05-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K040 A2
3137BEVH4
6900000.00000000
PA
USD
7593105.00000000
0.110376294982
Long
ABS-MBS
USGSE
US
N
2
2024-09-25
Fixed
3.24100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM1265
3140X4MP8
7123889.31000000
PA
USD
7824310.11000000
0.113737181394
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-66 CB
3136B26S6
4747791.62000000
PA
USD
4804147.91000000
0.069834941944
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 890112
31410K3V4
143810.07000000
PA
USD
148176.14000000
0.002153945367
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13379
3128MB6Q5
178324.25000000
PA
USD
185853.10000000
0.002701632150
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI9798
3138AP3G1
132200.76000000
PA
USD
140315.24000000
0.002039676301
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI8996
3138AN7J6
24212.39000000
PA
USD
25476.76000000
0.000370339983
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH4680
3138A6FW5
109242.29000000
PA
USD
115967.25000000
0.001685744553
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSNIESS ADMINISTRATION PARTICIPANT SBAP_07-20G
N/A
SBAP 2007-20G 1
83162CRD7
541544.67000000
PA
USD
594188.23000000
0.008637348666
Long
ABS-CBDO
CORP
US
N
2
2027-07-01
Fixed
5.82000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4193 AP
3137B1H21
14048723.94000000
PA
USD
14395446.45000000
0.209257746832
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS2091
3138WBKD6
76195.09000000
PA
USD
80777.46000000
0.001174212229
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6840
3138WGS62
5423293.32000000
PA
USD
5957650.41000000
0.086602697981
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K053 A2
3137BN6G4
16000000.00000000
PA
USD
17748480.00000000
0.257998732266
Long
ABS-MBS
USGSE
US
N
2
2025-12-25
Fixed
2.99500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE
3135G0Q22
30000000.00000000
PA
USD
32424900.00000000
0.471340818699
Long
DBT
USGSE
US
N
2
2026-09-24
Fixed
1.87500000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-83 AD
3136B8CK3
11869140.82000000
PA
USD
12352927.00000000
0.179566898448
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11210
3128PQKX8
61807.17000000
PA
USD
65417.33000000
0.000950931471
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZW3
58000000.00000000
PA
USD
58109040.00000000
0.844695357192
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.25000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4117 PA
3137AUTR0
26539324.84000000
PA
USD
26862839.21000000
0.390488563598
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7321
3133JLD22
6317169.76000000
PA
USD
6591650.79000000
0.095818771374
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU4288
3138X3XS6
14496568.28000000
PA
USD
16175125.92000000
0.235127852165
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28029
31307G4N6
6232.50000000
PA
USD
6583.89000000
0.000095705957
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL1137
3138EHHP0
25790783.06000000
PA
USD
28802372.80000000
0.418682369908
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2 8/20
01F020687
-61000000.00000000
PA
USD
-63211250.00000000
-0.91886304432
Short
ABS-MBS
USGSE
US
N
2
2020-08-13
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K104 X1
3137FREK3
85400000.00000000
PA
USD
7849114.00000000
0.114097740280
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Variable
1.12710000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH1367
3138A2QV4
7524.04000000
PA
USD
7995.35000000
0.000116223483
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI6698
3138ALNQ6
118054.88000000
PA
USD
124324.77000000
0.001807232678
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4827 KZ
3137FHNX7
4303831.76000000
PA
USD
4870345.13000000
0.070797210197
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Multiclass Certificates Series 2015-P001
N/A
FHMR 2020-RR11 AX
3137FV2B7
112919000.00000000
PA
USD
21852084.88000000
0.317650311261
Long
ABS-MBS
CORP
US
N
2
2029-01-27
Variable
2.84280000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4395 PA
3137BEWK6
20574483.81000000
PA
USD
21510622.82000000
0.312686687413
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH6827
3138A8SR8
30332.52000000
PA
USD
32192.51000000
0.000467962708
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888815
31410GN82
3422.35000000
PA
USD
3588.37000000
0.000052161926
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI3049
3138AGL71
20943.13000000
PA
USD
21976.05000000
0.000319452315
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2017-109 A
3136B0QY5
3013721.05000000
PA
USD
3195538.84000000
0.046451581748
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT1748
3138WN5J4
2799840.39000000
PA
USD
3120114.13000000
0.045355179151
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 3770 ZB
3137A4PM3
16720638.41000000
PA
USD
19664641.21000000
0.285852788670
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J07100
3128PJ3H8
6236.04000000
PA
USD
6524.15000000
0.000094837553
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4926 MA
3137FPMR3
7369503.03000000
PA
USD
7853605.68000000
0.114163033068
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13225
3128MBYW1
19439.28000000
PA
USD
20262.34000000
0.000294541168
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13488
3128MCCZ6
4921.17000000
PA
USD
5137.16000000
0.000074675733
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 8/20
01F022683
-231700000.00000000
PA
USD
-243465726.00000000
-3.53911144268
Short
ABS-MBS
USGSE
US
N
2
2020-08-13
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA1840
31334YBH9
10902699.77000000
PA
USD
11864535.94000000
0.172467458140
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J13047
3128PSL47
227934.94000000
PA
USD
242299.40000000
0.003522157279
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4123 CP
3137AUXK0
13940483.42000000
PA
USD
14415853.90000000
0.209554397375
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU0533
3138WZSX1
3462503.20000000
PA
USD
3647816.37000000
0.053026061893
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS4954
3138WEQG7
5205153.26000000
PA
USD
5501951.10000000
0.079978477525
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS6898
3132A7UX7
1464.05000000
PA
USD
1493.89000000
0.000021715759
Long
ABS-MBS
USGSE
US
N
2
2023-01-01
Fixed
2.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTI SBAP_05-20A
N/A
SBAP 2005-20A 1
83162CPG2
152928.66000000
PA
USD
162121.20000000
0.002356656123
Long
ABS-CBDO
CORP
US
N
2
2025-01-01
Fixed
4.86000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12611
3128PR3U1
49239.54000000
PA
USD
52290.42000000
0.000760113658
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE4719
31419FG59
139218.60000000
PA
USD
147493.75000000
0.002144025883
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSNIESS ADMINISTRATION PARTICIPANT SBAP_07-20E
N/A
SBAP 2007-20E 1
83162CRA3
1421819.33000000
PA
USD
1534740.22000000
0.022309574178
Long
ABS-CBDO
CORP
US
N
2
2027-05-01
Fixed
5.31000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-97 DL
38380XH59
1332017.61000000
PA
USD
1427803.00000000
0.020755093615
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 987787
31415SJ86
10114.08000000
PA
USD
10574.68000000
0.000153717616
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS9986
3138WLCY7
3816728.10000000
PA
USD
4203515.33000000
0.061103915727
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AQ3851
3138MKH58
2504988.49000000
PA
USD
2786599.30000000
0.040507079295
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Interest Strip
N/A
FNMA GEN STRIP
31359YBA4
72402000.00000000
PA
USD
70004045.76000000
1.017605736356
Long
DBT
USGSE
US
N
2
2025-11-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA1116
31418AG28
65618.78000000
PA
USD
69215.35000000
0.001006140951
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828YW4
67500000.00000000
PA
USD
69904350.00000000
1.016156520440
Long
DBT
UST
US
N
2
2022-12-15
Fixed
1.62500000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_06-20K
N/A
SBAP 2006-20K 1
83162CQR7
3381935.08000000
PA
USD
3643223.38000000
0.052959296424
Long
ABS-CBDO
CORP
US
N
2
2026-11-01
Fixed
5.36000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AP2539
3138M5ZD4
6634.04000000
PA
USD
6999.91000000
0.000101753384
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS4197
3138WDUX7
2836444.77000000
PA
USD
3022203.54000000
0.043931913153
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_12-20I
N/A
SBAP 2012-20I 1
83162CVA8
45708.16000000
PA
USD
47206.93000000
0.000686218092
Long
ABS-CBDO
CORP
US
N
2
2032-09-01
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8376
3138WJJW9
8280856.04000000
PA
USD
9095857.89000000
0.132220889028
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR SB8006
3132D53P5
44818285.30000000
PA
USD
46946705.67000000
0.682435371758
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0132
31419AEE3
4445.33000000
PA
USD
4718.54000000
0.000068590512
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC
3134GWFC5
145400000.00000000
PA
USD
145507596.00000000
2.115154385228
Long
DBT
USGSE
US
N
2
2025-08-04
Fixed
0.80000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-53 JA
3136AEFW2
23756074.18000000
PA
USD
24140922.58000000
0.350921736474
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS4945
3138WEP78
585402.43000000
PA
USD
616194.60000000
0.008957241726
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-124 AE
38380Y3G8
2141819.13000000
PA
USD
2237579.86000000
0.032526321534
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J05409
3128PHAJ0
277.76000000
PA
USD
290.05000000
0.000004216278
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
5.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-115 KY
38380XT23
550000.00000000
PA
USD
580239.00000000
0.008434577294
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINSTRATION SBAP 2011-20I
N/A
SBAP 2018-25F 1
83162CA45
2092446.06000000
PA
USD
2370720.46000000
0.034461704508
Long
ABS-CBDO
CORP
US
N
2
2043-12-01
Fixed
3.67000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-73 LZ
3136B3EF3
1022160.18500000
PA
USD
1149766.66000000
0.016713450429
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2 8/20
01F020489
-156000000.00000000
PA
USD
-162288360.00000000
-2.35908602548
Short
ABS-MBS
USGSE
US
N
2
2020-08-17
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13082
3128MBUF2
34799.64000000
PA
USD
36416.08000000
0.000529358146
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-136 P
38382A5Y7
107407210.40000000
PA
USD
108233171.90000000
1.573319018833
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13369
3128MB6E2
22549.42000000
PA
USD
23914.34000000
0.000347628044
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14054
3128MCWP6
27995.48000000
PA
USD
29590.38000000
0.000430137145
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1963
31416XFD7
3417276.44000000
PA
USD
3805103.14000000
0.055312442883
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2 8/20
01F020489
156000000.00000000
PA
USD
162288360.00000000
2.359086025485
Long
ABS-MBS
USGSE
US
N
2
2020-08-17
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO8509
3140K4N30
5171469.64000000
PA
USD
5400307.17000000
0.078500942261
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA5988
31416PUN5
142654.01000000
PA
USD
150428.65000000
0.002186688719
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_11-20H
N/A
SBAP 2011-20H 1
83162CUE1
65457.89000000
PA
USD
70153.18000000
0.001019773609
Long
ABS-CBDO
CORP
US
N
2
2031-08-01
Fixed
3.29000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G12727
3128MBHC4
3761.23000000
PA
USD
3904.80000000
0.000056761674
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC
3134GWAE6
500000000.00000000
PA
USD
500385000.00000000
7.273788834038
Long
DBT
USGSE
US
N
2
2025-07-21
Fixed
0.80000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14376
3128MDCM3
17656.21000000
PA
USD
18683.27000000
0.000271587199
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 890314
31410LDT6
3522.26000000
PA
USD
3656.35000000
0.000053150110
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0793
31417Y3B1
36978.71000000
PA
USD
37417.28000000
0.000543911974
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Sep20
N/A
-2655.00000000
NC
USD
-334861875.00000000
-4.86768102025
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
CBOT 5 Year US Treasury Note
2020-09-30
-334023479.70000000
USD
-838395.30000000
N
N
N
Freddie Mac Gold Pool
N/A
FG G14239
3128MC4Y8
138079.52000000
PA
USD
146621.12000000
0.002131340998
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2017-91 CG
3136AYWF6
5071860.68000000
PA
USD
5278285.41000000
0.076727187022
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 256846
31371NHX6
3964.63000000
PA
USD
4134.16000000
0.000060095739
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4941 MB
3137FQTC7
19647565.58000000
PA
USD
20857266.19000000
0.303189244124
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J16641
3128PWLW6
74003.84000000
PA
USD
78402.63000000
0.001139690787
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-104 TY
3136AGSW3
6729808.00000000
PA
USD
7417459.78000000
0.107823048502
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 981475
31415A2G5
1133.47000000
PA
USD
1189.10000000
0.000017285214
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD8048
3140FF5J6
1911075.43000000
PA
USD
2024459.54000000
0.029428322585
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G12769
3128MBJN8
1203.07000000
PA
USD
1245.44000000
0.000018104194
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4122 MA
3137AUZS1
10218432.66000000
PA
USD
10348922.05000000
0.150435911651
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4935 KP
3137FQ5B5
4331658.51000000
PA
USD
4595066.66000000
0.066795656470
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL4168
3138ELT29
78492.57000000
PA
USD
82312.02000000
0.001196519184
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
2.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2015-161 AZ
38379FUM9
1265080.13000000
PA
USD
1433335.79000000
0.020835520378
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0720
31419AYS0
20778.31000000
PA
USD
21864.81000000
0.000317835288
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH2569
3138A32B2
264291.08000000
PA
USD
277463.35000000
0.004033313982
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
US 10YR NOTE (CBT)Sep20
N/A
-1023.00000000
NC
USD
-143299921.90000000
-2.08306278532
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
CBOT 10 Year US Treasury Note
2020-09-21
-142442590.70000000
USD
-857331.19000000
N
N
N
Fannie Mae Pool
N/A
FN AB9175
31417GFR2
9706732.43000000
PA
USD
10813688.20000000
0.157191931180
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18360
3128MMMJ9
37304.84000000
PA
USD
39638.63000000
0.000576202372
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH4587
3138A6CZ1
97277.07000000
PA
USD
102358.82000000
0.001487927180
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD3775
31418RFR7
32466.10000000
PA
USD
34273.16000000
0.000498207836
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
4.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25H
N/A
SBAP 2019-25H 1
83162CC84
11747213.93000000
PA
USD
12524527.08000000
0.182061343217
Long
ABS-CBDO
CORP
US
N
2
2044-08-01
Fixed
2.31000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT3223
3138WQSM5
2770827.15000000
PA
USD
2929540.13000000
0.042584922182
Long
ABS-MBS
USGSE
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4763 ZW
3137F3MZ4
6037114.84000000
PA
USD
6957291.88000000
0.101133870903
Long
ABS-MBS
USGSE
US
N
2
2047-08-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J29001
31307JAA1
16930.87000000
PA
USD
17949.26000000
0.000260917347
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC3608
31417NAJ0
13727.50000000
PA
USD
14543.19000000
0.000211405403
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB2577
31416X2K5
1123.14000000
PA
USD
1183.18000000
0.000017199159
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH5620
3138A7G69
120754.58000000
PA
USD
128136.31000000
0.001862638690
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5620
3138WFG67
195247.93000000
PA
USD
205252.43000000
0.002983628273
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0201
31417YGK7
96398.92000000
PA
USD
101890.77000000
0.001481123425
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 963736
31414EEH3
72173.12000000
PA
USD
76053.15000000
0.001105537842
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2012-131 QD
3136AABJ3
40157733.59000000
PA
USD
40518350.04000000
0.588990321641
Long
ABS-MBS
USGSE
US
N
2
2041-05-25
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 310121
31374CPE0
4207.54000000
PA
USD
4335.28000000
0.000063019297
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH7618
3138A9PC2
28493.03000000
PA
USD
30248.20000000
0.000439699470
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA4617
31416NDX7
5951.90000000
PA
USD
6299.97000000
0.000091578787
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4933 PA
3137FQJK0
16029796.26000000
PA
USD
16857254.34000000
0.245043533261
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4427 PD
3137BGB81
27677714.05000000
PA
USD
28649478.59000000
0.416459840860
Long
ABS-MBS
USGSE
US
N
2
2044-07-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1366
31416WQU9
37580.24000000
PA
USD
39806.49000000
0.000578642450
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC1527
31417KVV6
46661.59000000
PA
USD
48916.28000000
0.000711065861
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA5528
31416PEA1
150287.34000000
PA
USD
157616.85000000
0.002291179159
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI2892
3138AGGA0
43965.63000000
PA
USD
46131.38000000
0.000670583484
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J14793
3128PUKE1
1868.73000000
PA
USD
1964.78000000
0.000028560797
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0654
31417YWQ6
8294.76000000
PA
USD
8340.55000000
0.000121241443
Long
ABS-MBS
USGSE
US
N
2
2021-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4823 LZ
3137FHKB8
3508519.39000000
PA
USD
3896105.53000000
0.056635288628
Long
ABS-MBS
USGSE
US
N
2
2048-09-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BJ2709
3140H4AK0
25995369.69000000
PA
USD
27285259.93000000
0.396629033669
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL2663
3138EJ5Z7
10891.04000000
PA
USD
11535.46000000
0.000167683883
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14120
3128MCYR0
77266.95000000
PA
USD
82048.23000000
0.001192684631
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB9359
31417GMH6
6427275.60000000
PA
USD
7159149.47000000
0.104068150476
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J09287
3128PMJ84
405.02000000
PA
USD
423.50000000
0.000006156158
Long
ABS-MBS
USGSE
US
N
2
2024-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15954
3128PVTK6
92407.53000000
PA
USD
98157.13000000
0.001426849798
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 977067
31414U6C7
88.71000000
PA
USD
89.64000000
0.000001303041
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
4.50000000
N
N
N
N
N
N
Private Export Funding Corp
CYQE6SAYPFKNQJ6FMH60
PRIVATE EXPT FDG
742651DJ8
4430000.00000000
PA
USD
4668555.50000000
0.067863918516
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
4.30000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J07109
3128PJ3S4
1249.47000000
PA
USD
1350.63000000
0.000019633277
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J20569
31306XT29
821872.64000000
PA
USD
873436.93000000
0.012696615183
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K112 X1
3137FUZX5
22600000.00000000
PA
USD
2707254.00000000
0.039353685494
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.53610000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2012-123 EH
3136A9YR3
12361398.50000000
PA
USD
12591444.13000000
0.183034075196
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 829046
31407FBP4
45.27000000
PA
USD
45.27000000
0.000000658062
Long
ABS-MBS
USGSE
US
N
2
2020-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J23890
31307CKB3
114178.86000000
PA
USD
120250.89000000
0.001748013191
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18394
3128MMNL3
427135.22000000
PA
USD
449969.87000000
0.006540935112
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH5244
3138A6ZJ2
221578.38000000
PA
USD
237361.41000000
0.003450376757
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION SBAP_08-20F
N/A
SBAP 2008-20F 1
83162CRV7
63657.24000000
PA
USD
69970.13000000
0.001017112723
Long
ABS-CBDO
CORP
US
N
2
2028-06-01
Fixed
5.68000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12271
3128PRQY8
988881.05000000
PA
USD
1042606.96000000
0.015155735811
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2015-90 UQ
3136AQVJ6
3509806.82000000
PA
USD
3776481.94000000
0.054896394110
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI6366
3138ALCC9
579.82000000
PA
USD
612.60000000
0.000008904989
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS4937
3138WEPX1
1008790.37000000
PA
USD
1063678.65000000
0.015462042002
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18516
3128MMSE4
29427.65000000
PA
USD
31186.54000000
0.000453339541
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA5304
31416N3N0
17014.35000000
PA
USD
18027.55000000
0.000262055401
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-115 LA
38380XV87
29217248.80000000
PA
USD
30170899.80000000
0.438575804786
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3615
31418DAR3
204907.61000000
PA
USD
217572.95000000
0.003162724091
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-51 PC
3136AECF2
9872003.05000000
PA
USD
10085633.20000000
0.146608643653
Long
ABS-MBS
USGSE
US
N
2
2032-11-25
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J07550
3128PKL77
9090.08000000
PA
USD
9471.59000000
0.000137682675
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4013 XB
3137ANJR7
7253187.08000000
PA
USD
7431180.29000000
0.108022495113
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4923 HA
3137FPY74
50192516.51000000
PA
USD
52809052.40000000
0.767652698788
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-15 HQ
3136B1HW7
3308222.55000000
PA
USD
3422223.90000000
0.049746762975
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Fixed
3.50000000
N
N
N
N
N
N
Resolution Funding Corp Principal Strip
N/A
RFC PRIN STRIP
76116FAB3
38500000.00000000
PA
USD
34450955.00000000
0.500792333505
Long
DBT
USGSE
US
N
2
2030-01-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J14198
3128PTUX1
2860.65000000
PA
USD
3028.94000000
0.000044029836
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC8596
31417VRS4
12641.59000000
PA
USD
13388.58000000
0.000194621548
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.00000000
N
N
N
N
N
N
Resolution Funding Corp Interest Strip
N/A
RFCO STRIPS
76116EGM6
6400000.00000000
PA
USD
5934848.00000000
0.086271233378
Long
DBT
USGSE
US
N
2
2028-01-15
None
0.00000000
N
N
N
N
N
N
Tennessee Valley Authority Principal Strip
N/A
TVA PRIN STRIP
88059FAV3
17342000.00000000
PA
USD
16623520.94000000
0.241645894652
Long
DBT
USGA
US
N
2
2025-11-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC0908
3140EVAJ6
3884560.00000000
PA
USD
4267771.84000000
0.062037973072
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI3817
3138AHG34
2046.91000000
PA
USD
2172.47000000
0.000031579859
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J20267
31306XJL8
529312.99000000
PA
USD
562516.79000000
0.008176960432
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 994933
31416BHJ0
1819.75000000
PA
USD
1904.00000000
0.000027677276
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3913
31418DK35
80344441.81000000
PA
USD
83406368.49000000
1.212427054788
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J24877
31307DM29
643231.00000000
PA
USD
677721.05000000
0.009851613869
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4259 JD
3137B53K7
2027039.15000000
PA
USD
2065674.52000000
0.030027439388
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4941 BT
3137FQRR6
4131687.92000000
PA
USD
4398842.86000000
0.063943271836
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02926
31294MHB0
16558.78000000
PA
USD
17573.67000000
0.000255457626
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AJ6411
3138AYDR7
86545.90000000
PA
USD
91093.02000000
0.001324163177
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4753 JA
3137FDWS7
4327582.61000000
PA
USD
4445682.34000000
0.064624148534
Long
ABS-MBS
USGSE
US
N
2
2047-12-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Strips
N/A
FRE PRIN STRIP
3134A4KY9
15300000.00000000
PA
USD
13105827.00000000
0.190511342453
Long
DBT
USGSE
US
N
2
2032-07-15
None
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE
3135G0V34
50000000.00000000
PA
USD
53852000.00000000
0.782813386273
Long
DBT
USGSE
US
N
2
2024-02-05
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AQ4654
3138MLE42
5744609.13000000
PA
USD
6391050.00000000
0.092902761129
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J07891
3128PKXU3
20702.81000000
PA
USD
21565.08000000
0.000313478297
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS1992
3138WBGA7
2929140.97000000
PA
USD
3132394.06000000
0.045533684937
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13814
3128MCN76
1486.66000000
PA
USD
1576.53000000
0.000022917046
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 993566
31415YW39
11182.62000000
PA
USD
11729.34000000
0.000170502197
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15623
3128PVG87
114867.30000000
PA
USD
121893.73000000
0.001771894145
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4956 PA
3137FRTJ0
72112211.53000000
PA
USD
77314386.47000000
1.123871660853
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12107
3128PRKU2
2219.42000000
PA
USD
2355.98000000
0.000034247431
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE
3135G05G4
337500000.00000000
PA
USD
337699125.00000000
4.908924377608
Long
DBT
USGSE
US
N
2
2023-07-10
Fixed
0.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AO2828
3138LTEA2
74721.96000000
PA
USD
78857.82000000
0.001146307604
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15782
3128PVM72
31744.35000000
PA
USD
33706.79000000
0.000489974864
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13499
3128MCDC6
22013.94000000
PA
USD
23225.81000000
0.000337619308
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J09668
3128PMW55
52435.00000000
PA
USD
54838.10000000
0.000797147715
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION SBAP_05-20G
N/A
SBAP 2005-20G 1
83162CPR8
37202.58000000
PA
USD
39692.92000000
0.000576991553
Long
ABS-CBDO
CORP
US
N
2
2025-07-01
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18531
3128MMSV6
16968177.07000000
PA
USD
17834572.19000000
0.259250201455
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K042 A2
3137BFXT3
5000000.00000000
PA
USD
5416700.00000000
0.078739234743
Long
ABS-MBS
USGSE
US
N
2
2024-12-25
Fixed
2.67000000
N
N
N
N
N
N
Resolution Funding Corp Interest Strip
N/A
RFCO STRIPS
76116EHJ2
9894000.00000000
PA
USD
9244458.90000000
0.134381010469
Long
DBT
USGSE
US
N
2
2027-10-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-68 PE
3136B6S46
12251269.56000000
PA
USD
12595775.26000000
0.183097034168
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18519
3128MMSH7
177774.41000000
PA
USD
188750.20000000
0.002743745510
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-18 P
3136B04V5
29677147.55000000
PA
USD
30626519.50000000
0.445198868000
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE
3135G04Z3
50000000.00000000
PA
USD
50244500.00000000
0.730373378642
Long
DBT
USGSE
US
N
2
2025-06-17
Fixed
0.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20D
N/A
SBAP 2018-20D 1
83162CZJ5
26279437.17000000
PA
USD
29178584.68000000
0.424151130506
Long
ABS-CBDO
CORP
US
N
2
2038-04-01
Fixed
3.31000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0837
31417Y4X2
18659.66000000
PA
USD
19794.91000000
0.000287746425
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-49 BP
3136AD7B9
12377232.34000000
PA
USD
12635050.09000000
0.183667948204
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
1.65000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH0845
3138A15F4
40738.44000000
PA
USD
43254.45000000
0.000628763323
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J08746
3128PLWF5
2017.70000000
PA
USD
2119.41000000
0.000030808558
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J24303
31307CX86
24655.21000000
PA
USD
26126.88000000
0.000379790377
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 310097
31374CNN2
45.90000000
PA
USD
47.57000000
0.000000691495
Long
ABS-MBS
USGSE
US
N
2
2020-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2 7/20
01F020471
-33300000.00000000
PA
USD
-34651647.00000000
-0.50370966961
Short
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2014-79 PA
3136ALF55
7781288.11000000
PA
USD
8027721.50000000
0.116694047602
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18308
3128MMKW2
116191.65000000
PA
USD
122693.73000000
0.001783523253
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO3184
3140JXRE0
1811806.38000000
PA
USD
1891761.40000000
0.027499371380
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA3187
3140QARH5
8521541.68000000
PA
USD
9354351.95000000
0.135978458114
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6144
36179UZH8
9043327.09000000
PA
USD
9435626.62000000
0.137159897979
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28643
31307HS81
620864.12000000
PA
USD
664454.99000000
0.009658773318
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS4235
3138WDV57
4809560.07000000
PA
USD
5160513.67000000
0.075015211708
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-67 EP
3136B65A7
14206912.66000000
PA
USD
15238618.66000000
0.221514422405
Long
ABS-MBS
USGSE
US
N
2
2048-12-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC5606
3140F1GQ9
1022149.31000000
PA
USD
1076343.67000000
0.015646145604
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K044 A2
3137BHCY1
3000000.00000000
PA
USD
3269820.00000000
0.047531361262
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
2.81100000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_06-20L
N/A
SBAP 2006-20L 1
83162CQS5
998930.50000000
PA
USD
1078715.08000000
0.015680617332
Long
ABS-CBDO
CORP
US
N
2
2026-12-01
Fixed
5.12000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-19 ZA
3136ACLS8
2591800.20000000
PA
USD
2989330.51000000
0.043454058145
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Strips
N/A
FHS 265 30
3128HXJS5
10346195.00000000
PA
USD
11075601.75000000
0.160999207289
Long
ABS-MBS
CORP
US
N
2
2042-06-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AW5089
3138XUUP5
244365.85000000
PA
USD
258160.30000000
0.003752717422
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13876
3128MCQ57
222827.05000000
PA
USD
236628.96000000
0.003439729582
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J08679
3128PLUC4
51032.43000000
PA
USD
53559.05000000
0.000778554952
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA4328
31416MY24
60746.14000000
PA
USD
63845.41000000
0.000928081438
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Vanguard Cmt Funds-Vanguard Market Liquidity Fund
1I6HV0TLSTR3A4XQ6L78
Vanguard Market Liquidity Fund
N/A
6268078.58000000
NS
USD
626807858.00000000
9.111520126719
Long
STIV
CORP
US
N
1
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2 7/20
01F020471
33300000.00000000
PA
USD
34651647.00000000
0.503709669613
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 3982 LA
3137AKAM3
18770992.00000000
PA
USD
19292450.16000000
0.280442476403
Long
ABS-MBS
USGSE
US
N
2
2039-12-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2016-53 KA
3136AS5K8
13727933.91000000
PA
USD
14240809.52000000
0.207009884937
Long
ABS-MBS
USGSE
US
N
2
2046-08-25
Fixed
1.85000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K027 A2
3137B1UG5
2000000.00000000
PA
USD
2090900.00000000
0.030394126668
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
2.63700000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-20C
N/A
SBAP 2019-20C 1
83162CB36
8622412.19000000
PA
USD
9473013.15000000
0.137703362960
Long
ABS-CBDO
CORP
US
N
2
2039-03-01
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0375
31419AMZ7
108554.85000000
PA
USD
114968.27000000
0.001671222995
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J24879
31307DM45
505484.77000000
PA
USD
531790.20000000
0.007730306901
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J20500
31306XRV7
2944.87000000
PA
USD
3103.22000000
0.000045109599
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J10588
3128PPUM3
20424.45000000
PA
USD
21673.41000000
0.000315053024
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB6335
31417DBD4
126861.47000000
PA
USD
132058.98000000
0.001919660130
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15056
3128PUTM4
66965.59000000
PA
USD
71082.63000000
0.001033284451
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-138 MC
38376MCK1
15860661.50000000
PA
USD
16238621.06000000
0.236050841944
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD9176
31418XFS2
38304.89000000
PA
USD
40308.62000000
0.000585941605
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM1075
3140X4FR2
33743800.61000000
PA
USD
35413781.30000000
0.514788346954
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7940
3138WHZE5
8277351.31000000
PA
USD
9096395.22000000
0.132228699863
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0803
31417Y3M7
782.75000000
PA
USD
790.79000000
0.000011495227
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J35523
31307SD42
8189127.55000000
PA
USD
8637400.39000000
0.125556574461
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J13043
3128PSLY1
24074.12000000
PA
USD
25372.44000000
0.000368823547
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT2769
3138WQCF7
3402673.46000000
PA
USD
3540651.87000000
0.051468277500
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2017-74 PH
3136AX6D2
10597638.48000000
PA
USD
11108550.63000000
0.161478164882
Long
ABS-MBS
USGSE
US
N
2
2046-08-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4883 ZM
3137FLRN6
525591.78000000
PA
USD
587438.16000000
0.008539227052
Long
ABS-MBS
USGSE
US
N
2
2049-05-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4818 GZ
3137FGWE1
270785.69500000
PA
USD
298844.51000000
0.004344118748
Long
ABS-MBS
USGSE
US
N
2
2048-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-13 PA
3136B02X3
17162392.35000000
PA
USD
17736131.13000000
0.257819224342
Long
ABS-MBS
USGSE
US
N
2
2048-03-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL2220
3138EJPE2
128.14000000
PA
USD
135.63000000
0.000001971569
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB2828
31416YEA2
195731.79000000
PA
USD
207358.26000000
0.003014239428
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J27954
31307GZT9
314392.72000000
PA
USD
335460.18000000
0.004876378211
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2 9/20
01F020695
261000000.00000000
PA
USD
269850510.00000000
3.922650811870
Long
ABS-MBS
USGSE
US
N
2
2020-09-14
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4611
3140QCDR4
72908445.28000000
PA
USD
74201841.10000000
1.078626504108
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18327
3128MMLH4
49905.12000000
PA
USD
52602.49000000
0.000764650028
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL9862
3138ER5Y2
4854028.48000000
PA
USD
5111631.77000000
0.074304645607
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
FED HOME LN BANK
3130AJHU6
105000000.00000000
PA
USD
105593250.00000000
1.534944098643
Long
DBT
USGSE
US
N
2
2025-04-14
Fixed
0.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12426
3128PRVT3
275047.10000000
PA
USD
289998.66000000
0.004215532070
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_07-20D
N/A
SBAP 2007-20D 1
83162CQY2
668456.45000000
PA
USD
722320.67000000
0.010499931101
Long
ABS-CBDO
CORP
US
N
2
2027-04-01
Fixed
5.32000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13517
3128MCDW2
246273.61000000
PA
USD
259983.66000000
0.003779222484
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
Private Export Funding Corp
CYQE6SAYPFKNQJ6FMH60
PRIVATE EXPT FDG
742651DT6
8700000.00000000
PA
USD
9609324.00000000
0.139684829908
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY4225
3138YHVT4
820681.69000000
PA
USD
866516.76000000
0.012596020930
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH8122
3138AAAY7
225303.42000000
PA
USD
239078.47000000
0.003475336601
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25L
N/A
SBAP 2004-20F 1
83162CNU3
464791.62000000
PA
USD
493641.24000000
0.007175758944
Long
ABS-CBDO
CORP
US
N
2
2024-06-01
Fixed
5.52000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13601
3128MCGJ8
20841.33000000
PA
USD
21764.18000000
0.000316372492
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4826 CZ
3137FH3T8
11821012.03000000
PA
USD
12787616.18000000
0.185885707573
Long
ABS-MBS
USGSE
US
N
2
2048-09-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11719
3128PQ4C2
27467.82000000
PA
USD
29185.11000000
0.000424245985
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2015-18 TC
3136AM4A4
16310778.57000000
PA
USD
16529343.00000000
0.240276887891
Long
ABS-MBS
USGSE
US
N
2
2044-04-25
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 931654
31412QBX6
59403.57000000
PA
USD
62746.21000000
0.000912103044
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI3053
3138AGMB1
27148.70000000
PA
USD
28830.02000000
0.000419084260
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Strips
N/A
FHS 357 250
3132J0P68
22030803.50000000
PA
USD
23384376.07000000
0.339924285398
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE
3135G04Q3
140000000.00000000
PA
USD
140079800.00000000
2.036253854760
Long
DBT
USGSE
US
N
2
2023-05-22
Fixed
0.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J31975
31307NFQ2
1573230.34000000
PA
USD
1636851.77000000
0.023793906946
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0517
31417YSF5
84.94000000
PA
USD
84.94000000
0.000001234720
Long
ABS-MBS
USGSE
US
N
2
2020-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3600
3138WDAA9
4048494.28000000
PA
USD
4304642.51000000
0.062573939314
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH4442
3138A55C2
8651.94000000
PA
USD
9183.43000000
0.000133493870
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28829
31307HY27
85894.14000000
PA
USD
90970.48000000
0.001322381889
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J24115
31307CSC3
51465.92000000
PA
USD
54219.35000000
0.000788153327
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI3516
3138AG4A3
59234.02000000
PA
USD
62208.75000000
0.000904290318
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM4761
3140J9JF9
28052811.35000000
PA
USD
33888637.70000000
0.492618272935
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K727 A2
3137FARE0
24220000.00000000
PA
USD
26071134.60000000
0.378980040856
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Fixed
2.94600000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_09-20J
N/A
SBAP 2009-20J 1
83162CSV6
1672764.46000000
PA
USD
1775723.11000000
0.025812594162
Long
ABS-CBDO
CORP
US
N
2
2029-10-01
Fixed
3.92000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4819 EZ
3137FGYK5
866514.29200000
PA
USD
943348.11000000
0.013712870987
Long
ABS-MBS
USGSE
US
N
2
2048-07-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4237 GA
3137B3SN9
3081702.52000000
PA
USD
3160501.65000000
0.045942267677
Long
ABS-MBS
USGSE
US
N
2
2040-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-115 NP
3136AG7C0
19693110.20000000
PA
USD
20340225.80000000
0.295673346135
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4764 PA
3137F3TU8
7728136.22000000
PA
USD
7996998.08000000
0.116247440151
Long
ABS-MBS
USGSE
US
N
2
2045-10-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL2090
3138EJKC1
4944.16000000
PA
USD
5238.68000000
0.000076151467
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-84 AP
3136AF5B6
21326746.56000000
PA
USD
22151665.12000000
0.322005124864
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12243
3128PRP45
38128.23000000
PA
USD
40507.43000000
0.000588831583
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1442
31416WS86
83.48000000
PA
USD
87.71000000
0.000001274986
Long
ABS-MBS
USGSE
US
N
2
2020-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J10983
3128PQCU3
1434.05000000
PA
USD
1550.81000000
0.000022543170
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
5.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_13-20G
N/A
SBAP 2013-20G 1
83162CVR1
70795.58000000
PA
USD
75684.01000000
0.001100171881
Long
ABS-CBDO
CORP
US
N
2
2033-07-01
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 947133
31413JV27
7060.49000000
PA
USD
7347.29000000
0.000106803033
Long
ABS-MBS
USGSE
US
N
2
2022-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J13236
3128PSSZ1
88164.75000000
PA
USD
92895.67000000
0.001350367191
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4960 MA
3137FRTL5
13636483.45000000
PA
USD
14522445.78000000
0.211103857944
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0577
31417YUB1
920.38000000
PA
USD
922.97000000
0.000013416646
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-115 EP
3136AG6D9
5398117.40000000
PA
USD
5498846.27000000
0.079933344522
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Fixed
2.10000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G12185
3128M1J67
870.79000000
PA
USD
874.29000000
0.000012709015
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12702
3128PSAB3
67872.43000000
PA
USD
72071.02000000
0.001047652068
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J08220
3128PLDZ2
16532.75000000
PA
USD
17226.46000000
0.000250410448
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K057 X1
3137BRQL2
140494663.70000000
PA
USD
8328523.66000000
0.121066623504
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Variable
1.18890000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G60691
31335AXU7
5641649.78000000
PA
USD
6198819.11000000
0.090108418970
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RA1202
3133KGKP2
11197279.65000000
PA
USD
11990159.02000000
0.174293563552
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS9953
3132ABBW1
3288745.91000000
PA
USD
3653270.51000000
0.053105345370
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14005
3128MCU60
56763.19000000
PA
USD
60121.30000000
0.000873946342
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0420
31417YPE1
38205.79000000
PA
USD
40255.53000000
0.000585169868
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13136
3128MBV53
40840.81000000
PA
USD
42761.14000000
0.000621592379
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14246
3128MC5F8
3052.97000000
PA
USD
3184.40000000
0.000046289663
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-48 MA
3136B5D36
8508037.29000000
PA
USD
8951391.11000000
0.130120864344
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932359
31412QZY8
21183.33000000
PA
USD
22436.54000000
0.000326146175
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4819 ZL
3137FGZ73
974828.43600000
PA
USD
1089575.49000000
0.015838488429
Long
ABS-MBS
USGSE
US
N
2
2048-07-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2 9/20
01F020497
196000000.00000000
PA
USD
203571480.00000000
2.959193337435
Long
ABS-MBS
USGSE
US
N
2
2020-09-17
Fixed
2.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-126 GE
38380BCL7
2315127.82000000
PA
USD
2395555.36000000
0.034822714167
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
2.75000000
N
N
N
N
N
N
Federal Farm Credit Banks Funding Corp
N/A
FED FARM CREDIT
3133ELYR9
50000000.00000000
PA
USD
50053000.00000000
0.727589660981
Long
DBT
USGSE
US
N
2
2022-05-06
Fixed
0.25000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_05-20B
N/A
SBAP 2005-20B 1
83162CPH0
70068.53000000
PA
USD
74592.85000000
0.001084310359
Long
ABS-CBDO
CORP
US
N
2
2025-02-01
Fixed
4.62500000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-71 JA
38380WWM7
2736355.11000000
PA
USD
2806214.26000000
0.040792209898
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC3675
3140EYCM1
1273280.93000000
PA
USD
1340586.56000000
0.019487281895
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J33880
31307QJZ1
3011117.68000000
PA
USD
3170435.92000000
0.046086676047
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB4287
31417AXR5
15963.53000000
PA
USD
17212.04000000
0.000250200834
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-50 EM
3136B6DU4
27676727.38000000
PA
USD
29098204.10000000
0.422982687476
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13156
3128MBWR4
5593.78000000
PA
USD
5936.40000000
0.000086293793
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0102
3138EGDG6
3808.19000000
PA
USD
3997.76000000
0.000058112977
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS4122
3132A4SK5
2118269.52000000
PA
USD
2454290.61000000
0.035676512354
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J13885
3128PTJ63
196974.59000000
PA
USD
207534.40000000
0.003016799866
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-14 MA
38380UX32
2391769.65000000
PA
USD
2469119.48000000
0.035892070512
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18380
3128MMM67
9510.12000000
PA
USD
10068.27000000
0.000146356245
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2016-68 EP
3136ATR48
18164232.83000000
PA
USD
19173255.96000000
0.278709823663
Long
ABS-MBS
USGSE
US
N
2
2044-09-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15891
3128PVRL6
3867.91000000
PA
USD
4096.12000000
0.000059542775
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZK6852
3131XATH4
124791.70000000
PA
USD
131055.00000000
0.001905065890
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
US ULTRA BOND CBT Sep20
N/A
-230.00000000
NC
USD
-52368125.00000000
-0.76124320849
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
CME Ultra Long Term US Treasury Bond Future
2020-09-21
-50303029.65000000
USD
-2065095.35000000
N
N
N
Freddie Mac Gold Pool
N/A
FG J15685
3128PVJ68
1943.65000000
PA
USD
2043.59000000
0.000029706410
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J19260
3128Q0JD0
2175.34000000
PA
USD
2213.97000000
0.000032183119
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13644
3128MCHV0
75034.40000000
PA
USD
78398.19000000
0.001139626245
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T65530
31323AEB4
15998914.03000000
PA
USD
16914691.87000000
0.245878467290
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15963
3128PVTU4
406.50000000
PA
USD
426.44000000
0.000006198895
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE8807
31419KYD1
60596.75000000
PA
USD
63593.26000000
0.000924416088
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1827
31416XA59
7132.36000000
PA
USD
7152.40000000
0.000103970037
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2 8/20
21H020683
-17000000.00000000
PA
USD
-17791520.00000000
-0.25862437826
Short
ABS-MBS
USGA
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH2146
3138A3L47
186615.50000000
PA
USD
198064.36000000
0.002879139722
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 984257
31415MME2
185180.91000000
PA
USD
195101.05000000
0.002836063908
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA5564
31416PFE2
5400.07000000
PA
USD
5688.00000000
0.000082682955
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828YK0
69300000.00000000
PA
USD
71205750.00000000
1.035074171426
Long
DBT
UST
US
N
2
2022-10-15
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD0276
31418MJW3
3953.41000000
PA
USD
4051.26000000
0.000058890673
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 918180
31411YCR2
773.98000000
PA
USD
791.31000000
0.000011502786
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-56 CA
38381VXB1
13575459.65000000
PA
USD
13921633.87000000
0.202370224917
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J16262
3128PV5X4
74987.30000000
PA
USD
79428.80000000
0.001154607589
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD3140
31418QP23
141639.00000000
PA
USD
150008.45000000
0.002180580530
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15869
3128PVQW3
15342.51000000
PA
USD
16220.10000000
0.000235781612
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC
3137EAEP0
171000000.00000000
PA
USD
179674830.00000000
2.611822441144
Long
DBT
USGSE
US
N
2
2025-02-12
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745454
31403DE39
76.51000000
PA
USD
80.01000000
0.000001163056
Long
ABS-MBS
USGSE
US
N
2
2020-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0740
31417YZE0
2621.19000000
PA
USD
2645.80000000
0.000038460366
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 8/20
01F022683
231700000.00000000
PA
USD
243465726.00000000
3.539111442689
Long
ABS-MBS
USGSE
US
N
2
2020-08-13
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD3144
31418QP64
156503.94000000
PA
USD
168232.35000000
0.002445490150
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2017-179 QG
38380UKN2
250000.00000000
PA
USD
277005.00000000
0.004026651230
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18547
3128MMTD5
2540264.54000000
PA
USD
2643069.05000000
0.038420668372
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
2.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-90 MC
38379XS35
8803284.10000000
PA
USD
8995195.69000000
0.130757624568
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE2218
31419CPC1
45397.71000000
PA
USD
48084.80000000
0.000698979148
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889202
31410G3K7
1755.42000000
PA
USD
1856.50000000
0.000026986798
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-70 YK
38381V3P3
2300000.00000000
PA
USD
2584142.00000000
0.037564082107
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 944961
31413GJE1
10149.25000000
PA
USD
10519.39000000
0.000152913899
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2011-84 Z
3136A0A72
4741067.95000000
PA
USD
5551126.82000000
0.080693314706
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J09948
3128PNBR8
18736.36000000
PA
USD
19793.47000000
0.000287725493
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2010-98 DZ
31398NDE1
10753364.95000000
PA
USD
12559500.13000000
0.182569724925
Long
ABS-MBS
USGSE
US
N
2
2040-09-25
Fixed
5.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-23 ME
38381RWP0
1500000.00000000
PA
USD
1697520.00000000
0.024675803674
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25G
N/A
SBAP 2019-25G 1
83162CC68
10615808.42000000
PA
USD
11528980.26000000
0.167589691703
Long
ABS-CBDO
CORP
US
N
2
2044-07-01
Fixed
2.69000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4524
3140QCA22
63798665.21000000
PA
USD
66979666.66000000
0.973642198425
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ5794
3138YXNL5
119126.55000000
PA
USD
125284.20000000
0.001821179322
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Israel Government AID Bond
N/A
AID-ISRAEL
465139VE0
6905000.00000000
PA
USD
6712281.45000000
0.097572305048
Long
DBT
NUSS
IL
N
2
2024-11-01
None
0.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-118 LM
38380AUE5
28016857.97000000
PA
USD
28692064.25000000
0.417078882394
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA3461
3140QAZ37
10288458.09000000
PA
USD
10723351.21000000
0.155878757945
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-80 GY
38380W7M5
350000.00000000
PA
USD
372816.50000000
0.005419404048
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20J
N/A
SBAP 2018-20J 1
83162CZW6
25285061.48000000
PA
USD
28763021.69000000
0.418110347036
Long
ABS-CBDO
CORP
US
N
2
2038-10-01
Fixed
3.77000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J14785
3128PUJ60
2393.28000000
PA
USD
2541.21000000
0.000036940006
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC0373
31417JMX5
3061.13000000
PA
USD
3229.25000000
0.000046941620
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-20A
N/A
SBAP 2019-20A 1
83162CA60
8450371.78000000
PA
USD
9310028.10000000
0.135334149581
Long
ABS-CBDO
CORP
US
N
2
2039-01-01
Fixed
3.37000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZM5
50400000.00000000
PA
USD
50400000.00000000
0.732633786455
Long
DBT
UST
US
N
2
2022-04-30
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13868
3128MCQV0
565545.35000000
PA
USD
596118.73000000
0.008665411157
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 9/20
01F022691
170700000.00000000
PA
USD
179055765.00000000
2.602823474179
Long
ABS-MBS
USGSE
US
N
2
2020-09-14
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD7725
31418VSP8
379341.58000000
PA
USD
403228.72000000
0.005861487776
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 963070
31414DMT0
6882.44000000
PA
USD
7284.79000000
0.000105894509
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 931891
31412QKC2
5852.08000000
PA
USD
6092.72000000
0.000088566121
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-139 B
38381ALK0
19000000.00000000
PA
USD
20282690.00000000
0.294836983615
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11652
3128PQZR5
11663.41000000
PA
USD
12368.70000000
0.000179796180
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2014-86 PA
3136AMHN2
7341741.08000000
PA
USD
7436376.12000000
0.108098023696
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
US LONG BOND(CBT) Sep20
N/A
-122.00000000
NC
USD
-22238312.50000000
-0.32326466450
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
CBOT US Long Bond Future
2020-09-21
-21633629.51000000
USD
-604682.99000000
N
N
N
Fannie Mae Pool
N/A
FN BD1496
3140F8UW5
2639288.45000000
PA
USD
2795719.08000000
0.040639647925
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13071
3128MBT49
1182.46000000
PA
USD
1254.67000000
0.000018238365
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD8136
31418WBE9
32826.90000000
PA
USD
34583.14000000
0.000502713825
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI2153
3138AFMB3
39580.82000000
PA
USD
41530.18000000
0.000603698671
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 931194
31412PRP8
2105.18000000
PA
USD
2221.01000000
0.000032285455
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA4229
31416MVX9
60501.63000000
PA
USD
63766.90000000
0.000926940186
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J02450
3128PDWK2
56.91000000
PA
USD
56.91000000
0.000000827265
Long
ABS-MBS
USGSE
US
N
2
2020-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12181
3128PRM63
26691.19000000
PA
USD
28362.59000000
0.000412289517
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_09-20A
N/A
SBAP 2009-20A 1
83162CSG9
46718.65000000
PA
USD
51947.40000000
0.000755127388
Long
ABS-CBDO
CORP
US
N
2
2029-01-01
Fixed
5.72000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13685
3128MCJ63
18615.80000000
PA
USD
19707.06000000
0.000286469404
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1460
31416WTS1
13138.94000000
PA
USD
13916.63000000
0.000202297486
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2014-123 PC
38379DMZ4
2298779.38000000
PA
USD
2318709.80000000
0.033705657548
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2017-67 BN
3136AXM28
2921335.11000000
PA
USD
3132167.86000000
0.045530396807
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14398
3128MDDB6
20106.21000000
PA
USD
21366.07000000
0.000310585412
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2 8/20
01F020687
61000000.00000000
PA
USD
63211250.00000000
0.918863044327
Long
ABS-MBS
USGSE
US
N
2
2020-08-13
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02747
31294MBQ3
32203.75000000
PA
USD
34219.38000000
0.000497426070
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6021
3133N3VN1
19876642.14000000
PA
USD
20740282.24000000
0.301488720429
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD4757
31418SJB6
303792.55000000
PA
USD
321862.13000000
0.004678711726
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-121 DA
38382AAF2
13713402.35000000
PA
USD
14688973.79000000
0.213524573153
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 935983
31412VJ41
229740.25000000
PA
USD
243329.39000000
0.003537129610
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB9044
31417GBN5
7350443.03000000
PA
USD
8189569.61000000
0.119046733984
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14453
3128MDE25
65526.53000000
PA
USD
69362.45000000
0.001008279253
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K109 X1
3137FTG27
89381723.24000000
PA
USD
11533817.57000000
0.167660008702
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.70030000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC4875
31417QMZ4
2411.84000000
PA
USD
2569.50000000
0.000037351240
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2 8/20
21H020683
50000000.00000000
PA
USD
52328000.00000000
0.760659936064
Long
ABS-MBS
USGA
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0741
31417YZF7
15916.53000000
PA
USD
16090.50000000
0.000233897697
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 933683
31412SXL4
2269.50000000
PA
USD
2391.96000000
0.000034770450
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28511
31307HN45
38923.44000000
PA
USD
41513.79000000
0.000603460419
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11824
3128PRAZ2
37175.07000000
PA
USD
39496.28000000
0.000574133118
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J07749
3128PKTE4
41579.82000000
PA
USD
43299.56000000
0.000629419059
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_05-20J
N/A
SBAP 2005-20J 1
83162CPV9
474629.05000000
PA
USD
505750.48000000
0.007351783515
Long
ABS-CBDO
CORP
US
N
2
2025-10-01
Fixed
5.09000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY8439
3138YNLV7
1993790.46000000
PA
USD
2103468.87000000
0.030576832597
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC5572
31417SFN5
79702.53000000
PA
USD
84407.37000000
0.001226977997
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4407 CA
3137BF6L0
12133078.21000000
PA
USD
12556401.31000000
0.182524679285
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 832365
31407JW24
535.58000000
PA
USD
535.58000000
0.000007785396
Long
ABS-MBS
USGSE
US
N
2
2020-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 963973
31414EMW1
8435.51000000
PA
USD
8851.97000000
0.000128675640
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 918793
31411YXW8
47626.79000000
PA
USD
49502.81000000
0.000719591887
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K111 X1
3137FUZE7
58000000.00000000
PA
USD
7545220.00000000
0.109680220203
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.68200000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13888
3128MCRH0
713.69000000
PA
USD
744.74000000
0.000010825827
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT2019
3138WPG57
8582176.42000000
PA
USD
9564921.44000000
0.139039377217
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC3870
31417NJQ5
2851.51000000
PA
USD
3017.61000000
0.000043865139
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-121 AP
38380AZY6
10108673.02000000
PA
USD
10350876.83000000
0.150464327085
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AQ0176
3138MFFS1
4407493.84000000
PA
USD
4902367.25000000
0.071262696050
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE1417
31419BSF3
60345.92000000
PA
USD
63976.93000000
0.000929993263
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
3.50000000
N
N
N
N
N
N
United States Small Business Administration
N/A
SBAP 2019-25L A
83162CE25
6793770.13000000
PA
USD
7275788.12000000
0.105763654758
Long
ABS-CBDO
CORP
US
N
2
2044-12-01
Fixed
2.38000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA7693
31416RRP0
10314.38000000
PA
USD
10906.53000000
0.000158541515
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932840
31412RLV7
831637.66000000
PA
USD
875148.94000000
0.012721501619
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS2234
3138WBPU3
3600017.61000000
PA
USD
3882798.99000000
0.056441859644
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 956191
31413UXU8
1425.28000000
PA
USD
1499.07000000
0.000021791058
Long
ABS-MBS
USGSE
US
N
2
2022-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18480
3128MMRA3
54350.23000000
PA
USD
56594.35000000
0.000822677240
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Principal Strip
N/A
FNMA PRIN STP
31358DDG6
5100000.00000000
PA
USD
4576383.00000000
0.066524063602
Long
DBT
USGSE
US
N
2
2030-01-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3612
3138WDAN1
29028691.16000000
PA
USD
31557380.45000000
0.458730220827
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 962613
31414C3W6
16052.67000000
PA
USD
16796.23000000
0.000244156459
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_06-20H
N/A
SBAP 2006-20H 1
83162CQL0
809165.53000000
PA
USD
882670.13000000
0.012830832530
Long
ABS-CBDO
CORP
US
N
2
2026-08-01
Fixed
5.70000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-77 P
3136B7N49
4633397.07000000
PA
USD
4915478.28000000
0.071453283026
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
FHMS K048 A2
3137BLAC2
1000000.00000000
PA
USD
1115720.00000000
0.016218535083
Long
ABS-MBS
USGSE
US
N
2
2025-06-25
Variable
3.28400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6274
36179U6K3
33184126.07000000
PA
USD
34648873.39000000
0.503669351351
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 884443
31410BS88
7152.30000000
PA
USD
7248.50000000
0.000105366984
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12716
3128PSAR8
20605.14000000
PA
USD
21891.11000000
0.000318217595
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI4550
3138AJBU5
91085.35000000
PA
USD
96611.50000000
0.001404381925
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4616
3140QCDW3
33599187.79000000
PA
USD
35274443.29000000
0.512762876044
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
FED HOME LN BANK
3130AJ4C0
13375000.00000000
PA
USD
14392971.25000000
0.209221766373
Long
DBT
USGSE
US
N
2
2030-03-08
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR SD0266
3132DMJK2
12856990.60000000
PA
USD
15336846.95000000
0.222942306612
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 929931
31412NEC6
71023.77000000
PA
USD
74839.88000000
0.001087901282
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20K
N/A
SBAP 2018-20K 1
83162CZZ9
15550484.84000000
PA
USD
17826453.80000000
0.259132189416
Long
ABS-CBDO
CORP
US
N
2
2038-11-01
Fixed
3.87000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13354
3128MB5P8
15017.50000000
PA
USD
15662.35000000
0.000227673944
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15732
3128PVLM0
4627.08000000
PA
USD
4900.73000000
0.000071238896
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2012-151 PA
3136AA5D3
39285715.51000000
PA
USD
40131536.96000000
0.583367457922
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J20211
31306XGU1
387730.92000000
PA
USD
411196.40000000
0.005977309037
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL2131
3138EJLM8
92.55000000
PA
USD
94.28000000
0.000001370490
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-111 AP
3136AGM66
12719089.88000000
PA
USD
12914709.48000000
0.187733184668
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
2.12500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28540
31307HPZ4
156427.82000000
PA
USD
166906.92000000
0.002426223190
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-110 PD
38381YXL3
8925560.18000000
PA
USD
9311233.64000000
0.135351673774
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E04043
31294NP45
7881.30000000
PA
USD
8372.38000000
0.000121704136
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18472
3128MMQ22
162229.55000000
PA
USD
170751.47000000
0.002482109047
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2.5 8/20
01F022485
-193000000.00000000
PA
USD
-202559290.00000000
-2.94447975425
Short
ABS-MBS
USGSE
US
N
2
2020-08-17
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4937 MD
3137FQA37
29616999.39000000
PA
USD
31130724.23000000
0.452528181899
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4883 ZN
3137FLRP1
525591.79000000
PA
USD
578445.30000000
0.008408503380
Long
ABS-MBS
USGSE
US
N
2
2049-05-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-9 HP
3136ABRJ4
24351177.22000000
PA
USD
24931709.28000000
0.362416916123
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28510
31307HN37
10093.63000000
PA
USD
10610.32000000
0.000154235692
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18506
3128MMR47
2599578.98000000
PA
USD
2754825.84000000
0.040045208059
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-18 P
38380KM44
17118170.61000000
PA
USD
17238682.53000000
0.250588120147
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14991
3128MDXU2
251395.94000000
PA
USD
266321.32000000
0.003871349148
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 947936
31413KSZ5
910.47000000
PA
USD
950.33000000
0.000013814362
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
5.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20C
N/A
SBAP 2018-20C 1
83162CZH9
37705477.53000000
PA
USD
41571797.20000000
0.604303634769
Long
ABS-CBDO
CORP
US
N
2
2038-03-01
Fixed
3.20000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC
3134GWGP5
300000000.00000000
PA
USD
300303000.00000000
4.365319920118
Long
DBT
USGSE
US
N
2
2025-07-28
Fixed
0.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28731
31307HVY0
38436.20000000
PA
USD
40384.53000000
0.000587045062
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20F
N/A
SBAP 2018-20F 1
83162CZM8
14042276.30000000
PA
USD
15880269.84000000
0.230841710770
Long
ABS-CBDO
CORP
US
N
2
2038-06-01
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR SD0060
3132DMB53
10212552.51000000
PA
USD
11120550.55000000
0.161652600335
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J14664
3128PUFD9
32679.98000000
PA
USD
34595.35000000
0.000502891314
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
3.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-65 CD
38381VMD9
34677234.82000000
PA
USD
35368698.88000000
0.514133011556
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC4973
31417QQ31
18600.24000000
PA
USD
19698.58000000
0.000286346135
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2.5 8/20
21H022689
-50000000.00000000
PA
USD
-52820500.00000000
-0.76781910550
Short
ABS-MBS
USGA
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_17-20L
N/A
SBAP 2017-20L 1
83162CZA4
2261748.64500000
PA
USD
2449496.40000000
0.035606821873
Long
ABS-CBDO
CORP
US
N
2
2037-12-01
Fixed
2.78000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA1008
3140Q8DN2
439778.78000000
PA
USD
488541.45000000
0.007101626435
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY6117
3138YKYP2
434976.28000000
PA
USD
458908.67000000
0.006670872947
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J32437
31307NV68
2381720.97000000
PA
USD
2520265.68000000
0.036635551349
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 879619
31409VG49
4533.41000000
PA
USD
4609.44000000
0.000067004592
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J35503
31307SDG5
4363467.22000000
PA
USD
4628678.76000000
0.067284254885
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-30 PA
3136B5BW4
19054018.20000000
PA
USD
19577051.00000000
0.284579543685
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Fixed
3.50000000
N
N
N
N
N
N
Federal Farm Credit Banks Funding Corp
N/A
FED FARM CREDIT
3133ELVQ4
175000000.00000000
PA
USD
179616500.00000000
2.610974533827
Long
DBT
USGSE
US
N
2
2025-04-01
Fixed
0.95000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13729
3128MCLJ2
1292.94000000
PA
USD
1371.59000000
0.000019937959
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BA5522
3140EAD42
1647918.57000000
PA
USD
1736049.26000000
0.025235879817
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM5863
3140JAQR2
16614950.95000000
PA
USD
18531485.54000000
0.269380801980
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC4797
31417QKK9
97632.20000000
PA
USD
103422.77000000
0.001503393166
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02722
31294MAX9
11898.08000000
PA
USD
12595.07000000
0.000183086782
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0548
31417YTE7
6584.62000000
PA
USD
6593.97000000
0.000095852484
Long
ABS-MBS
USGSE
US
N
2
2020-10-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2.5 8/20
21H022689
108000000.00000000
PA
USD
114092280.00000000
1.658489267891
Long
ABS-MBS
USGA
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD1460
3140F8TS6
1037274.13000000
PA
USD
1098120.63000000
0.015962703871
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0885
31419A6X0
7.34000000
PA
USD
7.66000000
0.000000111348
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14394
3128MDC76
35243.80000000
PA
USD
37321.77000000
0.000542523604
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12624
3128PR4H9
63608.88000000
PA
USD
66961.07000000
0.000973371870
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 885071
31410CJQ6
3102.53000000
PA
USD
3148.45000000
0.000045767080
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE9267
31419LJM6
31283.94000000
PA
USD
33079.64000000
0.000480858371
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25E
N/A
SBAP 2019-25E 1
83162CB93
6166985.30000000
PA
USD
6837583.28000000
0.099393740647
Long
ABS-CBDO
CORP
US
N
2
2044-05-01
Fixed
3.07000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932770
31412RJP3
12580.19000000
PA
USD
12936.96000000
0.000188056626
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI4052
3138AHQE9
136421.54000000
PA
USD
144419.93000000
0.002099343653
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02908
31294MGR6
178871.34000000
PA
USD
188440.96000000
0.002739250278
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-59 Y
38380WKW8
4000000.00000000
PA
USD
4244760.00000000
0.061703464114
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745392
31403DC56
4.82000000
PA
USD
4.85000000
0.000000070501
Long
ABS-MBS
USGSE
US
N
2
2020-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0628
31417YVW4
326.86000000
PA
USD
328.41000000
0.000004773894
Long
ABS-MBS
USGSE
US
N
2
2021-01-01
Fixed
3.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_06-20J
N/A
SBAP 2006-20J 1
83162CQP1
1922625.27000000
PA
USD
2065168.71000000
0.030020086739
Long
ABS-CBDO
CORP
US
N
2
2026-10-01
Fixed
5.37000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_09-20I
N/A
SBAP 2009-20I 1
83162CSU8
1053546.72000000
PA
USD
1122575.10000000
0.016318183454
Long
ABS-CBDO
CORP
US
N
2
2029-09-01
Fixed
4.20000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25K
N/A
SBAP 2019-25K 1
83162CD83
8516780.90000000
PA
USD
9182367.33000000
0.133478423523
Long
ABS-CBDO
CORP
US
N
2
2044-11-01
Fixed
2.48000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1781
31416W6T4
1389182.28000000
PA
USD
1461294.73000000
0.021241942285
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3474
31418C2G8
8194303.51000000
PA
USD
8660067.72000000
0.125886075489
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZY9
98000000.00000000
PA
USD
98015680.00000000
1.424793626397
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.12500000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_08-20H
N/A
SBAP 2008-20H 1
83162CRY1
61734.00000000
PA
USD
68818.59000000
0.001000373495
Long
ABS-CBDO
CORP
US
N
2
2028-08-01
Fixed
6.02000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB8722
31417FVQ8
13165797.74000000
PA
USD
14669858.47000000
0.213246705508
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18404
3128MMNW9
8250.11000000
PA
USD
8699.16000000
0.000126454335
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
4.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_19-25F
N/A
SBAP 2019-25F 1
83162CC35
9883763.74000000
PA
USD
10786546.72000000
0.156797392187
Long
ABS-CBDO
CORP
US
N
2
2044-06-01
Fixed
2.77000000
N
N
N
N
N
N
Fannie Mae Interest Strip
N/A
FNMA GEN STRIP
31359YBB2
91000000.00000000
PA
USD
87318140.00000000
1.269290070128
Long
DBT
USGSE
US
N
2
2026-05-15
None
0.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20E
N/A
SBAP 2018-20E 1
83162CZL0
7735721.89000000
PA
USD
8688066.61000000
0.126293078124
Long
ABS-CBDO
CORP
US
N
2
2038-05-01
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SBAP_18-20A
N/A
SBAP 2018-20A 1
83162CZC0
11542397.50000000
PA
USD
12744422.78000000
0.185257831696
Long
ABS-CBDO
CORP
US
N
2
2038-01-01
Fixed
2.92000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J04929
3128PGPN7
19023.02000000
PA
USD
19790.03000000
0.000287675488
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J14702
3128PUGK2
8719.26000000
PA
USD
9259.77000000
0.000134603578
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 931742
31412QEP0
17244.99000000
PA
USD
18173.29000000
0.000264173933
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 852932
31408JSV4
1191.61000000
PA
USD
1207.91000000
0.000017558644
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J08570
3128PLQX3
103019.98000000
PA
USD
107368.45000000
0.001560749088
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13240
3128MBZD2
25543.87000000
PA
USD
27101.79000000
0.000393962044
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889177
31410G2J1
738.82000000
PA
USD
775.08000000
0.000011266861
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government Trust Certificate
N/A
ISRAEL TRUST
38373PBG7
7711000.00000000
PA
USD
7702517.90000000
0.111966762982
Long
DBT
USGSE
US
N
2
2020-10-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC1593
31417KXX0
13239.27000000
PA
USD
13973.92000000
0.000203130276
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 837220
31407QDZ6
199.85000000
PA
USD
199.85000000
0.000002905096
Long
ABS-MBS
USGSE
US
N
2
2020-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD6388
31418UC28
134433.35000000
PA
USD
142351.47000000
0.002069275723
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0043
31417YBM8
60942.74000000
PA
USD
64262.90000000
0.000934150233
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12459
3128PRWU9
171939.75000000
PA
USD
182692.86000000
0.002655693686
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5796
3138WFNN2
8348452.89000000
PA
USD
8823145.92000000
0.128256642932
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION SBAP_08-20J
N/A
SBAP 2008-20J 1
83162CSB0
78344.90000000
PA
USD
85689.73000000
0.001245618875
Long
ABS-CBDO
CORP
US
N
2
2028-10-01
Fixed
5.63000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC0170
3140EUFL8
3451502.33000000
PA
USD
3797998.65000000
0.055209169283
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2015-161 GZ
38379FUE7
1035065.57000000
PA
USD
1160670.78000000
0.016871956912
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
3.00000000
N
N
N
N
N
N
2020-08-31
VANGUARD FIXED INCOME SECURITIES FUNDS
Christine M. Buchanan
Christine M. Buchanan
Treasurer