NPORT-P
false
0000810893
XXXXXXXX
S000009711
C000026664
C000064157
C000200454
C000026660
C000026662
PIMCO Funds
811-05028
0000810893
00000000000000000000
650 Newport Center Drive
Newport Beach
92660
(888) 877-4626
PIMCO Mortgage-Backed Securities Fund
S000009711
62ZRTQ9GH88U1L7EYW37
2021-03-31
2020-06-30
N
462948825.150000
273086224.320000
189862600.830000
0.000000
0.000000
21385843.080000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
2025407.740000
USD
N
N/A
N/A
317U581V1 IRO USD 10Y P FEB21 1.5 PUT
000000000
700000.000000
NC
USD
1603.840000
0.0008447
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
IRS USD R 1.50000 03/02/21-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.50000 03/02/21-10Y CME
N/A
N/A
2031-03-02
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.500000
USD
2021-02-26
XXXX
-2946.160000
N
N
N
N/A
N/A
317U582V0 IRO USD 10Y P FEB21 1.5 PUT
000000000
3300000.000000
NC
USD
7560.960000
0.0039823
N/A
DIR
US
N
2
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
Put
Purchased
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
N/A
N/A
IRS USD R 1.50000 03/02/21-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.50000 03/02/21-10Y CME
N/A
N/A
2031-03-02
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.500000
USD
2021-02-26
XXXX
-12849.040000
N
N
N
N/A
N/A
317U656V1 IRO USD 10Y P FEB21 1.5 PUT
000000000
1900000.000000
NC
USD
4353.280000
0.0022929
N/A
DIR
US
N
2
BNP Paribas S.A.
N/A
Put
Purchased
BNP Paribas S.A.
N/A
N/A
N/A
IRS USD R 1.50000 03/02/21-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.50000 03/02/21-10Y CME
N/A
N/A
2031-03-02
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.500000
USD
2021-02-26
XXXX
-10656.720000
N
N
N
N/A
N/A
317U747V2 IRO USD 10Y P JUL20 0.8225 PUT
000000000
1500000.000000
NC
USD
128.700000
0.0000678
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Purchased
Citibank, National Association
E57ODZWZ7FF32TWEFA76
N/A
N/A
IRS USD R 0.82250 07/09/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.82250 07/09/20-10Y CME
N/A
N/A
2030-07-09
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.820000
USD
2020-07-07
XXXX
-7221.300000
N
N
N
N/A
N/A
317U748V1 IRO USD 10Y P JUL20 0.8025 PUT
000000000
3400000.000000
NC
USD
451.520000
0.0002378
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 0.80250 07/09/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.80250 07/09/20-10Y CME
N/A
N/A
2030-07-09
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.800000
USD
2020-07-07
XXXX
-16208.480000
N
N
N
N/A
N/A
317U751V5 IRO USD 10Y P JUL20 0.77375 PUT
000000000
3500000.000000
NC
USD
866.600000
0.0004564
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 0.77375 07/09/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.77375 07/09/20-10Y CME
N/A
N/A
2030-07-09
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.770000
USD
2020-07-07
XXXX
-15845.900000
N
N
N
N/A
N/A
317U754V2 IRO USD 10Y P JUL20 0.75875 PUT
000000000
2500000.000000
NC
USD
853.750000
0.0004497
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 0.75875 07/09/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.75875 07/09/20-10Y CME
N/A
N/A
2030-07-09
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.760000
USD
2020-07-07
XXXX
-11208.750000
N
N
N
N/A
N/A
317U784V6 IRO USD 10Y P AUG20 0.8125 PUT
000000000
900000.000000
NC
USD
2359.710000
0.0012429
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
IRS USD R 0.81250 08/10/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.81250 08/10/20-10Y CME
N/A
N/A
2030-08-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.810000
USD
2020-08-06
XXXX
-4964.040000
N
N
N
N/A
N/A
317U792V6 IRO USD 5Y P AUG20 0.4 PUT
000000000
2400000.000000
NC
USD
2914.320000
0.0015350
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
IRS USD R 0.40000 08/10/20-5Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.40000 08/10/20-5Y CME
N/A
N/A
2025-08-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.400000
USD
2020-08-06
XXXX
-8325.680000
N
N
N
N/A
N/A
317U806V0 IRO USD 10Y P 0.8 AUG20 0.815 PUT
000000000
1900000.000000
NC
USD
4890.030000
0.0025756
N/A
DIR
US
N
2
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
Put
Purchased
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
N/A
N/A
IRS USD R 0.81500 08/10/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.81500 08/10/20-10Y CME
N/A
N/A
2030-08-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.820000
USD
2020-08-06
XXXX
-5369.970000
N
N
N
N/A
N/A
317U807V9 IRO USD 10Y P 0.8 AUG20 0.815 PUT
000000000
2300000.000000
NC
USD
5919.510000
0.0031178
N/A
DIR
US
N
2
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
Put
Purchased
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
N/A
N/A
IRS USD R 0.81500 08/10/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.81500 08/10/20-10Y CME
N/A
N/A
2030-08-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.820000
USD
2020-08-06
XXXX
-6500.490000
N
N
N
N/A
N/A
317U839V1 IRO USD 10Y AUG20 0.8725 PUT
000000000
3100000.000000
NC
USD
5202.730000
0.0027403
N/A
DIR
US
N
2
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
Put
Purchased
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
N/A
N/A
IRS USD R 0.87250 08/10/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.87250 08/10/20-10Y CME
N/A
N/A
2030-08-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.870000
USD
2020-08-06
XXXX
-6887.270000
N
N
N
N/A
N/A
317U866V7 IRO USD 10Y P AUG20 1.01625 PUT
000000000
800000.000000
NC
USD
471.920000
0.0002486
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
IRS USD R 1.01625 08/10/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.01625 08/10/20-10Y CME
N/A
N/A
2030-08-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.020000
USD
2020-08-06
XXXX
-3528.080000
N
N
N
N/A
N/A
317U867V6 IRO USD 10Y P AUG20 1.03 PUT
000000000
2500000.000000
NC
USD
1337.500000
0.0007045
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
IRS USD R 1.03000 08/10/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.03000 08/10/20-10Y CME
N/A
N/A
2030-08-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.030000
USD
2020-08-06
XXXX
-11462.500000
N
N
N
N/A
N/A
317U871V0 IRO USD 10Y P AUG20 0.9185 PUT
000000000
1600000.000000
NC
USD
1912.800000
0.0010075
N/A
DIR
US
N
2
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
Put
Purchased
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
N/A
N/A
IRS USD R 0.91850 08/10/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.91850 08/10/20-10Y CME
N/A
N/A
2030-08-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.920000
USD
2020-08-06
XXXX
-10547.200000
N
N
N
N/A
N/A
317U876V5 IRO USD 10Y P AUG20 1.03 PUT
000000000
2100000.000000
NC
USD
1123.500000
0.0005917
N/A
DIR
US
N
2
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
Put
Purchased
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
N/A
N/A
IRS USD R 1.03000 08/10/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.03000 08/10/20-10Y CME
N/A
N/A
2030-08-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.030000
USD
2020-08-06
XXXX
-9208.500000
N
N
N
N/A
N/A
317U970V0 IRO USD 10Y JUL20 0.85 PUT
000000000
3600000.000000
NC
USD
168.840000
0.0000889
N/A
DIR
US
N
2
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
Put
Purchased
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
N/A
N/A
IRS USD R 0.85000 07/09/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.85000 07/09/20-10Y CME
N/A
N/A
2030-07-09
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.850000
USD
2020-07-07
XXXX
-10476.320000
N
N
N
N/A
N/A
317U971V9 IRO USD 10Y AUG20 0.85 PUT
000000000
3600000.000000
NC
USD
7141.320000
0.0037613
N/A
DIR
US
N
2
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
Put
Purchased
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
N/A
N/A
IRS USD R 0.85000 08/10/20-10Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 0.85000 08/10/20-10Y CME
N/A
N/A
2030-08-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.850000
USD
2020-08-06
XXXX
-17052.230000
N
N
N
N/A
N/A
CMM USD P .78/CMM-10CMT 09/18/20 JPS
000000000
1.000000
NC
USD
6246.500000
0.0032900
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Mtge Current Cpns Fnma 30 Year
N/A
N/A
Y
2020-09-18
0.000000
USD
0.000000
USD
10000000.000000
USD
6246.500000
N
N
N
N/A
N/A
CMM USD P .84/CMM-10CMS 09/16/20 JPS
000000000
1.000000
NC
USD
2899.900000
0.0015274
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Mtge Current Cpns Fnma 30 Year
N/A
N/A
Y
2020-09-16
0.000000
USD
0.000000
USD
10000000.000000
USD
2899.900000
N
N
N
N/A
N/A
CMM USD P .84/CMM-10CMT 08/18/20 JPS
000000000
1.000000
NC
USD
4273.000000
0.0022506
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Mtge Current Cpns Fnma 30 Year
N/A
N/A
Y
2020-08-18
0.000000
USD
0.000000
USD
20000000.000000
USD
4273.000000
N
N
N
N/A
N/A
IRS USD 1.00000 06/17/20-2Y CME
000000000
1.000000
NC
USD
-44963.080000
-0.0236819
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2022-06-17
0.000000
USD
-848.280000
USD
2900000.000000
USD
-44114.800000
N
N
N
N/A
N/A
IRS USD 1.25000 06/17/20-10Y CME
000000000
1.000000
NC
USD
-580867.540000
-0.3059410
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-06-17
0.000000
USD
-427215.110000
USD
9600000.000000
USD
-153652.430000
N
N
N
N/A
N/A
IRS USD 1.25000 06/17/20-5Y CME
000000000
1.000000
NC
USD
-80975.180000
-0.0426494
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2025-06-17
0.000000
USD
-28474.250000
USD
1750000.000000
USD
-52500.930000
N
N
N
N/A
N/A
IRS USD 1.25000 06/17/20-7Y CME
000000000
1.000000
NC
USD
-54789.930000
-0.0288577
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-06-17
0.000000
USD
-48477.040000
USD
1000000.000000
USD
-6312.890000
N
N
N
N/A
N/A
IRS USD 1.50000 12/18/19-10Y CME
000000000
1.000000
NC
USD
33345.560000
0.0175630
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-12-18
0.000000
USD
-13082.270000
USD
400000.000000
USD
46427.830000
N
N
N
N/A
N/A
IRS USD 1.72700 11/08/19-10Y CME
000000000
1.000000
NC
USD
-536466.290000
-0.2825550
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-11-08
25500.000000
USD
0.000000
USD
5100000.000000
USD
-561966.290000
N
N
N
N/A
N/A
IRS USD 1.75000 01/15/20-10Y CME
000000000
1.000000
NC
USD
-324616.120000
-0.1709742
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-01-15
0.000000
USD
-34474.980000
USD
2900000.000000
USD
-290141.140000
N
N
N
N/A
N/A
IRS USD 1.79550 11/08/19-10Y CME
000000000
1.000000
NC
USD
569312.020000
0.2998547
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-11-08
0.000000
USD
0.000000
USD
5100000.000000
USD
569312.020000
N
N
N
N/A
N/A
IRS USD 2.00000 02/12/20-10Y CME
000000000
1.000000
NC
USD
-220858.360000
-0.1163254
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-02-12
0.000000
USD
-28249.160000
USD
1600000.000000
USD
-192609.200000
N
N
N
N/A
N/A
IRS USD 2.00000 03/10/20-10Y CME
000000000
1.000000
NC
USD
-110207.020000
-0.0580457
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-03-11
0.000000
USD
-758.630000
USD
800000.000000
USD
-109448.390000
N
N
N
N/A
N/A
IRS USD 2.00000 06/20/18-5Y LCH
000000000
1.000000
NC
USD
-700134.660000
-0.3687586
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2023-06-20
495337.690000
USD
0.000000
USD
13200000.000000
USD
-1195472.350000
N
N
N
N/A
N/A
IRS USD 2.00000 12/10/19-10Y CME
000000000
1.000000
NC
USD
-143645.120000
-0.0756574
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-12-10
0.000000
USD
-4232.840000
USD
1100000.000000
USD
-139412.280000
N
N
N
N/A
N/A
IRS USD 2.20000 02/03/16-10Y CME
000000000
1.000000
NC
USD
-1321397.480000
-0.6959757
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2026-02-03
45643.660000
USD
0.000000
USD
12000000.000000
USD
-1367041.140000
N
N
N
N/A
N/A
IRS USD 2.25000 08/07/19-2Y CME
000000000
1.000000
NC
USD
90748.600000
0.0477970
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2021-08-09
3037.500000
USD
0.000000
USD
3000000.000000
USD
87711.100000
N
N
N
N/A
N/A
IRS USD 2.50000 08/07/19-2Y CME
000000000
1.000000
NC
USD
-102058.600000
-0.0537539
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2021-08-09
0.000000
USD
-6150.000000
USD
3000000.000000
USD
-95908.600000
N
N
N
N/A
N/A
IRS USD 2.69700 01/04/19-10Y LCH
000000000
1.000000
NC
USD
114018.340000
0.0600531
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-01-04
0.000000
USD
0.000000
USD
600000.000000
USD
114018.340000
N
N
N
N/A
N/A
IRS USD 2.75000 12/18/19-10Y CME
000000000
1.000000
NC
USD
-1426678.080000
-0.7514266
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-12-18
0.000000
USD
-558796.030000
USD
7100000.000000
USD
-867882.050000
N
N
N
N/A
N/A
IRS USD 2.75000 12/18/19-7Y CME
000000000
1.000000
NC
USD
-240531.640000
-0.1266872
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2026-12-18
0.000000
USD
-91707.160000
USD
1600000.000000
USD
-148824.480000
N
N
N
N/A
N/A
IRS USD 2.75000 12/19/18-5Y CME
000000000
1.000000
NC
USD
-219335.120000
-0.1155231
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2023-12-19
30416.000000
USD
0.000000
USD
2500000.000000
USD
-249751.120000
N
N
N
N/A
N/A
IRS USD 2.89400 06/04/18-10Y LCH
000000000
1.000000
NC
USD
113103.070000
0.0595710
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-06-05
0.000000
USD
0.000000
USD
600000.000000
USD
113103.070000
N
N
N
N/A
N/A
IRS USD 2.90000 06/29/18-10Y LCH
000000000
1.000000
NC
USD
226127.410000
0.1191006
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-06-29
0.000000
USD
0.000000
USD
1200000.000000
USD
226127.410000
N
N
N
N/A
N/A
IRS USD 2.91500 07/09/18-10Y LCH
000000000
1.000000
NC
USD
200731.760000
0.1057247
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-07-10
0.000000
USD
0.000000
USD
1000000.000000
USD
200731.760000
N
N
N
N/A
N/A
IRS USD 2.91600 07/02/18-10Y LCH
000000000
1.000000
NC
USD
60176.650000
0.0316948
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-07-03
0.000000
USD
0.000000
USD
300000.000000
USD
60176.650000
N
N
N
N/A
N/A
IRS USD 2.92000 07/16/18-10Y LCH
000000000
1.000000
NC
USD
120839.460000
0.0636457
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-07-17
0.000000
USD
0.000000
USD
600000.000000
USD
120839.460000
N
N
N
N/A
N/A
IRS USD 3.00000 06/19/19-7Y CME
000000000
1.000000
NC
USD
-810868.660000
-0.4270818
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2026-06-19
0.000000
USD
-220505.790000
USD
5200000.000000
USD
-590362.870000
N
N
N
N/A
N/A
IRS USD 3.10000 12/17/18-10Y CME
000000000
1.000000
NC
USD
21458.200000
0.0113020
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-12-18
0.000000
USD
0.000000
USD
100000.000000
USD
21458.200000
N
N
N
N/A
N/A
IRS USD 3.11250 11/21/18-10Y LCH
000000000
1.000000
NC
USD
259304.320000
0.1365747
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-11-21
0.000000
USD
0.000000
USD
1200000.000000
USD
259304.320000
N
N
N
N/A
N/A
IRS USD 3.12000 12/17/18-10Y CME
000000000
1.000000
NC
USD
43254.090000
0.0227818
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-12-18
0.000000
USD
0.000000
USD
200000.000000
USD
43254.090000
N
N
N
N/A
N/A
IRS USD 3.14150 11/20/18-10Y LCH
000000000
1.000000
NC
USD
131133.850000
0.0690678
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-11-20
0.000000
USD
0.000000
USD
600000.000000
USD
131133.850000
N
N
N
N/A
N/A
IRS USD 3.17700 11/01/18-10Y LCH
000000000
1.000000
NC
USD
132683.550000
0.0698840
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-11-01
0.000000
USD
0.000000
USD
600000.000000
USD
132683.550000
N
N
N
N/A
N/A
IRS USD 3.22800 10/25/18-10Y LCH
000000000
1.000000
NC
USD
134822.630000
0.0710106
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-10-25
0.000000
USD
0.000000
USD
600000.000000
USD
134822.630000
N
N
N
N/A
N/A
IRS USD 3.27000 11/08/18-10Y LCH
000000000
1.000000
NC
USD
1444184.430000
0.7606471
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-11-08
0.000000
USD
0.000000
USD
6300000.000000
USD
1444184.430000
N
N
N
N/A
N/A
31750GDE8 OTC EPUT FN 2.0 100.640625
000000000
-1000000.000000
NC
USD
-5060.800000
-0.0026655
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.0% AUG 30YR
N/A
100.640000
USD
2020-08-06
XXXX
2439.200000
N
N
N
N/A
N/A
31750GE15 OTC EPUT FN 2.5 102.0546875
000000000
-2000000.000000
NC
USD
-1930.800000
-0.0010169
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% AUG 30YR
N/A
102.050000
USD
2020-08-06
XXXX
6194.200000
N
N
N
N/A
N/A
317513MN6 OTC EPUT FN 2.5 102.1328125
000000000
-1000000.000000
NC
USD
-1011.300000
-0.0005326
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% AUG 30YR
N/A
102.130000
USD
2020-08-06
XXXX
2894.950000
N
N
N
N/A
N/A
317521A85 OTC EPUT FN 2.5 102.09375
000000000
-2000000.000000
NC
USD
-1976.000000
-0.0010408
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% AUG 30YR
N/A
102.090000
USD
2020-08-06
XXXX
5836.500000
N
N
N
N/A
N/A
317521G14 OTC EPUT FN 3.0 AUG20 104.3984375 PUT
000000000
-1000000.000000
NC
USD
-511.200000
-0.0002692
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 3.0% AUG 30YR
N/A
104.400000
USD
2020-08-06
XXXX
4332.550000
N
N
N
N/A
N/A
317523Q01 OTC EPUT FN 3.0 104.5625
000000000
-1500000.000000
NC
USD
-934.350000
-0.0004921
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 3.0% AUG 30YR
N/A
104.560000
USD
2020-08-06
XXXX
5628.150000
N
N
N
N/A
N/A
317524SH0 OTC ECAL FN 2.5 JUL20 103.8125 CALL
000000000
-1000000.000000
NC
USD
-4236.100000
-0.0022311
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
103.810000
USD
2020-07-07
XXXX
451.400000
N
N
N
N/A
N/A
317526QO2 OTC EPUT FN 3.0 AUG20 104.5703125 PUT
000000000
-500000.000000
NC
USD
-314.400000
-0.0001656
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 3.0% AUG 30YR
N/A
104.570000
USD
2020-08-06
XXXX
1873.100000
N
N
N
N/A
N/A
3175325D7 OTC EPUT FN 2.5 JUL20 102.71875 PUT
000000000
-2800000.000000
NC
USD
-0.030000
0.0000000
N/A
DIR
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
102.720000
USD
2020-07-07
XXXX
15421.850000
N
N
N
N/A
N/A
317535HI6 OTC EPUT FN 2.5 102.1328125
000000000
-1000000.000000
NC
USD
-1011.300000
-0.0005326
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% AUG 30YR
N/A
102.130000
USD
2020-08-06
XXXX
2894.950000
N
N
N
N/A
N/A
317536QN3 OTC EPUT FN 2.5 102.578125
000000000
-1500000.000000
NC
USD
-0.020000
0.0000000
N/A
DIR
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
102.580000
USD
2020-07-07
XXXX
6914.040000
N
N
N
N/A
N/A
317543PJ9 OTC EPUT FN 2.5 102.21875
000000000
-1000000.000000
NC
USD
-1064.300000
-0.0005606
N/A
DIR
US
N
2
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% AUG 30YR
N/A
102.220000
USD
2020-08-06
XXXX
3037.260000
N
N
N
N/A
N/A
3175475D5 OTC EPUT FN 2.5 102.5625
000000000
-3000000.000000
NC
USD
-3918.300000
-0.0020638
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% AUG 30YR
N/A
102.560000
USD
2020-08-06
XXXX
12019.200000
N
N
N
N/A
N/A
317555TD2 OTC EPUT FN 2.5 JUL20 102.6679687 PUT
000000000
-2000000.000000
NC
USD
-0.020000
0.0000000
N/A
DIR
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
102.670000
USD
2020-07-07
XXXX
11015.610000
N
N
N
N/A
N/A
317563N18 OTC EPUT FN 2.5 102.078125
000000000
-1500000.000000
NC
USD
-1468.350000
-0.0007734
N/A
DIR
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% AUG 30YR
N/A
102.080000
USD
2020-08-06
XXXX
4859.780000
N
N
N
N/A
N/A
317572766 OTC EPUT FN 2.5 JUL20 102.515625 PUT
000000000
-2000000.000000
NC
USD
-0.020000
0.0000000
N/A
DIR
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
102.520000
USD
2020-07-07
XXXX
7031.230000
N
N
N
N/A
N/A
317575AI9 OTC EPUT FN 2.5 102.50390625
000000000
-3500000.000000
NC
USD
-0.040000
0.0000000
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
102.500000
USD
2020-07-07
XXXX
16269.490000
N
N
N
N/A
N/A
3175826B5 OTC EPUT FN 2.5 8 5 AUG20 102.421875 PUT
000000000
-1500000.000000
NC
USD
-1801.650000
-0.0009489
N/A
DIR
US
N
2
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% AUG 30YR
N/A
102.420000
USD
2020-08-06
XXXX
8042.100000
N
N
N
N/A
N/A
317585Y50 OTC EPUT FN 2.0 100.625
000000000
-1000000.000000
NC
USD
-5051.600000
-0.0026607
N/A
DIR
US
N
2
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.0% AUG 30YR
N/A
100.630000
USD
2020-08-06
XXXX
2526.530000
N
N
N
N/A
N/A
3175910E6 OTC EPUT FN 2.5 JUL20 102.8125 PUT
000000000
-1000000.000000
NC
USD
-0.010000
0.0000000
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
102.810000
USD
2020-07-07
XXXX
8437.490000
N
N
N
N/A
N/A
3175973A8 OTC EPUT FN 2.5 102.53125
000000000
-2000000.000000
NC
USD
-0.020000
0.0000000
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.5% JUL 30YR
N/A
102.530000
USD
2020-07-07
XXXX
7031.230000
N
N
N
N/A
N/A
3175SG655 OTC EPUT FN 2.0 JUL20 100.7226563 PUT
000000000
-4500000.000000
NC
USD
-1531.800000
-0.0008068
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.0% JUL 30YR
N/A
100.720000
USD
2020-07-07
XXXX
27647.890000
N
N
N
N/A
N/A
3175SG663 OTC EPUT FN 2.0 100.7890625
000000000
-4500000.000000
NC
USD
-1645.650000
-0.0008668
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.0% JUL 30YR
N/A
100.790000
USD
2020-07-07
XXXX
27534.040000
N
N
N
N/A
N/A
3175SG697 OTC EPUT FN 2.0 101
000000000
-8000000.000000
NC
USD
-3664.000000
-0.0019298
N/A
DIR
US
N
2
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.0% JUL 30YR
N/A
101.000000
USD
2020-07-07
XXXX
53836.000000
N
N
N
N/A
N/A
3175SG705 OTC EPUT FN 2.0 100.8671875
000000000
-4500000.000000
NC
USD
-1789.650000
-0.0009426
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.0% JUL 30YR
N/A
100.870000
USD
2020-07-07
XXXX
27741.600000
N
N
N
N/A
N/A
3175SG754 OTC EPUT FN 2.0 100.421875
000000000
-2500000.000000
NC
USD
-12333.500000
-0.0064960
N/A
DIR
US
N
2
FIRST UNION NATIONAL BANK CHARLOTTE
N/A
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.0% AUG 30YR
N/A
100.420000
USD
2020-08-06
XXXX
8760.250000
N
N
N
N/A
N/A
3175ZZ549 OTC EPUT FN 2.0 100.3984375
000000000
-1500000.000000
NC
USD
-357.600000
-0.0001883
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.0% JUL 30YR
N/A
100.400000
USD
2020-07-07
XXXX
9954.900000
N
N
N
N/A
N/A
3175ZZ572 OTC EPUT FN 2.0 100.45703125
000000000
-4000000.000000
NC
USD
-1017.600000
-0.0005360
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.0% JUL 30YR
N/A
100.460000
USD
2020-07-07
XXXX
26482.400000
N
N
N
N/A
N/A
3175ZZ663 OTC EPUT FN 2.0 100.4375
000000000
-3000000.000000
NC
USD
-14827.200000
-0.0078094
N/A
DIR
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
UMBS PASS THRU POOLS
FNMA TBA 2.0% AUG 30YR
N/A
100.440000
USD
2020-08-06
XXXX
10485.300000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)SEP20 XCBT 20200921
000000000
-45.000000
NC
USD
-16255.170000
-0.0085615
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-09-21
-6262734.380000
USD
-16255.170000
N
N
N
N/A
N/A
US 10YR ULTRA FUT SEP20 XCBT 20200921
000000000
24.000000
NC
USD
15343.200000
0.0080812
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2020-09-21
3779625.000000
USD
15343.200000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) SEP20 XCBT 20200930
000000000
50.000000
NC
USD
13606.900000
0.0071667
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2020-09-30
6287109.400000
USD
13606.900000
N
N
N
N/A
N/A
US ULTRA BOND CBT SEP20 XCBT 20200921
000000000
-8.000000
NC
USD
14550.900000
0.0076639
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-09-21
-1745250.000000
USD
14550.900000
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2019 AHT A 144A
05525DAA4
1000000.000000
PA
USD
935200.800000
0.4925671
Long
ABS-MBS
CORP
US
N
2
2034-03-15
Floating
1.38475
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2005-E
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 1A1
05946XXH1
34889.100000
PA
USD
30999.580000
0.0163274
Long
ABS-MBS
CORP
US
N
2
2035-05-20
Floating
0.77
Y
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2006-J
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1
05951EAM9
220420.540000
PA
USD
208278.340000
0.1096995
Long
ABS-MBS
CORP
US
N
2
2047-01-20
Floating
4.18456
Y
N
N
N
N
N
BANCO LA HIPOTECARIA SA 2016-1A
N/A
LA HIPOTECARIA SA LHIPO 2016 1A A 144A
50346VAA7
649842.940000
PA
USD
706081.130000
0.3718906
Long
ABS-MBS
CORP
PA
N
3
2046-01-15
Fixed
3.3575
N
N
N
N
N
N
BANK OF AMERICA MTG SEC 2002-G
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A3
06050HKR8
6242.570000
PA
USD
6115.350000
0.0032209
Long
ABS-MBS
CORP
US
N
2
2032-07-20
Floating
3.61053
N
N
N
N
N
N
BENEFIT STREET PARTNERS CLO IV LTD 2014-IVA
N/A
BENEFIT STREET PARTNERS CLO LT BSP 2014 IVA A1RR 144A
08180FAW1
800000.000000
PA
USD
789108.540000
0.4156208
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Floating
2.38525
N
N
N
N
N
N
CENTEX HOME EQUITY 2002-A
N/A
CENTEX HOME EQUITY CXHE 2002 A AV
152314EQ9
10921.640000
PA
USD
10474.690000
0.0055170
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Floating
0.4845
N
N
N
N
N
N
CHEVY CHASE MTGE FUNDING CORP 2004-1A
N/A
CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A
16678RAS6
16831.930000
PA
USD
16363.190000
0.0086184
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
0.4645
N
N
N
N
N
N
CIT GROUP HOME EQUITY LOAN TRUS 2002-2
N/A
CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 2 AV
12558MBB7
25672.060000
PA
USD
25603.830000
0.0134855
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Floating
0.7245
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 SMRT A 144A
29429MAA1
1000000.000000
PA
USD
1078470.400000
0.5680268
Long
ABS-MBS
CORP
US
N
2
2036-01-10
Fixed
4.149
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AMC1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A
17311BAS2
793335.160000
PA
USD
529610.720000
0.2789442
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.3445
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-12
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A
17307GY69
421052.470000
PA
USD
378521.240000
0.1993659
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.9845
N
N
N
N
N
N
CONSECO FINANCE 2002-C
N/A
CONSECO FINANCE CNFHE 2002 C MV1
20846QKM9
111488.560000
PA
USD
111226.740000
0.0585828
Long
ABS-MBS
CORP
US
N
2
2032-05-15
Floating
1.68475
N
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-OA16
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A3
23242GAF1
64403.270000
PA
USD
45151.450000
0.0237811
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
0.4345
Y
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-OA16
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C
23242GAZ7
336964.520000
PA
USD
229737.560000
0.1210020
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
0.5245
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-14
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1
12667GCB7
309159.740000
PA
USD
278962.620000
0.1469287
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.3945
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1C
23243AAC0
312608.070000
PA
USD
185790.670000
0.0978553
Long
ABS-MBS
CORP
US
N
2
2046-09-20
Floating
0.47
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1C
02147DAC5
401367.500000
PA
USD
258924.340000
0.1363746
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.4345
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B
02146YAD8
64830.300000
PA
USD
48173.630000
0.0253729
Long
ABS-MBS
CORP
US
N
2
2046-07-20
Floating
0.39
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-20
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A
12667HAA9
166397.680000
PA
USD
160391.770000
0.0844778
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
0.3245
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-9
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A3
12670FAD2
843425.080000
PA
USD
837463.750000
0.4410894
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
0.3645
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-9
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A4
12670FAE0
680000.000000
PA
USD
604808.660000
0.3185507
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.4345
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTI 2006-19
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3
12667CAD4
100000.000000
PA
USD
88812.480000
0.0467772
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.4345
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2001-HYB1
N/A
COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1
12669B2X9
28510.960000
PA
USD
27540.690000
0.0145056
Long
ABS-MBS
CORP
US
N
2
2031-06-19
Floating
3.60121
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2004-16
N/A
COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4B
12669FY31
106402.070000
PA
USD
74866.010000
0.0394317
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
1.1045
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-11
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1
12669GUM1
386306.250000
PA
USD
330391.630000
0.1740162
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
2.76151
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-3
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1
12669GTV3
100458.920000
PA
USD
91872.520000
0.0483890
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
0.7645
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2006-3
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2
126694YN2
26968.550000
PA
USD
13508.650000
0.0071150
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.50825
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2006-3
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 3 3A2
126694YR3
8022.780000
PA
USD
2298.680000
0.0012107
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.5345
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2006-OA5
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 OA5 2A2
126694N20
1189.200000
PA
USD
43.670000
0.0000230
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
0.4845
Y
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL4
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL4 A1 144A
22946AAC2
720556.760000
PA
USD
742906.270000
0.3912863
Long
ABS-MBS
CORP
US
N
2
2058-08-26
Fixed
3.52178
N
N
N
N
N
N
CROWN POINT CLO LTD 2018-5A
N/A
CROWN POINT CLO LTD CRNPT 2018 5A A 144A
22845LAA4
2997750.260000
PA
USD
2955430.690000
1.5566155
Long
ABS-CBDO
CORP
KY
N
2
2028-07-17
Floating
2.07488
N
N
N
N
N
N
DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR3 2A2B
25150VBA3
35470.940000
PA
USD
37290.610000
0.0196408
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.64825
N
N
N
N
N
N
EMCM MORTGAGE LOAN TRUST 2003-A
N/A
EMC MORTGAGE LOAN TRUST EMCM 2003 A A2 144A
268668BU3
50777.270000
PA
USD
49467.890000
0.0260546
Long
ABS-MBS
CORP
US
N
2
2040-08-25
Floating
1.6845
N
N
N
N
N
N
FANNIE MAE 1998-22
N/A
FANNIE MAE FNR 1998 22 FA
31359RY63
688.950000
PA
USD
688.200000
0.0003625
Long
ABS-MBS
USGSE
US
N
2
2028-04-18
Floating
0.59375
N
N
N
N
N
N
FANNIE MAE 1999-37
N/A
FANNIE MAE FNR 1999 37 FB
31359V7B3
48678.130000
PA
USD
48673.830000
0.0256363
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
Floating
0.6345
N
N
N
N
N
N
FANNIE MAE 2001-81
N/A
FANNIE MAE FNR 2001 81 HE
31392BQR0
28790.910000
PA
USD
34096.440000
0.0179585
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Fixed
6.5
N
N
N
N
N
N
FANNIE MAE 2002-25
N/A
FANNIE MAE FNR 2002 25 FX
31392C6T6
59821.350000
PA
USD
60913.600000
0.0320830
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Floating
1.1845
N
N
N
N
N
N
FANNIE MAE 2002-9
N/A
FANNIE MAE FNR 2002 9 FH
31392BD52
141320.780000
PA
USD
141525.210000
0.0745409
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Floating
0.6845
N
N
N
N
N
N
FANNIE MAE 2004-11
N/A
FANNIE MAE FNR 2004 11 A
31393T7H3
118005.220000
PA
USD
117576.410000
0.0619271
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Floating
0.3045
N
N
N
N
N
N
FANNIE MAE 2004-53
N/A
FANNIE MAE FNR 2004 53 ZQ
31394AAX4
315162.700000
PA
USD
403866.090000
0.2127149
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Fixed
8
N
N
N
N
N
N
FANNIE MAE 2004-63
N/A
FANNIE MAE FNR 2004 63 FA
31394ANT9
9461.230000
PA
USD
9387.410000
0.0049443
Long
ABS-MBS
USGSE
US
N
2
2034-08-25
Floating
0.3345
N
N
N
N
N
N
FANNIE MAE 2006-118
N/A
FANNIE MAE FNR 2006 118 A2
31396L4T4
695644.000000
PA
USD
689338.960000
0.3630725
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
0.2445
N
N
N
N
N
N
FANNIE MAE 2006-5
N/A
FANNIE MAE FNR 2006 5 3A2
31394VL73
64041.450000
PA
USD
67088.750000
0.0353354
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
3.6679
N
N
N
N
N
N
FANNIE MAE 2007-33
N/A
FANNIE MAE FNR 2007 33 MF
31396VGE2
576490.400000
PA
USD
562849.660000
0.2964510
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Floating
0.8445
N
N
N
N
N
N
FANNIE MAE INTEREST STRIP 386
N/A
FANNIEMAE STRIP FNS 386 14
3136FFSR1
23097.250000
PA
USD
4981.120000
0.0026235
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Fixed
6.5
N
N
N
N
N
N
FANNIE MAE REMICS 2005-102
N/A
FANNIE MAE FNR 2005 102 AS
31394UHW5
1028290.460000
PA
USD
186892.610000
0.0984357
Long
ABS-MBS
USGSE
US
N
2
2035-11-25
Floating
6.4005
N
N
N
N
N
N
FANNIE MAE REMICS 2006-63
N/A
FANNIE MAE FNR 2006 63 FD
31395NQL4
392368.550000
PA
USD
393389.100000
0.2071967
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
0.6345
N
N
N
N
N
N
FANNIE MAE REMICS 2009-88
N/A
FANNIE MAE FNR 2009 88 WZ
31398F3H2
40365.600000
PA
USD
51987.770000
0.0273818
Long
ABS-MBS
USGSE
US
N
2
2039-11-25
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE REMICS 2011-18
N/A
FANNIE MAE FNR 2011 18 ZK
31397QF94
291307.830000
PA
USD
324407.570000
0.1708644
Long
ABS-MBS
USGSE
US
N
2
2041-03-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS 2012-3
N/A
FANNIE MAE FNR 2012 3 PE
3136A3S69
159000.000000
PA
USD
184149.480000
0.0969909
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS 2012-77
N/A
FANNIE MAE FNR 2012 77 IO
3136A6H98
131405.810000
PA
USD
6883.440000
0.0036255
Long
ABS-MBS
USGSE
US
N
2
2052-07-25
Floating
2.90672
N
N
N
N
N
N
FANNIE MAE REMICS 2013-23
N/A
FANNIE MAE FNR 2013 23 TS
3136ADBP3
245049.880000
PA
USD
253616.870000
0.1335792
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Floating
5.8935
N
N
N
N
N
N
FANNIE MAE REMICS 2013-47
N/A
FANNIE MAE FNR 2013 47 MS
3136AEBH9
1000000.000000
PA
USD
1035239.600000
0.5452573
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Floating
5.7435
N
N
N
N
N
N
FANNIE MAE REMICS 2013-53
N/A
FANNIE MAE FNR 2013 53 JS
3136AEGC5
966947.230000
PA
USD
1009942.150000
0.5319332
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Floating
5.72325
N
N
N
N
N
N
FANNIE MAE REMICS 2013-54
N/A
FANNIE MAE FNR 2013 54 SK
3136AEUE5
300000.000000
PA
USD
332945.010000
0.1753610
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Floating
5.7435
N
N
N
N
N
N
FANNIE MAE REMICS 2013-86
N/A
FANNIE MAE FNR 2013 86 CY
3136AF2E3
591200.000000
PA
USD
779643.170000
0.4106355
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE REMICS 2014-11
N/A
FANNIE MAE FNR 2014 11 PL
3136AJGR1
416000.000000
PA
USD
471471.190000
0.2483223
Long
ABS-MBS
USGSE
US
N
2
2044-03-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS 2014-42
N/A
FANNIE MAE FNR 2014 42 SA
3136AKPR8
144942.370000
PA
USD
8253.440000
0.0043471
Long
ABS-MBS
USGSE
US
N
2
2044-07-25
Floating
2.93062
N
N
N
N
N
N
FANNIE MAE REMICS 2014-43
N/A
FANNIE MAE FNR 2014 43 BS
3136AKKU6
112150.580000
PA
USD
5938.830000
0.0031280
Long
ABS-MBS
USGSE
US
N
2
2044-07-25
Floating
3.00552
N
N
N
N
N
N
FANNIE MAE REMICS 2014-45
N/A
FANNIE MAE FNR 2014 45 SA
3136AKUC5
89191.790000
PA
USD
5266.500000
0.0027738
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Floating
3.20936
N
N
N
N
N
N
FANNIE MAE REMICS 2014-45
N/A
FANNIE MAE FNR 2014 45 YB
3136AKTW3
1436000.000000
PA
USD
1559929.670000
0.8216098
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS 2014-47
N/A
FANNIE MAE FNR 2014 47 BI
3136AKTL7
180178.860000
PA
USD
12031.120000
0.0063368
Long
ABS-MBS
USGSE
US
N
2
2054-08-25
Floating
3.19065
N
N
N
N
N
N
FANNIE MAE REMICS 2014-79
N/A
FANNIE MAE FNR 2014 79 PS
3136ALF48
734574.600000
PA
USD
103848.720000
0.0546968
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Floating
5.4155
N
N
N
N
N
N
FANNIE MAE REMICS 2014-84
N/A
FANNIE MAE FNR 2014 84 AI
3136AL2X8
244531.470000
PA
USD
1973.440000
0.0010394
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Floating
0.2
N
N
N
N
N
N
FANNIE MAE REMICS 2014-92
N/A
FANNIE MAE FNR 2014 92 SB
3136AMEE5
95713.760000
PA
USD
4873.640000
0.0025669
Long
ABS-MBS
USGSE
US
N
2
2045-01-25
Floating
3.08074
N
N
N
N
N
N
FANNIE MAE REMICS 2015-1
N/A
FANNIE MAE FNR 2015 1 SJ
3136AMLP2
1261199.000000
PA
USD
1550465.210000
0.8166249
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Floating
8.0054
N
N
N
N
N
N
FANNIE MAE REMICS 2015-10
N/A
FANNIE MAE FNR 2015 10 SA
3136AMZT9
117658.380000
PA
USD
6298.230000
0.0033173
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Floating
3.07635
N
N
N
N
N
N
FANNIE MAE REMICS 2015-19
N/A
FANNIE MAE FNR 2015 19 AI
3136ANJM0
215120.330000
PA
USD
12707.630000
0.0066931
Long
ABS-MBS
USGSE
US
N
2
2055-04-25
Floating
3.13315
N
N
N
N
N
N
FANNIE MAE REMICS 2015-50
N/A
FANNIE MAE FNR 2015 50 SB
3136APNG3
454444.670000
PA
USD
33885.390000
0.0178473
Long
ABS-MBS
USGSE
US
N
2
2045-07-25
Floating
3.20271
N
N
N
N
N
N
FANNIE MAE REMICS 2015-58
N/A
FANNIE MAE FNR 2015 58 AI
3136APU75
129975.630000
PA
USD
7685.840000
0.0040481
Long
ABS-MBS
USGSE
US
N
2
2055-08-25
Floating
3.18596
N
N
N
N
N
N
FANNIE MAE REMICS 2015-64
N/A
FANNIE MAE FNR 2015 64 KS
3136AP3C4
117409.510000
PA
USD
8319.390000
0.0043818
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Floating
3.19725
N
N
N
N
N
N
FANNIE MAE REMICS 2015-64
N/A
FANNIE MAE FNR 2015 64 MZ
3136AP5V0
496404.880000
PA
USD
530634.880000
0.2794836
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS 2015-73
N/A
FANNIE MAE FNR 2015 73 ES
3136AP7M8
202612.340000
PA
USD
261192.900000
0.1375694
Long
ABS-MBS
USGSE
US
N
2
2045-10-25
Floating
8.93433
N
N
N
N
N
N
FANNIE MAE REMICS 2015-81
N/A
FANNIE MAE FNR 2015 81 MZ
3136AQPQ7
271091.560000
PA
USD
348295.070000
0.1834459
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS 2015-81
N/A
FANNIE MAE FNR 2015 81 NZ
3136AQPM6
86255.450000
PA
USD
99673.970000
0.0524979
Long
ABS-MBS
USGSE
US
N
2
2045-07-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS 2016-52
N/A
FANNIE MAE FNR 2016 52 PI
3136AS6D3
486350.000000
PA
USD
44019.050000
0.0231847
Long
ABS-MBS
USGSE
US
N
2
2046-04-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS 2016-63
N/A
FANNIE MAE FNR 2016 63 YI
3136ATXU3
420505.430000
PA
USD
18424.150000
0.0097039
Long
ABS-MBS
USGSE
US
N
2
2046-04-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS 2016-76
N/A
FANNIE MAE FNR 2016 76 CS
3136ATY81
35650.750000
PA
USD
1798.400000
0.0009472
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Floating
2.78719
N
N
N
N
N
N
FANNIE MAE REMICS 2018-37
N/A
FANNIE MAE FNR 2018 37 BC
3136B17E8
124517.490000
PA
USD
130352.980000
0.0686565
Long
ABS-MBS
USGSE
US
N
2
2047-12-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS 2018-85
N/A
FANNIE MAE FNR 2018 85 FE
3136B3QC7
754608.160000
PA
USD
751958.500000
0.3960540
Long
ABS-MBS
USGSE
US
N
2
2048-12-25
Floating
0.4845
N
N
N
N
N
N
FANNIE MAE REMICS 2019-10
N/A
FANNIE MAE FNR 2019 10 FA
3136B3M72
571328.080000
PA
USD
570811.490000
0.3006445
Long
ABS-MBS
USGSE
US
N
2
2049-03-25
Floating
0.5845
N
N
N
N
N
N
FANNIE MAE REMICS 2019-62
N/A
FANNIE MAE FNR 2019 62 FA
3136B6Z48
2178190.630000
PA
USD
2184697.100000
1.1506727
Long
ABS-MBS
USGSE
US
N
2
2059-11-25
Floating
0.6845
N
N
N
N
N
N
FANNIE MAE REMICS 2019-62
N/A
FANNIE MAE FNR 2019 62 SN
3136B62S1
159200.750000
PA
USD
33086.230000
0.0174264
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
5.8155
N
N
N
N
N
N
FANNIE MAE WHOLE LOAN 2002 W11
N/A
FANNIEMAE WHOLE LOAN FNW 2002 W11 AV1
31392EW63
28220.710000
PA
USD
27663.580000
0.0145703
Long
ABS-O
USGSE
US
N
2
2032-11-25
Floating
0.525192
N
N
N
N
N
N
FANNIE MAE-1992-158
N/A
FANNIE MAE FNR 1992 158 ZZ
31358P7A9
2400.010000
PA
USD
2518.720000
0.0013266
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Fixed
7.75
N
N
N
N
N
N
FANNIE MAE-1993-160
N/A
FANNIE MAE FNR 1993 160 ZA
31359DXD0
4819.450000
PA
USD
5077.230000
0.0026742
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Fixed
6.5
N
N
N
N
N
N
FANNIE MAE-1993-160
N/A
FANNIE MAE FNR 1993 160 ZB
31359DXP3
1141.680000
PA
USD
1202.040000
0.0006331
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Fixed
6.5
N
N
N
N
N
N
FANNIE MAE-1993-163
N/A
FANNIE MAE FNR 1993 163 ZA
31359D3U5
3743.420000
PA
USD
3979.900000
0.0020962
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Fixed
7
N
N
N
N
N
N
FANNIE MAE-1993-183
N/A
FANNIE MAE FNR 1993 183 KA
31359EHA2
11780.090000
PA
USD
12600.910000
0.0066369
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Fixed
6.5
N
N
N
N
N
N
FANNIE MAE-1994-15
N/A
FANNIE MAE FNR 1994 15 F
31359GQB5
39960.460000
PA
USD
40067.930000
0.0211036
Long
ABS-MBS
USGSE
US
N
2
2024-02-25
Floating
0.8345
N
N
N
N
N
N
FANNIE MAE-ACES 2013-M5
N/A
FANNIEMAE ACES FNA 2013 M5 X2
3136ADZZ5
1823507.410000
PA
USD
24493.720000
0.0129008
Long
ABS-MBS
USGSE
US
N
2
2022-01-25
Variable
2.16845
N
N
N
N
N
N
FANNIE MAE-ACES 2016-M11
N/A
FANNIEMAE ACES FNA 2016 M11 AL
3136AT5G5
539599.530000
PA
USD
557020.820000
0.2933810
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Fixed
2.944
N
N
N
N
N
N
FANNIE MAE-G93-17
N/A
FANNIE MAE FNR G93 17 FA
31358UWD4
175.180000
PA
USD
176.100000
0.0000928
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
1.1845
N
N
N
N
N
N
FANNIE MAE-G93-28
N/A
FANNIE MAE FNR G93 28 E
31359DCY7
2238.050000
PA
USD
2224.870000
0.0011718
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
0
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W9
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W9 A
31393B6U4
14664.400000
PA
USD
14425.000000
0.0075976
Long
ABS-O
USGSE
US
N
2
2033-06-25
Floating
0.40825
N
N
N
N
N
N
FANNIEMAIE WHOLE LOAN 2002-W2
N/A
FANNIEMAE WHOLE LOAN FNW 2002 W2 AV1
31392CEQ3
75682.200000
PA
USD
73451.540000
0.0386867
Long
ABS-O
USGSE
US
N
2
2032-06-25
Floating
0.42825
N
N
N
N
N
N
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K014
N/A
FHLMC MULTIFAMILY STRUCTURED P FHMS K014 X1
3137ADTK3
5818778.450000
PA
USD
35484.070000
0.0186893
Long
ABS-MBS
USGSE
US
N
2
2021-04-25
Variable
1.32363
N
N
N
N
N
N
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K026
N/A
FHLMC MULTIFAMILY STRUCTURED P FHMS K026 X1
3137B1BT8
9527915.790000
PA
USD
176457.950000
0.0929398
Long
ABS-MBS
USGSE
US
N
2
2022-11-25
Variable
1.09143
N
N
N
N
N
N
FHLMC MULTIFAMILY STRUCTURED PASS THRU K027
N/A
FHLMC MULTIFAMILY STRUCTURED P FHMS K027 X1
3137B1UH3
20833235.590000
PA
USD
320121.410000
0.1686069
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Variable
0.869254
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1B2432 FH 09/35 FLOATING VAR
3128JMSW8
92787.140000
PA
USD
93371.110000
0.0491783
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
3.026
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1B2721 FH 01/35 FLOATING VAR
3128JM4F1
14729.460000
PA
USD
15527.020000
0.0081780
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
3.727
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1B2747 FH 02/35 FLOATING VAR
3128JM5H6
9848.330000
PA
USD
10448.770000
0.0055033
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.957
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1B2811 FH 03/35 FLOATING VAR
3128JNAM7
4197.130000
PA
USD
4229.540000
0.0022277
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
3.9
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1B7241 FH 08/36 FLOATING VAR
3128QPNH1
14272.870000
PA
USD
15127.900000
0.0079678
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Floating
3.866
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1G0103 FH 02/35 FLOATING VAR
3128NCDG6
2047.940000
PA
USD
2152.990000
0.0011340
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.633
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1G0159 FH 03/35 FLOATING VAR
3128NCE83
8819.700000
PA
USD
8865.360000
0.0046694
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
3.625
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1L0097 FH 06/35 FLOATING VAR
3128Q2DA8
20663.750000
PA
USD
21927.900000
0.0115494
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Floating
3.955
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1Q0184 FH 11/36 FLOATING VAR
3128S4FZ5
117908.640000
PA
USD
124448.600000
0.0655467
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
3.989
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 781923 FH 09/34 FLOATING VAR
31349TD40
245787.850000
PA
USD
257694.950000
0.1357271
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
4.115
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 783028 FH 02/35 FLOATING VAR
31349ULH9
3335.650000
PA
USD
3515.950000
0.0018518
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.759
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 783096 FH 04/35 FLOATING VAR
31349UNM6
18879.040000
PA
USD
19940.250000
0.0105025
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Floating
3.75
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 783104 FH 04/35 FLOATING VAR
31349UNV6
27787.420000
PA
USD
29345.730000
0.0154563
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Floating
3.75
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 787361 FH 02/28 FLOATING VAR
31295LFA5
14263.990000
PA
USD
14377.190000
0.0075724
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Floating
3.73
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 788845 FH 11/31 FLOATING VAR
31295MZJ2
12328.800000
PA
USD
12397.330000
0.0065296
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Floating
4.039
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 848812 FH 10/39 FLOATING VAR
31300LYH2
433733.230000
PA
USD
458814.400000
0.2416560
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Floating
3.612
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 865469 FH 08/25 FLOATING VAR
31348UCE7
549.560000
PA
USD
553.810000
0.0002917
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Floating
4.2
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 865572 FH 11/28 FLOATING VAR
31348UFM6
481.970000
PA
USD
480.810000
0.0002532
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Floating
3.939
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 972104 FH 05/32 FLOATING VAR
31336CKR3
11666.130000
PA
USD
11710.630000
0.0061679
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Floating
4.158
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR
31336CLR2
8338.600000
PA
USD
8730.550000
0.0045984
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Floating
3.942
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A34704 FG 05/35 FIXED 5.5
31297QGM5
39428.530000
PA
USD
43399.750000
0.0228585
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A36345 FG 08/35 FIXED 5
31297SBN4
19086.630000
PA
USD
21935.610000
0.0115534
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A38825 FG 05/35 FIXED 5.5
31297UYW4
130931.060000
PA
USD
144121.810000
0.0759085
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A50771 FG 07/36 FIXED 6
3128KC2C0
4268.000000
PA
USD
4964.370000
0.0026147
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A53538 FG 10/36 FIXED 6
3128KF4X5
3570.970000
PA
USD
4017.710000
0.0021161
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A63533 FG 07/37 FIXED 5.5
3128KT4S6
18423.640000
PA
USD
20517.820000
0.0108067
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A64440 FG 08/37 FIXED 6
3128KU4Z7
51618.330000
PA
USD
60096.530000
0.0316526
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A65448 FG 09/37 FIXED 6
3128KWBR3
1570.450000
PA
USD
1826.820000
0.0009622
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A65518 FG 09/37 FIXED 6
3128KWDX8
8824.420000
PA
USD
10270.560000
0.0054095
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A69945 FG 12/37 FIXED 5.5
3128L2BN7
36066.960000
PA
USD
39698.200000
0.0209089
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A74896 FG 03/38 FIXED 5
3128L8NM3
142423.980000
PA
USD
161873.390000
0.0852582
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A79234 FG 05/36 FIXED 5
3128LDHK3
10278.310000
PA
USD
11556.360000
0.0060867
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A79792 FG 07/38 FIXED 5
3128LD2Z6
56195.590000
PA
USD
62091.100000
0.0327032
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A79966 FG 08/38 FIXED 5.5
3128LECB6
2417.530000
PA
USD
2664.930000
0.0014036
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A81047 FG 08/38 FIXED 6
312927EU6
28693.330000
PA
USD
33245.570000
0.0175103
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A82215 FG 09/38 FIXED 6
312928N83
51368.030000
PA
USD
57470.850000
0.0302697
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A85470 FG 04/39 FIXED 4.5
312932CF1
148008.030000
PA
USD
165878.180000
0.0873675
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A86255 FG 05/39 FIXED 5
3129325Q5
22199.800000
PA
USD
25456.300000
0.0134077
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A88029 FG 08/39 FIXED 6
3129344N9
21703.310000
PA
USD
25223.250000
0.0132850
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A90393 FG 12/39 FIXED 5
312938NJ8
30918.180000
PA
USD
35543.070000
0.0187204
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A91699 FG 04/40 FIXED 5
3129393G4
15413.550000
PA
USD
17727.100000
0.0093368
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A91812 FG 04/40 FIXED 5
312940AM1
26805.380000
PA
USD
30144.370000
0.0158769
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A93101 FG 07/40 FIXED 5
312941NS2
17762.110000
PA
USD
20420.920000
0.0107556
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A95500 FG 12/40 FIXED 5
312944DD0
164399.570000
PA
USD
187861.690000
0.0989461
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A95501 FG 12/40 FIXED 5
312944DE8
166185.430000
PA
USD
184300.180000
0.0970703
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C01622 FG 09/33 FIXED 5
31292HYT5
1440.770000
PA
USD
1655.330000
0.0008719
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C03709 FG 07/41 FIXED 5
31292LDN2
13159.140000
PA
USD
15141.380000
0.0079749
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C04444 FG 01/43 FIXED 3
31292L5D3
85301.770000
PA
USD
91465.700000
0.0481747
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C90826 FG 02/24 FIXED 6
31335H4K6
85254.920000
PA
USD
94782.080000
0.0499214
Long
ABS-MBS
USGSE
US
N
2
2024-02-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91026 FG 04/27 FIXED 5.5
3128P7D75
37905.070000
PA
USD
41993.360000
0.0221178
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91057 FG 06/27 FIXED 5.5
3128P7E66
7730.310000
PA
USD
8507.490000
0.0044809
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91115 FG 11/27 FIXED 5.5
3128P7GY3
7217.460000
PA
USD
7943.080000
0.0041836
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91116 FG 11/27 FIXED 6
3128P7GZ0
23858.890000
PA
USD
26525.100000
0.0139707
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G01818 FG 05/35 FIXED 5
3128LXAT7
144497.460000
PA
USD
165941.730000
0.0874010
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5
3128LXAV2
423368.800000
PA
USD
486793.490000
0.2563925
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G01967 FG 11/30 FIXED 5.5
3128LXFG0
475.910000
PA
USD
523.840000
0.0002759
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G02168 FG 04/36 FIXED 6
3128LXMR8
17154.510000
PA
USD
19981.130000
0.0105240
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G02681 FG 02/37 FIXED 6
3128M4J20
2954.120000
PA
USD
3451.860000
0.0018181
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G02791 FG 04/37 FIXED 5.5
3128M4NG4
525.770000
PA
USD
604.620000
0.0003185
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G02939 FG 05/37 FIXED 5.5
3128M4S46
462.550000
PA
USD
531.620000
0.0002800
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G02998 FG 05/37 FIXED 6
3128M4UX9
43559.220000
PA
USD
50829.840000
0.0267719
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G03205 FG 07/35 FIXED 5.5
3128M43N1
7461.850000
PA
USD
8566.450000
0.0045119
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G03268 FG 09/37 FIXED 6
3128M46D0
99989.380000
PA
USD
116838.430000
0.0615384
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G03392 FG 10/37 FIXED 6
3128M5C57
771.730000
PA
USD
901.770000
0.0004750
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5
3128M5DD9
49462.810000
PA
USD
56786.460000
0.0299092
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G03432 FG 11/37 FIXED 5.5
3128M5ED8
2506.110000
PA
USD
2881.730000
0.0015178
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G03551 FG 11/37 FIXED 6
3128M5H45
1627.670000
PA
USD
1899.820000
0.0010006
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G03698 FG 12/37 FIXED 6
3128M5NP1
7106.210000
PA
USD
8303.050000
0.0043732
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G03781 FG 01/38 FIXED 6
3128M5RA0
61593.390000
PA
USD
71695.710000
0.0377619
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G03911 FG 02/38 FIXED 6
3128M5VC1
156993.540000
PA
USD
182264.300000
0.0959980
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G03968 FG 12/36 FIXED 5.5
3128M5W55
575.330000
PA
USD
639.480000
0.0003368
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G04051 FG 02/38 FIXED 6
3128M5ZQ6
56750.500000
PA
USD
66094.430000
0.0348117
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G04170 FG 04/38 FIXED 6
3128M56F2
4340.810000
PA
USD
5053.650000
0.0026617
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G04503 FG 11/35 FIXED 5.5
3128M6KQ0
113412.640000
PA
USD
130385.740000
0.0686737
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G04591 FG 06/36 FIXED 5.5
3128M6NG9
41172.570000
PA
USD
47341.430000
0.0249346
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G04692 FG 02/35 FIXED 5.5
3128M6RM2
15325.780000
PA
USD
17592.290000
0.0092658
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G05122 FG 01/39 FIXED 5.5
3128M7AX4
236101.430000
PA
USD
270726.650000
0.1425908
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G05132 FG 12/38 FIXED 5
3128M7A97
148360.220000
PA
USD
170224.970000
0.0896569
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G06067 FG 10/39 FIXED 5
3128M8CC6
618642.230000
PA
USD
709537.290000
0.3737109
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G06872 FG 09/39 FIXED 5.5
3128M86H2
175596.170000
PA
USD
202138.230000
0.1064655
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G06931 FG 08/39 FIXED 6
3128M9A85
97376.200000
PA
USD
113198.060000
0.0596210
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G06962 FG 05/40 FIXED 6
3128M9B76
66762.140000
PA
USD
77830.270000
0.0409929
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G07203 FG 06/41 FIXED 4.5
3128M9KQ4
112578.460000
PA
USD
127384.190000
0.0670928
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08035 FG 01/35 FIXED 5
3128MJBD1
134695.710000
PA
USD
154688.950000
0.0814742
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08273 FG 06/38 FIXED 5.5
3128MJJT8
53315.730000
PA
USD
61139.310000
0.0322019
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08341 FG 04/39 FIXED 5
3128MJLX6
84690.180000
PA
USD
97101.860000
0.0511432
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08525 FG 05/43 FIXED 3
3128MJSP6
234162.510000
PA
USD
251032.710000
0.1322181
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08789 FG 11/47 FIXED 4
3128MJ2X7
231805.770000
PA
USD
247268.570000
0.1302355
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08851 FG 12/48 FIXED 3.5
3128MJ5M8
93177.480000
PA
USD
98383.640000
0.0518183
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
3.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G30462 FG 08/26 FIXED 6
3128CUQP4
76893.910000
PA
USD
85527.010000
0.0450468
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G61254 FG 01/48 FIXED 4
31335BMB9
196103.520000
PA
USD
208654.160000
0.1098975
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G61276 FG 04/44 FIXED 4
31335BMZ6
184589.270000
PA
USD
208623.520000
0.1098813
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G67722 FG 03/49 FIXED 5
3132XCSK2
1150193.690000
PA
USD
1298953.280000
0.6841544
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q11788 FG 10/42 FIXED 3
3132HM6Z9
75653.420000
PA
USD
81119.450000
0.0427253
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q13410 FG 12/42 FIXED 3
3132HPYF5
126235.360000
PA
USD
135353.060000
0.0712900
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q25852 FG 04/44 FIXED 4.5
3132M6EZ9
165602.990000
PA
USD
183371.800000
0.0965813
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q25853 FG 04/44 FIXED 4.5
3132M6E22
142631.710000
PA
USD
158806.840000
0.0836430
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q31663 FG 03/45 FIXED 3
3132QMZ53
894380.990000
PA
USD
967281.810000
0.5094641
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q32955 FG 04/45 FIXED 3
3132QPH98
556861.600000
PA
USD
602251.770000
0.3172040
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q34007 FG 06/45 FIXED 3
3132QQNZ1
151649.390000
PA
USD
164009.980000
0.0863835
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q53034 FG 12/47 FIXED 3.5
3132XVLQ4
245658.170000
PA
USD
260183.330000
0.1370377
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q53756 FG 01/48 FIXED 4
3132XWE64
399030.130000
PA
USD
424793.450000
0.2237373
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q54427 FG 02/48 FIXED 4
3132XW4M0
25934.370000
PA
USD
27609.870000
0.0145420
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q54654 FG 03/48 FIXED 4
3132XXE47
17113.100000
PA
USD
18204.950000
0.0095885
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q55189 FG 04/48 FIXED 4
3132XXXT1
49035.130000
PA
USD
52075.940000
0.0274282
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL QA8141 FR 03/50 FIXED 3.5
3133A3BJ6
997986.720000
PA
USD
1091757.280000
0.5750249
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD7518 FR 06/50 FIXED 3
3132DVK79
3485183.100000
PA
USD
3725787.350000
1.9623598
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL T62068 FG 09/46 FIXED 2.5
3128S3JM2
578006.420000
PA
USD
597482.770000
0.3146922
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
2.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL T62071 FG 08/46 FIXED 3
3128S3JQ3
404454.220000
PA
USD
425750.580000
0.2242414
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL U90111 FG 09/42 FIXED 4
3132H3DQ3
979135.520000
PA
USD
1068589.630000
0.5628226
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL U90133 FG 08/42 FIXED 4
3132H3EE9
945784.080000
PA
USD
1032627.750000
0.5438816
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL U91696 FG 07/43 FIXED 4
3132HBXZ3
192133.390000
PA
USD
209876.810000
0.1105414
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL V80024 FG 04/43 FIXED 3
3132L5AZ6
444220.070000
PA
USD
476339.350000
0.2508864
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Z40004 FG 08/36 FIXED 6
3132FCAD7
14833.500000
PA
USD
17316.180000
0.0091204
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL ZN2458 FR 12/33 FIXED 3.5
3131Y8WT8
346032.180000
PA
USD
364130.550000
0.1917863
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
3.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL ZS6521 FR 06/27 FIXED 3
3132A7G62
80595.290000
PA
USD
84887.860000
0.0447102
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL ZS8678 FR 12/32 FIXED 2.5
3132A9UB1
1377222.960000
PA
USD
1445932.680000
0.7615679
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
2.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL ZS8700 FR 06/33 FIXED 3
3132A9UZ8
617896.820000
PA
USD
649748.730000
0.3422205
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL ZT1858 FR 04/49 FIXED 4.5
3132AEB39
1580961.450000
PA
USD
1730815.430000
0.9116147
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.5
N
N
N
N
N
N
FHLMC STRUCTURED PASS THROUGH SEC T-63
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1
31395M2F5
139139.700000
PA
USD
140423.070000
0.0739604
Long
ABS-MBS
USGSE
US
N
2
2045-02-25
Floating
3.06154
N
N
N
N
N
N
FIGUEROA CLO LTD 2014-1A
N/A
FIGUEROA CLO LTD FIG 2014 1A AR 144A
31683YAJ3
627949.430000
PA
USD
627592.550000
0.3305509
Long
ABS-CBDO
CORP
KY
N
2
2027-01-15
Floating
2.11888
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256771 FN 06/37 FIXED 6.5
31371NFL4
60615.760000
PA
USD
70667.240000
0.0372202
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 257531 FN 11/28 FIXED 6.5
31371PA83
960.650000
PA
USD
1069.540000
0.0005633
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 442324 FN 10/28 FLOATING VAR
31380KLD0
5306.050000
PA
USD
5328.430000
0.0028065
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Floating
3.928
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 443624 FN 05/23 FLOATING VAR
31380LYV4
61.490000
PA
USD
61.590000
0.0000324
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Floating
3.44
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 535412 FN 06/30 FLOATING VAR
31384VYH9
1378.960000
PA
USD
1386.120000
0.0007301
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Floating
2.7
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 555640 FN 07/33 FIXED VAR
31385XHR1
476.200000
PA
USD
553.690000
0.0002916
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 661028 FN 03/32 FLOATING VAR
31391ALH0
8177.940000
PA
USD
8281.620000
0.0043619
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Floating
1.64
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 665366 FN 08/27 FLOATING VAR
31391FFF0
37857.350000
PA
USD
38089.780000
0.0200618
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Floating
2.69
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 668910 FN 10/32 FLOATING VAR
31391KDP9
109465.220000
PA
USD
110020.330000
0.0579473
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Floating
4.005
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 678006 FN 10/32 FIXED 6
31391VGP2
16639.990000
PA
USD
18973.780000
0.0099934
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 688769 FN 03/33 FIXED 6
31400JFJ3
508.320000
PA
USD
589.180000
0.0003103
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 688960 FN 04/33 FLOATING VAR
31400JMH9
24967.250000
PA
USD
26111.780000
0.0137530
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Floating
3.624
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 691304 FN 11/37 FIXED 6.5
31400MAD4
42402.780000
PA
USD
48675.700000
0.0256373
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735355 FN 02/35 FLOATING VAR
31402Q5Q0
8736.970000
PA
USD
9213.770000
0.0048529
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.715
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735642 FN 08/42 FLOATING VAR
31402RHT9
149852.620000
PA
USD
150557.480000
0.0792981
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Floating
2.523
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735643 FN 08/42 FLOATING VAR
31402RHU6
170923.390000
PA
USD
171775.240000
0.0904734
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Floating
2.523
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735653 FN 10/44 FLOATING VAR
31402RH69
26918.180000
PA
USD
27051.110000
0.0142477
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Floating
2.523
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735896 FN 09/35 FIXED VAR
31402RRR2
434.870000
PA
USD
507.560000
0.0002673
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735942 FN 07/35 FLOATING VAR
31402RS75
11062.060000
PA
USD
11645.980000
0.0061339
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
3.448
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735962 FN 10/35 FLOATING VAR
31402RTT6
22223.480000
PA
USD
22390.650000
0.0117931
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
3.576
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 745060 FN 10/35 FLOATING VAR
31403CWV9
5654.960000
PA
USD
5704.560000
0.0030046
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
2.82
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 773246 FN 02/35 FLOATING VAR
31404NBP0
19205.910000
PA
USD
20197.910000
0.0106382
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.631
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 775852 FN 03/44 FLOATING VAR
31404Q5M7
158893.350000
PA
USD
159703.380000
0.0841152
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Floating
2.523
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 791585 FN 09/34 FIXED 6
31405KNA5
43820.810000
PA
USD
49800.630000
0.0262298
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 794277 FN 09/34 FIXED 5.5
31405NM28
54930.410000
PA
USD
61949.080000
0.0326284
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 799812 FN 11/34 FLOATING VAR
31405UR92
6145.760000
PA
USD
6387.430000
0.0033642
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
3.474
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 800335 FN 12/34 FLOATING VAR
31405VEG8
2297.720000
PA
USD
2314.650000
0.0012191
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Floating
3.475
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 801543 FN 09/34 FIXED 7.5
31405WP41
711.480000
PA
USD
746.240000
0.0003930
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
7.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 801773 FN 12/36 FIXED 6
31405WXA8
5013.670000
PA
USD
5583.930000
0.0029410
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 802714 FN 09/34 FLOATING VAR
31405XYK3
99399.940000
PA
USD
99984.580000
0.0526615
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
3.675
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 804526 FN 12/34 FLOATING VAR
31406AYX4
129709.530000
PA
USD
130282.660000
0.0686194
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Floating
3.885
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 804965 FN 12/34 FLOATING VAR
31406BJJ0
3757.860000
PA
USD
3813.460000
0.0020085
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Floating
3.545
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 809271 FN 01/35 FLOATING VAR
31406GCG2
14367.230000
PA
USD
14944.680000
0.0078713
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
3.333
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 809429 FN 02/35 FLOATING VAR
31406GHE2
10907.600000
PA
USD
11454.090000
0.0060328
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.594
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 809593 FN 02/35 FLOATING VAR
31406GNJ4
20323.900000
PA
USD
21405.820000
0.0112744
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.643
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 809925 FN 03/35 FLOATING VAR
31406GYW3
5311.410000
PA
USD
5354.570000
0.0028202
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
3.354
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 810061 FN 03/35 FLOATING VAR
31406G5W5
9724.620000
PA
USD
10184.330000
0.0053641
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
3.491
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 810896 FN 01/35 FLOATING VAR
31406H3D7
73802.330000
PA
USD
75993.150000
0.0400253
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
2.596
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 813844 FN 01/35 FLOATING VAR
31406MER3
17974.410000
PA
USD
18515.690000
0.0097522
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
2.254
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 814952 FN 04/35 FLOATING VAR
31406NL93
38267.680000
PA
USD
38634.970000
0.0203489
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Floating
3.416
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 815321 FN 01/35 FLOATING VAR
31406NYS7
25404.060000
PA
USD
26171.180000
0.0137843
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
2.287
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 815323 FN 01/35 FLOATING VAR
31406NYU2
13272.110000
PA
USD
13663.760000
0.0071967
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
2.329
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 816593 FN 02/35 FLOATING VAR
31406QGA9
11614.400000
PA
USD
11960.730000
0.0062997
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
2.582
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 820356 FN 02/35 FLOATING VAR
31406UMD7
31159.940000
PA
USD
32443.910000
0.0170881
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.348
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 827783 FN 05/35 FLOATING VAR
31407DUG8
86077.010000
PA
USD
88808.240000
0.0467750
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
2.845
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 827785 FN 05/35 FLOATING VAR
31407DUJ2
9867.290000
PA
USD
10179.760000
0.0053616
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
2.933
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 831215 FN 01/36 FIXED 6
31407HN85
32678.530000
PA
USD
38086.000000
0.0200598
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 831599 FN 07/36 FIXED 6
31407H3G9
410371.020000
PA
USD
478562.130000
0.2520571
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 838769 FN 09/35 FLOATING VAR
31407R2A1
13064.020000
PA
USD
13124.870000
0.0069128
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
3.987
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 841837 FN 07/35 FLOATING VAR
31407VHN8
44209.170000
PA
USD
46683.560000
0.0245881
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
3.707
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 843014 FN 03/35 FLOATING VAR
31407WSB0
2961.030000
PA
USD
2992.380000
0.0015761
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
2.793
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 844214 FN 11/35 FLOATING VAR
31407X3X7
24145.360000
PA
USD
24274.300000
0.0127852
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
3.287
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 847959 FN 02/36 FLOATING VAR
31408DB45
247179.340000
PA
USD
248170.890000
0.1307108
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Floating
2.675
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 847995 FN 11/35 FLOATING VAR
31408DC85
3966.850000
PA
USD
3990.050000
0.0021015
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
3.905
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 847996 FN 11/35 FLOATING VAR
31408DC93
4893.030000
PA
USD
4923.090000
0.0025930
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
3.905
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 879131 FN 06/21 FIXED 5
31409UVY8
57.160000
PA
USD
60.120000
0.0000317
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 879522 FN 03/36 FIXED 6
31409VD34
139592.830000
PA
USD
162686.660000
0.0856865
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 886394 FN 08/36 FIXED 6
31410DXX3
25347.730000
PA
USD
29422.820000
0.0154969
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888115 FN 05/35 FLOATING VAR
31410FVG7
38636.750000
PA
USD
40721.370000
0.0214478
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
3.339
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888348 FN 05/22 FIXED VAR
31410F5H4
866.900000
PA
USD
911.860000
0.0004803
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888382 FN 07/35 FLOATING VAR
31410F6T7
31270.750000
PA
USD
32829.730000
0.0172913
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
2.788
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888631 FN 08/22 FIXED VAR
31410GHG1
58055.460000
PA
USD
59624.730000
0.0314041
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 889390 FN 03/23 FIXED VAR
31410KC36
7466.270000
PA
USD
7750.180000
0.0040820
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 889673 FN 06/23 FIXED VAR
31410KMW1
11892.200000
PA
USD
12509.020000
0.0065885
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 890362 FN 08/41 FIXED VAR
31410LFB3
330109.300000
PA
USD
375197.080000
0.1976151
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 891584 FN 07/36 FIXED 6.5
31410MRD4
16176.340000
PA
USD
18920.030000
0.0099651
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 894118 FN 10/36 FIXED 6.5
31410QK75
6156.280000
PA
USD
7178.730000
0.0037810
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 894489 FN 08/36 FIXED 6.5
31410QXS5
30896.650000
PA
USD
34387.500000
0.0181118
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 896032 FN 08/36 FIXED 6
31410SPR2
281.970000
PA
USD
320.400000
0.0001688
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 896504 FN 08/36 FIXED 6.5
31410TAD7
23871.110000
PA
USD
28120.660000
0.0148111
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 897935 FN 08/21 FIXED 5
31410USY9
614.090000
PA
USD
645.940000
0.0003402
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 900242 FN 08/36 FIXED 6.5
31410XEP7
78796.170000
PA
USD
87674.570000
0.0461779
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 903973 FN 11/36 FIXED 6.5
31411CJS1
54645.960000
PA
USD
63849.770000
0.0336295
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 911057 FN 10/22 FIXED 6
31411LE64
13488.350000
PA
USD
13990.540000
0.0073688
Long
ABS-MBS
USGSE
US
N
2
2022-10-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 912555 FN 02/22 FIXED 5
31411NZU4
7140.360000
PA
USD
7510.710000
0.0039559
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 916028 FN 03/22 FIXED 6
31411VVV8
267.580000
PA
USD
271.170000
0.0001428
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 918552 FN 06/22 FIXED 5
31411YQD8
654.300000
PA
USD
688.240000
0.0003625
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 928223 FN 04/37 FIXED 6.5
31412LG87
17544.570000
PA
USD
19957.350000
0.0105115
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 928590 FN 07/37 FIXED 6.5
31412LUP3
33746.880000
PA
USD
38434.950000
0.0202436
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 929251 FN 02/23 FIXED 5
31412ML89
1364.020000
PA
USD
1435.490000
0.0007561
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 930914 FN 04/39 FIXED 4
31412PGX3
4988.510000
PA
USD
5516.260000
0.0029054
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 931155 FN 05/39 FIXED 4
31412PQG9
501280.050000
PA
USD
551029.100000
0.2902252
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 931551 FN 07/39 FIXED 4.5
31412P5L1
460980.540000
PA
USD
517616.290000
0.2726268
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 933161 FN 11/37 FIXED 6.5
31412SFA8
13149.630000
PA
USD
14950.060000
0.0078741
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 933992 FN 08/23 FIXED 6
31412TC50
18216.750000
PA
USD
19072.890000
0.0100456
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 938124 FN 07/22 FIXED 5
31412XVR2
15730.020000
PA
USD
16545.900000
0.0087147
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 941523 FN 06/22 FIXED 5
31413CPG8
16175.620000
PA
USD
17014.610000
0.0089615
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 944777 FN 09/37 FIXED 6.5
31413GCN8
56614.720000
PA
USD
68411.180000
0.0360319
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 946065 FN 09/37 FIXED 6.5
31413HQS0
53806.930000
PA
USD
63508.030000
0.0334495
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 947981 FN 11/22 FIXED 6
31413KUE9
405.870000
PA
USD
417.680000
0.0002200
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 948873 FN 09/37 FIXED 6.5
31413LT66
19297.000000
PA
USD
21474.840000
0.0113107
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 949470 FN 08/22 FIXED 5
31413MJP3
6237.100000
PA
USD
6561.610000
0.0034560
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 952851 FN 09/22 FIXED 6
31413RBU9
2447.290000
PA
USD
2504.320000
0.0013190
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 956913 FN 11/37 FIXED 6.5
31413VSA6
82571.180000
PA
USD
97538.020000
0.0513730
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 981444 FN 09/38 FIXED 6
31415AZH7
49847.800000
PA
USD
55960.470000
0.0294742
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 984256 FN 06/23 FIXED 5
31415MMD4
6322.300000
PA
USD
6692.020000
0.0035247
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 991093 FN 12/23 FIXED 6
31415V7E9
16275.160000
PA
USD
16450.620000
0.0086645
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AA1741 FN 01/39 FIXED 5.5
31416J5B3
51755.550000
PA
USD
59243.100000
0.0312031
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AA2647 FN 10/24 FIXED 5.5
31416K5H7
6189.670000
PA
USD
6584.750000
0.0034682
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AA4555 FN 08/24 FIXED 5.5
31416NBZ4
4035.490000
PA
USD
4247.330000
0.0022371
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB1138 FN 06/40 FIXED 4
31416WHQ8
12458.910000
PA
USD
13823.080000
0.0072806
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB1454 FN 09/40 FIXED 4
31416WTL6
19106.870000
PA
USD
21251.630000
0.0111932
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB4049 FN 12/41 FIXED 4
31417AQB8
378790.280000
PA
USD
424133.140000
0.2233895
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB6244 FN 09/42 FIXED 4
31417C5E1
390615.640000
PA
USD
438031.020000
0.2307095
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB9931 FN 07/28 FIXED 2.5
31417HA95
293956.620000
PA
USD
312049.580000
0.1643555
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB9962 FN 07/43 FIXED 4
31417HB86
1225575.430000
PA
USD
1387016.980000
0.7305372
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AC4389 FN 07/39 FIXED 4
31417N2X8
277039.170000
PA
USD
302689.810000
0.1594257
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AD0497 FN 11/39 FIXED VAR
31418MRT1
371552.730000
PA
USD
426715.020000
0.2247494
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AD0586 FN 12/39 FIXED VAR
31418MUL4
150661.710000
PA
USD
169004.330000
0.0890140
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AE0715 FN 12/40 FIXED VAR
31419AYM3
806634.650000
PA
USD
902335.080000
0.4752569
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AE4350 FN 10/40 FIXED 4
31419EZQ5
227257.160000
PA
USD
256264.090000
0.1349734
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AE9251 FN 11/40 FIXED 4
31419LH55
82006.370000
PA
USD
91154.650000
0.0480109
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AI8187 FN 08/41 FIXED 4.5
3138ANCZ4
137871.840000
PA
USD
145928.240000
0.0768599
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AJ1565 FN 10/41 FIXED 4
3138ASW32
1524176.520000
PA
USD
1705075.190000
0.8980574
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AK0730 FN 02/42 FLOATING VAR
3138E4Y47
85699.920000
PA
USD
90321.730000
0.0475722
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Floating
3.79
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AK2411 FN 02/42 FIXED 4
3138E6VD5
241876.450000
PA
USD
270614.680000
0.1425319
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AK6957 FN 03/37 FIXED 4
3138EBWT8
717340.620000
PA
USD
784467.020000
0.4131762
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL2059 FN 06/42 FIXED VAR
3138EJJD1
135330.910000
PA
USD
152915.350000
0.0805400
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL2815 FN 05/35 FLOATING VAR
3138EKDV4
62962.160000
PA
USD
66168.040000
0.0348505
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
3.914
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL4287 FN 11/40 FIXED VAR
3138ELXR9
202778.870000
PA
USD
249095.290000
0.1311977
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL5548 FN 05/38 FLOATING VAR
3138ENEW5
445950.800000
PA
USD
471798.000000
0.2484944
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
3.299
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL5937 FN 10/29 FIXED VAR
3138ENS34
158903.990000
PA
USD
168700.140000
0.0888538
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL7079 FN 07/35 FIXED VAR
3138EP2M5
787752.470000
PA
USD
857971.600000
0.4518908
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL7090 FN 10/37 FLOATING VAR
3138EP2Y9
629635.700000
PA
USD
660294.970000
0.3477752
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Floating
3.331
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL7183 FN 01/36 FLOATING VAR
3138EP6V1
154806.190000
PA
USD
162349.800000
0.0855091
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
3.349
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL7271 FN 09/41 FLOATING VAR
3138EQCH3
148907.490000
PA
USD
155872.050000
0.0820973
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Floating
3.456
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL8092 FN 07/42 FIXED VAR
3138EQ7E6
771560.840000
PA
USD
862426.010000
0.4542369
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL8166 FN 02/46 FIXED VAR
3138ETCC8
2736198.900000
PA
USD
3004270.980000
1.5823395
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL9380 FN 04/31 FIXED VAR
3138ERM64
788157.610000
PA
USD
843367.480000
0.4441988
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AO2671 FN 07/42 FIXED 4
3138LS6H8
29747.390000
PA
USD
33366.220000
0.0175739
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AQ1582 FN 11/42 FIXED 4
3138MGXL4
226030.190000
PA
USD
240136.800000
0.1264793
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AR3040 FN 01/28 FIXED 2
3138W0LW7
12000.580000
PA
USD
12478.990000
0.0065726
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
2
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AR4353 FN 07/28 FIXED 2
3138W1ZT7
340901.440000
PA
USD
354455.980000
0.1866908
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AR5201 FN 11/28 FIXED 2
3138W2X75
18677.250000
PA
USD
19412.460000
0.0102245
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
2
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS1382 FN 07/28 FIXED 2
3138WARC3
12996.720000
PA
USD
13469.390000
0.0070943
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS2262 FN 04/44 FIXED 4
3138WBQQ1
87870.720000
PA
USD
96476.420000
0.0508138
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS2580 FN 06/29 FIXED 3
3138WB2N4
361579.300000
PA
USD
385933.000000
0.2032696
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS3285 FN 09/39 FIXED 3.5
3138WCUK7
94539.040000
PA
USD
101954.960000
0.0536993
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS3324 FN 08/34 FIXED 4
3138WCVS9
462269.000000
PA
USD
498129.880000
0.2623634
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS3595 FN 09/29 FIXED 2
3138WC7H0
15581.040000
PA
USD
16203.670000
0.0085344
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
2
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS4009 FN 12/39 FIXED 3.5
3138WDN31
422487.090000
PA
USD
455132.730000
0.2397169
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS4016 FN 12/39 FIXED 3.5
3138WDPA3
24298.310000
PA
USD
25666.290000
0.0135183
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS4556 FN 03/40 FIXED 3.5
3138WEB24
207099.900000
PA
USD
221639.780000
0.1167369
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS5590 FN 08/45 FIXED 4
3138WFF84
487873.920000
PA
USD
543652.290000
0.2863399
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS7610 FN 07/46 FIXED 2.5
3138WHN40
427012.510000
PA
USD
441070.610000
0.2323104
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
2.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AT5929 FN 06/33 FIXED 4
3138WTST4
64212.410000
PA
USD
69223.280000
0.0364597
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AT6303 FN 06/43 FIXED 4
3138WUAD5
481047.860000
PA
USD
544406.120000
0.2867369
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AT8451 FN 06/28 FIXED 2.5
3138WWL98
162762.870000
PA
USD
173036.060000
0.0911375
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
2.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AU2890 FN 08/28 FIXED 2.5
3138X2F82
215220.250000
PA
USD
228548.030000
0.1203755
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AU6030 FN 09/33 FIXED 4.5
3138X5VY0
552363.410000
PA
USD
600301.930000
0.3161770
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AW6683 FN 06/44 FIXED 4
3138XWM96
198665.560000
PA
USD
217543.660000
0.1145795
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AW9166 FN 07/34 FIXED 4
3138XZFG1
264068.690000
PA
USD
284654.610000
0.1499266
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AX7940 FN 01/45 FIXED 4
3138Y9ZE1
106695.070000
PA
USD
113425.390000
0.0597408
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AY2341 FN 06/45 FIXED 4
3138YFS70
33435.650000
PA
USD
35446.200000
0.0186694
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AY5650 FN 06/30 FIXED 3
3138YKH48
156419.860000
PA
USD
167098.040000
0.0880100
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BD6374 FN 09/46 FIXED 3.5
3140FECL6
643996.070000
PA
USD
695124.900000
0.3661200
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE2689 FN 05/47 FIXED 4
3140FM7B6
16411.740000
PA
USD
17625.560000
0.0092833
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE7840 FN 02/47 FIXED 4
3140FTWA5
306193.720000
PA
USD
329747.580000
0.1736770
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE8055 FN 04/47 FIXED 4
3140FT5R8
7998.320000
PA
USD
8581.690000
0.0045199
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE8409 FN 03/47 FIXED 4
3140FUKX5
3666.810000
PA
USD
3982.680000
0.0020977
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE9075 FN 05/37 FIXED 4
3140FVCM6
426656.840000
PA
USD
459937.560000
0.2422476
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE9574 FN 04/47 FIXED 4
3140FVT89
52480.360000
PA
USD
56210.230000
0.0296057
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BF0102 FN 06/56 FIXED 3.5
3140FXDG4
48075.060000
PA
USD
52351.510000
0.0275734
Long
ABS-MBS
USGSE
US
N
2
2056-06-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BF0167 FN 02/57 FIXED 3
3140FXFH0
456249.130000
PA
USD
489223.430000
0.2576724
Long
ABS-MBS
USGSE
US
N
2
2057-02-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BF0169 FN 01/57 FIXED 3.5
3140FXFK3
46159.130000
PA
USD
50265.100000
0.0264745
Long
ABS-MBS
USGSE
US
N
2
2057-01-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BF0383 FN 04/59 FIXED 4.5
3140FXM90
1423041.980000
PA
USD
1593114.590000
0.8390882
Long
ABS-MBS
USGSE
US
N
2
2059-04-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BH0299 FN 04/47 FIXED 4
3140GNKM4
536492.500000
PA
USD
582206.160000
0.3066460
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BH2185 FN 06/47 FIXED 4
3140GQNB8
11451.640000
PA
USD
12440.340000
0.0065523
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BH2623 FN 08/47 FIXED 4
3140GQ4H6
498562.660000
PA
USD
534459.070000
0.2814978
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BH2718 FN 05/47 FIXED 4
3140GRAU8
492125.900000
PA
USD
529904.180000
0.2790988
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BH4379 FN 05/47 FIXED 4
3140GS2M3
324309.150000
PA
USD
348649.990000
0.1836328
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BH5368 FN 08/47 FIXED 3.5
3140GT6E5
131315.370000
PA
USD
142731.460000
0.0751762
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BH9315 FN 09/47 FIXED 3.5
3140GYK57
179331.960000
PA
USD
197824.030000
0.1041933
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ3287 FN 11/47 FIXED 4
3140H4UM4
27314.470000
PA
USD
29158.740000
0.0153578
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ3862 FN 01/38 FIXED 3
3140H5JG7
388085.270000
PA
USD
410905.860000
0.2164227
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ4616 FN 02/48 FIXED 4
3140H6DW6
234774.220000
PA
USD
258225.740000
0.1360066
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ4744 FN 01/48 FIXED 4
3140H6HW2
21140.560000
PA
USD
22490.380000
0.0118456
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ4843 FN 02/48 FIXED 4
3140H6LZ0
48481.480000
PA
USD
51532.240000
0.0271419
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ7040 FN 08/38 FIXED 4
3140H8ZE8
37246.300000
PA
USD
40042.360000
0.0210902
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ9920 FN 03/48 FIXED 4
3140HCAW6
36664.200000
PA
USD
38958.840000
0.0205195
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ9921 FN 03/48 FIXED 4
3140HCAX4
69128.940000
PA
USD
73491.160000
0.0387075
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BK0935 FN 07/33 FIXED 4
3140HEBD3
747537.890000
PA
USD
809471.660000
0.4263460
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BK1962 FN 03/48 FIXED 4
3140HFFC8
127513.220000
PA
USD
138190.380000
0.0727844
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BK3180 FN 03/48 FIXED 3.5
3140HGRA7
420489.970000
PA
USD
445514.230000
0.2346509
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BK3266 FN 04/48 FIXED 4
3140HGTY3
97337.730000
PA
USD
103470.160000
0.0544974
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BK8736 FN 01/49 FIXED 4.5
3140HNV66
332803.250000
PA
USD
361925.900000
0.1906252
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BL1296 FN 02/26 FIXED 3.575
3140HSNN7
500000.000000
PA
USD
562504.140000
0.2962691
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
3.575
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BL1334 FN 01/29 FIXED 3.82
3140HSPU9
500000.000000
PA
USD
587704.470000
0.3095420
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
3.82
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BM3638 FN 08/44 FIXED VAR
3140J8BG7
192108.230000
PA
USD
216383.200000
0.1139683
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BM4521 FN 08/38 FIXED VAR
3140J9AX9
201722.720000
PA
USD
217059.420000
0.1143245
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BM4645 FN 10/38 FIXED VAR
3140J9ET4
347078.070000
PA
USD
367461.360000
0.1935407
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BM5091 FN 12/48 FIXED VAR
3140J9UR0
280618.800000
PA
USD
309401.790000
0.1629609
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BM5989 FN 11/48 FLOATING VAR
3140JAUP1
1272909.740000
PA
USD
1316786.910000
0.6935473
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Floating
3.523
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BN1152 FN 11/48 FIXED 4.5
3140JHH63
324812.850000
PA
USD
349577.810000
0.1841215
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BN8898 FN 05/34 FIXED 3.5
3140JR3G4
2050719.310000
PA
USD
2177469.620000
1.1468660
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL CA1314 FN 01/48 FIXED 4
3140Q8N84
120295.940000
PA
USD
127824.670000
0.0673248
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL CA1360 FN 03/48 FIXED 3.5
3140Q8QN8
688081.850000
PA
USD
751973.500000
0.3960619
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL CA1988 FN 07/48 FIXED 4.5
3140Q9F65
693973.640000
PA
USD
745525.380000
0.3926657
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL CA2234 FN 08/38 FIXED 4
3140Q9PU1
103281.370000
PA
USD
110840.680000
0.0583794
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL FM1514 FN 09/49 FIXED VAR
3140X4VG8
479378.970000
PA
USD
516571.760000
0.2720766
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL FM1631 FN 09/49 FIXED VAR
3140X4Y59
476210.350000
PA
USD
513156.710000
0.2702779
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL FM2419 FN 02/50 FIXED VAR
3140X5VM2
1491875.570000
PA
USD
1603947.010000
0.8447936
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL FM3241 FN 03/50 FIXED VAR
3140X6S77
2463200.000000
PA
USD
2606724.630000
1.3729532
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL FM3340 FN 05/35 FIXED VAR
3140X6WA5
2837634.050000
PA
USD
2985153.510000
1.5722704
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA2950 FN 12/46 FIXED 2.5
31418CH49
87089.780000
PA
USD
90034.730000
0.0474210
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
2.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3306 FN 03/48 FIXED 4
31418CU85
9566.300000
PA
USD
10167.310000
0.0053551
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3359 FN 04/38 FIXED 3
31418CWV2
80494.590000
PA
USD
85209.240000
0.0448794
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3413 FN 07/38 FIXED 4
31418CYK4
910943.930000
PA
USD
972125.960000
0.5120155
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3465 FN 09/38 FIXED 4
31418CZ72
292301.550000
PA
USD
312886.680000
0.1647964
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3703 FN 05/49 FIXED 3
31418DDH2
3286502.580000
PA
USD
3405558.210000
1.7936962
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3
N
N
N
N
N
N
FREDDIE MAC 2248
N/A
FREDDIE MAC FHR 2248 FB
3133TPV48
6167.860000
PA
USD
6175.570000
0.0032527
Long
ABS-MBS
USGSE
US
N
2
2030-09-15
Floating
0.68475
N
N
N
N
N
N
FREDDIE MAC 2395
N/A
FREDDIE MAC FHR 2395 FT
31339LMA5
53324.280000
PA
USD
53310.610000
0.0280785
Long
ABS-MBS
USGSE
US
N
2
2031-12-15
Floating
0.63475
N
N
N
N
N
N
FREDDIE MAC 3031
N/A
FREDDIE MAC FHR 3031 BZ
31396AAQ7
101094.830000
PA
USD
141908.880000
0.0747429
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
5.5
N
N
N
N
N
N
FREDDIE MAC 4836
N/A
FREDDIE MAC FHR 4836 PO
3137FJE21
439412.440000
PA
USD
382327.670000
0.2013707
Long
ABS-MBS
USGSE
US
N
2
2058-10-15
Fixed
0
N
N
N
N
N
N
FREDDIE MAC 4839
N/A
FREDDIE MAC FHR 4839 WO
3137FJK81
1265376.490000
PA
USD
1104905.110000
0.5819498
Long
ABS-MBS
USGSE
US
N
2
2056-08-15
None
0
N
N
N
N
N
N
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KF05
N/A
FHLMC MULTIFAMILY STRUCTURED P FHMS KF05 A
3137BEY73
14062.250000
PA
USD
14071.090000
0.0074112
Long
ABS-MBS
USGSE
US
N
2
2021-09-25
Floating
0.5325
N
N
N
N
N
N
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KF06
N/A
FHLMC MULTIFAMILY STRUCTURED P FHMS KF06 A
3137BFEP2
68113.070000
PA
USD
67954.690000
0.0357915
Long
ABS-MBS
USGSE
US
N
2
2021-11-25
Floating
0.5125
N
N
N
N
N
N
FREDDIE MAC REMICS 2064
N/A
FREDDIE MAC FHR 2064 ZA
3133TEMJ0
113728.210000
PA
USD
128449.210000
0.0676538
Long
ABS-MBS
USGSE
US
N
2
2028-05-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC REMICS 3514
N/A
FREDDIE MAC FHR 3514 ZQ
31398C7C6
103678.990000
PA
USD
137151.790000
0.0722374
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC REMICS 3621
N/A
FREDDIE MAC FHR 3621 WI
31398W2S2
37072.070000
PA
USD
1809.640000
0.0009531
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
3.17937
N
N
N
N
N
N
FREDDIE MAC REMICS 3635
N/A
FREDDIE MAC FHR 3635 IB
31398WJ21
38192.830000
PA
USD
1675.150000
0.0008823
Long
ABS-MBS
USGSE
US
N
2
2037-10-15
Floating
2.83918
N
N
N
N
N
N
FREDDIE MAC REMICS 3684
N/A
FREDDIE MAC FHR 3684 JI
3137A06E0
91669.830000
PA
USD
5729.820000
0.0030179
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Floating
3.5432
N
N
N
N
N
N
FREDDIE MAC REMICS 3962
N/A
FREDDIE MAC FHR 3962 KS
3137AJKA1
69772.200000
PA
USD
5009.060000
0.0026383
Long
ABS-MBS
USGSE
US
N
2
2038-06-15
Floating
3.57077
N
N
N
N
N
N
FREDDIE MAC REMICS 4020
N/A
FREDDIE MAC FHR 4020 ZE
3137AMMG9
391364.950000
PA
USD
487487.390000
0.2567580
Long
ABS-MBS
USGSE
US
N
2
2042-03-15
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS 4068
N/A
FREDDIE MAC FHR 4068 UF
3137ARPN0
459816.600000
PA
USD
461733.300000
0.2431934
Long
ABS-MBS
USGSE
US
N
2
2042-06-15
Floating
0.68475
N
N
N
N
N
N
FREDDIE MAC REMICS 4091
N/A
FREDDIE MAC FHR 4091 VS
3137ATGL0
304955.300000
PA
USD
301183.220000
0.1586322
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Floating
2.4145
N
N
N
N
N
N
FREDDIE MAC REMICS 4150
N/A
FREDDIE MAC FHR 4150 SB
3137AYAM3
1637082.680000
PA
USD
316637.490000
0.1667719
Long
ABS-MBS
USGSE
US
N
2
2043-01-15
Floating
6.01525
N
N
N
N
N
N
FREDDIE MAC REMICS 4248
N/A
FREDDIE MAC FHR 4248 ES
3137B4UN4
199056.350000
PA
USD
331782.940000
0.1747490
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
15.316
N
N
N
N
N
N
FREDDIE MAC REMICS 4255
N/A
FREDDIE MAC FHR 4255 SN
3137B5HZ9
137193.850000
PA
USD
197638.210000
0.1040954
Long
ABS-MBS
USGSE
US
N
2
2035-05-15
Floating
11.8107
N
N
N
N
N
N
FREDDIE MAC REMICS 4324
N/A
FREDDIE MAC FHR 4324 IO
3137BAGM8
69343.700000
PA
USD
4032.180000
0.0021237
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Floating
3.55137
N
N
N
N
N
N
FREDDIE MAC REMICS 4338
N/A
FREDDIE MAC FHR 4338 SB
3137BB7D6
76694.810000
PA
USD
4217.230000
0.0022212
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Floating
3.40381
N
N
N
N
N
N
FREDDIE MAC REMICS 4361
N/A
FREDDIE MAC FHR 4361 PI
3137BC5J3
157272.580000
PA
USD
33412.450000
0.0175982
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
5.5
N
N
N
N
N
N
FREDDIE MAC REMICS 4367
N/A
FREDDIE MAC FHR 4367 GS
3137BCL55
34433.950000
PA
USD
1842.780000
0.0009706
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Floating
3.2634
N
N
N
N
N
N
FREDDIE MAC REMICS 4394
N/A
FREDDIE MAC FHR 4394 WI
3137BEV43
32153.430000
PA
USD
1736.610000
0.0009147
Long
ABS-MBS
USGSE
US
N
2
2041-08-15
Floating
3.37232
N
N
N
N
N
N
FREDDIE MAC REMICS 4398
N/A
FREDDIE MAC FHR 4398 NZ
3137BEPQ1
747257.300000
PA
USD
817450.170000
0.4305483
Long
ABS-MBS
USGSE
US
N
2
2044-10-15
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC REMICS 4434
N/A
FREDDIE MAC FHR 4434 HZ
3137BGEH8
526801.180000
PA
USD
601431.310000
0.3167719
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS 4438
N/A
FREDDIE MAC FHR 4438 WI
3137BGLL1
101434.030000
PA
USD
5741.180000
0.0030239
Long
ABS-MBS
USGSE
US
N
2
2038-11-15
Floating
3.48677
N
N
N
N
N
N
FREDDIE MAC REMICS 4459
N/A
FREDDIE MAC FHR 4459 BZ
3137BHTE7
936097.280000
PA
USD
1043541.500000
0.5496298
Long
ABS-MBS
USGSE
US
N
2
2043-08-15
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS 4462
N/A
FREDDIE MAC FHR 4462 KG
3137BHJA6
438971.560000
PA
USD
460064.760000
0.2423146
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
2.5
N
N
N
N
N
N
FREDDIE MAC REMICS 4463
N/A
FREDDIE MAC FHR 4463 IO
3137BHGF8
74321.510000
PA
USD
4134.350000
0.0021775
Long
ABS-MBS
USGSE
US
N
2
2038-02-15
Floating
3.51899
N
N
N
N
N
N
FREDDIE MAC REMICS 4534
N/A
FREDDIE MAC FHR 4534 PZ
3137BMGC4
157470.880000
PA
USD
183157.910000
0.0964687
Long
ABS-MBS
USGSE
US
N
2
2044-05-15
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS 4572
N/A
FREDDIE MAC FHR 4572 NI
3137BNY73
289197.900000
PA
USD
52033.380000
0.0274058
Long
ABS-MBS
USGSE
US
N
2
2046-04-15
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS 4588
N/A
FREDDIE MAC FHR 4588 PI
3137BQEL7
1510949.530000
PA
USD
230404.240000
0.1213531
Long
ABS-MBS
USGSE
US
N
2
2045-09-15
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS 4804
N/A
FREDDIE MAC FHR 4804 YZ
3137FGM85
666132.920000
PA
USD
833116.320000
0.4387996
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS 4989
N/A
FREDDIE MAC FHR 4989 FA
3137FUKP8
2000000.000000
PA
USD
1989694.080000
1.0479653
Long
ABS-MBS
USGSE
US
N
3
2040-08-15
Floating
0.54388
N
N
N
N
N
N
FREDDIE MAC REMICS 4989
N/A
FREDDIE MAC FHR 4989 FB
3137FUKQ6
2000000.000000
PA
USD
1989694.080000
1.0479653
Long
ABS-MBS
USGSE
US
N
3
2040-10-15
Floating
0.54388
N
N
N
N
N
N
FREDDIE MAC REMICS-3598
N/A
FREDDIE MAC FHR 3598 JI
31398KZ94
15608.110000
PA
USD
684.570000
0.0003606
Long
ABS-MBS
USGSE
US
N
2
2037-10-15
Floating
3.00471
N
N
N
N
N
N
FREDDIE MAC STRIPS 303
N/A
FREDDIEMAC STRIP FHS 303 C19
31325UEH5
416369.590000
PA
USD
46067.840000
0.0242638
Long
ABS-MBS
USGSE
US
N
2
2043-01-15
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC STRIPS 330
N/A
FREDDIEMAC STRIP FHS 330 F4
31351DDT5
152628.960000
PA
USD
150777.110000
0.0794138
Long
ABS-MBS
USGSE
US
N
2
2037-10-15
Floating
0.52263
N
N
N
N
N
N
FREDDIE MAC STRIPS 345
N/A
FREDDIEMAC STRIP FHS 345 C13
31325VRC0
620123.420000
PA
USD
58776.090000
0.0309572
Long
ABS-MBS
USGSE
US
N
2
2045-08-15
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC-1455
N/A
FREDDIE MAC FHR 1455 W
312914CA0
69.080000
PA
USD
70.450000
0.0000371
Long
ABS-MBS
USGSE
US
N
2
2022-12-15
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC-1628
N/A
FREDDIE MAC FHR 1628 LZ
3133T3KK3
1557.440000
PA
USD
1663.870000
0.0008764
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC-1694
N/A
FREDDIE MAC FHR 1694 Z
3133T4NZ5
3892.460000
PA
USD
4206.760000
0.0022157
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC-1856
N/A
FREDDIE MAC FHR 1856 ZG
3133T7BC2
2076.580000
PA
USD
2351.790000
0.0012387
Long
ABS-MBS
USGSE
US
N
2
2026-06-15
Fixed
8
N
N
N
N
N
N
FREDDIE MAC-2974
N/A
FREDDIE MAC FHR 2974 PF
31395TXG4
31717.830000
PA
USD
31539.490000
0.0166117
Long
ABS-MBS
USGSE
US
N
2
2035-05-15
Floating
0.43475
N
N
N
N
N
N
FREDDIE MAC-3325
N/A
FREDDIE MAC FHR 3325 ZM
31397JEY6
466820.440000
PA
USD
630050.280000
0.3318454
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Fixed
7
N
N
N
N
N
N
FREDDIE MAC-4832
N/A
FREDDIE MAC FHR 4832 FW
3137FHRY1
606496.830000
PA
USD
604533.180000
0.3184056
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Floating
0.52263
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2006-C
N/A
FREMONT HOME LOAN TRUST FHLT 2006 C 1A1
35729TAA0
639206.100000
PA
USD
568687.090000
0.2995256
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.30325
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA I TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01N030679
2000000.000000
PA
USD
2112656.260000
1.1127290
Long
ABS-MBS
USGSE
US
N
2
2050-07-21
Fixed
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA I TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
01N032683
1200000.000000
PA
USD
1263093.760000
0.6652673
Long
ABS-MBS
USGSE
US
N
2
2050-08-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01N040678
2000000.000000
PA
USD
2116171.860000
1.1145807
Long
ABS-MBS
USGSE
US
N
2
2050-07-21
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA I TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE
01N042682
-2000000.000000
PA
USD
-2189696.800000
-1.1533060
Short
ABS-MBS
USGSE
US
N
2
2050-08-20
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 003636 G2 11/34 FIXED 5
36202EBD0
1277.810000
PA
USD
1447.230000
0.0007623
Long
ABS-MBS
USGSE
US
N
2
2034-11-20
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 005261 G2 12/41 FIXED 5
36202FZ25
264504.220000
PA
USD
298647.330000
0.1572966
Long
ABS-MBS
USGSE
US
N
2
2041-12-20
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008022 G2 07/22 FLOATING VAR
36202J4F2
1374.930000
PA
USD
1386.330000
0.0007302
Long
ABS-MBS
USGSE
US
N
2
2022-07-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008505 G2 09/24 FLOATING VAR
36202KNW1
1878.310000
PA
USD
1938.440000
0.0010210
Long
ABS-MBS
USGSE
US
N
2
2024-09-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008663 G2 07/25 FLOATING VAR
36202KTU9
455.290000
PA
USD
471.790000
0.0002485
Long
ABS-MBS
USGSE
US
N
2
2025-07-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008889 G2 12/21 FLOATING VAR
36202K2W4
672.820000
PA
USD
680.870000
0.0003586
Long
ABS-MBS
USGSE
US
N
2
2021-12-20
Floating
3.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008945 G2 08/26 FLOATING VAR
36202K5E1
1664.610000
PA
USD
1674.450000
0.0008819
Long
ABS-MBS
USGSE
US
N
2
2026-08-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080054 G2 03/27 FLOATING VAR
36225CBY1
114.040000
PA
USD
115.670000
0.0000609
Long
ABS-MBS
USGSE
US
N
2
2027-03-20
Floating
3
N
N
N
N
N
N
PIMCO FUNDS
LWVQWTQCFH3YG7CVH718
PIMCO PRV SHORT TERM FLT III MUTUAL FUND
000000000
792565.190000
PA
USD
7813900.230000
4.1155552
Long
STIV
RF
US
N
1
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 675733 G2 07/47 FIXED 3.5
36295NV20
182956.510000
PA
USD
198074.850000
0.1043254
Long
ABS-MBS
USGSE
US
N
2
2047-07-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 784295 G2 03/47 FIXED 3.5
3622A2XY3
1310009.790000
PA
USD
1403301.390000
0.7391142
Long
ABS-MBS
USGSE
US
N
2
2047-03-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 784433 G2 02/48 FIXED 3.5
3622A24S8
191776.820000
PA
USD
207247.620000
0.1091566
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 784445 G2 02/48 FIXED 3.5
3622A25E8
170693.740000
PA
USD
189110.960000
0.0996041
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 784601 G2 03/48 FIXED 3.5
3622AAAA2
1242521.730000
PA
USD
1367992.700000
0.7205172
Long
ABS-MBS
USGSE
US
N
2
2048-03-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL AA6149 G2 03/43 FIXED 3
36178DZN4
312132.610000
PA
USD
335568.800000
0.1767430
Long
ABS-MBS
USGSE
US
N
2
2043-03-20
Fixed
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL AR0791 G2 05/46 FIXED 3.5
36192S2Y5
510570.470000
PA
USD
542678.430000
0.2858269
Long
ABS-MBS
USGSE
US
N
2
2046-05-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL AX6465 G2 04/47 FIXED 3.5
36196JFE1
30120.760000
PA
USD
32721.420000
0.0172343
Long
ABS-MBS
USGSE
US
N
2
2047-04-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL AZ7147 G2 07/47 FIXED 3.5
36197K5G3
19887.710000
PA
USD
21608.210000
0.0113810
Long
ABS-MBS
USGSE
US
N
2
2047-07-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BA9807 G2 07/47 FIXED 3.5
3617AN3Q7
30000.950000
PA
USD
32591.250000
0.0171657
Long
ABS-MBS
USGSE
US
N
2
2047-07-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BB0244 G2 07/47 FIXED 3.5
3617AQHV4
27117.950000
PA
USD
29291.180000
0.0154276
Long
ABS-MBS
USGSE
US
N
2
2047-07-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BB0583 G2 07/47 FIXED 3.5
3617AQUG2
28744.790000
PA
USD
31098.890000
0.0163797
Long
ABS-MBS
USGSE
US
N
2
2047-07-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BB0604 G2 07/47 FIXED 3.5
3617AQU56
25643.660000
PA
USD
27752.490000
0.0146171
Long
ABS-MBS
USGSE
US
N
2
2047-07-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BB3407 G2 07/47 FIXED 3.5
3617ATYC1
26171.610000
PA
USD
28445.240000
0.0149820
Long
ABS-MBS
USGSE
US
N
2
2047-07-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BB3534 G2 08/47 FIXED 3.5
3617AT4T7
37450.840000
PA
USD
40692.670000
0.0214327
Long
ABS-MBS
USGSE
US
N
2
2047-08-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BB3889 G2 11/47 FIXED 3.5
3617AUKA7
30175.790000
PA
USD
32796.320000
0.0172737
Long
ABS-MBS
USGSE
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BB8651 G2 08/47 FIXED 3.5
3617B0TG0
25851.380000
PA
USD
28094.120000
0.0147971
Long
ABS-MBS
USGSE
US
N
2
2047-08-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BB8812 G2 04/48 FIXED 4
3617B0YH2
225807.660000
PA
USD
247696.190000
0.1304608
Long
ABS-MBS
USGSE
US
N
2
2048-04-20
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BB9690 G2 09/47 FIXED 3.5
3617B1XT5
247492.160000
PA
USD
268026.000000
0.1411684
Long
ABS-MBS
USGSE
US
N
2
2047-09-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BC1920 G2 09/47 FIXED 3.5
3617B5DZ4
372972.190000
PA
USD
403861.100000
0.2127123
Long
ABS-MBS
USGSE
US
N
2
2047-09-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BC4840 G2 09/47 FIXED 3.5
3617B8LV8
25566.190000
PA
USD
27668.040000
0.0145727
Long
ABS-MBS
USGSE
US
N
2
2047-09-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BD3902 G2 01/48 FIXED 3.5
3617BKKP5
32439.660000
PA
USD
35241.260000
0.0185615
Long
ABS-MBS
USGSE
US
N
2
2048-01-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BD5492 G2 11/47 FIXED 3.5
3617BMC54
21909.530000
PA
USD
23703.830000
0.0124847
Long
ABS-MBS
USGSE
US
N
2
2047-11-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BE0034 G2 12/47 FIXED 3.5
3617BTBB7
19660.350000
PA
USD
21365.330000
0.0112530
Long
ABS-MBS
USGSE
US
N
2
2047-12-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BE5659 G2 04/48 FIXED 4
3617G0JC5
408111.540000
PA
USD
436745.150000
0.2300322
Long
ABS-MBS
USGSE
US
N
2
2048-04-20
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BE6330 G2 01/48 FIXED 3.5
3617G1A73
26143.760000
PA
USD
28227.830000
0.0148675
Long
ABS-MBS
USGSE
US
N
2
2048-01-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BE6527 G2 02/48 FIXED 3.5
3617G1HC5
30626.170000
PA
USD
32944.750000
0.0173519
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BF2211 G2 02/48 FIXED 3.5
3617G8N41
42252.590000
PA
USD
45919.360000
0.0241856
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA0093 G2 05/42 FIXED 6
36179MC65
60231.490000
PA
USD
68449.290000
0.0360520
Long
ABS-MBS
USGSE
US
N
2
2042-05-20
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA1227 G2 08/43 FIXED 5
36179NLG1
219242.550000
PA
USD
247414.260000
0.1303123
Long
ABS-MBS
USGSE
US
N
2
2043-08-20
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA1372 G2 03/43 FIXED 2
36179NQZ4
71548.620000
PA
USD
74650.450000
0.0393181
Long
ABS-MBS
USGSE
US
N
2
2043-03-20
Fixed
2
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA1524 G2 12/43 FIXED 5
36179NVR6
95896.350000
PA
USD
108116.160000
0.0569444
Long
ABS-MBS
USGSE
US
N
2
2043-12-20
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA2151 G2 08/44 FIXED 5
36179QL82
163765.090000
PA
USD
184685.580000
0.0972733
Long
ABS-MBS
USGSE
US
N
2
2044-08-20
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA4322 G2 03/47 FIXED 4
36179SYT8
347308.060000
PA
USD
373337.510000
0.1966356
Long
ABS-MBS
USGSE
US
N
2
2047-03-20
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA4718 G2 09/47 FIXED 3
36179TG33
88159.290000
PA
USD
93568.570000
0.0492823
Long
ABS-MBS
USGSE
US
N
2
2047-09-20
Fixed
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA5138 G2 04/48 FIXED 4.5
36179TV77
94386.090000
PA
USD
101919.680000
0.0536808
Long
ABS-MBS
USGSE
US
N
2
2048-04-20
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA5193 G2 05/48 FIXED 4.5
36179TXW0
279597.500000
PA
USD
301781.040000
0.1589471
Long
ABS-MBS
USGSE
US
N
2
2048-05-20
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA5265 G2 06/48 FIXED 4.5
36179TZ65
136647.890000
PA
USD
147385.780000
0.0776276
Long
ABS-MBS
USGSE
US
N
2
2048-06-20
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA5597 G2 11/48 FIXED 5
36179UGE6
571804.960000
PA
USD
623711.590000
0.3285068
Long
ABS-MBS
USGSE
US
N
2
2048-11-20
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA5653 G2 12/48 FIXED 5
36179UH62
690016.450000
PA
USD
750191.980000
0.3951236
Long
ABS-MBS
USGSE
US
N
2
2048-12-20
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA5711 G2 01/49 FIXED 4.5
36179UKY7
386894.720000
PA
USD
413464.320000
0.2177703
Long
ABS-MBS
USGSE
US
N
2
2049-01-20
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA5764 G2 02/49 FIXED 4.5
36179UMM1
646630.050000
PA
USD
690923.430000
0.3639071
Long
ABS-MBS
USGSE
US
N
2
2049-02-20
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA6410 G2 01/50 FIXED 3.5
36179VDP2
97466.260000
PA
USD
103092.770000
0.0542986
Long
ABS-MBS
USGSE
US
N
2
2050-01-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA6542 G2 03/50 FIXED 3.5
36179VHT0
495447.310000
PA
USD
524846.100000
0.2764347
Long
ABS-MBS
USGSE
US
N
2
2050-03-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 3 JUMBOS
21H030682
14950000.000000
PA
USD
15804952.980000
8.3244161
Long
ABS-MBS
USGSE
US
N
2
2050-08-20
Fixed
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 3.5 JUMBOS
21H032688
8550000.000000
PA
USD
9021586.020000
4.7516393
Long
ABS-MBS
USGSE
US
N
2
2050-08-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 4 JUMBOS
21H040681
5650000.000000
PA
USD
5990765.680000
3.1553163
Long
ABS-MBS
USGSE
US
N
2
2050-08-20
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 4.5 JUMBOS
21H042679
1050000.000000
PA
USD
1121039.060000
0.5904475
Long
ABS-MBS
USGSE
US
N
2
2050-07-21
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 412301 GN 08/27 FIXED 7.5
36206JAA2
421.860000
PA
USD
444.290000
0.0002340
Long
ABS-MBS
USGSE
US
N
2
2027-08-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 425968 GN 03/26 FIXED 6.5
36207AFH0
461.330000
PA
USD
508.040000
0.0002676
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 429790 GN 12/33 FIXED 6.5
36207ENF7
50117.360000
PA
USD
58525.620000
0.0308252
Long
ABS-MBS
USGSE
US
N
2
2033-12-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 457100 GN 11/28 FIXED 6.5
36208PX52
4464.500000
PA
USD
4951.510000
0.0026079
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 482928 GN 01/29 FIXED 6.5
36209VPM0
488.720000
PA
USD
538.250000
0.0002835
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 485682 GN 08/31 FIXED 6.5
36209YRB6
145.400000
PA
USD
172.980000
0.0000911
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 521288 GN 04/35 FIXED 5
36211SCZ8
175386.650000
PA
USD
200648.120000
0.1056807
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 557710 GN 08/31 FIXED 6.5
36213LR77
204.850000
PA
USD
225.530000
0.0001188
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 569159 GN 03/32 FIXED 6.5
36200QJC9
1042.290000
PA
USD
1214.820000
0.0006398
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 569830 GN 06/32 FIXED 6.5
36200RA77
312.630000
PA
USD
364.110000
0.0001918
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 579731 GN 08/32 FIXED 6.5
36201DA85
475.690000
PA
USD
568.430000
0.0002994
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 618522 GN 09/33 FIXED 5.5
36290VD35
2862.490000
PA
USD
3146.760000
0.0016574
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
5.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 626938 GN 04/45 FIXED 4
36291FPX0
133642.790000
PA
USD
150839.680000
0.0794468
Long
ABS-MBS
USGSE
US
N
2
2045-04-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 657026 GN 08/36 FIXED 6.5
36294Q4K4
1015.170000
PA
USD
1173.560000
0.0006181
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 676927 GN 04/38 FIXED 5.5
36295QA42
74690.750000
PA
USD
84225.720000
0.0443614
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Fixed
5.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 677094 GN 07/38 FIXED 6.5
36295QGB0
10770.720000
PA
USD
12249.620000
0.0064518
Long
ABS-MBS
USGSE
US
N
2
2038-07-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 677100 GN 07/38 FIXED 5.5
36295QGH7
8206.340000
PA
USD
9574.440000
0.0050428
Long
ABS-MBS
USGSE
US
N
2
2038-07-15
Fixed
5.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 677202 GN 08/38 FIXED 6.5
36295QKP4
6061.780000
PA
USD
7236.200000
0.0038113
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 678950 GN 10/37 FIXED 6.5
36295SH33
167090.350000
PA
USD
195557.790000
0.1029996
Long
ABS-MBS
USGSE
US
N
2
2037-10-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 683380 GN 01/38 FIXED 6.5
36295XFV2
61691.490000
PA
USD
71230.000000
0.0375166
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 686777 GN 06/38 FIXED 6.5
36296B6N7
15265.580000
PA
USD
16812.130000
0.0088549
Long
ABS-MBS
USGSE
US
N
2
2038-06-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 697924 GN 03/39 FIXED 5
36296QLD9
472181.020000
PA
USD
540159.690000
0.2845003
Long
ABS-MBS
USGSE
US
N
2
2039-03-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 698378 GN 07/39 FIXED 4.5
36296Q2K4
29272.160000
PA
USD
33529.830000
0.0176600
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 698386 GN 07/39 FIXED 4.5
36296Q2T5
82510.380000
PA
USD
93028.310000
0.0489977
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 701905 GN 05/39 FIXED 5.5
36296UYA2
6162.770000
PA
USD
6942.770000
0.0036567
Long
ABS-MBS
USGSE
US
N
2
2039-05-15
Fixed
5.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 704587 GN 06/39 FIXED 5
36296XXQ2
20244.150000
PA
USD
23154.070000
0.0121952
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 710838 GN 09/39 FIXED 4.5
36297FV74
7189.100000
PA
USD
8104.160000
0.0042684
Long
ABS-MBS
USGSE
US
N
2
2039-09-15
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 716768 GN 04/39 FIXED 5
3620A2JM9
6790.010000
PA
USD
7764.440000
0.0040895
Long
ABS-MBS
USGSE
US
N
2
2039-04-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 729511 GN 04/40 FIXED 4.5
3620AGN43
4003.880000
PA
USD
4460.820000
0.0023495
Long
ABS-MBS
USGSE
US
N
2
2040-04-15
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 737648 GN 11/40 FIXED 4.5
3620ARP96
6894.090000
PA
USD
7660.070000
0.0040345
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 748058 GN 04/41 FIXED 5
3620C4B33
6308.270000
PA
USD
6908.240000
0.0036385
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 764413 GN 04/41 FIXED 5
36176FAN8
9658.480000
PA
USD
10671.970000
0.0056209
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 780035 GN 07/24 FIXED 6.5
36225ABC3
91.040000
PA
USD
100.260000
0.0000528
Long
ABS-MBS
USGSE
US
N
2
2024-07-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 780509 GN 02/27 FIXED 6.5
36225AR69
211.930000
PA
USD
237.550000
0.0001251
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 781288 GN 05/31 FIXED 6.5
36225BND6
581.050000
PA
USD
693.850000
0.0003654
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 782885 GN 12/39 FIXED 5.5
36241LF27
65263.850000
PA
USD
76157.540000
0.0401119
Long
ABS-MBS
USGSE
US
N
2
2039-12-15
Fixed
5.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 783007 GN 06/40 FIXED 4.5
36241LKU9
1184078.160000
PA
USD
1321755.590000
0.6961643
Long
ABS-MBS
USGSE
US
N
2
2040-06-15
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 783532 GN 02/42 FIXED 3.5
36241L4R4
7882.990000
PA
USD
8424.590000
0.0044372
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 783579 GN 05/42 FIXED 3.5
36241L6Q4
207700.930000
PA
USD
221978.950000
0.1169156
Long
ABS-MBS
USGSE
US
N
2
2042-05-15
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 784010 GN 03/45 FIXED 4
3622A2N32
187804.790000
PA
USD
204505.600000
0.1077124
Long
ABS-MBS
USGSE
US
N
2
2045-03-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 784041 GN 08/45 FIXED 4
3622A2P22
375071.410000
PA
USD
408421.600000
0.2151143
Long
ABS-MBS
USGSE
US
N
2
2045-08-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 784208 GN 07/46 FIXED 4
3622A2U91
533979.270000
PA
USD
581486.860000
0.3062672
Long
ABS-MBS
USGSE
US
N
2
2046-07-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AA6089 GN 02/43 FIXED 3
36178DXS5
1907070.750000
PA
USD
2055362.950000
1.0825528
Long
ABS-MBS
USGSE
US
N
2
2043-02-15
Fixed
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AB2761 GN 08/42 FIXED 3.5
36178NB65
24326.420000
PA
USD
25997.070000
0.0136926
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AJ5422 GN 01/50 FIXED 4.07
36183BAX6
1215546.510000
PA
USD
1229204.090000
0.6474177
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
4.07
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AP0116 GN 10/45 FIXED 3
36188KDV2
35130.220000
PA
USD
37499.530000
0.0197509
Long
ABS-MBS
USGSE
US
N
2
2045-10-15
Fixed
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AR3716 GN 12/45 FIXED 3.5
36192YDV6
290252.050000
PA
USD
307273.380000
0.1618399
Long
ABS-MBS
USGSE
US
N
2
2045-12-15
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AY8218 GN 01/47 FIXED 4
36196YDX8
70817.260000
PA
USD
75848.710000
0.0399493
Long
ABS-MBS
USGSE
US
N
2
2047-01-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AZ1638 GN 02/47 FIXED 4
36197DZB7
402286.580000
PA
USD
430259.460000
0.2266162
Long
ABS-MBS
USGSE
US
N
2
2047-02-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AZ8592 GN 04/47 FIXED 4
36197MRM2
200864.050000
PA
USD
214268.040000
0.1128543
Long
ABS-MBS
USGSE
US
N
2
2047-04-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL BA0244 GN 04/47 FIXED 4
3617ACHV5
468677.470000
PA
USD
499823.710000
0.2632555
Long
ABS-MBS
USGSE
US
N
2
2047-04-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL BA7886 GN 05/47 FIXED 4
3617ALXP0
111688.470000
PA
USD
118969.050000
0.0626606
Long
ABS-MBS
USGSE
US
N
2
2047-05-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL BA7937 GN 06/47 FIXED 4
3617ALZA1
109328.990000
PA
USD
116124.800000
0.0611625
Long
ABS-MBS
USGSE
US
N
2
2047-06-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL BC1102 GN 07/47 FIXED 4
3617B4GK7
132779.330000
PA
USD
141008.580000
0.0742687
Long
ABS-MBS
USGSE
US
N
2
2047-07-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL BC1138 GN 08/47 FIXED 4
3617B4HP5
115188.640000
PA
USD
122305.730000
0.0644180
Long
ABS-MBS
USGSE
US
N
2
2047-08-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL BC1180 GN 08/47 FIXED 4
3617B4JZ1
82244.940000
PA
USD
87985.650000
0.0463417
Long
ABS-MBS
USGSE
US
N
2
2047-08-15
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL BE6179 GN 12/47 FIXED 4
3617G02L3
49930.530000
PA
USD
53062.570000
0.0279479
Long
ABS-MBS
USGSE
US
N
2
2047-12-15
Fixed
4
N
N
N
N
N
N
GOLDENTTREE LOAN MANAGEMENT US CLO 1 LTD 2017-1A
N/A
GOLDENTREE LOAN MANAGEMENT US GLM 2017 1A AR 144A
38136FAU7
1200000.000000
PA
USD
1182115.160000
0.6226161
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
2.08525
N
N
N
N
N
N
GOVERNEMENT NATIONAL MTG ASSOC 2006-69
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2006 69 PO
38375JBL8
198075.620000
PA
USD
183103.840000
0.0964402
Long
ABS-MBS
USGSE
US
N
2
2036-12-20
None
0
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2013 23 IP
38378MAC9
377344.110000
PA
USD
45477.400000
0.0239528
Long
ABS-MBS
USGSE
US
N
2
2042-08-20
Fixed
3.5
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-88
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2013 88 PZ
38378TJ84
69558.580000
PA
USD
89806.460000
0.0473008
Long
ABS-MBS
USGSE
US
N
2
2043-06-20
Fixed
4.5
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H10
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H10 FS
38375BU83
1352450.370000
PA
USD
1373133.530000
0.7232249
Long
ABS-MBS
USGSE
US
N
2
2063-04-20
Floating
1.30338
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H20
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H20 FB
38375B6F4
1256684.720000
PA
USD
1267225.670000
0.6674435
Long
ABS-MBS
USGSE
US
N
2
2063-08-20
Floating
1.30338
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 FA
38375B8G0
650425.390000
PA
USD
660286.420000
0.3477707
Long
ABS-MBS
USGSE
US
N
2
2063-09-20
Floating
1.60338
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 TA
38375B8J4
755384.250000
PA
USD
758890.440000
0.3997051
Long
ABS-MBS
USGSE
US
N
2
2063-09-20
Floating
1.02338
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 126 GS
38379QFL4
138450.840000
PA
USD
192296.340000
0.1012818
Long
ABS-MBS
USGSE
US
N
2
2045-09-20
Floating
8.93053
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 AS
38379MX90
142290.620000
PA
USD
6892.320000
0.0036302
Long
ABS-MBS
USGSE
US
N
2
2043-06-20
Floating
2.52637
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 165 ZA
38379FB65
2316934.810000
PA
USD
2525136.890000
1.3299812
Long
ABS-MBS
USGSE
US
N
2
2045-07-20
Fixed
3.5
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 166 SA
38379FDK2
158519.970000
PA
USD
7860.770000
0.0041402
Long
ABS-MBS
USGSE
US
N
2
2042-06-20
Floating
3.20487
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 180 SA
38379TGM5
172273.250000
PA
USD
8644.780000
0.0045532
Long
ABS-MBS
USGSE
US
N
2
2042-06-20
Floating
3.15487
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-42
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 42 AI
38379LAB2
174309.840000
PA
USD
5738.180000
0.0030223
Long
ABS-MBS
USGSE
US
N
2
2039-05-20
Fixed
3
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-84
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 84 IB
38379PP35
890152.270000
PA
USD
101084.450000
0.0532408
Long
ABS-MBS
USGSE
US
N
2
2045-06-20
Fixed
4
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-84
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 84 ML
38379PP68
542565.000000
PA
USD
623868.470000
0.3285894
Long
ABS-MBS
USGSE
US
N
2
2045-06-20
Fixed
3.5
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H03
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H03 FD
38375UTT7
64014.480000
PA
USD
64223.880000
0.0338265
Long
ABS-MBS
USGSE
US
N
2
2065-01-20
Floating
0.94338
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H14
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FB
38376RCF1
46604.090000
PA
USD
46514.580000
0.0244991
Long
ABS-MBS
USGSE
US
N
2
2065-05-20
Floating
0.73338
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H27
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H27 FA
38376RHR0
803632.860000
PA
USD
809540.850000
0.4263825
Long
ABS-MBS
USGSE
US
N
2
2065-09-20
Floating
1.05338
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 180 WI
38376T6N7
220657.530000
PA
USD
8296.880000
0.0043699
Long
ABS-MBS
USGSE
US
N
2
2045-09-20
Floating
2.44458
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-84
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 84 KS
38379XHD5
809826.430000
PA
USD
158476.880000
0.0834692
Long
ABS-MBS
USGSE
US
N
2
2045-11-20
Floating
5.89
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2017 15 WI
38380CSQ7
193151.760000
PA
USD
8914.960000
0.0046955
Long
ABS-MBS
USGSE
US
N
2
2045-11-20
Floating
2.60438
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2017 57 WI
38380B7Q2
182493.290000
PA
USD
7319.040000
0.0038549
Long
ABS-MBS
USGSE
US
N
2
2045-12-20
Floating
2.59485
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-77
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2017 77 EZ
38376UTT6
205099.060000
PA
USD
220873.250000
0.1163332
Long
ABS-MBS
USGSE
US
N
2
2047-05-20
Fixed
3
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H07 FE
38380LCU5
68911.950000
PA
USD
68688.780000
0.0361782
Long
ABS-MBS
USGSE
US
N
2
2068-02-20
Floating
0.65338
N
N
N
N
N
N
GOVERNMENT NATIONAL MTG ASSOC 2002-60
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2002 60 FA
38373VHE3
39918.830000
PA
USD
39903.390000
0.0210170
Long
ABS-MBS
USGSE
US
N
2
2032-08-16
Floating
0.44513
N
N
N
N
N
N
GOVERNMENT NATIONAL MTGE ASSOC 2002-51
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2002 51 FC
38373XZ82
35.100000
PA
USD
35.090000
0.0000185
Long
ABS-MBS
USGSE
US
N
2
2032-07-16
Floating
0.39513
N
N
N
N
N
N
GOVERNMENT NATIONAL MTGE ASSOC 2005-58
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2005 58 MZ
38374LM57
24598.820000
PA
USD
31103.940000
0.0163823
Long
ABS-MBS
USGSE
US
N
2
2035-08-20
Fixed
5.5
N
N
N
N
N
N
GOVERNMENT NATL MTGE ASSOC 2011-H08
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H08 FG
38375BLC4
39706.520000
PA
USD
39680.040000
0.0208993
Long
ABS-MBS
USGSE
US
N
2
2061-03-20
Floating
0.78338
N
N
N
N
N
N
GOVERNMENT NATL MTGE ASSOC 2015-159
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 159 TE
38379FWQ8
84891.990000
PA
USD
102986.700000
0.0542428
Long
ABS-MBS
USGSE
US
N
2
2045-08-20
Floating
5
N
N
N
N
N
N
GREENPOINT MTGE FUNDING TR 2006-AR3
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A2
39538WHG6
13039.870000
PA
USD
19864.190000
0.0104624
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.70825
Y
N
N
N
N
N
GREENPOINT MTGE FUNDING TR 2006-AR6
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR6 A4
39538BAG9
338059.330000
PA
USD
224658.110000
0.1183267
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
0.5245
Y
N
N
N
N
N
GREENPOINT MTGE FUNDING TR 2006-AR7
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32
39538CAF9
283880.320000
PA
USD
249068.450000
0.1311835
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
0.3845
Y
N
N
N
N
N
GREENPOINT MTGE FUNDING TRUST 2006-AR5
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR5 A3A2
39538AAJ5
229197.860000
PA
USD
191665.150000
0.1009494
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
0.3845
Y
N
N
N
N
N
GREENPOINT MTGE FUUNDING TRUST 2006-AR4
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A4A
39539FAG9
351844.050000
PA
USD
235418.190000
0.1239940
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.5045
Y
N
N
N
N
N
GSAA HOME EQUITY TRUST 2007-4
N/A
GSAA HOME EQUITY TRUST GSAA 2007 4 A3A
3622EBAC2
236442.250000
PA
USD
132039.140000
0.0695446
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.46825
N
N
N
N
N
N
GSAMP TRUST 2007-FM1
N/A
GSAMP TRUST GSAMP 2007 FM1 A1
3622MAAA9
997145.120000
PA
USD
568869.600000
0.2996217
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.30825
N
N
N
N
N
N
GSAMP TRUST 2007-NC1
N/A
GSAMP TRUST GSAMP 2007 NC1 A1
3622MGAA6
527108.010000
PA
USD
311806.370000
0.1642274
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
0.29825
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2006-OA1
N/A
GSR MORTGAGE LOAN TRUST GSR 2006 OA1 2A2
362631AC7
232264.050000
PA
USD
127387.290000
0.0670945
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
0.68825
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-1
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A
41161PA86
32008.300000
PA
USD
28551.580000
0.0150380
Long
ABS-MBS
CORP
US
N
2
2036-03-19
Floating
0.67388
Y
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-12
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A
41162DAA7
738200.970000
PA
USD
594882.800000
0.3133228
Long
ABS-MBS
CORP
US
N
2
2036-12-19
Floating
0.37738
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-8
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 8 2A1A
41161GAC7
36152.750000
PA
USD
35065.600000
0.0184689
Long
ABS-MBS
CORP
US
N
2
2036-07-21
Floating
0.55088
Y
N
N
N
N
N
HOME EQUITY PASS-THRU CERTS 2002-1
N/A
HOME EQUITY ASSET TRUST HEAT 2002 1 A4
22541NAD1
2565.960000
PA
USD
2212.190000
0.0011652
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Floating
0.76825
N
N
N
N
N
N
HOMEBANC MTGE TRUST 2006-2
N/A
HOMEBANC MORTGAGE TRUST HMBT 2006 2 A1
43739HAA8
58697.700000
PA
USD
56654.220000
0.0298396
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.52825
N
N
N
N
N
N
HSI ASSET SECUR CORP TRUST 2007-HE1
N/A
HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 1A1
40430FAA0
401755.390000
PA
USD
329442.790000
0.1735164
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.30825
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2006-AR6
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR6 2A1A
456612AC4
86178.160000
PA
USD
73041.680000
0.0384708
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
0.3845
Y
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2006-AR14
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A
45668GAD4
188155.950000
PA
USD
166644.780000
0.0877713
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
0.3845
Y
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2006-AR19
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR19 3A1
45660GAG5
2289922.320000
PA
USD
2117945.030000
1.1155146
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
3.87742
N
N
N
N
N
N
JAMESTOWN CLO V LTD 2014-5A
N/A
JAMESTOWN CLO LTD JTWN 2014 5A AR 144A
470473AF6
1038819.100000
PA
USD
1031397.320000
0.5432335
Long
ABS-CBDO
CORP
KY
N
2
2027-01-17
Floating
2.35488
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2020-NNN
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFL 144A
46652BAA7
400000.000000
PA
USD
385695.400000
0.2031445
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
1.05513
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2019-5
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2019 5 A11 144A
46591FAL8
703397.430000
PA
USD
702521.210000
0.3700156
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Floating
1.0845
N
N
N
N
N
N
LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A
N/A
LA HIPOTECARIA SA LHIPO 2014 1A A1 144A
50346EAA5
720288.020000
PA
USD
758509.160000
0.3995043
Long
ABS-MBS
CORP
PA
N
3
2042-11-24
Floating
3.508
N
N
N
N
N
N
LA HIPOTECARIA SA 2019-1A
N/A
LA HIPOTECARIA SA LHIPO 2019 1A AAA 144A
50346WAA5
1146007.280000
PA
USD
1267039.950000
0.6673457
Long
ABS-MBS
CORP
US
N
3
2046-09-29
Fixed
4.25
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2019-GS3
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2019 GS3 A1 144A
52474WAA5
744086.340000
PA
USD
762839.920000
0.4017852
Long
ABS-MBS
CORP
US
N
2
2059-04-25
Fixed
3.75
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2019-GS4
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2019 GS4 A1 144A
52473CAA0
285364.380000
PA
USD
287686.080000
0.1515233
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Fixed
3.438
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2019-GS6
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2019 GS6 A1 144A
52474VAA7
372059.180000
PA
USD
375490.610000
0.1977697
Long
ABS-MBS
CORP
US
N
2
2059-06-25
Fixed
3
N
N
N
N
N
N
LEHMAN XS TRUST 2006-16N
N/A
LEHMAN XS TRUST LXS 2006 16N A322
52522DAH4
344085.560000
PA
USD
256705.380000
0.1352059
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
0.5045
Y
N
N
N
N
N
MASTR ALT LN TR 2006-2
N/A
MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1
5764342H6
967436.940000
PA
USD
57690.680000
0.0303855
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.5845
Y
N
N
N
N
N
MASTR ASSET SECURIZATION TR 2007-3
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A4
57645NAS9
254218.180000
PA
USD
386877.210000
0.2037669
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.46825
Y
N
N
N
N
N
MASTR ASSET SECURIZATION TR 2007-3
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5
57645NAT7
278962.180000
PA
USD
278949.740000
0.1469219
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.50825
Y
N
N
N
N
N
MELLON RESIDENTIAL FUNDING CO 2001-TBC1
N/A
MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1
585525FC7
41497.490000
PA
USD
40668.950000
0.0214202
Long
ABS-MBS
CORP
US
N
2
2031-11-15
Floating
0.88475
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-NC5
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP
61749BAB9
517662.870000
PA
USD
298071.470000
0.1569933
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.2545
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-HE2
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A1 144A
61753EAP5
1093872.570000
PA
USD
527568.720000
0.2778687
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.3145
N
N
N
N
N
N
MORGAN STANLEY MTGE LN TR 2007-7AX
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3
61754HAD4
640386.470000
PA
USD
303320.460000
0.1597579
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.52825
N
N
N
N
N
N
MOTEL 6 TRUST 2017-MTL6
N/A
MOTEL 6 TRUST MOTEL 2017 MTL6 A 144A
61975FAA7
300974.330000
PA
USD
295865.710000
0.1558315
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Floating
1.10475
N
N
N
N
N
N
MOUNTAIN VIEW CLO LLC 2017-1A
N/A
MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A
62432HAJ9
1000000.000000
PA
USD
978045.260000
0.5151332
Long
ABS-CBDO
CORP
KY
N
2
2029-10-16
Floating
2.26613
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A
64830NAA9
1663987.500000
PA
USD
1748740.040000
0.9210556
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Fixed
2.75
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A
64828XAA1
955771.120000
PA
USD
1009125.700000
0.5315031
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.75
N
N
N
N
N
N
NORWEGIAN AIR SHUTTLE ASA 2016-1 CLASS A ENHANCED PASS THROUGH TRUST
N/A
NORWEGIAN AIR 16 1 A PTT PASS THRU CE 144A 11/29 4.875
628788AA9
857699.710000
PA
USD
759086.630000
0.3998084
Long
DBT
CORP
NO
N
2
2029-11-10
Fixed
4.875
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2007-1
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1
68400DAA2
772725.540000
PA
USD
553321.710000
0.2914327
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.30825
N
N
N
N
N
N
PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC
N/A
PREFERRED TERM SECS X SR SECURED 144A 07/33 VAR
74040YAB8
385755.900000
PA
USD
364558.610000
0.1920118
Long
DBT
CORP
KY
N
2
2033-07-03
Floating
1.15688
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QO5
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4
75114HAK3
106368.390000
PA
USD
88685.050000
0.0467101
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
0.4545
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2005-QA9
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21
761118FJ2
178043.210000
PA
USD
97152.250000
0.0511698
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
3.80809
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2006-QO9
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO9 1A3A
75114PAC3
164196.120000
PA
USD
141466.830000
0.0745101
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
0.3845
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2007-QH4
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A2
74922TAB2
25466.070000
PA
USD
17820.270000
0.0093859
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.4145
Y
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2006-KS9
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 KS9 AI4
75406YAD9
730807.450000
PA
USD
631533.030000
0.3326263
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.4345
Y
N
N
N
N
N
ACE SECURITIES CORP 2006-NC2
N/A
ACE SECURITIES CORP. ACE 2006 NC2 A1
00441XAA2
1507304.540000
PA
USD
1173916.810000
0.6182981
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.30825
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST 2007-4
N/A
SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A
80557CAB8
214641.640000
PA
USD
195249.560000
0.1028373
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Floating
1.9345
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-EC1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 EC1 M2
81375WDE3
433798.040000
PA
USD
397551.350000
0.2093890
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
0.6145
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 10
N/A
SEQUOIA MORTGAGE TRUST SEMT 10 2A1
81743VAB9
4338.600000
PA
USD
4140.600000
0.0021808
Long
ABS-MBS
CORP
US
N
2
2027-10-20
Floating
0.95
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 5
N/A
SEQUOIA MORTGAGE TRUST SEMT 5 A
81743WAA9
30286.060000
PA
USD
29347.380000
0.0154572
Long
ABS-MBS
CORP
US
N
2
2026-10-19
Floating
0.54388
N
N
N
N
N
N
AEGIS ASSET BACKED SEC TR 2005-1
N/A
AEGIS ASSET BACKED SECURITIES AABST 2005 1 M4
00764MEN3
700000.000000
PA
USD
679586.740000
0.3579361
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
0.86825
N
N
N
N
N
N
SPRINGCASTLE FUNDING ASSET-BACKED NOTES 2019-AA
N/A
SPRINGCASTLE SPV SCFT 2019 AA A 144A
85022WAL8
725312.730000
PA
USD
734543.200000
0.3868815
Long
ABS-O
CORP
US
N
2
2036-05-27
Fixed
3.2
N
N
N
N
N
N
STRUCTURED ASSEET MTGE INV INC 2002-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1
86358HNX3
14619.500000
PA
USD
14102.860000
0.0074279
Long
ABS-MBS
CORP
US
N
2
2032-09-19
Floating
0.85388
N
N
N
N
N
N
STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2006 1 A4
86358EA97
1136307.620000
PA
USD
1008189.050000
0.5310098
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.78825
N
N
N
N
N
N
THORNBURG MORTGAGE SECURITIES TR 2006-5
N/A
THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1
88522RAA2
102307.290000
PA
USD
98139.540000
0.0516898
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
4.08457
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-HY2
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A
89177HAA0
603244.110000
PA
USD
601235.670000
0.3166688
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Floating
1.1845
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6
N/A
UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2013 C6 XA 144A
90349GAG0
2982447.430000
PA
USD
71601.400000
0.0377122
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
1.11094
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 15 YR 1.5 SINGLE FAMILY MORTGAGE
01F012486
1000000.000000
PA
USD
1015390.640000
0.5348029
Long
ABS-MBS
USGSE
US
N
2
2035-08-17
Fixed
1.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE
01F022485
2150000.000000
PA
USD
2247085.960000
1.1835327
Long
ABS-MBS
USGSE
US
N
2
2035-08-17
Fixed
2.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE
01F030488
5200000.000000
PA
USD
5461218.780000
2.8764058
Long
ABS-MBS
USGSE
US
N
2
2035-08-17
Fixed
3
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE
01F032476
700000.000000
PA
USD
735464.850000
0.3873669
Long
ABS-MBS
USGSE
US
N
2
2035-07-16
Fixed
3.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE
01F032476
-3200000.000000
PA
USD
-3362125.020000
-1.7708201
Short
ABS-MBS
USGSE
US
N
2
2035-07-16
Fixed
3.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 15 YR 4 SINGLE FAMILY MORTGAGE
01F040479
600000.000000
PA
USD
634839.840000
0.3343680
Long
ABS-MBS
USGSE
US
N
2
2035-07-16
Fixed
4
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE
01F042475
1000000.000000
PA
USD
1052363.280000
0.5542762
Long
ABS-MBS
USGSE
US
N
2
2035-07-16
Fixed
4.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
01F020695
2500000.000000
PA
USD
2545832.230000
1.3408814
Long
ABS-MBS
USGSE
US
N
2
2050-09-14
Fixed
2
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022683
10700000.000000
PA
USD
11130620.540000
5.8624608
Long
ABS-MBS
USGSE
US
N
2
2050-08-13
Fixed
2.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022691
7000000.000000
PA
USD
7266142.730000
3.8270532
Long
ABS-MBS
USGSE
US
N
2
2050-09-14
Fixed
2.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F030694
3045000.000000
PA
USD
3196155.600000
1.6834045
Long
ABS-MBS
USGSE
US
N
2
2050-09-14
Fixed
3
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
01F032682
17400000.000000
PA
USD
18301457.110000
9.6393166
Long
ABS-MBS
USGSE
US
N
2
2050-08-13
Fixed
3.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01F040677
8350000.000000
PA
USD
8848064.390000
4.6602461
Long
ABS-MBS
USGSE
US
N
2
2050-07-14
Fixed
4
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01F040685
1500000.000000
PA
USD
1590292.980000
0.8376020
Long
ABS-MBS
USGSE
US
N
2
2050-08-13
Fixed
4
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE
01F042673
800000.000000
PA
USD
859687.500000
0.4527945
Long
ABS-MBS
USGSE
US
N
2
2050-07-14
Fixed
4.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
01F050676
2600000.000000
PA
USD
2841515.640000
1.4966168
Long
ABS-MBS
USGSE
US
N
2
2050-07-14
Fixed
5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE
01F052672
-4100000.000000
PA
USD
-4512813.830000
-2.3768840
Short
ABS-MBS
USGSE
US
N
2
2050-07-14
Fixed
5.5
N
N
N
N
N
N
UNITED NATIONAL HM LN OWNER TR 1999-1
N/A
UNITED NATIONAL HOME LOAN OWNE UNHOT 1999 1 M2
91103PAC3
23922.310000
PA
USD
23902.480000
0.0125894
Long
ABS-MBS
CORP
US
N
2
2025-03-25
Variable
7.41
Y
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 09/20 0.00000
912796XH7
281000.000000
PA
USD
280935.680000
0.1479679
Long
DBT
UST
US
N
2
2020-09-03
None
0
N
N
N
N
N
N
UTAH STATE BOARD OF REGENTS 2017-1
N/A
STATE BOARD OF REGENTS OF THE USBR 2017 1 A
91754RZF7
960882.950000
PA
USD
940983.060000
0.4956126
Long
ABS-O
MUN
US
N
2
2057-01-25
Floating
0.9345
N
N
N
N
N
N
VENTURE CLO LTD 2013-4A
N/A
VENTURE CDO LTD VENTR 2013 14A ARR 144A
92328GBA3
1000000.000000
PA
USD
976948.020000
0.5145553
Long
ABS-CBDO
CORP
KY
N
2
2029-08-28
Floating
1.40125
N
N
N
N
N
N
WASHINGTON MUTUAL 2004-AR10
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1C
92922FWV6
79251.670000
PA
USD
76139.010000
0.0401022
Long
ABS-MBS
CORP
US
N
2
2044-07-25
Floating
0.6845
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR19
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 B1
92925CBL5
291929.490000
PA
USD
202384.150000
0.1065951
Long
ABS-MBS
CORP
US
N
2
2045-12-25
Floating
0.8845
N
N
N
N
N
N
WASHINGTON MUTUAL MTGE P/T 2006-AR6
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR6 1A1B
93935FAB7
1035.890000
PA
USD
1042.060000
0.0005488
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
0.4345
Y
N
N
N
N
N
WASHINGTON MUTUAL MTGE P/T 2007-OA1
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA1 2A
93935NAB0
163692.450000
PA
USD
133806.380000
0.0704754
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
2.22382
N
N
N
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
2621000.000000
PA
USD
2621000.000000
1.3804720
Long
RA
US
N
2
Repurchase
N
0.0000001
2020-07-01
2572500.000000
USD
2673491.850000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-11319761.030000
PA
USD
-11321207.430000
-5.9628423
Short
RA
US
N
2
Reverse repurchase
N
0.2300000
2020-07-14
10882684.290000
USD
11709269.250000
USD
AMBS
N
N
N
AMORTIZING RESIDENTIAL COLLAT 2001-BC6
N/A
AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A
86358RMY0
7525.710000
PA
USD
7226.680000
0.0038063
Long
ABS-MBS
CORP
US
N
2
2031-10-25
Floating
0.86825
N
N
N
N
N
N
AMRESCO RES SEC 1998-3
N/A
AMRESCO RESIDENTIAL SECURITIES AMRES 1998 3 M1A
03215PFJ3
74238.740000
PA
USD
74008.680000
0.0389801
Long
ABS-MBS
CORP
US
N
2
2028-09-25
Floating
0.79825
N
N
N
N
N
N
N/A
N/A
TRS P IOS.FN30.550.08 SAL
000000000
1.000000
NC
USD
-43.340000
-0.0000228
N/A
DIR
US
N
2
Signature Bank
VLP5AP0XK2GM6GKD1007
USD-LIBOR-BBA-Bloomberg 1M
N/A
N/A
Y
2039-01-12
0.000000
USD
0.000000
USD
20624.130000
USD
-43.340000
N
N
N
N/A
N/A
TRS P IOS.FN30.650.67 DUB
000000000
1.000000
NC
USD
-651.430000
-0.0003431
N/A
DIR
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD-LIBOR-BBA-Bloomberg 1M
N/A
N/A
Y
2038-01-12
0.000000
USD
0.000000
USD
386519.220000
USD
-651.430000
N
N
N
2020-08-04
PIMCO Funds
/s/ Jason Nagler
Jason Nagler
Assistant Treasurer
XXXX