NPORT-P
false
0001738073
XXXXXXXX
S000062375
C000202341
BlackRock Series Fund II, Inc.
811-23345
0001738073
54930070STPUVHAQ8125
100 Bellevue Parkway
Wilmington
19809
800-441-7762
BlackRock U.S. Government Bond Portfolio
S000062375
I0IK7Y6YGCB847JHZW53
2022-12-31
2022-03-31
N
67661391.67
25018819.17
42642572.50
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
362491.87000000
AUD
BRL
CAD
CHF
CNY
COP
EUR
GBP
HUF
JPY
MXN
NOK
PEN
PLN
RUB
SEK
TRY
USD
ZAR
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJEP9
13684.83000000
PA
USD
13559.04000000
0.031796955964
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJQF8
13809.83000000
PA
USD
13862.81000000
0.032509319178
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7MC6
12720.86090000
PA
USD
12406.63000000
0.029094468913
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H032647
100000.00000000
PA
USD
100546.88000000
0.235789902215
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQU26
273.05280000
PA
USD
270.27000000
0.000633803225
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410K3E2
1552.79000000
PA
USD
1699.10000000
0.003984515709
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2017-PANW, Class A
12595HAA6
350000.00000000
PA
USD
344451.98000000
0.807765478970
Long
ABS-MBS
CORP
US
N
2
2029-10-10
Fixed
3.24400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFG26
12320.58000000
PA
USD
12203.18000000
0.028617363551
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2T1
30996.76760000
PA
USD
28873.79000000
0.067711182293
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERA91
1033.21000000
PA
USD
1027.15000000
0.002408743046
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJC97
7289.64000000
PA
USD
7226.70000000
0.016947148298
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRG2
41399.15000000
PA
USD
41798.49000000
0.098020563839
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2016-151
38379UV45
452851.87320000
PA
USD
20567.35000000
0.048231963491
Long
ABS-MBS
USGA
US
N
2
2058-06-16
Variable
0.90923040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFA43
27572.51270000
PA
USD
26490.97000000
0.062123292397
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFFP1
38836.75150000
PA
USD
36176.67000000
0.084836978350
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Note
N/A
1.00000000
NC
USD
1426.35000000
0.003344896699
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 10 Year Ultra Note
2022-06-21
135500.00000000
USD
1426.35000000
N
N
N
Federal Home Loan Bank
2549001DPIFGXC1TOL40
Federal Home Loan Bank
3130A0A26
400000.00000000
PA
USD
430623.83000000
1.009844868059
Long
DBT
USGSE
US
N
2
2028-04-10
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
15040000.00000000
PA
USD
-11466.32000000
-0.02688937211
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-09-21
0.00000000
USD
0.00000000
USD
15040000.00000000
USD
-11466.32000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410G4B6
5352.86000000
PA
USD
5971.70000000
0.014004080077
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KNCZ4
131733.69840000
PA
USD
126443.52000000
0.296519446616
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNFD9
10960.30520000
PA
USD
10557.68000000
0.024758543823
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
225000.00000000
PA
USD
-24185.08000000
-0.05671580906
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-04-26
0.00000000
USD
0.00000000
USD
225000.00000000
USD
-24185.08000000
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL Commercial Mortgage Trust, Series 2018-CX11, Class A5
12652UAU3
42000.00000000
PA
USD
42995.69000000
0.100828086767
Long
ABS-MBS
CORP
US
N
2
2051-04-15
Variable
4.03310160
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE3D5
11027.59000000
PA
USD
10929.59000000
0.025630700399
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132ADQE1
13044.55570000
PA
USD
13201.92000000
0.030959483037
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust, Series 2021-MFM1, Class C
05608VAG1
30000.00000000
PA
USD
29020.30000000
0.068054759125
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
1.59657120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFG91
9683.03000000
PA
USD
9783.92000000
0.022944019148
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGS4
70061.37370000
PA
USD
67247.72000000
0.157700898556
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36180DSX6
6332.31000000
PA
USD
6439.59000000
0.015101316882
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FM78
23572.17000000
PA
USD
24766.41000000
0.058079071097
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KJVE9
42335.90000000
PA
USD
41534.29000000
0.097400995214
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RB6
610000.00000000
PA
USD
631492.97000000
1.480897921906
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.87500000
N
N
N
N
N
N
Lehman Brothers Holdings, Inc.
N/A
Lehman Brothers Holdings, Inc., Term Loan
N/A
696838.88000000
PA
USD
0.07000000
0.000000164155
Long
LON
CORP
US
N
3
2022-12-31
Variable
0.00000000
Y
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FLN4
10009.86000000
PA
USD
10516.99000000
0.024663122751
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRM9
69058.35000000
PA
USD
72060.08000000
0.168986240218
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLH6
15466.41860000
PA
USD
14403.28000000
0.033776761474
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5K99
40015.75000000
PA
USD
40544.30000000
0.095079395127
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-63.86000000
-0.00014975644
N/A
DFE
N/A
N
2
Bank of New York
WFLLPEPC7FZXENRZV188
10000.00000000
EUR
11003.75000000
USD
2022-04-20
-63.86000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHNX6
11510.10000000
PA
USD
11406.52000000
0.026749136675
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F012643
839700.00000000
PA
USD
749399.45000000
1.757397375592
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YTMU5
3695.65000000
PA
USD
3661.62000000
0.008586770884
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RD2
610000.00000000
PA
USD
721467.97000000
1.691895980243
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
8140000.00000000
PA
USD
16859.24000000
0.039536170103
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
Swaption
1.00000000
2.02000000
USD
2022-05-04
XXXX
7905.24000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM7D1
64731.81850000
PA
USD
60302.83000000
0.141414615640
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMSG1
69083.74000000
PA
USD
68190.82000000
0.159912538109
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage Securities Corp. Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2020-TWN3, Class A
36263JAA2
169935.00000000
PA
USD
169781.41000000
0.398150017802
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
2.39699880
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020646
-255500.00000000
PA
USD
-237165.88000000
-0.55617160526
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032641
-276306.00000000
PA
USD
-276780.90000000
-0.64907176976
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.50000000
N
N
N
N
N
N
Romark WM-R Ltd.
N/A
Romark WM-R Ltd., Series 2018-1A, Class A1
77587AAC0
395847.14000000
PA
USD
392694.53000000
0.920897842174
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.28400120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFZF6
8617.93000000
PA
USD
8538.41000000
0.020023205682
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040644
-143291.00000000
PA
USD
-146246.38000000
-0.34295862427
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage Securities Corp. Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2021-DM, Class A
36265AAA9
154000.00000000
PA
USD
150742.05000000
0.353501304359
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
1.28199960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LSK41
4636.28000000
PA
USD
4815.67000000
0.011293103857
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGB1
51711.52330000
PA
USD
49506.59000000
0.116096630896
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJDN5
28520.30000000
PA
USD
28263.34000000
0.066279631699
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QD3
160000.00000000
PA
USD
203393.75000000
0.476973451824
Long
DBT
UST
US
N
2
2039-11-15
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
241200.00000000
PA
USD
-22772.31000000
-0.05340275847
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-06-18
0.00000000
USD
0.00000000
USD
241200.00000000
USD
-22772.31000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H022648
1169000.00000000
PA
USD
1133793.00000000
2.658828803069
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRF4
13395.50000000
PA
USD
13526.92000000
0.031721632178
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LTFX1
615.80000000
PA
USD
627.04000000
0.001470455376
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFM40
75824.28170000
PA
USD
72897.95000000
0.170951107604
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MFCX4
12317.90270000
PA
USD
12208.69000000
0.028630284910
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022659
776000.00000000
PA
USD
738817.80000000
1.732582620337
Long
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3620A6DC8
5918.02000000
PA
USD
6527.13000000
0.015306604684
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
31329KW83
2203.51330000
PA
USD
2211.51000000
0.005186155220
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHPB2
16914.38000000
PA
USD
16762.13000000
0.039308439939
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5JU4
18027.89000000
PA
USD
18321.71000000
0.042965770885
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335AAT5
15811.85000000
PA
USD
16856.60000000
0.039529979107
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRK3
174378.03000000
PA
USD
182295.31000000
0.427496042833
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQLE0
9525.85000000
PA
USD
10208.71000000
0.023940183252
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EPQP2
5333.78000000
PA
USD
5389.27000000
0.012638238464
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828WZ9
2230000.00000000
PA
USD
2232693.88000000
5.235832992955
Long
DBT
UST
US
N
2
2022-04-30
Fixed
1.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132D9DQ4
43150.36000000
PA
USD
43020.35000000
0.100885916298
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140F5BJ1
3649.43320000
PA
USD
3558.28000000
0.008344430908
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F042640
-346000.00000000
PA
USD
-358542.50000000
-0.84080879501
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828J27
1470000.00000000
PA
USD
1449328.13000000
3.398782120848
Long
DBT
UST
US
N
2
2025-02-15
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XWBS9
3494.32000000
PA
USD
3548.99000000
0.008322645168
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1000000.00000000
PA
USD
-155.08000000
-0.00036367411
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Call
Written
N/A
Swaption
1.00000000
1.83700000
USD
2022-04-20
XXXX
29719.92000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CS47
11807.70590000
PA
USD
11919.86000000
0.027952957106
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EP4Z4
7620.83000000
PA
USD
7700.22000000
0.018057587871
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040644
1175200.00000000
PA
USD
1199438.50000000
2.812772376713
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307M2W5
14933.36000000
PA
USD
15099.39000000
0.035409191131
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRZ0
48999.47000000
PA
USD
51026.20000000
0.119660229222
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q83N3
112011.66020000
PA
USD
118094.64000000
0.276940702862
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
16.00000000
NC
USD
4250.00000000
0.009966565689
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Put
Purchased
N/A
U.S. Treasury 10 Year Note
100000.00000000
119.00000000
USD
2022-05-20
XXXX
3225.68000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFK47
8027.04000000
PA
USD
8110.73000000
0.019020264314
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NV50
1889.16000000
PA
USD
1910.23000000
0.004479631241
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federation
N/A
982000.00000000
PA
362.58000000
0.000850277032
Long
DBT
NUSS
RU
N
2
2035-07-18
Fixed
6.10000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284S6
380000.00000000
PA
USD
383681.25000000
0.899761031068
Long
DBT
UST
US
N
2
2023-05-31
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association, Series 2020-32, Class PI
3136B9RB5
107577.43000000
PA
USD
17769.55000000
0.041670914671
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKLB9
9268.47000000
PA
USD
9188.37000000
0.021547410161
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJEZ7
10942.98020000
PA
USD
10669.73000000
0.025021309396
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828XB1
1290000.00000000
PA
USD
1274278.13000000
2.988276868146
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EW4R3
3244.30000000
PA
USD
3213.87000000
0.007536763876
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138X54U8
21581.89000000
PA
USD
22767.04000000
0.053390399934
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MFF94
76139.30000000
PA
USD
78906.61000000
0.185041861627
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36241L7B6
10016.91000000
PA
USD
10665.57000000
0.025011553887
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179TLT0
38299.47580000
PA
USD
39660.79000000
0.093007498550
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2020-VIV4, Class A
05608MAA4
160000.00000000
PA
USD
149682.02000000
0.351015455270
Long
ABS-MBS
CORP
US
N
2
2044-03-09
Fixed
2.84300000
N
N
N
N
N
N
Arbor Multifamily Mortgage Securities Trust
N/A
Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class XA
03882KAN2
109981.42000000
PA
USD
5515.67000000
0.012934655853
Long
ABS-MBS
CORP
US
N
2
2054-10-15
Variable
0.74282400
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K105, Class X1
3137FRUL3
551202.38280000
PA
USD
54309.64000000
0.127360139916
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Variable
1.52265960
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KEYV1
4184.62000000
PA
USD
4231.27000000
0.009922642448
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFK67
413074.65380000
PA
USD
374465.55000000
0.878149530026
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFG83
9299.12000000
PA
USD
9396.07000000
0.022034482089
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1400000.00000000
PA
USD
-15338.32000000
-0.03596949972
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Swaption
1.00000000
2.21000000
USD
2022-08-16
XXXX
-10718.32000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XDY42
16741.65690000
PA
USD
15589.82000000
0.036559285910
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMY58
34852.73180000
PA
USD
32406.19000000
0.075994922679
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417F4J4
28954.66000000
PA
USD
28874.20000000
0.067712143773
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2S3
26721.25670000
PA
USD
24882.82000000
0.058352061194
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WF4T0
410.75000000
PA
USD
427.99000000
0.001003668341
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JSAE9
16704.29470000
PA
USD
15555.94000000
0.036479834794
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SLS4
8594.65920000
PA
USD
8739.84000000
0.020495573994
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416WLG5
2661.69000000
PA
USD
2831.47000000
0.006640007471
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERRX0
3704.31730000
PA
USD
3932.21000000
0.009221324534
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36180DVA2
23267.53000000
PA
USD
23676.03000000
0.055522049003
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XHBF7
18666.59000000
PA
USD
19886.75000000
0.046635905936
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YXK95
4022.14000000
PA
USD
4060.08000000
0.009521189182
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KNQV8
12106.81000000
PA
USD
11247.97000000
0.026377325148
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VSF8
179142.24660000
PA
USD
171105.61000000
0.401255365163
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J74X0
72680.30340000
PA
USD
73430.31000000
0.172199531348
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMSH9
37727.62000000
PA
USD
38940.98000000
0.091319490633
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QC5
160000.00000000
PA
USD
206518.75000000
0.484301808949
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
Lehman Brothers Holdings, Inc.
N/A
Lehman Brothers Holdings, Inc., Term Loan
N/A
696838.88000000
PA
USD
0.07000000
0.000000164155
Long
LON
CORP
US
N
3
2022-12-31
Variable
0.00000000
Y
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
264.85000000
0.000621092923
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
10000.00000000
USD
204738.08000000
MXN
2022-04-20
264.85000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQLB6
63437.22000000
PA
USD
68305.87000000
0.160182338905
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36176DHP1
6674.17000000
PA
USD
7065.04000000
0.016568043590
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-306.56000000
-0.00071890597
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
150910.97000000
ZAR
10000.00000000
USD
2022-04-20
-306.56000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNEL2
104215.61550000
PA
USD
97051.97000000
0.227594078663
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128285M8
350000.00000000
PA
USD
364423.83000000
0.854600950728
Long
DBT
UST
US
N
2
2028-11-15
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31419A4H7
3037.91000000
PA
USD
3388.57000000
0.007946448352
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
6.00000000
N
N
N
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A
90205FAA8
121000.00000000
PA
USD
120411.13000000
0.282373043980
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
1.18699920
N
N
N
N
N
N
Federal Home Loan Bank
2549001DPIFGXC1TOL40
Federal Home Loan Bank
313385XA9
4200000.00000000
PA
USD
4197604.70000000
9.843694819302
Long
STIV
USGA
US
N
2
2022-05-20
Fixed
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EW4P7
1499.62000000
PA
USD
1486.13000000
0.003485085239
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140FXE40
89091.71000000
PA
USD
90327.80000000
0.211825400543
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31412QM89
30193.55000000
PA
USD
33266.73000000
0.078012952900
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617BUEB1
18358.61900000
PA
USD
19015.23000000
0.044592126800
Long
ABS-MBS
USGA
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGW5
55612.06820000
PA
USD
51734.06000000
0.121320213502
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FJQ0
1503.12000000
PA
USD
1600.37000000
0.003752986525
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
4.50000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2019-XL, Class D
056054AG4
255000.04000000
PA
USD
252594.60000000
0.592353099710
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.84700160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XQM73
4633.83170000
PA
USD
4682.00000000
0.010979637778
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YB0
125000.00000000
PA
USD
118540.04000000
0.277985198946
Long
DBT
UST
US
N
2
2029-08-15
Fixed
1.62500000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
200750.00000000
PA
USD
1309.09000000
0.003069913289
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2027-03-31
0.00000000
USD
0.00000000
USD
200750.00000000
USD
1309.09000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRJ6
38925.67000000
PA
USD
40691.63000000
0.095424894921
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
CFK Trust
N/A
CFK Trust, Series 2020-MF2, Class B
12529AAC8
140000.00000000
PA
USD
131115.50000000
0.307475586750
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Fixed
2.79200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36230UEK1
11761.03000000
PA
USD
12446.03000000
0.029186864840
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CRC0
19513.67960000
PA
USD
19730.20000000
0.046268784557
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282A7
1700000.00000000
PA
USD
1629144.53000000
3.820464935599
Long
DBT
UST
US
N
2
2026-08-15
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179MG87
3884.54000000
PA
USD
4262.56000000
0.009996019822
Long
ABS-MBS
USGA
US
N
2
2042-07-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2017-30
38379U7F7
207756.93000000
PA
USD
6686.70000000
0.015680808187
Long
ABS-MBS
USGA
US
N
2
2058-08-16
Variable
0.53946000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRE7
57050.73000000
PA
USD
58183.43000000
0.136444465211
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XBJE1
92167.08890000
PA
USD
94084.17000000
0.220634367216
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
4.00000000
N
N
N
N
N
N
MTN Commercial Mortgage Trust
N/A
MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A
62475WAA3
220000.00000000
PA
USD
219035.08000000
0.513653532511
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Floating
1.44690120
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H050656
126000.00000000
PA
USD
131423.91000000
0.308198831109
Long
ABS-MBS
USGA
US
N
2
2052-05-15
Fixed
5.00000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark Mortgage Trust, Series 2020-B20, Class XA
08162XBJ2
1015405.31000000
PA
USD
94981.42000000
0.222738485113
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Variable
1.62223920
N
N
N
N
N
N
Med Trust
N/A
Med Trust, Series 2021-MDLN, Class A
58403YAD8
136000.00000000
PA
USD
133652.20000000
0.313424336676
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.34700120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NXU3
646.01000000
PA
USD
640.14000000
0.001501175849
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YD4N6
3637.05000000
PA
USD
3604.70000000
0.008453289256
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XB2F6
8944.98560000
PA
USD
9134.11000000
0.021420166431
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179TAL9
32779.87290000
PA
USD
33772.76000000
0.079199630838
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMR56
75682.36000000
PA
USD
76892.84000000
0.180319421395
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA
12596WAE4
1532220.28000000
PA
USD
134674.04000000
0.315820627378
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Variable
1.55700720
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032641
934000.00000000
PA
USD
935605.31000000
2.194063948651
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179R4E6
229829.41310000
PA
USD
234766.34000000
0.550544505728
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83A3
68988.71000000
PA
USD
67749.68000000
0.158878032041
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Euro-Bund
N/A
2.00000000
NC
-5187.20000000
-0.01216436930
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Long
N/A
Euro-Bund
2022-06-08
317320.00000000
EUR
-5187.20000000
N
N
N
N/A
N/A
SOP
N/A
-300000.00000000
PA
USD
-9254.03000000
-0.02170138773
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Call
Written
N/A
Swaption
1.00000000
2.10000000
USD
2023-03-17
XXXX
165.97000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W6SU1
24747.67000000
PA
USD
24696.63000000
0.057915431814
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFUY5
6918.51000000
PA
USD
6453.74000000
0.015134499683
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XQBF7
19141.53000000
PA
USD
19340.29000000
0.045354416645
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617XDCB7
85805.42000000
PA
USD
88715.53000000
0.208044507633
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2017-64
38379RUV3
139615.01130000
PA
USD
6573.90000000
0.015416283808
Long
ABS-MBS
USGA
US
N
2
2057-11-16
Variable
0.74250000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CWS9
545.12240000
PA
USD
550.38000000
0.001290681982
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
102000.00000000
PA
USD
-3923.11000000
-0.00919998435
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-01
0.00000000
USD
0.00000000
USD
102000.00000000
USD
-3923.11000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179MAY6
8650.11000000
PA
USD
9088.49000000
0.021313184142
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EW4N2
1909.74000000
PA
USD
1893.26000000
0.004439835331
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040651
-366000.00000000
PA
USD
-372159.29000000
-0.87274117901
Short
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
150000.00000000
PA
65.32000000
0.000153180251
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2032-03-17
0.00000000
USD
0.00000000
USD
150000.00000000
MXN
65.32000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QUZX4
2638.29000000
PA
USD
2721.74000000
0.006382682470
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
155.65000000
0.000365010811
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
10000.00000000
USD
38400000.00000000
COP
2022-04-20
155.65000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2018-H3, Class B
61767YBD1
34304.00000000
PA
USD
35293.61000000
0.082766137057
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Variable
4.61999880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WH3T7
17043.70730000
PA
USD
16887.03000000
0.039601339717
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617BUEC9
20570.18260000
PA
USD
21422.54000000
0.050237447564
Long
ABS-MBS
USGA
US
N
2
2047-10-15
Fixed
4.00000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2022-BNK40, Class A4
06541LBG0
40000.00000000
PA
USD
40276.71000000
0.094451876701
Long
ABS-MBS
CORP
US
N
2
2064-03-15
Variable
3.50669880
N
N
N
N
N
N
N/A
N/A
IRS
N/A
200000.00000000
PA
USD
-11492.71000000
-0.02695125862
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2032-03-04
0.00000000
USD
0.00000000
USD
200000.00000000
USD
-11492.71000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132J72F8
23434.25000000
PA
USD
23371.10000000
0.054806965503
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138M1YD4
1441.52000000
PA
USD
1470.25000000
0.003447845460
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GNNQ2
19784.27270000
PA
USD
20432.47000000
0.047915659872
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFNC6
6940.15000000
PA
USD
6875.07000000
0.016122549829
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJTW1
12555.58000000
PA
USD
12474.93000000
0.029254637486
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FMA1
5371.88000000
PA
USD
5644.04000000
0.013235693038
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31402RDH9
57049.75000000
PA
USD
63054.89000000
0.147868400763
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140LQF96
8978.35000000
PA
USD
8363.98000000
0.019614154375
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2017-COR2, Class AM
12595EAF2
19252.00000000
PA
USD
19318.42000000
0.045303129870
Long
ABS-MBS
CORP
US
N
2
2050-09-10
Fixed
3.80300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFYN0
7426.57000000
PA
USD
7355.76000000
0.017249803585
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJJ25
4307.51030000
PA
USD
4438.26000000
0.010408049373
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XHT76
16841.38000000
PA
USD
17948.01000000
0.042089416627
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CPF5
551.84180000
PA
USD
568.55000000
0.001333291981
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KXL3
3466.26000000
PA
USD
3821.68000000
0.008962123474
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GYJX8
9006.73770000
PA
USD
9103.99000000
0.021349532793
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140LQFT2
5988.27000000
PA
USD
5582.23000000
0.013090743997
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAJ1
3141.85000000
PA
USD
3176.88000000
0.007450019578
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQA51
11160.63000000
PA
USD
11276.89000000
0.026445144696
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EPJ62
8978.98000000
PA
USD
9072.49000000
0.021275662953
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2016-22
38379UGG5
1117088.17720000
PA
USD
31987.60000000
0.075013298036
Long
ABS-MBS
USGA
US
N
2
2055-11-16
Variable
0.72488880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410GH22
81742.10000000
PA
USD
89386.09000000
0.209617020642
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust, Series 2021-VIEW, Class A
05606GAA9
50000.00000000
PA
USD
49392.07000000
0.115828072989
Long
ABS-MBS
CORP
US
N
2
2023-06-15
Floating
1.67699880
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MAFB0
44318.90000000
PA
USD
47952.44000000
0.112452033704
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NM68
1976.39000000
PA
USD
1998.42000000
0.004686443342
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ECKY8
1149.83000000
PA
USD
1172.77000000
0.002750232763
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ELS79
19448.53000000
PA
USD
21708.61000000
0.050908302964
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QSGT9
14339.65000000
PA
USD
14931.03000000
0.035014374425
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030645
-361000.00000000
PA
USD
-353103.13000000
-0.82805306832
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
4.00000000
NC
USD
-20066.25000000
-0.04705684676
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury Ultra Bond
2022-06-21
709125.00000000
USD
-20066.25000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5YR4
12093.79000000
PA
USD
12501.04000000
0.029315867376
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31294DLW9
7286.80000000
PA
USD
7316.66000000
0.017158111181
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1355.74000000
0.003179311004
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2213.03000000
USD
266670.00000000
RUB
2022-05-24
1355.74000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F012643
-559800.00000000
PA
USD
-499599.63000000
-1.17159824257
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
1.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRH0
56303.09000000
PA
USD
58012.82000000
0.136044372088
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNEK4
47111.16820000
PA
USD
43887.49000000
0.102919424009
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418V3A8
11674.67000000
PA
USD
12357.66000000
0.028979630626
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2018-SUN, Class A
61691MAA5
130000.00000000
PA
USD
128365.17000000
0.301025858606
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.29700080
N
N
N
N
N
N
N/A
N/A
Euro-BTP
N/A
-2.00000000
NC
13850.29000000
0.032479958848
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
Euro-BTP
2022-06-08
-276620.00000000
EUR
13850.29000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617XDB85
121674.89000000
PA
USD
123755.45000000
0.290215722796
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K122, Class X1
3137F82T9
218592.80850000
PA
USD
13425.12000000
0.031482903617
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
0.88239240
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VN63
24683.34000000
PA
USD
25679.72000000
0.060220850887
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
4.50000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2019-XL, Class A
056054AA7
83423.76130000
PA
USD
83060.48000000
0.194782995327
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.31699880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138Y8EH9
18301.83370000
PA
USD
18492.76000000
0.043366895841
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage Securities Corp. Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2021-STAR, Class A
36264LAA6
126000.00000000
PA
USD
124728.29000000
0.292497104859
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.34656920
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133B2ME6
36739.87300000
PA
USD
34225.86000000
0.080262183994
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EJCD8
2656.30000000
PA
USD
2728.55000000
0.006398652426
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5EJ4
380.01250000
PA
USD
376.46000000
0.000882826663
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVL60
220680.28690000
PA
USD
205513.02000000
0.481943297393
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EEHB8
699.84000000
PA
USD
713.80000000
0.001673914021
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4G6
104048.11300000
PA
USD
99869.62000000
0.234201677208
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKK95
11424.80000000
PA
USD
11315.54000000
0.026535781817
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
200750.00000000
PA
USD
1527.90000000
0.003583038992
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2027-03-31
0.00000000
USD
0.00000000
USD
200750.00000000
USD
1527.90000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YTRT3
1316.09000000
PA
USD
1326.67000000
0.003111139694
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GVGT3
15586.29000000
PA
USD
15909.46000000
0.037308865453
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7MK8
24148.12950000
PA
USD
23551.47000000
0.055229946551
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFZG4
7293.28000000
PA
USD
7224.87000000
0.016942856812
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LQ2K9
2322.51000000
PA
USD
2364.75000000
0.005545514403
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418DLR1
4949.31340000
PA
USD
4982.13000000
0.011683464922
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K120, Class X1
3137F72R5
735109.96760000
PA
USD
52201.11000000
0.122415480445
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.03856040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83C9
56603.69000000
PA
USD
57727.51000000
0.135375298945
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFKC4
35467.14690000
PA
USD
33040.40000000
0.077482192238
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179QRZ6
2243.13000000
PA
USD
2356.77000000
0.005526800710
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQUB6
19034.37000000
PA
USD
20594.55000000
0.048295749511
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QFBX6
15284.31080000
PA
USD
15185.16000000
0.035610328152
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1400000.00000000
PA
USD
-608.15000000
-0.00142615692
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Call
Written
N/A
Swaption
1.00000000
1.22000000
USD
2022-09-02
XXXX
4790.87000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36181GFM6
27863.67000000
PA
USD
28593.19000000
0.067053154450
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XEA38
36011.29390000
PA
USD
33544.93000000
0.078665352565
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36241LVF0
17223.04000000
PA
USD
18995.64000000
0.044546186794
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE6X8
12221.98000000
PA
USD
12117.14000000
0.028415593360
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BEU6
42466.22850000
PA
USD
44816.23000000
0.105097388296
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617XDCC5
67435.35000000
PA
USD
69723.07000000
0.163505778175
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GEB41
6482.98000000
PA
USD
6902.92000000
0.016187860148
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140E0V36
1773.33000000
PA
USD
1791.82000000
0.004201950996
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CR89
19489.71630000
PA
USD
19658.52000000
0.046100689633
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M7CL8
11360.26000000
PA
USD
12087.18000000
0.028345334934
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association, Series 2020-32
3136B9PX9
95186.02000000
PA
USD
15784.75000000
0.037016411240
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K113, Class X1
3137FV5Q1
199982.36400000
PA
USD
18520.91000000
0.043432909681
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.38744360
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QAAJ9
1158.23070000
PA
USD
1191.95000000
0.002795211287
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617B9SG2
19285.08750000
PA
USD
19978.77000000
0.046851699671
Long
ABS-MBS
USGA
US
N
2
2047-09-15
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Commercial Mortgage Securities Trust
N/A
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class A
46652RAA2
100000.00000000
PA
USD
98239.78000000
0.230379581344
Long
ABS-MBS
CORP
US
N
2
2033-10-15
Floating
1.76699880
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3622A2AE2
90081.52000000
PA
USD
97082.64000000
0.227666002092
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
2842000.00000000
PA
USD
-1885.15000000
-0.00442081677
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-09-21
0.00000000
USD
0.00000000
USD
2842000.00000000
USD
-1885.15000000
N
N
N
JPMorgan Chase Commercial Mortgage Securities Trust
N/A
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-ACB, Class A
46593EAA3
80000.00000000
PA
USD
79824.14000000
0.187193537631
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Floating
1.45000080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KYWH8
19931.05150000
PA
USD
18704.85000000
0.043864262645
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRN7
34834.89000000
PA
USD
35438.49000000
0.083105891418
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMQ73
52926.47000000
PA
USD
55353.74000000
0.129808631972
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H022648
-677000.00000000
PA
USD
-656610.66000000
-1.53980077069
Short
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H042646
100000.00000000
PA
USD
103375.00000000
0.242422053688
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFAF3
520.41470000
PA
USD
515.38000000
0.001208604382
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
312934WB4
7794.00000000
PA
USD
8301.48000000
0.019467587233
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132G0B58
4418.03460000
PA
USD
4466.62000000
0.010474555680
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
69.08000000
0.000161997731
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
10998.53000000
USD
10000.00000000
EUR
2022-04-20
69.08000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417AYD5
16217.50000000
PA
USD
16966.24000000
0.039787093051
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE4Z5
29073.03000000
PA
USD
29397.09000000
0.068938359663
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
173000.00000000
PA
-378.68000000
-0.00088803272
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2032-01-23
0.00000000
USD
0.00000000
USD
173000.00000000
MXN
-378.68000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MEK91
14067.07000000
PA
USD
14198.55000000
0.033296654417
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140L6AS3
12115.76370000
PA
USD
11294.03000000
0.026485339269
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83E5
41347.33000000
PA
USD
42994.12000000
0.100824405000
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CV35
977.43090000
PA
USD
999.35000000
0.002343549981
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617XCUF0
305111.02810000
PA
USD
312623.19000000
0.733124602180
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X82G1
78095.53000000
PA
USD
78975.01000000
0.185202264708
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association, Series 2020-115, Class IM
38382HB41
131965.84770000
PA
USD
20294.80000000
0.047592813496
Long
ABS-MBS
USGA
US
N
3
2050-08-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140H6PA1
10599.38670000
PA
USD
10710.56000000
0.025117058779
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2021-FCMT, Class A
95003EAA4
140000.00000000
PA
USD
138429.80000000
0.324628163556
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Floating
1.59699960
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA
90278MBB2
979319.05000000
PA
USD
82362.40000000
0.193145945873
Long
ABS-MBS
CORP
US
N
2
2052-10-15
Variable
1.47723840
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KEXZ3
3308.25000000
PA
USD
3345.08000000
0.007844461072
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
400000.00000000
PA
USD
20456.10000000
0.047971073977
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2029-10-01
0.00000000
USD
0.00000000
USD
400000.00000000
USD
20456.10000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BAA4
2451.05850000
PA
USD
2560.22000000
0.006003906072
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRT4
199282.00000000
PA
USD
199033.35000000
0.466747989934
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2017-61
38379RSQ7
175382.48320000
PA
USD
7988.81000000
0.018734352858
Long
ABS-MBS
USGA
US
N
2
2059-05-16
Variable
0.76996080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KJUF7
58499.35200000
PA
USD
57602.50000000
0.135082141209
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association, Series 2020-175, Class DI
38382LLK5
83343.30900000
PA
USD
10027.58000000
0.023515419947
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAD4
17934.51000000
PA
USD
17775.21000000
0.041684187791
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2Q7
9923.88860000
PA
USD
9241.10000000
0.021671065928
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZH0
8074.50000000
PA
USD
8230.76000000
0.019301743580
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132M4QU2
9346.42000000
PA
USD
9518.35000000
0.022321237772
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617BFTR3
7263.43000000
PA
USD
7649.44000000
0.017938504999
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
GCT Commercial Mortgage Trust
N/A
GCT Commercial Mortgage Trust, Series 2021-GCT, Class A
36167RAA1
100000.00000000
PA
USD
98297.49000000
0.230514915581
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
1.19700000
N
N
N
N
N
N
BX Trust
N/A
BX Trust, Series 2019-OC11, Class A
05606FAA1
275000.00000000
PA
USD
265475.65000000
0.622560118763
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.20200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9MV4
2397.09380000
PA
USD
2453.50000000
0.005753639745
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617BYFD8
22304.75770000
PA
USD
23100.09000000
0.054171426923
Long
ABS-MBS
USGA
US
N
2
2047-12-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
10000.00000000
PA
USD
23.06000000
0.000054077412
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
0.00000000
USD
21.54000000
USD
10000.00000000
USD
23.06000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36297FRM6
2735.44000000
PA
USD
2955.35000000
0.006930515273
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NN26
2568.34000000
PA
USD
2546.35000000
0.005971379892
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAC6
9821.83000000
PA
USD
9736.10000000
0.022831877696
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418DB68
1574.27180000
PA
USD
1586.24000000
0.003719850625
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJC71
20764.69000000
PA
USD
20573.78000000
0.048247042319
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QUZV8
3118.53000000
PA
USD
3238.81000000
0.007595250028
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
200000.00000000
PA
USD
-754.24000000
-0.00176874882
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2032-04-01
0.00000000
USD
0.00000000
USD
200000.00000000
USD
-754.24000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFUZ2
5986.66000000
PA
USD
5576.14000000
0.013076462495
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2020-FOX, Class B
12433AAC3
111109.75000000
PA
USD
110062.84000000
0.258105535260
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
1.74700080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association, Series 2011-8, Class ZA
31397QJJ8
77725.62600000
PA
USD
78874.23000000
0.184965928122
Long
ABS-MBS
USGSE
US
N
2
2041-02-25
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W5MS4
16600.44000000
PA
USD
16559.42000000
0.038833069932
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XAY55
46003.65060000
PA
USD
46960.53000000
0.110125931075
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
102000.00000000
PA
USD
-3818.17000000
-0.00895389226
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-10-29
0.00000000
USD
0.00000000
USD
102000.00000000
USD
-3818.17000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERM49
4611.93970000
PA
USD
4660.04000000
0.010928139947
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31292HEF7
639.57000000
PA
USD
689.98000000
0.001618054351
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Long Bond
N/A
-5.00000000
NC
USD
14489.22000000
0.033978297158
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
U.S. Treasury Long Bond
2022-06-21
-751250.00000000
USD
14489.22000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QETF9
5109.19000000
PA
USD
5171.44000000
0.012127410934
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGV7
54940.17990000
PA
USD
51074.89000000
0.119774410889
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
53500.00000000
PA
USD
-1947.65000000
-0.00456738392
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-15
0.00000000
USD
0.00000000
USD
53500.00000000
USD
-1947.65000000
N
N
N
N/A
N/A
USCPI
N/A
107000.00000000
PA
USD
-1906.08000000
-0.00446989918
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2032-02-28
0.00000000
USD
0.00000000
USD
107000.00000000
USD
-1906.08000000
N
N
N
BFLD Trust
N/A
BFLD Trust, Series 2020-EYP, Class A
05493AAA8
128000.00000000
PA
USD
126564.76000000
0.296803763422
Long
ABS-MBS
CORP
US
N
2
2035-10-15
Floating
1.54699920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4E1
56797.49330000
PA
USD
54604.61000000
0.128051866476
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617X85X8
269609.85000000
PA
USD
278748.91000000
0.653686899400
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K109, Class X1
3137FTG27
122661.62990000
PA
USD
12656.40000000
0.029680198116
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.58157720
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
236.08000000
0.000553625136
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1328.72000000
USD
116927.00000000
RUB
2022-05-24
236.08000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-61.76000000
-0.00014483178
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
38045000.00000000
COP
10000.00000000
USD
2022-04-20
-61.76000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032443
-13000.00000000
PA
USD
-13260.00000000
-0.03109568495
Short
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFEW2
5673.90000000
PA
USD
5620.68000000
0.013180912103
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F012445
275000.00000000
PA
USD
260723.63000000
0.611416278884
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H030641
-160974.00000000
PA
USD
-159081.30000000
-0.37305746504
Short
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EPJ54
11064.91000000
PA
USD
11180.08000000
0.026218118055
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020646
1581000.00000000
PA
USD
1467550.90000000
3.441515870084
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5GJ2
8350.89000000
PA
USD
8517.23000000
0.019973537009
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K119, Class X1
3137F6GV3
149529.58550000
PA
USD
9631.28000000
0.022586067010
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
0.93166920
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335AYP7
14108.36000000
PA
USD
14035.30000000
0.032913821041
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q9W74
2439.23810000
PA
USD
2494.76000000
0.005850397510
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SJ8
727000.00000000
PA
USD
691274.77000000
1.621090683494
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JR7K1
30490.86750000
PA
USD
28386.24000000
0.066567841328
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJUH2
3580.33000000
PA
USD
3559.52000000
0.008347338800
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
1000000.00000000
PA
USD
34414.92000000
0.080705543738
N/A
DIR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Put
Purchased
N/A
Swaption
1.00000000
2.15000000
USD
2023-01-20
XXXX
18214.92000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GVZ99
22652.18000000
PA
USD
23753.28000000
0.055703205992
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJUD1
6882.87000000
PA
USD
6844.28000000
0.016050344992
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FGD2
55.06000000
PA
USD
58.62000000
0.000137468254
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140KSBC0
8951.20700000
PA
USD
8335.67000000
0.019547765323
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9EC5
2879.33290000
PA
USD
2942.03000000
0.006899278883
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FEH5
717.94000000
PA
USD
764.38000000
0.001792527878
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFYM2
8211.38000000
PA
USD
8133.12000000
0.019072770527
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MAAK5
11664.04000000
PA
USD
12416.45000000
0.029117497543
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNE40
16003.97760000
PA
USD
15386.32000000
0.036082063294
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKK61
6459.31000000
PA
USD
6401.09000000
0.015011031522
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
53500.00000000
PA
USD
-1764.12000000
-0.00413699243
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-15
0.00000000
USD
0.00000000
USD
53500.00000000
USD
-1764.12000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFWG2
21945.67000000
PA
USD
20443.96000000
0.047942604776
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3620AXJ82
1330.51000000
PA
USD
1377.10000000
0.003229401790
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EH3N0
22997.68000000
PA
USD
25371.18000000
0.059497301669
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
44706.00000000
PA
USD
-2084.11000000
-0.00488739275
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-08
0.00000000
USD
0.00000000
USD
44706.00000000
USD
-2084.11000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGT2
87057.60260000
PA
USD
83453.41000000
0.195704445363
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179QJV4
2708.37000000
PA
USD
2972.71000000
0.006971225762
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNE57
56662.22180000
PA
USD
54440.19000000
0.127666289363
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
312942H40
4114.09000000
PA
USD
4306.92000000
0.010100047317
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RC4
610000.00000000
PA
USD
707695.31000000
1.659598069511
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CXN9
808.71620000
PA
USD
829.05000000
0.001944183831
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNEJ7
20704.18410000
PA
USD
19293.87000000
0.045245558297
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GSRR5
893.34750000
PA
USD
919.12000000
0.002155404672
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZJ6
5104.39000000
PA
USD
5193.86000000
0.012179987499
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HMP40
2675.56000000
PA
USD
2774.19000000
0.006505681616
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WCSJ3
19379.91000000
PA
USD
19581.48000000
0.045920025111
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJEN4
16520.67680000
PA
USD
16371.82000000
0.038393133997
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMYM1
123581.98870000
PA
USD
115195.21000000
0.270141324142
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-300000.00000000
PA
USD
-11630.54000000
-0.02727448021
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Written
N/A
Swaption
1.00000000
2.10000000
USD
2023-03-17
XXXX
-2210.54000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAE2
740.11000000
PA
USD
733.48000000
0.001720065082
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJH35
4336.55000000
PA
USD
4336.75000000
0.010170000883
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31292HKW3
622.98000000
PA
USD
631.33000000
0.001480515745
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H020642
739700.00000000
PA
USD
703639.63000000
1.650087198655
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-357.84000000
-0.00083916138
N/A
DFE
N/A
N
2
Banco JP Morgan SA
549300OA79DKM2EKBT58
800000.00000000
RUB
10348.35000000
USD
2022-05-24
-357.84000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KFF6
4545.15000000
PA
USD
5077.16000000
0.011906317331
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040651
500000.00000000
PA
USD
508414.34000000
1.192269392283
Long
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMY33
7018.90180000
PA
USD
6529.47000000
0.015312092158
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418EBJ8
157308.45980000
PA
USD
146997.62000000
0.344720337873
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030447
-144000.00000000
PA
USD
-144990.00000000
-0.34001231984
Short
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1000000.00000000
PA
USD
-11824.35000000
-0.02772897906
N/A
DIR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Call
Written
N/A
Swaption
1.00000000
1.98500000
USD
2022-10-28
XXXX
22775.65000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J8GB3
31959.45120000
PA
USD
31633.86000000
0.074183751461
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CYM0
818.95410000
PA
USD
837.59000000
0.001964210766
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M9GP1
4519.40300000
PA
USD
4613.50000000
0.010819000190
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJF94
674.45440000
PA
USD
657.61000000
0.001542144297
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H022655
100000.00000000
PA
USD
96773.44000000
0.226940905124
Long
ABS-MBS
USGA
US
N
2
2052-05-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CS54
4359.67300000
PA
USD
4499.80000000
0.010552365244
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022444
-26800.00000000
PA
USD
-26484.89000000
-0.06210903434
Short
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CCL6
2263.38660000
PA
USD
2206.93000000
0.005175414780
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132A5H40
11941.58060000
PA
USD
12080.91000000
0.028330631319
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class A3
12596WAC8
134000.00000000
PA
USD
131969.32000000
0.309477858072
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
3.32900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X8XE2
46550.91190000
PA
USD
43354.98000000
0.101670648505
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020653
1100000.00000000
PA
USD
1019053.98000000
2.389757278363
Long
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BKV7
17464.52770000
PA
USD
17855.11000000
0.041871559226
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H040640
-51000.00000000
PA
USD
-52004.06000000
-0.12195338355
Short
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83Z8
7804.24410000
PA
USD
7891.09000000
0.018505192199
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J76Q3
14646.27060000
PA
USD
14509.87000000
0.034026722942
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J8HY2
10437.68970000
PA
USD
11079.96000000
0.025983329218
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83D7
3085.12000000
PA
USD
3144.47000000
0.007374015721
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030645
852500.00000000
PA
USD
833851.56000000
1.955443846639
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H042646
-409000.00000000
PA
USD
-422803.75000000
-0.99150619958
Short
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K116, Class X1
3137FWHV5
99743.82700000
PA
USD
9440.75000000
0.022139260008
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Variable
1.42610760
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KHE7
1591.48000000
PA
USD
1777.75000000
0.004168955801
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H030641
682348.00000000
PA
USD
674325.08000000
1.581342401422
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association, Series 2020-185, Class MI
38382LV57
174676.42000000
PA
USD
23115.31000000
0.054207118953
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416BMP0
34867.91000000
PA
USD
38176.69000000
0.089527173812
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMQ81
29853.70000000
PA
USD
30072.36000000
0.070521917972
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307MSF4
7922.75000000
PA
USD
7854.93000000
0.018420394313
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
BlackRock Liquidity Funds
5493002L9DNZ83RX7V61
T-Fund, Institutional Class
09248U718
5665686.76000000
NS
USD
5665686.76000000
13.28645629904
Long
STIV
RF
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQA36
13255.45000000
PA
USD
13393.62000000
0.031409033777
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022642
-614200.00000000
PA
USD
-585985.19000000
-1.37417879749
Short
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KLUA3
246846.43540000
PA
USD
236934.42000000
0.555628814373
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418MGR7
12084.17000000
PA
USD
13498.55000000
0.031655102421
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM7F6
48807.44960000
PA
USD
45498.25000000
0.106696775857
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VXX3
121792.27930000
PA
USD
116436.05000000
0.273051186112
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CQB3
3503.76590000
PA
USD
3607.66000000
0.008460230676
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEUA8
5157.51000000
PA
USD
5224.24000000
0.012251230856
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3622A24Y5
14184.00000000
PA
USD
14095.29000000
0.033054502047
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WPHS6
23952.17000000
PA
USD
23860.63000000
0.055954949716
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418EAA8
208973.36890000
PA
USD
189406.96000000
0.444173390336
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HFE88
5819.30880000
PA
USD
5867.71000000
0.013760215803
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K094, Class X1
3137FMU26
182439.27150000
PA
USD
9821.64000000
0.023032475350
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Variable
0.87964200
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XTVX0
26871.05070000
PA
USD
27150.27000000
0.063669399870
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1400000.00000000
PA
USD
-21586.19000000
-0.05062121897
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Written
N/A
Swaption
1.00000000
1.95000000
USD
2022-09-02
XXXX
-17885.21000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KYSX8
2564.58000000
PA
USD
2584.74000000
0.006061407294
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNE65
67637.56980000
PA
USD
64922.32000000
0.152247662825
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140H1WJ5
6440.26060000
PA
USD
6501.91000000
0.015247461911
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GRX74
16600.89050000
PA
USD
17206.76000000
0.040351130317
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MEVG3
29429.84000000
PA
USD
30498.95000000
0.071522303210
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVL94
308512.00000000
PA
USD
295745.57000000
0.693545329611
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W7G40
23768.07000000
PA
USD
23681.59000000
0.055535087616
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2W4
4964.13890000
PA
USD
4627.23000000
0.010851198060
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BCD6
16725.09000000
PA
USD
16880.80000000
0.039586729904
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HJF71
4949.36190000
PA
USD
5253.91000000
0.012320809210
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179TNS0
18544.80340000
PA
USD
19203.60000000
0.045033868442
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CET7
3188.45970000
PA
USD
3108.85000000
0.007290484175
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179N2J6
30309.30090000
PA
USD
31118.01000000
0.072974044893
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJH27
10854.77000000
PA
USD
10864.61000000
0.025478317472
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J6D20
39666.81110000
PA
USD
42218.46000000
0.099005424684
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138EP6D1
2526.58000000
PA
USD
2637.20000000
0.006184429891
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140MGG62
3992.79000000
PA
USD
3720.81000000
0.008725575831
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140MAEU4
15965.95000000
PA
USD
14873.42000000
0.034879274696
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132HNDN6
1018.35000000
PA
USD
1032.36000000
0.002420960883
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFKW5
7613.30000000
PA
USD
7883.83000000
0.018488166960
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2014-107, Class WX
38379C6M3
57001.12000000
PA
USD
62286.49000000
0.146066445686
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Variable
6.78800160
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020448
688000.00000000
PA
USD
668193.13000000
1.566962523192
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EJXL7
14901.01000000
PA
USD
15837.26000000
0.037139551090
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERHD5
1319.95000000
PA
USD
1318.88000000
0.003092871566
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7MA0
11503.89830000
PA
USD
12144.03000000
0.028478652407
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138M5G37
13143.37000000
PA
USD
13987.24000000
0.032801116771
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-370.04000000
-0.00086777128
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
24000.00000000
CAD
18824.12000000
USD
2022-06-15
-370.04000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83P0
14862.50830000
PA
USD
13841.95000000
0.032460400929
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QZ4
610000.00000000
PA
USD
656512.50000000
1.539570578205
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-93.37000000
-0.00021895958
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
38164500.00000000
COP
10000.00000000
USD
2022-04-20
-93.37000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K115, Class X1
3137FWG95
255675.57310000
PA
USD
22915.51000000
0.053738573112
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.32721560
N
N
N
N
N
N
N/A
N/A
OIS
N/A
14500000.00000000
PA
USD
-10560.83000000
-0.02476593080
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-09-21
0.00000000
USD
0.00000000
USD
14500000.00000000
USD
-10560.83000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H030658
100000.00000000
PA
USD
98566.41000000
0.231145552956
Long
ABS-MBS
USGA
US
N
2
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2021-CIP, Class A
12434FAA5
133000.00000000
PA
USD
130835.82000000
0.306819716376
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
1.31799960
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GDC67
230.04000000
PA
USD
240.81000000
0.000564717337
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X7CB3
24999.89070000
PA
USD
25545.23000000
0.059905461848
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7MB8
24524.90970000
PA
USD
26035.32000000
0.061054759301
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CLH5
9479.03070000
PA
USD
9761.99000000
0.022892591669
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association, Series 2020-146, Class DI
38382KWB5
153522.96010000
PA
USD
18455.29000000
0.043279025907
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM3K8
49566.95870000
PA
USD
46172.08000000
0.108276957259
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284V9
350000.00000000
PA
USD
358626.95000000
0.841006836536
Long
DBT
UST
US
N
2
2028-08-15
Fixed
2.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WTY4
336140.83950000
PA
USD
326462.20000000
0.765578108590
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XQL58
25889.58000000
PA
USD
26158.48000000
0.061343578650
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGHK8
125346.00000000
PA
USD
128084.10000000
0.300366728578
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Capital Certificates
N/A
Credit Suisse Mortgage Capital Certificates, Series 2020-NET, Class A
126438AA8
97883.38000000
PA
USD
93099.49000000
0.218325219474
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Fixed
2.25690000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark Mortgage Trust, Series 2022-B33, Class A5
08163PBG4
85000.00000000
PA
USD
85808.97000000
0.201228408534
Long
ABS-MBS
CORP
US
N
2
2055-03-15
Fixed
3.45820000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMSF3
135101.68000000
PA
USD
132558.12000000
0.310858637808
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLP8
31138.85200000
PA
USD
29920.67000000
0.070166193655
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FDB9
718.05000000
PA
USD
764.50000000
0.001792809287
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association, Series 2020-162, Class TI
38382KPG2
310600.44000000
PA
USD
37238.35000000
0.087326696812
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A8RR0
9618.75610000
PA
USD
8957.57000000
0.021006167017
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QTAC0
1959.99000000
PA
USD
1997.25000000
0.004683699605
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
19.00000000
NC
USD
-9821.02000000
-0.02303102140
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 2 Year Note
2022-06-30
4023843.75000000
USD
-9821.02000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFAD8
2992.22740000
PA
USD
2964.16000000
0.006951175377
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828N30
1180000.00000000
PA
USD
1185992.18000000
2.781239757521
Long
DBT
UST
US
N
2
2022-12-31
Fixed
2.12500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAB8
10443.82000000
PA
USD
10354.19000000
0.024281344658
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417F4H8
32122.47000000
PA
USD
32059.41000000
0.075181697820
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282R0
1180000.00000000
PA
USD
1167278.13000000
2.737353920193
Long
DBT
UST
US
N
2
2027-08-15
Fixed
2.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHD25
9086.25000000
PA
USD
9004.50000000
0.021116221353
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QC6E1
10579.93830000
PA
USD
10804.61000000
0.025337613015
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SS8
105000.00000000
PA
USD
86042.58000000
0.201776241337
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140E1RT2
818.68000000
PA
USD
826.70000000
0.001938672907
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9PE9
14980.31330000
PA
USD
15327.82000000
0.035944876449
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association ACES Variable Rate Notes, Series 2020-M21, Class AX
3136B9L70
223614.37120000
PA
USD
36019.05000000
0.084467347742
Long
ABS-MBS
USGSE
US
N
2
2058-01-25
Variable
1.56281040
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2002-83
38373VT91
205864.43680000
PA
USD
2.06000000
0.000004830853
Long
ABS-MBS
USGA
US
N
3
2042-10-16
Variable
0.00010080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QMJZ8
79335.71810000
PA
USD
73731.03000000
0.172904742086
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SA7
590000.00000000
PA
USD
642800.39000000
1.507414661720
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust, Series 2021-TY, Class A
05592AAA8
131000.00000000
PA
USD
129031.80000000
0.302589155473
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
1.44699840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJET1
11675.93000000
PA
USD
11575.08000000
0.027144422396
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410K3K8
2132.30000000
PA
USD
2381.89000000
0.005585708976
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QFBZ1
15185.04780000
PA
USD
15050.19000000
0.035293813477
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KXB5
2287.55000000
PA
USD
2461.32000000
0.005771978226
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416YVG0
2207.04000000
PA
USD
2347.95000000
0.005506117155
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022642
1440900.00000000
PA
USD
1374708.66000000
3.223793920969
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRR8
13864.72000000
PA
USD
13783.59000000
0.032323542394
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-2200000.00000000
PA
USD
-71250.85000000
-0.16708853575
N/A
DIR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Put
Written
N/A
Swaption
1.00000000
0.95000000
USD
2022-04-28
XXXX
-62065.85000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418DKD3
2894.66440000
PA
USD
2925.20000000
0.006859811283
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
80158.00000000
PA
-142.05000000
-0.00033311780
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Y
2024-01-02
0.00000000
USD
0.00000000
USD
80158.00000000
BRL
-142.05000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLW3
27229.13480000
PA
USD
25355.97000000
0.059461633089
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140FMDA1
10045.60000000
PA
USD
10037.43000000
0.023538518929
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
295000.00000000
PA
-614.75000000
-0.00144163441
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2032-01-12
0.00000000
USD
0.00000000
USD
295000.00000000
MXN
-614.75000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YGYN6
5977.65000000
PA
USD
5922.63000000
0.013889007282
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36241L6V3
233657.40000000
PA
USD
248778.01000000
0.583402912664
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
31329KXR0
10195.46900000
PA
USD
10232.55000000
0.023996089823
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFGY6
7465.95000000
PA
USD
7397.06000000
0.017346655153
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust, Series 2019-WOLF, Class A
39152TAA8
90000.00000000
PA
USD
88813.28000000
0.208273738644
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.43100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2016-45
38379UNF9
469828.17410000
PA
USD
19427.72000000
0.045559446489
Long
ABS-MBS
USGA
US
N
2
2058-02-16
Variable
0.81033120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417FR75
85361.80000000
PA
USD
85176.66000000
0.199745594616
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZG2
2920.60000000
PA
USD
2977.27000000
0.006981919301
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032658
200000.00000000
PA
USD
199653.96000000
0.468203366483
Long
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SB89
112779.60130000
PA
USD
114907.53000000
0.269466693173
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XBNR7
433384.70200000
PA
USD
434535.75000000
1.019018611037
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RU4
590000.00000000
PA
USD
620306.64000000
1.454665147136
Long
DBT
UST
US
N
2
2046-11-15
Fixed
2.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140L6BB9
8158.09550000
PA
USD
7602.30000000
0.017827958198
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NNV2
2698.57000000
PA
USD
2675.06000000
0.006273214403
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132M9MM3
2712.22260000
PA
USD
2768.67000000
0.006492736806
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XWA84
2308.16000000
PA
USD
2360.19000000
0.005534820864
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WPHP2
5564.89000000
PA
USD
5546.15000000
0.013006133717
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
259000.00000000
PA
-503.09000000
-0.00117978341
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2032-01-01
0.00000000
USD
0.00000000
USD
259000.00000000
MXN
-503.09000000
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
-4.00000000
NC
USD
-2630.47000000
-0.00616864754
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
U.S. Treasury 10 Year Note
2022-06-21
-491062.50000000
USD
-2630.47000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020448
-490500.00000000
PA
USD
-476378.97000000
-1.11714407004
Short
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKK79
5922.13000000
PA
USD
5867.67000000
0.013760122000
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132J7RZ7
21882.27000000
PA
USD
21861.05000000
0.051265786087
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZE7
3562.02000000
PA
USD
3631.43000000
0.008515973092
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Hudson Yards Mortgage Trust
N/A
Hudson Yards Mortgage Trust, Series 2019-30HY, Class D
44421GAJ2
101000.00000000
PA
USD
93832.09000000
0.220043220891
Long
ABS-MBS
CORP
US
N
2
2039-07-10
Variable
3.44312640
N
N
N
N
N
N
Dryden XXVIII Senior Loan Fund
549300K4FV16ICO2FF98
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR
26251BAL0
500000.00000000
PA
USD
497673.15000000
1.167080503879
Long
ABS-CBDO
CORP
KY
N
2
2030-08-15
Floating
1.70642880
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KYSR1
20020.39930000
PA
USD
20184.13000000
0.047333284125
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FDW3
827.43000000
PA
USD
880.96000000
0.002065916637
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
107000.00000000
PA
USD
-5363.03000000
-0.01257670371
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-05
0.00000000
USD
0.00000000
USD
107000.00000000
USD
-5363.03000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31402QYX3
11391.67000000
PA
USD
12310.42000000
0.028868849317
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FPF7
17729.97000000
PA
USD
18541.51000000
0.043481218212
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140L6U44
22222.15980000
PA
USD
20676.50000000
0.048487928349
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHFF4
662.31000000
PA
USD
658.43000000
0.001544067258
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4T8
32516.39400000
PA
USD
31321.46000000
0.073451150256
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GD3M2
5563.57000000
PA
USD
5909.19000000
0.013857489484
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417GLT1
35908.92000000
PA
USD
35809.12000000
0.083975046299
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418ECG3
157627.04060000
PA
USD
147294.93000000
0.345417551907
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418DJP8
6417.40770000
PA
USD
6485.11000000
0.015208064663
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VSL5
30080.25000000
PA
USD
31210.54000000
0.073191034616
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TA6
1400.00000000
PA
USD
1213.41000000
0.002845536582
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XYBY9
5247.42000000
PA
USD
5352.74000000
0.012552572901
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YBX65
1890.59000000
PA
USD
1910.28000000
0.004479748495
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE2B0
6996.23000000
PA
USD
6938.47000000
0.016271227539
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1400000.00000000
PA
USD
-925.46000000
-0.00217027244
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Call
Written
N/A
Swaption
1.00000000
1.51000000
USD
2022-08-16
XXXX
3204.54000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WQA9
179296.73570000
PA
USD
174134.17000000
0.408357563324
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617BTEQ1
23515.58180000
PA
USD
24354.09000000
0.057112150070
Long
ABS-MBS
USGA
US
N
2
2048-01-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140L6BK9
16963.04860000
PA
USD
15802.77000000
0.037058669478
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WC7G2
4570.66810000
PA
USD
4618.24000000
0.010830115842
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3129414T1
2452.87000000
PA
USD
2567.59000000
0.006021189270
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZF4
4077.38000000
PA
USD
4156.65000000
0.009747653005
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M9WN8
51354.37000000
PA
USD
56635.34000000
0.132814079169
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
62294.00000000
PA
USD
-2737.02000000
-0.00641851520
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-10
0.00000000
USD
0.00000000
USD
62294.00000000
USD
-2737.02000000
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2021-BHAR, Class A
12659VAA8
146000.00000000
PA
USD
145786.27000000
0.341879632144
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.54699920
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132G5AU3
2615.04270000
PA
USD
2643.78000000
0.006199860479
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
1170000.00000000
PA
USD
26956.49000000
0.063214971376
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2023-11-03
0.00000000
USD
0.00000000
USD
1170000.00000000
USD
26956.49000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVL52
202820.54160000
PA
USD
194679.31000000
0.456537442716
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4F8
69226.53500000
PA
USD
66510.90000000
0.155973000925
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YBX73
9699.89000000
PA
USD
9800.98000000
0.022984026116
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1000000.00000000
PA
USD
-50477.45000000
-0.11837336971
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Swaption
1.00000000
1.83700000
USD
2022-04-20
XXXX
-20602.45000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2016-P6, Class B
17291EAZ4
50000.00000000
PA
USD
49908.83000000
0.117039913574
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
4.16745720
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179RD71
10922.01640000
PA
USD
11168.36000000
0.026190633785
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2003-17
38373SB97
184470.33000000
PA
USD
1.84000000
0.000004314936
Long
ABS-MBS
USGA
US
N
3
2043-03-16
Variable
0.00001080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
312938GD9
2356.16000000
PA
USD
2508.97000000
0.005883721016
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2003-109
38373MKM1
318683.82000000
PA
USD
12.45000000
0.000029196174
Long
ABS-MBS
USGA
US
N
2
2043-11-16
Variable
0.00001080
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030652
134547.00000000
PA
USD
131295.98000000
0.307898825756
Long
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132HNMK2
2806.38000000
PA
USD
2864.51000000
0.006717488725
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
7.00000000
NC
USD
-16050.13000000
-0.03763874705
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 5 Year Note
2022-06-30
801828.13000000
USD
-16050.13000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31292LGU3
25933.72000000
PA
USD
26473.75000000
0.062082910218
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKK87
10292.90000000
PA
USD
10195.76000000
0.023909814540
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LTL63
480.48000000
PA
USD
490.08000000
0.001149274003
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LTJF6
16564.35000000
PA
USD
17288.58000000
0.040543004294
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138Y4UY3
2049.04000000
PA
USD
2070.38000000
0.004855194887
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EXEK5
8379.28000000
PA
USD
8875.41000000
0.020813495714
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QB7
160000.00000000
PA
USD
200356.25000000
0.469850288699
Long
DBT
UST
US
N
2
2039-05-15
Fixed
4.25000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A04K7
11665.71650000
PA
USD
11767.13000000
0.027594793911
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JADY8
4111.26000000
PA
USD
4185.79000000
0.009815988470
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GSSE0
4822.67920000
PA
USD
4922.62000000
0.011543909551
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFRT0
35560.38950000
PA
USD
33149.33000000
0.077737641180
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3620AXKG2
290.49000000
PA
USD
296.99000000
0.000696463610
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-8140000.00000000
PA
USD
-6507.83000000
-0.01526134475
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Written
N/A
Swaption
1.00000000
2.32000000
USD
2022-05-04
XXXX
-3251.83000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140KKX33
11243.41460000
PA
USD
10475.76000000
0.024566435338
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140L6B45
17864.45760000
PA
USD
16637.30000000
0.039015704317
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFQ25
8976.97000000
PA
USD
8894.12000000
0.020857372054
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416VXQ2
16430.02000000
PA
USD
17183.62000000
0.040296865298
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617BJRG1
18806.90280000
PA
USD
19446.40000000
0.045603252477
Long
ABS-MBS
USGA
US
N
2
2047-10-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
107000.00000000
PA
USD
-5390.94000000
-0.01264215473
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-11-05
0.00000000
USD
0.00000000
USD
107000.00000000
USD
-5390.94000000
N
N
N
N/A
N/A
SOP
N/A
-1000000.00000000
PA
USD
-53204.79000000
-0.12476918459
N/A
DIR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Put
Written
N/A
Swaption
1.00000000
1.98500000
USD
2022-10-28
XXXX
-18604.79000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617BTGM8
19304.05750000
PA
USD
19994.19000000
0.046887860717
Long
ABS-MBS
USGA
US
N
2
2048-01-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36213FZ22
4072.84000000
PA
USD
4194.55000000
0.009836531320
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
3.50000000
N
N
N
N
N
N
2022-03-31
BlackRock Series Fund II, Inc.
Ann Frechette
Ann Frechette
Assistant Treasurer
XXXX