Fannie Mae Pool

NPORT-P false 0001551895 XXXXXXXX S000040579 C000125848 Franklin ETF Trust 811-22801 0001551895 5493002I0ZV9SI9DX447 One Franklin Parkway San Mateo 94403-1906 650-312-2000 Franklin Liberty Short Duration U.S. Government ETF S000040579 549300SJ8ZYS4H43HY44 2023-03-31 2022-06-30 N 358921838.92 34749766.13 324172072.79 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 32021804.40000000 0.00000000 574200.00000000 USD N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EJ5B0 42945.77500000 PA USD 44284.46000000 0.013660788117 Long ABS-MBS USGSE US N 2 2040-12-01 Floating 2.33300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385HSB9 376.67820000 PA USD 375.92000000 0.000115963104 Long ABS-MBS USGSE US N 2 2028-08-01 Floating 2.35100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407PWM6 87287.12300000 PA USD 90918.26000000 0.028046296282 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 2.16700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31336CLF8 23518.94960000 PA USD 23381.89000000 0.007212802077 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 1.97500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31400WR51 114.04720000 PA USD 114.19000000 0.000035225119 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 2.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ALMB0 38275.01000000 PA USD 38169.21000000 0.011774367135 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCG4 5000000.00000000 PA USD 4742187.50000000 1.462861207995 Long DBT UST US N 2 2024-06-15 Fixed 0.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128NHM42 48735.78230000 PA USD 49370.21000000 0.015229630848 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 1.96300000 N N N N N N EXP-IMP IMB 549300NMMHVYCBECJ059 Export-Import Bank of the United States 302155BA3 1233914.59940000 PA USD 1209535.53000000 0.373115277818 Long DBT USGA US N 2 2026-11-12 Fixed 2.62800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31405EDF9 206.70020000 PA USD 206.48000000 0.000063694567 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 1.87300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4HH3 31383.58620000 PA USD 32052.26000000 0.009887421739 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 1.87400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EPR63 192357.45740000 PA USD 197254.13000000 0.060848588313 Long ABS-MBS USGSE US N 2 2040-04-01 Floating 2.26500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406WQP2 68956.57000000 PA USD 70926.34000000 0.021879225865 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 1.87600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4NP8 9392.47500000 PA USD 9708.45000000 0.002994844656 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 2.47600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ERS68 135209.54500000 PA USD 134331.05000000 0.041438193254 Long ABS-MBS USGSE US N 2 2038-07-01 Floating 2.50800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385XUH8 3673.27500000 PA USD 3671.25000000 0.001132500393 Long ABS-MBS USGSE US N 2 2038-03-01 Floating 2.49300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5JA3 55917.86540000 PA USD 55278.93000000 0.017052341839 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 2.56600000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FARP5 1122119.13600000 PA USD 1121799.22000000 0.346050543572 Long ABS-MBS USGSE US N 2 2024-08-25 Floating 1.47986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407GYA0 8820.76380000 PA USD 9060.80000000 0.002795058785 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.64300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402QX71 88728.33430000 PA USD 88657.12000000 0.027348784007 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 1.93900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ENE21 197723.29000000 PA USD 204954.22000000 0.063223897800 Long ABS-MBS USGSE US N 2 2040-12-01 Floating 2.54200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409WCB5 198577.11160000 PA USD 203770.43000000 0.062858724456 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 1.98500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376LRG6 2030588.55000000 PA USD 2019954.76000000 0.623111899373 Long ABS-MBS USGA US N 2 2041-06-20 Floating 1.92514000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128HD5B1 17.24450000 PA USD 17.16000000 0.000005293484 Long ABS-MBS USGSE US N 2 2030-09-01 Floating 2.45300000 N N N N N N Freddie Mac Multiclass Certifi N/A Freddie Mac Multiclass Certificates Series 2020-P003 3137FWHY9 897877.03000000 PA USD 786228.71000000 0.242534374794 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 0.82638000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31408GXK8 75077.40000000 PA USD 75880.92000000 0.023407605518 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.33900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ELWL3 35318.63200000 PA USD 36518.07000000 0.011265026529 Long ABS-MBS USGSE US N 2 2039-09-01 Floating 2.39100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31400VP89 1159.87750000 PA USD 1154.98000000 0.000356286089 Long ABS-MBS USGSE US N 2 2028-03-01 Floating 2.04700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403DQN2 44176.33990000 PA USD 44545.68000000 0.013741368778 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 2.13100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406WRX4 75450.05000000 PA USD 77403.88000000 0.023877405395 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.39200000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H6LW3 1821000.00000000 PA USD 1821693.80000000 0.561952726007 Long ABS-MBS USGSE US N 2 2032-02-25 Floating 1.33768000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31362M2N7 14440.72000000 PA USD 14738.15000000 0.004546397187 Long ABS-MBS USGSE US N 2 2028-08-01 Floating 4.08000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31337A5S1 3281.64820000 PA USD 3262.06000000 0.001006274220 Long ABS-MBS USGSE US N 2 2029-01-01 Floating 2.98800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385WZU6 32957.31850000 PA USD 33872.09000000 0.010448799524 Long ABS-MBS USGSE US N 2 2040-04-01 Floating 2.26700000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BN6G4 1500000.00000000 PA USD 1479248.25000000 0.456315757637 Long ABS-MBS USGSE US N 2 2025-12-25 Fixed 2.99500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EQJL7 202582.78970000 PA USD 208294.04000000 0.064254159282 Long ABS-MBS USGSE US N 2 2042-03-01 Floating 2.08000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BUWU8 41719.04000000 PA USD 41696.17000000 0.012862357216 Long ABS-MBS USGSE US N 2 2026-12-25 Floating 1.53986000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 CBOT 10 YEAR US TREASURY NOTE 000000000 -144.00000000 NC USD 270217.87000000 0.083356307554 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2022-09-21 -17338717.87000000 USD 270217.87000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ATVV3 1016052.89000000 PA USD 1013083.07000000 0.312513987179 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 2.02357000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128JRDN3 19780.95700000 PA USD 20332.38000000 0.006272094886 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 3.07200000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CDV0 10000000.00000000 PA USD 9678125.00000000 2.985490056779 Long DBT UST US N 2 2024-01-31 Fixed 0.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GDY6 5705.65700000 PA USD 5709.71000000 0.001761320755 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 1.89100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402DHS2 24307.53750000 PA USD 24143.81000000 0.007447837746 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 2.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410FXM2 21045.96000000 PA USD 21018.90000000 0.006483871303 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 2.02800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ELV59 10054.61000000 PA USD 10044.32000000 0.003098453211 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.50000000 N N N N N N MS USD LIQ N/A FRANKLIN TEMPLETON SWEEP 000000000 8147634.13000000 NS USD 8147634.13000000 2.513367070727 Long STIV RF US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133L8SB2 8869960.35000000 PA USD 8302695.78000000 2.561200201035 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EPX74 319364.87020000 PA USD 328989.80000000 0.101486163557 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 2.35800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31400RDV0 90064.04000000 PA USD 92197.34000000 0.028440864509 Long ABS-MBS USGSE US N 2 2033-02-01 Floating 2.07000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RHW2 27973.11000000 PA USD 27909.67000000 0.008609523257 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.53700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349TAD3 95125.60000000 PA USD 98698.91000000 0.030446456769 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 2.25000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H6MJ1 2249962.88000000 PA USD 2245120.06000000 0.692570473661 Long ABS-MBS USGSE US N 2 2029-02-25 Floating 1.31768000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349SGC1 12514.56620000 PA USD 12978.38000000 0.004003546600 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 2.37500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137B5KW2 1997022.14000000 PA USD 1997726.09000000 0.616254840463 Long ABS-MBS USGSE US N 2 2023-08-25 Variable 3.45800000 N N N N N N INT DEVELOPMENT FIN CORP 254900QI8QTIK0FY6E92 United States International Development Finance Corp 6903536M4 733333.34000000 PA USD 724776.80000000 0.223577803529 Long DBT USGA US N 2 2024-03-20 Fixed 2.12000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F84M2 3401882.74000000 PA USD 3388739.23000000 1.045351994955 Long ABS-MBS USGSE US N 2 2030-11-25 Floating 1.37986000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H0H92 2027612.11000000 PA USD 2013769.60000000 0.621203912683 Long ABS-MBS USGSE US N 2 2031-04-25 Floating 0.94920000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403DMZ9 11331.71120000 PA USD 11607.53000000 0.003580669334 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 1.93600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QLSL6 26717.60490000 PA USD 27859.35000000 0.008594000636 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 2.36500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403DQW2 29877.27460000 PA USD 29823.38000000 0.009199860969 Long ABS-MBS USGSE US N 2 2036-07-01 Floating 2.37000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F042673 11730000.00000000 PA USD 11778111.30000000 3.633289937233 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128Q3RJ2 155906.95730000 PA USD 162388.68000000 0.050093358938 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 2.70800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375JZS7 1543473.49000000 PA USD 1540291.00000000 0.475146111984 Long ABS-MBS USGA US N 2 2037-04-20 Floating 1.89514000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402DQR4 47851.99420000 PA USD 49582.81000000 0.015295213302 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 2.44300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407EM59 10900.62340000 PA USD 11226.16000000 0.003463025023 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.33300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128JRZE9 116397.11880000 PA USD 115359.63000000 0.035585924785 Long ABS-MBS USGSE US N 2 2029-09-01 Floating 2.64900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300MPK3 62386.85000000 PA USD 64092.47000000 0.019771126318 Long ABS-MBS USGSE US N 2 2042-01-01 Floating 2.46700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407PJH2 210669.75000000 PA USD 220977.52000000 0.068166735677 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 2.36600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385XUU9 299.87800000 PA USD 297.48000000 0.000091766078 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 1.84500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31347A2S2 550248.91000000 PA USD 567235.29000000 0.174979690606 Long ABS-MBS USGSE US N 2 2038-01-01 Floating 2.62200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J8YY3 75775.11000000 PA USD 75697.78000000 0.023351110830 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407X4W8 13298.99900000 PA USD 13798.12000000 0.004256418475 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.06000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F5LC1 429620.59000000 PA USD 428489.53000000 0.132179655795 Long ABS-MBS USGSE US N 2 2025-03-25 Floating 1.32986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31391FPC6 407.47730000 PA USD 406.43000000 0.000125374772 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 2.07200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31405FUE0 11935.10000000 PA USD 12424.64000000 0.003832729911 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 2.40100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EMU90 681590.26000000 PA USD 705739.83000000 0.217705314318 Long ABS-MBS USGSE US N 2 2040-12-01 Floating 2.48100000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F84A8 1128174.22000000 PA USD 1123008.42000000 0.346423555346 Long ABS-MBS USGSE US N 2 2030-11-25 Floating 1.41986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QJT48 7289.57600000 PA USD 7431.51000000 0.002292458426 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 1.93700000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAK7 3000000.00000000 PA USD 2900507.82000000 0.894743274778 Long DBT UST US N 2 2023-09-15 Fixed 0.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419DB59 18695.10000000 PA USD 18647.33000000 0.005752293786 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H7KA0 3000000.00000000 PA USD 3002790.60000000 0.926295277121 Long ABS-MBS USGSE US N 2 2029-05-25 Floating 0.65703000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402CXP2 389.56750000 PA USD 389.77000000 0.000120235526 Long ABS-MBS USGSE US N 2 2032-06-01 Floating 2.35400000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FFNQ6 2975499.31000000 PA USD 2950948.47000000 0.910303112974 Long ABS-MBS USGSE US N 2 2031-01-25 Floating 0.91920000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416CBG0 104129.56000000 PA USD 103746.37000000 0.032003487872 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.21300000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FXZ84 4286428.61000000 PA USD 4260903.36000000 1.314395568788 Long ABS-MBS USGSE US N 2 2031-01-25 Floating 0.95920000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 CBOT 2 YEAR US TREASURY NOTE 000000000 58.00000000 NC USD -19784.38000000 -0.00610304886 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2022-09-30 12200690.69000000 USD -19784.38000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31373YXF1 2375.40000000 PA USD 2358.83000000 0.000727647505 Long ABS-MBS USGSE US N 2 2025-02-01 Floating 2.30900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349GS67 21005.68800000 PA USD 20924.16000000 0.006454646083 Long ABS-MBS USGSE US N 2 2029-07-01 Floating 2.71000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385WVC0 1554.42630000 PA USD 1552.24000000 0.000478832117 Long ABS-MBS USGSE US N 2 2027-09-01 Floating 1.83400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407FK66 56965.17000000 PA USD 59130.07000000 0.018240334366 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.18400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31405N7F6 28679.35000000 PA USD 29137.55000000 0.008988297403 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 1.57000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407XPG0 39361.55100000 PA USD 41111.69000000 0.012682057910 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.24000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAW1 5000000.00000000 PA USD 4819140.60000000 1.486599557612 Long DBT UST US N 2 2023-11-15 Fixed 0.25000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H5XZ5 3575090.29000000 PA USD 3536977.32000000 1.091080206125 Long ABS-MBS USGSE US N 2 2029-01-25 Floating 1.19768000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406GW39 36193.96520000 PA USD 36050.91000000 0.011120917878 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 1.88700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128HDZX0 974.25200000 PA USD 975.59000000 0.000300948194 Long ABS-MBS USGSE US N 2 2032-08-01 Floating 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LRW7 62795.50740000 PA USD 62157.93000000 0.019174363005 Long ABS-MBS USGSE US N 2 2038-10-01 Floating 2.37000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418D3Y6 7551696.47000000 PA USD 6806903.00000000 2.099780817457 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BGK24 1500000.00000000 PA USD 1485870.45000000 0.458358561615 Long ABS-MBS USGSE US N 2 2024-12-25 Fixed 3.06200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GJK0 10508.05940000 PA USD 10614.10000000 0.003274217889 Long ABS-MBS USGSE US N 2 2032-01-01 Floating 2.52100000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRYZ8 1043679.60000000 PA USD 1047149.31000000 0.323022677736 Long ABS-MBS USGSE US N 2 2027-02-25 Floating 1.81986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JA4Y1 1275980.28000000 PA USD 1317179.31000000 0.406321031501 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 2.27200000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F23E4 519355.32700000 PA USD 518814.21000000 0.160042845620 Long ABS-MBS USGSE US N 2 2024-05-25 Floating 1.48986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128Q2D42 8927.41000000 PA USD 9253.13000000 0.002854388387 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.68600000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H5Y35 3000000.00000000 PA USD 2974470.30000000 0.917559083483 Long ABS-MBS USGSE US N 2 2029-01-25 Floating 1.23768000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128JRL61 29722.47650000 PA USD 30419.49000000 0.009383747877 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.50400000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H5Y76 3000000.00000000 PA USD 2990713.20000000 0.922569663160 Long ABS-MBS USGSE US N 2 2032-01-25 Floating 1.27768000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CER8 3000000.00000000 PA USD 2973164.07000000 0.917156140074 Long DBT UST US N 2 2024-05-31 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349SAC7 3733.65000000 PA USD 3852.77000000 0.001188495346 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 2.34000000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 Reliance Industries Ltd 759470AU1 1000000.00000000 PA USD 977747.79000000 0.301613825517 Long DBT CORP IN N 2 2026-01-15 Fixed 2.06000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUN59 3015148.56000000 PA USD 3005516.37000000 0.927136117597 Long ABS-MBS USGSE US N 2 2030-06-25 Floating 1.55986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ETEJ1 277742.43000000 PA USD 276966.64000000 0.085438155611 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410EKC1 23086.97400000 PA USD 24419.97000000 0.007533027071 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 2.55300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407XWM9 10351.16800000 PA USD 10653.44000000 0.003286353419 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.10300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EKDX0 89776.23000000 PA USD 92449.31000000 0.028518591747 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 2.33900000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCD1 5000000.00000000 PA USD 4876391.80000000 1.504260301645 Long DBT UST US N 2 2023-05-31 Fixed 0.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406BEZ9 11937.18160000 PA USD 12202.36000000 0.003764161389 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 1.93100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31347ALP7 393055.28000000 PA USD 403325.91000000 0.124417228951 Long ABS-MBS USGSE US N 2 2042-05-01 Floating 2.31600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402CR53 1089.13800000 PA USD 1078.55000000 0.000332709104 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 1.77700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410QY39 8931.82680000 PA USD 9284.99000000 0.002864216500 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.60700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EG5G5 1209.96000000 PA USD 1208.72000000 0.000372863704 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H13L8 3683816.16000000 PA USD 3662538.07000000 1.129812953496 Long ABS-MBS USGSE US N 2 2028-05-25 Floating 0.94920000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LVU6 23955.24320000 PA USD 23721.50000000 0.007317564340 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 2.53200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128Q3L90 25898.91840000 PA USD 26694.17000000 0.008234568070 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 2.48200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406P3R8 9619.34040000 PA USD 9530.72000000 0.002940018835 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.06300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4YN1 42242.20750000 PA USD 42790.09000000 0.013199807630 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 2.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ENEW5 847844.69500000 PA USD 873683.47000000 0.269512257018 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 2.35200000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136A77C0 288714.39000000 PA USD 288723.25000000 0.089064812867 Long ABS-MBS USGSE US N 2 2022-09-25 Floating 2.07357000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4GH4 28930.05000000 PA USD 28824.56000000 0.008891746828 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 2.28400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31408DCZ5 20288.49000000 PA USD 20881.08000000 0.006441356844 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 2.19500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5ZW7 422104.79110000 PA USD 433115.96000000 0.133606808344 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 2.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416CAF3 22083.43580000 PA USD 22718.65000000 0.007008207031 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 2.24000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHR61 4523.84000000 PA USD 4530.16000000 0.001397455357 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4B48 5217.91600000 PA USD 5323.87000000 0.001642297547 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.12000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410Q2C4 13940.78000000 PA USD 14475.49000000 0.004465372317 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.81200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31348R5B8 416.53160000 PA USD 417.75000000 0.000128866745 Long ABS-MBS USGSE US N 2 2024-08-01 Floating 5.46700000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H7Z89 3000000.00000000 PA USD 3003956.70000000 0.926654993487 Long ABS-MBS USGSE US N 2 2032-06-25 Floating 1.19920000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FMCW0 1282032.73000000 PA USD 1277660.23000000 0.394130258971 Long ABS-MBS USGSE US N 2 2029-05-25 Floating 1.55986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31336CLE1 28314.84200000 PA USD 29192.12000000 0.009005131055 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 2.05600000 N N N N N N ULANI MSN 37894 N/A Ulani MSN 37894 90373QAA0 869565.71000000 PA USD 855722.62000000 0.263971727309 Long DBT CORP US N 2 2024-12-20 Fixed 2.18400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31288QBT6 1174306.07000000 PA USD 1205253.43000000 0.371794343549 Long ABS-MBS USGSE US N 2 2043-07-01 Floating 2.35800000 N N N N N N INT DEVELOPMENT FIN CORP 254900QI8QTIK0FY6E92 United States International Development Finance Corp 690353TK3 1367500.00000000 PA USD 1400344.30000000 0.431975613428 Long DBT USGA US N 2 2030-05-15 Fixed 4.01000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137GAHT7 464622.80000000 PA USD 464991.52000000 0.143439721996 Long ABS-MBS USGSE US N 2 2039-12-15 Floating 1.72400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4FR3 8733.43130000 PA USD 8675.14000000 0.002676091103 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.19500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCC3 5000000.00000000 PA USD 4752929.70000000 1.466174941935 Long DBT UST US N 2 2024-05-15 Fixed 0.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBR1 8100000.00000000 PA USD 7735183.61000000 2.386135099000 Long DBT UST US N 2 2024-03-15 Fixed 0.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AL88 44635.60500000 PA USD 46302.52000000 0.014283315524 Long ABS-MBS USGSE US N 2 2040-09-01 Floating 2.39400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409UWM3 294739.36270000 PA USD 300577.52000000 0.092721596099 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.00600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406L5A2 10210.92490000 PA USD 10194.75000000 0.003144857578 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.09000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FNXA3 1434219.76000000 PA USD 1437318.54000000 0.443381358434 Long ABS-MBS USGSE US N 2 2029-08-25 Floating 1.63986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385HJC7 5642.21000000 PA USD 5568.37000000 0.001717720453 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 1.99800000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWHP8 1354950.87000000 PA USD 1348154.98000000 0.415876348754 Long ABS-MBS USGSE US N 2 2030-08-25 Floating 1.41986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31379MGB9 1080.44200000 PA USD 1078.92000000 0.000332823241 Long ABS-MBS USGSE US N 2 2028-01-01 Floating 2.58800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31408C2U9 3232.66750000 PA USD 3209.62000000 0.000990097626 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 1.61500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31405XXY4 7274.97600000 PA USD 7217.96000000 0.002226582918 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 2.86500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FNAS9 1034293.94000000 PA USD 1030823.47000000 0.317986512881 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 1.63986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404JUQ6 83286.41000000 PA USD 84927.65000000 0.026198324016 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 2.50300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409JKP4 19521.86000000 PA USD 20229.04000000 0.006240216754 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 3.44200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407XZM6 19971.28400000 PA USD 20918.44000000 0.006452881588 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.32500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FHX40 395999.21000000 PA USD 395707.28000000 0.122067048094 Long ABS-MBS USGSE US N 2 2025-08-25 Floating 1.51986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128JMFP7 135248.43000000 PA USD 138935.64000000 0.042858608640 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.42900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410VQH6 73587.61720000 PA USD 75178.05000000 0.023190785484 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 2.34700000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F040677 12064000.00000000 PA USD 11899769.39000000 3.670818799282 Long ABS-MBS USGSE US N 2 2051-07-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31348S6S8 448.87140000 PA USD 447.22000000 0.000137957596 Long ABS-MBS USGSE US N 2 2028-01-01 Floating 2.68500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FX4E5 3929358.13000000 PA USD 3907788.31000000 1.205467292838 Long ABS-MBS USGSE US N 2 2030-08-25 Floating 1.46986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385XFE2 5643.32500000 PA USD 5634.68000000 0.001738175639 Long ABS-MBS USGSE US N 2 2032-08-01 Floating 2.19600000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136BBG30 3600242.02000000 PA USD 3289462.65000000 1.014727339615 Long ABS-MBS USGSE US N 2 2030-07-25 Fixed 0.78500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385XUT2 1888.17200000 PA USD 1886.14000000 0.000581832970 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 1.67200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419DMQ1 24624.89000000 PA USD 24532.17000000 0.007567638319 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QPMB5 1230.22600000 PA USD 1249.91000000 0.000385569919 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 2.11100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407YRJ0 17773.00500000 PA USD 18574.43000000 0.005729805729 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.27600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349SEZ2 13434.25900000 PA USD 13372.15000000 0.004125016040 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 2.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406BJF8 14449.46110000 PA USD 14702.48000000 0.004535393772 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 1.93300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406BQQ6 21936.66070000 PA USD 22280.29000000 0.006872982551 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 1.88200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406PEL9 19114.52100000 PA USD 19662.81000000 0.006065547173 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 3.34800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RN62 4676.70500000 PA USD 4635.96000000 0.001430092345 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 1.95200000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 Reliance Industries Ltd 759470AT4 750000.00000000 PA USD 739025.31000000 0.227973157477 Long DBT CORP IN N 2 2026-01-15 Fixed 2.51200000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137B7YY9 2000000.00000000 PA USD 2004403.60000000 0.618314706368 Long ABS-MBS USGSE US N 2 2024-01-25 Fixed 3.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31401EAM1 24352.69000000 PA USD 25230.75000000 0.007783134982 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 3.41500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RLV9 3093.07000000 PA USD 3096.44000000 0.000955184070 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 2.79600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402CQF2 555.36000000 PA USD 549.80000000 0.000169601284 Long ABS-MBS USGSE US N 2 2039-09-01 Floating 2.47300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128HDL64 171.22580000 PA USD 170.54000000 0.000052607863 Long ABS-MBS USGSE US N 2 2027-09-01 Floating 2.48200000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FLYN8 2326065.70000000 PA USD 2318559.25000000 0.715224858836 Long ABS-MBS USGSE US N 2 2029-03-25 Floating 1.64986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31374TK99 1153.29800000 PA USD 1146.75000000 0.000353747313 Long ABS-MBS USGSE US N 2 2025-03-01 Floating 2.32000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385XK63 3251.36250000 PA USD 3308.66000000 0.001020649302 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 1.74400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FJZV4 836661.63600000 PA USD 829942.82000000 0.256019222401 Long ABS-MBS USGSE US N 2 2048-12-15 Floating 1.62400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FWB90 1986332.34000000 PA USD 1691989.07000000 0.521941651369 Long ABS-MBS USGSE US N 2 2044-05-25 Fixed 0.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349SA45 65126.66000000 PA USD 67210.58000000 0.020732995110 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 2.34400000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FCWT7 92751.76700000 PA USD 92762.48000000 0.028615197848 Long ABS-MBS USGSE US N 2 2024-11-25 Floating 1.41986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QLRA1 8832.11460000 PA USD 9123.01000000 0.002814249210 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 2.37000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AT2C7 890766.02000000 PA USD 888307.59000000 0.274023478443 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 2.02357000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128JLW39 3992.52000000 PA USD 3990.81000000 0.001231077669 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.86200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404AY73 66757.04000000 PA USD 66501.20000000 0.020514166882 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 2.17100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4XE2 11697.74120000 PA USD 11770.53000000 0.003630951271 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 2.99700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403DMV8 2493.73190000 PA USD 2529.83000000 0.000780397268 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 1.96500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FG5T8 238999.90500000 PA USD 237755.19000000 0.073342280213 Long ABS-MBS USGSE US N 2 2028-03-25 Floating 1.33986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A1NS0 1909560.83000000 PA USD 1909288.91000000 0.588973903139 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 2.07357000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EQBQ4 90938.28010000 PA USD 94221.53000000 0.029065282887 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 2.55300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402CYR7 3302.00000000 PA USD 3320.34000000 0.001024252327 Long ABS-MBS USGSE US N 2 2039-08-01 Floating 2.86700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4EH6 887.48800000 PA USD 915.64000000 0.000282454929 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 1.89100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409XQX0 2049.61000000 PA USD 2102.92000000 0.000648704862 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 1.98900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B5EY7 1828727.76000000 PA USD 1820879.77000000 0.561701615542 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 2.07357000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F050676 4064000.00000000 PA USD 4149090.00000000 1.279903590796 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWGC8 2534395.01000000 PA USD 2511509.42000000 0.774745769549 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 1.41986000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828T91 3000000.00000000 PA USD 2948789.07000000 0.909636985265 Long DBT UST US N 2 2023-10-31 Fixed 1.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409JBD1 34606.19740000 PA USD 36603.28000000 0.011291311952 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 2.57400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RTR0 61435.91000000 PA USD 61425.20000000 0.018948331813 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.35500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 9128286Z8 5300000.00000000 PA USD 5173710.96000000 1.595976764892 Long DBT UST US N 2 2024-06-30 Fixed 1.75000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F9CM1 726730.05000000 PA USD 715960.42000000 0.220858142972 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 1.28986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31391TU55 1410.63800000 PA USD 1402.62000000 0.000432677617 Long ABS-MBS USGSE US N 2 2032-12-01 Floating 2.01800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385XHB6 10921.00280000 PA USD 10878.98000000 0.003355927580 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 2.53300000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828YH7 11200000.00000000 PA USD 10836000.00000000 3.342669190081 Long DBT UST US N 2 2024-09-30 Fixed 1.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FV2F8 1314090.83000000 PA USD 1304240.54000000 0.402329703720 Long ABS-MBS USGSE US N 2 2030-06-25 Floating 1.48986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RBR9 4174.10200000 PA USD 4267.18000000 0.001316331775 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.32500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404XEC4 9183.08810000 PA USD 9136.40000000 0.002818379733 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 2.12700000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BXR53 61141.06000000 PA USD 60986.63000000 0.018813042553 Long ABS-MBS USGSE US N 2 2027-03-25 Floating 1.48986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31373YXD6 630.57450000 PA USD 625.89000000 0.000193073386 Long ABS-MBS USGSE US N 2 2025-01-01 Floating 2.42300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409UWN1 5172.32420000 PA USD 5257.61000000 0.001621857785 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.32000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 CBOT US Long Bond Future 000000000 -58.00000000 NC USD 87167.64000000 0.026889311978 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2022-09-21 -8127417.64000000 USD 87167.64000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385Y2D6 31343.89000000 PA USD 31959.48000000 0.009858801137 Long ABS-MBS USGSE US N 2 2040-06-01 Floating 1.72400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404RUM7 5133.24900000 PA USD 5256.00000000 0.001621361135 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 1.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FR4D0 1070293.51000000 PA USD 959601.08000000 0.296015962060 Long ABS-MBS USGSE US N 2 2050-02-25 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300MN74 245950.49720000 PA USD 254133.66000000 0.078394680273 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.62900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMBL8 973140.29000000 PA USD 976678.68000000 0.301284028446 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAF8 5000000.00000000 PA USD 4844335.95000000 1.494371772468 Long DBT UST US N 2 2023-08-15 Fixed 0.12500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F9Z46 1757344.47000000 PA USD 1724260.53000000 0.531896691519 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 0.91920000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128NCCU6 109979.87710000 PA USD 110611.98000000 0.034121378516 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 1.77100000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUZR8 936318.94000000 PA USD 934943.86000000 0.288409748549 Long ABS-MBS USGSE US N 2 2027-06-25 Floating 1.47986000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BNGT5 1500000.00000000 PA USD 1466701.65000000 0.452445405730 Long ABS-MBS USGSE US N 2 2026-01-25 Fixed 2.74500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBV2 25000000.00000000 PA USD 23869140.50000000 7.363108208109 Long DBT UST US N 2 2024-04-15 Fixed 0.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AZ59 138398.34000000 PA USD 142099.84000000 0.043834695190 Long ABS-MBS USGSE US N 2 2041-01-01 Floating 2.06200000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZP8 4700000.00000000 PA USD 4588939.42000000 1.415587524398 Long DBT UST US N 2 2023-05-15 Fixed 0.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31368HYX5 23047.96340000 PA USD 23101.52000000 0.007126314059 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 4.82500000 N N N N N N MSN 41079 AND 41084 LTD N/A MSN 41079 and 41084 Ltd 553737AB3 1132644.80000000 PA USD 1106984.10000000 0.341480402822 Long DBT CORP KY N 2 2024-12-14 Fixed 1.63100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31336CLM3 91308.28590000 PA USD 94148.92000000 0.029042884289 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 2.35000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128NCHJ6 2384.66150000 PA USD 2387.26000000 0.000736417538 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 3.30800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406P5X3 41004.59000000 PA USD 41607.21000000 0.012834915001 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 1.69500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FEUY4 188971.09510000 PA USD 187508.74000000 0.057842348474 Long ABS-MBS USGSE US N 2 2025-02-25 Floating 1.30986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31384VJ60 905.38650000 PA USD 904.36000000 0.000278975296 Long ABS-MBS USGSE US N 2 2028-07-01 Floating 2.64800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AUA3 298417.46400000 PA USD 307928.20000000 0.094989120237 Long ABS-MBS USGSE US N 2 2040-10-01 Floating 2.29300000 N N N N N N DRAGON 2012 LLC N/A Dragon 2012 LLC 26144YAA5 16458.14280000 PA USD 16285.24000000 0.005023640642 Long DBT CORP US N 2 2024-03-12 Fixed 1.97200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EGR30 147863.95140000 PA USD 151993.93000000 0.046886805730 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.40900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404NBP0 10480.17430000 PA USD 10686.81000000 0.003296647335 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 1.96400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BKV9 31759.53200000 PA USD 33484.14000000 0.010329125427 Long ABS-MBS USGSE US N 2 2036-10-01 Floating 2.49700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418NBY5 39643.78400000 PA USD 39581.74000000 0.012210101770 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.07400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QLP39 72895.15800000 PA USD 75597.42000000 0.023320151964 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 2.34100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418AEG9 68090.97000000 PA USD 68186.14000000 0.021033934050 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376TAF9 1112423.53000000 PA USD 1119682.54000000 0.345397594050 Long ABS-MBS USGA US N 2 2040-01-16 Floating 2.10929000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FTAX5 1943501.61000000 PA USD 1842567.21000000 0.568391716825 Long ABS-MBS USGSE US N 2 2026-08-25 Fixed 1.05400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403DLF4 17148.32900000 PA USD 17031.49000000 0.005253842458 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 2.82900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31391UD69 15764.64000000 PA USD 15710.58000000 0.004846370591 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 1.97300000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FLYR9 1494313.57000000 PA USD 1491962.87000000 0.460237940041 Long ABS-MBS USGSE US N 2 2026-04-25 Floating 1.59986000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FG7L3 160482.39500000 PA USD 160033.72000000 0.049366905243 Long ABS-MBS USGSE US N 2 2025-05-25 Floating 1.34986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138A9BT0 197285.53000000 PA USD 196619.71000000 0.060652883608 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H050672 4036000.00000000 PA USD 4136900.00000000 1.276143242197 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F8MQ3 1906288.37000000 PA USD 1897297.17000000 0.585274713417 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 1.37986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128JR3F1 93203.37450000 PA USD 93288.83000000 0.028777565321 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.49500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GJV6 3322.18610000 PA USD 3314.14000000 0.001022339762 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 2.40500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FMUT7 1021770.98000000 PA USD 1017549.53000000 0.313891792479 Long ABS-MBS USGSE US N 2 2026-06-25 Floating 1.55986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402EM39 7131.41000000 PA USD 7141.68000000 0.002203052205 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 3.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407XUW9 12189.74900000 PA USD 12685.75000000 0.003913276640 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.15900000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FL6K5 946393.08000000 PA USD 943393.58000000 0.291016302508 Long ABS-MBS USGSE US N 2 2029-02-25 Floating 1.65986000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FBUC8 391500.83000000 PA USD 391214.56000000 0.120681142157 Long ABS-MBS USGSE US N 2 2024-09-25 Floating 1.44986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137GAK55 1343744.52000000 PA USD 1342630.02000000 0.414172019336 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 1.77400000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FREN7 2815704.09000000 PA USD 2811099.85000000 0.867162869955 Long ABS-MBS USGSE US N 2 2029-12-25 Floating 1.62986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31347JBN4 182.39420000 PA USD 184.81000000 0.000057009846 Long ABS-MBS USGSE US N 2 2026-01-01 Floating 2.23000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FQ3S0 2458396.95900000 PA USD 2450654.24000000 0.755973276448 Long ABS-MBS USGSE US N 2 2026-10-25 Floating 1.61986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EJ5C8 68063.29850000 PA USD 69797.75000000 0.021531080515 Long ABS-MBS USGSE US N 2 2038-01-01 Floating 2.19700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138XXGE0 265886.15000000 PA USD 265132.96000000 0.081787723944 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EJHA9 97532.78370000 PA USD 99809.13000000 0.030788935376 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.14700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EMFG1 122818.62000000 PA USD 126784.14000000 0.039110136449 Long ABS-MBS USGSE US N 2 2037-05-01 Floating 2.54400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349SFL2 28228.67300000 PA USD 28533.51000000 0.008801964263 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 2.53400000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H7MK6 3000000.00000000 PA USD 3011637.00000000 0.929024198192 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 1.16920000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403EDZ7 1635.48400000 PA USD 1697.81000000 0.000523737281 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 2.40800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128UHB53 106614.55370000 PA USD 108750.65000000 0.033547198888 Long ABS-MBS USGSE US N 2 2034-08-01 Floating 2.51100000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FXLS5 1396924.09000000 PA USD 1392227.77000000 0.429471841302 Long ABS-MBS USGSE US N 2 2027-08-25 Floating 1.40986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QJ2K1 23078.59600000 PA USD 23237.16000000 0.007168156035 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 3.21300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407RKJ2 3084.71220000 PA USD 3063.23000000 0.000944939511 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.23000000 N N N N N N KE EXPORT LEASING 2013-A N/A KE Export Leasing 2013-A LLC 48668HAA2 486647.23560000 PA USD 485988.30000000 0.149916769762 Long DBT CORP US N 2 2025-02-28 Floating 1.82786000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRZ61 1719700.69000000 PA USD 1729903.67000000 0.533637476884 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 1.91986000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H4SB7 2999671.00000000 PA USD 2959484.11000000 0.912936171376 Long ABS-MBS USGSE US N 2 2028-12-25 Floating 0.92920000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31387UEK3 2147.63400000 PA USD 2138.32000000 0.000659624989 Long ABS-MBS USGSE US N 2 2030-12-01 Floating 2.96000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B3BB5 1518393.30000000 PA USD 1506676.47000000 0.464776764090 Long ABS-MBS USGSE US N 2 2058-10-25 Floating 1.97357000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZU7 6000000.00000000 PA USD 5847697.26000000 1.803886809147 Long DBT UST US N 2 2023-06-15 Fixed 0.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31336CLK7 12121.33950000 PA USD 12594.19000000 0.003885032381 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 2.34300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4DY0 32223.39500000 PA USD 33371.47000000 0.010294369194 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 2.14900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31386FCG8 16110.96290000 PA USD 16131.43000000 0.004976193618 Long ABS-MBS USGSE US N 2 2031-01-01 Floating 1.71900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31400QX81 5341.11900000 PA USD 5313.11000000 0.001638978322 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 2.19000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407JNQ1 5024.42000000 PA USD 5177.32000000 0.001597090074 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 1.90800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406VHE9 18529.83880000 PA USD 18947.10000000 0.005844766280 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.59900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406WDR2 37007.51800000 PA USD 37998.34000000 0.011721657474 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 1.84700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385XPP6 621.38750000 PA USD 615.57000000 0.000189889892 Long ABS-MBS USGSE US N 2 2033-09-01 Floating 1.42500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417SA42 17711.62400000 PA USD 18087.98000000 0.005579746535 Long ABS-MBS USGSE US N 2 2039-12-01 Floating 1.94000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406H3D7 2341.52600000 PA USD 2398.68000000 0.000739940359 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 2.19700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LWJ0 166941.31620000 PA USD 171362.87000000 0.052861700431 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.25700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410SHK6 4573.40810000 PA USD 4669.99000000 0.001440589857 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 1.96000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385WZK8 8150.26970000 PA USD 8079.66000000 0.002492398537 Long ABS-MBS USGSE US N 2 2033-01-01 Floating 2.28000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FCP81 218509.43610000 PA USD 218153.40000000 0.067295556376 Long ABS-MBS USGSE US N 2 2027-11-25 Floating 1.45986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418EBE9 6130041.89500000 PA USD 5730422.81000000 1.767710204238 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ABXB4 1121134.68000000 PA USD 1021926.37000000 0.315241951968 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 1.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QSU46 19247.71200000 PA USD 19627.72000000 0.006054722675 Long ABS-MBS USGSE US N 2 2038-01-01 Floating 1.95800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LL94 30934.28400000 PA USD 31683.70000000 0.009773729034 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 2.80100000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FTZZ3 1738149.99000000 PA USD 1738799.36000000 0.536381602842 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 1.58986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHZR6 16134.14320000 PA USD 16522.85000000 0.005096938134 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 1.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404NAJ5 6321.98900000 PA USD 6447.53000000 0.001988922100 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 1.86700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EKSY2 21390.30120000 PA USD 22169.54000000 0.006838818596 Long ABS-MBS USGSE US N 2 2037-12-01 Floating 2.33200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31362RD79 162.24630000 PA USD 163.02000000 0.000050288107 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 3.38700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128HDQL6 3843.60240000 PA USD 3812.89000000 0.001176193238 Long ABS-MBS USGSE US N 2 2029-10-01 Floating 3.01500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349UFS2 29117.27160000 PA USD 30063.07000000 0.009273800096 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416WX64 233069.80000000 PA USD 232377.35000000 0.071683334100 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S44P9 84288.28660000 PA USD 86365.44000000 0.026641850809 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 2.42300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LYQ2 183737.95000000 PA USD 188889.56000000 0.058268301268 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.34000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403CYV7 5614.15770000 PA USD 5720.63000000 0.001764689336 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.33200000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US 10YR ULTRA 000000000 -39.00000000 NC USD 42649.70000000 0.013156500383 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2022-09-21 -5010274.70000000 USD 42649.70000000 N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FXLW6 2458556.59000000 PA USD 2184710.02000000 0.673935296522 Long ABS-MBS USGSE US N 2 2030-05-25 Fixed 0.79900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31405AQ55 41629.35100000 PA USD 42986.71000000 0.013260460603 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 2.32000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F62A4 902095.26000000 PA USD 897070.77000000 0.276726727962 Long ABS-MBS USGSE US N 2 2030-09-25 Floating 1.44986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AV6K0 1323321.22000000 PA USD 1303588.78000000 0.402128650003 Long ABS-MBS USGSE US N 2 2045-10-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406LM96 4194.78570000 PA USD 4295.45000000 0.001325052452 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 1.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349TAL5 6144.53200000 PA USD 6108.61000000 0.001884372687 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B5RR8 470767.45000000 PA USD 468558.94000000 0.144540193104 Long ABS-MBS USGSE US N 2 2040-05-25 Floating 2.02357000 N N N N N N EXP-IMP IMB 549300NMMHVYCBECJ059 Export-Import Bank of the United States 302155AV8 1231348.29000000 PA USD 1214912.45000000 0.374773940131 Long DBT USGA US N 2 2024-07-12 Fixed 1.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404XJX3 3690.00940000 PA USD 3760.65000000 0.001160078339 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 2.12400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417ACL1 6016.98000000 PA USD 6010.78000000 0.001854194270 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403CNW7 4780.49600000 PA USD 4733.89000000 0.001460301610 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 2.26800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407DUF0 1145.90250000 PA USD 1176.19000000 0.000362828910 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.95700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418MN99 56566.71800000 PA USD 56115.45000000 0.017310389978 Long ABS-MBS USGSE US N 2 2037-08-01 Floating 2.44600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31347A2Z6 313475.63000000 PA USD 320538.74000000 0.098879196237 Long ABS-MBS USGSE US N 2 2042-11-01 Floating 2.36600000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FKL79 2152432.37300000 PA USD 2153460.37000000 0.664295462427 Long ABS-MBS USGSE US N 2 2025-11-25 Floating 1.62986000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FPHF5 1384080.56600000 PA USD 1384830.46000000 0.427189932828 Long ABS-MBS USGSE US N 2 2026-07-25 Floating 1.60986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31408EJ94 34036.67320000 PA USD 35594.52000000 0.010980131537 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.28100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AVRP2 1932.97000000 PA USD 1930.28000000 0.000595449195 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31390S3K5 1379.42000000 PA USD 1366.25000000 0.000421458266 Long ABS-MBS USGSE US N 2 2032-05-01 Floating 1.88600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128JRNX0 5181.12200000 PA USD 5280.39000000 0.001628884917 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 2.00900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JA5K0 1506874.10000000 PA USD 1549158.34000000 0.477881492587 Long ABS-MBS USGSE US N 2 2044-04-01 Floating 2.27600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128JPH86 4872.52000000 PA USD 4982.19000000 0.001536896734 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.44500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FFXQ5 3716951.52000000 PA USD 3669380.49000000 1.131923690532 Long ABS-MBS USGSE US N 2 2031-01-25 Floating 0.91920000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FKWZ5 2150927.22700000 PA USD 2144246.45000000 0.661453169468 Long ABS-MBS USGSE US N 2 2028-12-25 Floating 1.65986000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828YE4 12000000.00000000 PA USD 11562656.28000000 3.566826772116 Long DBT UST US N 2 2024-08-31 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418MVS8 268832.51420000 PA USD 277188.53000000 0.085506603827 Long ABS-MBS USGSE US N 2 2038-08-01 Floating 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J57M5 664932.35000000 PA USD 684814.92000000 0.211250436876 Long ABS-MBS USGSE US N 2 2042-09-01 Floating 2.31000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404NCS3 1440.95500000 PA USD 1433.61000000 0.000442237354 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.29000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RPJ2 19789.85000000 PA USD 19762.42000000 0.006096274682 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.25500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4AA5 4762.52020000 PA USD 4894.44000000 0.001509827776 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 2.12400000 N N N N N N WI TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond - When Issued 91282CEQ0 5000000.00000000 PA USD 4962109.40000000 1.530702307972 Long DBT UST US N 2 2025-05-15 Fixed 2.75000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 Petroleos Mexicanos 71654QBT8 420000.00000000 PA USD 414180.26000000 0.127765558715 Long DBT NUSS MX N 2 2025-04-15 Fixed 2.37800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407X3X7 15355.55400000 PA USD 15531.14000000 0.004791017272 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.18400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371L7F0 35358.76780000 PA USD 36192.00000000 0.011164441060 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 2.21100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404YDV1 16160.55000000 PA USD 16083.32000000 0.004961352735 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.52000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418MTD4 35849.24040000 PA USD 37113.91000000 0.011448830147 Long ABS-MBS USGSE US N 2 2037-08-01 Floating 2.51300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378TTT7 630164.20000000 PA USD 626908.08000000 0.193387442232 Long ABS-MBS USGA US N 2 2027-09-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31384VQ70 194.38700000 PA USD 193.87000000 0.000059804658 Long ABS-MBS USGSE US N 2 2024-12-01 Floating 1.87300000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FVNB4 1156640.21000000 PA USD 1152228.90000000 0.355437434842 Long ABS-MBS USGSE US N 2 2030-06-25 Floating 1.47986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31288VUY3 723.38970000 PA USD 719.97000000 0.000222095010 Long ABS-MBS USGSE US N 2 2029-04-01 Floating 2.39000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F62K2 1810307.54000000 PA USD 1797595.02000000 0.554518779032 Long ABS-MBS USGSE US N 2 2030-09-25 Floating 1.43986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31386G6N8 10895.22300000 PA USD 11039.42000000 0.003405419814 Long ABS-MBS USGSE US N 2 2040-11-01 Floating 1.72400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406YDW7 69387.07800000 PA USD 71630.31000000 0.022096385226 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 3.14000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410MHB9 2601.57120000 PA USD 2677.77000000 0.000826033525 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 2.34800000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828S92 3400000.00000000 PA USD 3339238.29000000 1.030082036759 Long DBT UST US N 2 2023-07-31 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416CAU0 97191.58110000 PA USD 99624.02000000 0.030731832986 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 2.22700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128HDW21 1111.30060000 PA USD 1101.31000000 0.000339730066 Long ABS-MBS USGSE US N 2 2030-09-01 Floating 2.73500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403DDE6 10493.77760000 PA USD 10738.47000000 0.003312583316 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.12400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402QWK3 791.62850000 PA USD 790.37000000 0.000243811872 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 2.37000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FL7L2 1715270.05000000 PA USD 1711098.34000000 0.527836443550 Long ABS-MBS USGSE US N 2 2026-02-25 Floating 1.60986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128NHWA7 1766.53150000 PA USD 1785.85000000 0.000550895697 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 2.05500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FBAR7 558384.87200000 PA USD 557665.95000000 0.172027758344 Long ABS-MBS USGSE US N 2 2024-08-25 Floating 1.45986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406DBZ8 23779.85550000 PA USD 24392.74000000 0.007524627211 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.41900000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FGRL1 389276.10000000 PA USD 387141.23000000 0.119424608871 Long ABS-MBS USGSE US N 2 2028-06-25 Floating 1.40986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300MSE4 1124946.02000000 PA USD 1168442.08000000 0.360438846549 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 2.60300000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F32F0 199636.09000000 PA USD 199041.61000000 0.061399986830 Long ABS-MBS USGSE US N 2 2024-12-25 Floating 1.36986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4MN4 607.21150000 PA USD 604.53000000 0.000186484293 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 3.48700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349ULB2 19556.11880000 PA USD 20128.54000000 0.006209214700 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.47800000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FL2Q6 613888.77000000 PA USD 614578.84000000 0.189584141135 Long ABS-MBS USGSE US N 2 2026-01-25 Floating 1.61986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RBH1 12601.22800000 PA USD 12586.05000000 0.003882521369 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.29700000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZY9 2500000.00000000 PA USD 2428151.58000000 0.749031697611 Long DBT UST US N 2 2023-07-15 Fixed 0.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S56S8 824885.72000000 PA USD 854703.46000000 0.263657338722 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 2.50800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3131X6VK3 180521.59000000 PA USD 180336.06000000 0.055629733446 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FQ2Q5 889625.60000000 PA USD 892145.64000000 0.275207432991 Long ABS-MBS USGSE US N 2 2029-09-25 Floating 1.63986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4NY9 11719.25530000 PA USD 11677.33000000 0.003602201108 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 2.11300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349UEJ3 27317.88200000 PA USD 28208.73000000 0.008701776731 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GME0 288.26190000 PA USD 289.36000000 0.000089261236 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 2.09400000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 CBOT 5 Year US Treasury Note 000000000 30.00000000 NC USD -8569.36000000 -0.00264346028 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2022-09-30 3376069.36000000 USD -8569.36000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31336CMM2 6896.75220000 PA USD 7132.63000000 0.002200260478 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 2.41000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FKQL3 1396317.38000000 PA USD 1396856.92000000 0.430899832912 Long ABS-MBS USGSE US N 2 2028-11-25 Floating 1.67986000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FBA89 392671.81000000 PA USD 392467.97000000 0.121067791750 Long ABS-MBS USGSE US N 2 2024-08-25 Floating 1.46986000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402Q5W7 35124.49500000 PA USD 35838.98000000 0.011055542105 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 1.98000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4CR6 7499.67700000 PA USD 7688.26000000 0.002371660190 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 2.18000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 ULTRA LONG TERM US TREASURY BOND 000000000 -1.00000000 NC USD 3904.78000000 0.001204539294 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2022-09-21 -158248.53000000 USD 3904.78000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407MSU0 6654.42440000 PA USD 6841.22000000 0.002110366861 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 1.89100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JA5H7 1390274.37000000 PA USD 1427249.55000000 0.440275295066 Long ABS-MBS USGSE US N 2 2044-08-01 Floating 2.12100000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FEJN1 512282.42000000 PA USD 510641.78000000 0.157521829565 Long ABS-MBS USGSE US N 2 2028-01-25 Floating 1.35986000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QS3L8 9860.00800000 PA USD 10177.65000000 0.003139582602 Long ABS-MBS USGSE US N 2 2036-10-01 Floating 2.43300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403LLH2 18939.46000000 PA USD 18773.13000000 0.005791100337 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 2.00000000 N N N N N N 2022-08-22 Franklin ETF Trust Ryan Wheeler Ryan Wheeler Assistant Treasurer XXXX