NPORT-P
false
0001517936
XXXXXXXX
S000046204
C000144500
First Trust Exchange-Traded Fund IV
811-22559
0001517936
5493006CBTW7P2B31B80
120 East Liberty Drive
Suite 400
Wheaton
60187
630-765-8000
First Trust Low Duration Opportunities ETF
S000046204
549300ZVBPE1RKOPM784
2022-10-31
2022-07-29
N
11623881868.85
6379661664.79
5244220204.06
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2561235631.07000000
0.00000000
596801389.54000000
USD
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FW3G3
5848726.13000000
PA
USD
972845.52000000
0.018550813698
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400CBP8
159907.04000000
PA
USD
168007.33000000
0.003203666578
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BPJ26
14646566.48000000
PA
USD
14416971.30000000
0.274911631072
Long
ABS-MBS
USGSE
US
N
2
2052-03-15
Variable
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377LBY3
1437243.08000000
PA
USD
1513630.54000000
0.028862833388
Long
ABS-MBS
USGA
US
N
2
2040-06-16
Fixed
5.00000000
N
N
N
N
N
N
FannieMae Whole Loan
5493006KCWOV61WOTM60
Fannie Mae REMIC Trust 2007-W1
31396XD43
3046992.37000000
PA
USD
3129745.03000000
0.059679893448
Long
ABS-MBS
USGSE
US
N
2
2047-06-25
Variable
2.42211000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H3HW6
78053.82000000
PA
USD
78707.94000000
0.001500851164
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MDBR3
284412.20000000
PA
USD
289930.02000000
0.005528563041
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AVQD4
8472131.81000000
PA
USD
1526371.46000000
0.029105785047
Long
ABS-MBS
USGSE
US
N
2
2047-03-25
Floating
3.79100000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UEX0
12681314.85000000
PA
USD
2351250.83000000
0.044835089651
Long
ABS-MBS
USGSE
US
N
2
2043-01-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378CFS1
196913.03870000
PA
USD
1205.62000000
0.000022989499
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B3NX2
21186000.00000000
PA
USD
21140687.38000000
0.403123563797
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Variable
3.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617V16A4
808611.12000000
PA
USD
902293.39000000
0.017205482510
Long
ABS-MBS
USGA
US
N
2
2039-01-20
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FH2A0
12000000.00000000
PA
USD
12294266.40000000
0.234434595070
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Variable
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393VKV2
564916.90000000
PA
USD
567464.28000000
0.010820756145
Long
ABS-MBS
USGSE
US
N
2
2033-06-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PPVQ3
13213.75000000
PA
USD
13470.11000000
0.000256856300
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HPTV9
1390157.12000000
PA
USD
1433209.65000000
0.027329318644
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2018-J1
12554CAX6
2135633.97000000
PA
USD
2041765.60000000
0.038933635899
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393LCM3
110041.13000000
PA
USD
14789.14000000
0.000282008371
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QN80
11744.57000000
PA
USD
11645.21000000
0.000222057990
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HM7C9
76691.76000000
PA
USD
77649.43000000
0.001480666848
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
549300ZHISOOIT5VZP03
Towd Point Mortgage Trust 2015-3
89172HAZ0
45352.81000000
PA
USD
45228.56000000
0.000862445859
Long
ABS-MBS
CORP
US
N
2
2054-03-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394FVU6
18400.22200000
PA
USD
21039.23000000
0.000401188912
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Floating
11.22750000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AKVK6
88329.10000000
PA
USD
178076.57000000
0.003395673008
Long
ABS-MBS
USGSE
US
N
2
2044-08-25
Variable
27.48174500
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR2 Trust
00178UAA7
2500000.00000000
PA
USD
2365287.00000000
0.045102739930
Long
ABS-O
CORP
US
N
2
2037-07-17
Fixed
1.63200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BG6H9
47806781.45000000
PA
USD
6268262.64000000
0.119527067821
Long
ABS-MBS
USGSE
US
N
2
2036-10-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B4HE9
1450000.00000000
PA
USD
1556860.22000000
0.029687163380
Long
ABS-MBS
USGSE
US
N
2
2043-09-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374TAF1
11586.98000000
PA
USD
11593.80000000
0.000221077673
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Fixed
4.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-2
33851HAD5
462554.76000000
PA
USD
457865.80000000
0.008730865260
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Variable
3.50000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2018-1
59980VAA9
1319867.13000000
PA
USD
1300687.35000000
0.024802302332
Long
ABS-MBS
CORP
US
N
2
2062-05-25
Variable
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371M6M4
290975.60000000
PA
USD
306647.51000000
0.005847342370
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1ZF5
1947482.53000000
PA
USD
66173.51000000
0.001261836982
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042699
68000000.00000000
PA
USD
69115388.36000000
1.317934519730
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F72T1
75535017.00000000
PA
USD
6279316.61000000
0.119737851685
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.21118000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BMNB8
276656.91000000
PA
USD
259447.85000000
0.004947310370
Long
ABS-MBS
USGSE
US
N
2
2045-12-15
Fixed
4.00000000
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust 2021-NQM1
10569TAC2
5195720.99000000
PA
USD
4886186.43000000
0.093172792900
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
1.33200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410K5J9
10456.07000000
PA
USD
11550.20000000
0.000220246281
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398KD98
118764.60000000
PA
USD
109262.24000000
0.002083479254
Long
ABS-MBS
USGSE
US
N
2
2037-12-15
Floating
1.99914000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297BHR5
41504.81000000
PA
USD
43600.98000000
0.000831410167
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHKH4
3651.91000000
PA
USD
3666.25000000
0.000069910298
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ2X5
4687.93000000
PA
USD
4692.26000000
0.000089474885
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BHA7
149051.69000000
PA
USD
152949.60000000
0.002916536568
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R03
20753MAF5
579331.61000000
PA
USD
579123.69000000
0.011043084909
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
4.40900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312946C79
83840.83000000
PA
USD
86516.19000000
0.001649743653
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FQEU3
9039237.02000000
PA
USD
1395668.14000000
0.026613454158
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Floating
3.74100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398PEC9
308882.86000000
PA
USD
321855.94000000
0.006137346020
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VYP3
7178999.58000000
PA
USD
7128865.04000000
0.135937561021
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Floating
2.18314000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5SZ9
13930129.50730000
PA
USD
2092876.59000000
0.039908251533
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
3.79100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QPM1
383290.20800000
PA
USD
41230.64000000
0.000786211074
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FEQ3
13528646.06000000
PA
USD
2562535.26000000
0.048863990455
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMLN9
68189.05000000
PA
USD
65417.30000000
0.001247417107
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398G7D5
1254009.43000000
PA
USD
1340657.47000000
0.025564477040
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Fixed
5.00000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2021-4
33845AAA5
18608175.36000000
PA
USD
18191130.79000000
0.346879613787
Long
ABS-O
CORP
US
N
2
2026-07-17
Fixed
0.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QAU3
1379477.95000000
PA
USD
1536529.72000000
0.029299488965
Long
ABS-MBS
USGSE
US
N
2
2037-02-25
Fixed
5.71154000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376JCK8
50096.06000000
PA
USD
56500.57000000
0.001077387443
Long
ABS-MBS
USGA
US
N
2
2039-11-16
Fixed
5.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395QE48
1779730.51060000
PA
USD
271303.01000000
0.005173371815
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292LL60
39281.58000000
PA
USD
39794.04000000
0.000758817106
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VHSG2
589049.43000000
PA
USD
625696.75000000
0.011931168517
Long
ABS-MBS
USGA
US
N
2
2039-01-20
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396LVQ0
1543494.42000000
PA
USD
298344.35000000
0.005689012634
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Fixed
5.50000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2006-SEA1
36244LAC7
5597916.46000000
PA
USD
5531332.60000000
0.105474834861
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
3.90900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36182D3G8
36041.24000000
PA
USD
36988.44000000
0.000705318208
Long
ABS-MBS
USGA
US
N
2
2043-12-20
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQKS1
59029000.00000000
PA
USD
3402136.42000000
0.064874019160
Long
ABS-MBS
USGSE
US
N
2
2029-11-25
Variable
0.89610200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4Y93
4169494.32000000
PA
USD
4120232.16000000
0.078567108162
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133D4KG7
8306814.36000000
PA
USD
7899120.81000000
0.150625269394
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BBPC8
24206867.13000000
PA
USD
23205692.89000000
0.442500352522
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNA45
23622706.68000000
PA
USD
23869236.79000000
0.455153213656
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VVF83
4895091.64000000
PA
USD
5277398.64000000
0.100632666719
Long
ABS-MBS
USGA
US
N
2
2036-07-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
49139.01000000
PA
USD
53643.14000000
0.001022900219
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AXJW4
972829.99000000
PA
USD
35945.00000000
0.000685421256
Long
ABS-MBS
USGSE
US
N
2
2031-11-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AVJZ1
31419.34000000
PA
USD
4973.42000000
0.000094836215
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Floating
4.15086000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408FKM0
242378.40000000
PA
USD
260966.82000000
0.004976275019
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2014-IVR3
46643BAG6
1162.40000000
PA
USD
1156.97000000
0.000022061811
Long
ABS-MBS
CORP
US
N
2
2044-09-25
Variable
2.27458800
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A0Y82
597950.33000000
PA
USD
599637.99000000
0.011434264135
Long
ABS-MBS
USGSE
US
N
2
2036-12-15
Fixed
4.00000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2020-4 Trust
21873AAA5
6209156.37000000
PA
USD
5680721.15000000
0.108323467149
Long
ABS-O
CORP
US
N
2
2052-12-15
Fixed
1.17400000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust 2011-1
92261WAC4
9619613.83000000
PA
USD
9316788.39000000
0.177658222337
Long
ABS-MBS
USGA
US
N
2
2046-09-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617V7Z92
4094070.18000000
PA
USD
4367087.02000000
0.083274287693
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379UCK0
16942945.58000000
PA
USD
404516.21000000
0.007713562631
Long
ABS-MBS
USGA
US
N
2
2057-04-16
Variable
0.55378000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VYCP2
1236464.50000000
PA
USD
1300656.52000000
0.024801714447
Long
ABS-MBS
USGA
US
N
2
2039-01-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TLD0
953680.00000000
PA
USD
857181.98000000
0.016345270538
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2CR8
210302.02000000
PA
USD
208353.35000000
0.003973009177
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T5AR4
52330.41000000
PA
USD
52736.34000000
0.001005608802
Long
ABS-MBS
USGSE
US
N
2
2024-04-15
Floating
3.49914000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378U7D3
3063081.04830000
PA
USD
267042.78000000
0.005092135143
Long
ABS-MBS
USGA
US
N
2
2043-11-16
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PMRZ5
30393.44000000
PA
USD
30983.10000000
0.000590804710
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QAHZ6
3808505.61000000
PA
USD
3886954.54000000
0.074118827752
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MEVN8
863.94000000
PA
USD
891.72000000
0.000017003862
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
5.00000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2021-EBO1 LLC
12530AAB7
4052000.00000000
PA
USD
3687402.66000000
0.070313650390
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
1.65030000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTFW2
38559000.00000000
PA
USD
2152764.39000000
0.041050228751
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Variable
1.36732600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379EKC5
1665069.72960000
PA
USD
186527.94000000
0.003556828903
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Floating
4.12357000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B1UG5
8861271.00000000
PA
USD
8840685.38000000
0.168579598796
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
2.63700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A8AM0
300000.00000000
PA
USD
318227.28000000
0.006068152511
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Fixed
4.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K25 Mortgage Trust
30261NAE0
4763000.00000000
PA
USD
4753951.25000000
0.090651251568
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Variable
3.59433700
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397PRT9
159203.76000000
PA
USD
168900.57000000
0.003220699425
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36180BA35
400937.42000000
PA
USD
408835.79000000
0.007795931026
Long
ABS-MBS
USGA
US
N
2
2033-06-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374JVH6
88537.35000000
PA
USD
87467.69000000
0.001667887437
Long
ABS-MBS
USGA
US
N
2
2034-10-16
Floating
10.02540000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MBQ75
42.44000000
PA
USD
42.47000000
0.000000809843
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B6LR2
4522569.09000000
PA
USD
4371389.10000000
0.083356322387
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHMN4
18883127.99000000
PA
USD
18791006.84000000
0.358318417396
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FHQ63
39271200.00000000
PA
USD
41199604.42000000
0.785619268773
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Variable
3.99000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B3NB0
112254370.83760000
PA
USD
91902.65000000
0.001752455969
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Variable
0.14766100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382NKL0
38114311.46000000
PA
USD
3703537.15000000
0.070621312719
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379UJ98
9993984.73000000
PA
USD
452471.66000000
0.008628006498
Long
ABS-MBS
USGA
US
N
2
2058-05-16
Variable
0.85873000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2021-1
25273CAA8
6140429.88000000
PA
USD
5784868.29000000
0.110309408546
Long
ABS-O
CORP
US
N
2
2033-11-21
Fixed
1.51000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BQA9
72446.72000000
PA
USD
79013.17000000
0.001506671476
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PG5Z2
165.09000000
PA
USD
164.80000000
0.000003142507
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ANZG3
1137999.06000000
PA
USD
1247204.64000000
0.023782461290
Long
ABS-MBS
USGSE
US
N
2
2042-04-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374Y6D0
1190787.58530000
PA
USD
66199.45000000
0.001262331622
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
4.47357000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5WL3
5498830.64000000
PA
USD
5698849.34000000
0.108669146569
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BMNX0
468310.87000000
PA
USD
438332.51000000
0.008358392533
Long
ABS-MBS
USGSE
US
N
2
2046-01-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378MAC9
3612163.10830000
PA
USD
463872.18000000
0.008845398590
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397JVU5
41908.82000000
PA
USD
45420.05000000
0.000866097307
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382TQL1
25266398.94000000
PA
USD
3276026.13000000
0.062469270978
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
3.00000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortga
N/A
UBS-Barclays Commercial Mortgage Trust 2013-C5
90270YBF5
11628507.53000000
PA
USD
11570454.53000000
0.220632507403
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Fixed
3.18470000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397AM59
2806088.06000000
PA
USD
3308339.66000000
0.063085445142
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FEEL4
6842438.06000000
PA
USD
6701202.00000000
0.127782620470
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ATPL0
2622295.16000000
PA
USD
404788.23000000
0.007718749675
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Floating
4.05086000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZZ0
29090000.00000000
PA
USD
3182387.82000000
0.060683718382
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.66265200
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325TUP2
6982752.68000000
PA
USD
911203.98000000
0.017375395092
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Floating
4.00086000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KAF5
16175091.66000000
PA
USD
14962377.10000000
0.285311762622
Long
ABS-MBS
USGA
US
N
2
2055-05-16
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MSDD8
252620.41000000
PA
USD
248195.50000000
0.004732743674
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJ89
3000000.00000000
PA
USD
2892202.80000000
0.055150292845
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Fixed
2.72600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397KDY4
70843.65000000
PA
USD
75559.53000000
0.001440815355
Long
ABS-MBS
USGSE
US
N
2
2037-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393XSX6
582658.16000000
PA
USD
640007.05000000
0.012204046075
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F7XR1
30065863.94000000
PA
USD
3462709.60000000
0.066029065623
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FDQ1
2825090.70000000
PA
USD
2976923.50000000
0.056765798997
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380MYS4
24635184.91000000
PA
USD
21722618.73000000
0.414220186886
Long
ABS-MBS
USGA
US
N
2
2060-11-16
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398G3T4
198112.18920000
PA
USD
208227.48000000
0.003970609011
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BJD9
2671596.99000000
PA
USD
2786582.90000000
0.053136267959
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fontainebleau Miami Beach Trus
N/A
Fontainebleau Miami Beach Trust 2019-FBLU
34461LAJ3
5000000.00000000
PA
USD
4802327.50000000
0.091573719507
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BAW6
1876541.31000000
PA
USD
1941937.78000000
0.037030057938
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F6JT5
16709874.01910000
PA
USD
726095.83000000
0.013845639613
Long
ABS-MBS
USGSE
US
N
2
2045-10-15
Variable
1.44613800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396KEK4
432109.98000000
PA
USD
478415.84000000
0.009122725998
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F44W9
28545.15000000
PA
USD
28501.24000000
0.000543479085
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-1125.00000000
NC
USD
-3585937.50000000
-0.06837885062
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
0.00000000
USD
100000.00000000
142.00000000
USD
2022-08-26
XXXX
-2075179.37000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AT5A8
876721.98000000
PA
USD
103227.26000000
0.001968400562
Long
ABS-MBS
USGSE
US
N
2
2046-04-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H7BP8
91486.61000000
PA
USD
92678.13000000
0.001767243296
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AXRR6
2823704.61000000
PA
USD
153381.66000000
0.002924775353
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FYUN4
33900000.00000000
PA
USD
1819853.70000000
0.034702083993
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Variable
0.73258100
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A4LR6
151423.74000000
PA
USD
156905.31000000
0.002991966467
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MMJ95
55259.49000000
PA
USD
55562.84000000
0.001059506234
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395DAL3
26446.93370000
PA
USD
32827.45000000
0.000625973905
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FV5S7
82019000.00000000
PA
USD
8612068.82000000
0.164220198330
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.58992600
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGP81
908.01000000
PA
USD
910.68000000
0.000017365403
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAJR0
5825277.59000000
PA
USD
6056359.42000000
0.115486367550
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394VL57
44577.83540000
PA
USD
44992.68000000
0.000857947955
Long
ABS-MBS
USGSE
US
N
2
2035-02-25
Variable
2.46167300
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378UBE6
837873.22990000
PA
USD
133177.02000000
0.002539500913
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Floating
3.97357000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395TYA6
785000.00000000
PA
USD
876626.30000000
0.016716046731
Long
ABS-MBS
USGSE
US
N
2
2035-05-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022691
50000000.00000000
PA
USD
46641883.50000000
0.889395976619
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359KW45
21712.47790000
PA
USD
1823.13000000
0.000034764558
Long
ABS-MBS
USGSE
US
N
2
2026-12-18
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AWVX0
344707.75000000
PA
USD
18159.93000000
0.000346284658
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2F79
151726.08000000
PA
USD
156246.73000000
0.002979408261
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381ATW6
10000000.00000000
PA
USD
9991271.00000000
0.190519669488
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378GZP6
3868583.46760000
PA
USD
191073.21000000
0.003643500893
Long
ABS-MBS
USGA
US
N
2
2027-12-16
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359T6P8
23128.36770000
PA
USD
23427.61000000
0.000446732003
Long
ABS-MBS
USGSE
US
N
2
2028-06-17
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BM63
18771269.18000000
PA
USD
15566029.92000000
0.296822583993
Long
ABS-MBS
USGA
US
N
2
2055-01-16
Variable
2.46269000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQT75
61376.24000000
PA
USD
3592.06000000
0.000068495598
Long
ABS-MBS
USGSE
US
N
2
2044-09-25
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B7N21
74705412.02200000
PA
USD
534778.69000000
0.010197487313
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Variable
0.69517400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398CGJ1
28223.70000000
PA
USD
29955.76000000
0.000571214762
Long
ABS-MBS
USGSE
US
N
2
2036-06-15
Floating
14.16486400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393RFB1
1172000.00000000
PA
USD
1231272.73000000
0.023478661880
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
5.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FANS5
186425.25000000
PA
USD
27704.23000000
0.000528281210
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Fixed
6.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395Q2R0
4039825.39000000
PA
USD
584723.36000000
0.011149862844
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AFYS0
15399.84000000
PA
USD
15864.33000000
0.000302510752
Long
ABS-MBS
USGA
US
N
2
2024-12-15
Fixed
4.50000000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2022-1
02530WAA2
9464106.60000000
PA
USD
9305491.01000000
0.177442796982
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
0.99000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416LU53
96194.33000000
PA
USD
100211.49000000
0.001910894014
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GHS3
6711842.00000000
PA
USD
4858895.05000000
0.092652384166
Long
ABS-MBS
USGA
US
N
2
2042-07-16
Floating
1.28229000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7FQ4
231010.01000000
PA
USD
248384.29000000
0.004736343638
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A62R2
600000.00000000
PA
USD
637752.12000000
0.012161047690
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AUAF6
268652.44880000
PA
USD
13489.82000000
0.000257232142
Long
ABS-MBS
USGSE
US
N
2
2027-09-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PM3F5
7676.90000000
PA
USD
7825.84000000
0.000149227906
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396KB50
44873.57000000
PA
USD
49869.87000000
0.000950949198
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
Fixed
6.50000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-5
03465HAA2
7300929.27000000
PA
USD
6539200.69000000
0.124693480356
Long
ABS-MBS
CORP
US
N
2
2066-07-25
Variable
0.95100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RWA7
7019999.99000000
PA
USD
6145145.83000000
0.117179401148
Long
ABS-MBS
USGA
US
N
2
2056-12-16
Fixed
2.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BCVD6
15579677.57000000
PA
USD
16223252.55000000
0.309354907283
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJA4
56970787.89640000
PA
USD
3984041.26000000
0.075970136740
Long
ABS-MBS
USGSE
US
N
2
2034-08-25
Variable
0.85991700
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ADT2
381669.19000000
PA
USD
410717.33000000
0.007831809382
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383RC96
13922351.58000000
PA
USD
12135538.88000000
0.231407881587
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHR82
10544979.53000000
PA
USD
11047048.26000000
0.210651876354
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AKSQ7
2406824.47000000
PA
USD
85610.75000000
0.001632478169
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381EWE4
22485522.08000000
PA
USD
16511152.59000000
0.314844761423
Long
ABS-MBS
USGA
US
N
2
2061-09-16
Fixed
2.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-4
92538NAA5
6123739.54000000
PA
USD
6017737.00000000
0.114749891610
Long
ABS-MBS
CORP
US
N
2
2067-04-25
Variable
4.47400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297BH87
189097.86000000
PA
USD
198644.46000000
0.003787874121
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AXAN5
12170902.01000000
PA
USD
11674303.65000000
0.222612765973
Long
ABS-MBS
USGSE
US
N
2
2047-07-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KPT4
239451.84000000
PA
USD
243214.51000000
0.004637763109
Long
ABS-MBS
USGA
US
N
2
2035-01-16
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2004-S2
466247JX2
5750.36000000
PA
USD
5308.42000000
0.000101224200
Long
ABS-MBS
CORP
US
N
2
2019-12-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQGL8
359814.65000000
PA
USD
22787.24000000
0.000434521036
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ATLW5
242017.72000000
PA
USD
247257.74000000
0.004714861893
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TTN0
2245851.32000000
PA
USD
2249792.79000000
0.042900425658
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMTS1
1090000.00000000
PA
USD
1069170.86000000
0.020387604227
Long
ABS-MBS
USGSE
US
N
2
2031-05-25
Fixed
2.98800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B5RR6
324533.22000000
PA
USD
10008.64000000
0.000190850872
Long
ABS-MBS
USGSE
US
N
2
2024-12-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JLY24
2892545.86000000
PA
USD
3033915.77000000
0.057852562477
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KFR9
219824.72600000
PA
USD
224393.15000000
0.004278865899
Long
ABS-MBS
USGA
US
N
2
2034-12-16
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJJ5
57722084.81000000
PA
USD
3004792.39000000
0.057297220045
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Variable
0.88433000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412NZ33
10254.09000000
PA
USD
10902.53000000
0.000207896113
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.00000000
N
N
N
N
N
N
Arroyo Mortgage Trust
N/A
Arroyo Mortgage Trust 2021-1R
042853AB7
2995283.55000000
PA
USD
2694620.88000000
0.051382679886
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
1.48300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D2F7
7791.84000000
PA
USD
8397.25000000
0.000160123901
Long
ABS-MBS
USGA
US
N
2
2033-11-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RZY8
387245.45000000
PA
USD
420782.99000000
0.008023747547
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XXWN5
5045436.35000000
PA
USD
5255659.20000000
0.100218125774
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YZK4
6332421.89750000
PA
USD
691040.74000000
0.013177187705
Long
ABS-MBS
USGA
US
N
2
2044-04-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397BZ87
371737.35000000
PA
USD
373633.28000000
0.007124668024
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Floating
1.87400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380CDE0
209315.04850000
PA
USD
30435.48000000
0.000580362357
Long
ABS-MBS
USGA
US
N
2
2046-12-16
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A0UT2
1214207.51000000
PA
USD
67232.37000000
0.001282027973
Long
ABS-MBS
USGSE
US
N
2
2041-05-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617AVJN9
165855.57000000
PA
USD
168605.49000000
0.003215072659
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTZS9
108629166.56980000
PA
USD
11076644.54000000
0.211216236332
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.69683500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AVUB1
1275102.45000000
PA
USD
211752.31000000
0.004037822626
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YDA2
79514.81000000
PA
USD
82578.22000000
0.001574652031
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CG24
1130381.58000000
PA
USD
1158643.78000000
0.022093728617
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NJF6
93786.45000000
PA
USD
101851.77000000
0.001942171877
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4CS5
8216841.33000000
PA
USD
8518617.97000000
0.162438220336
Long
ABS-MBS
USGSE
US
N
2
2056-11-25
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-650.00000000
NC
USD
-284375.00000000
-0.00542263652
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-12-20
0.00000000
USD
100000.00000000
117.00000000
USD
2022-10-21
XXXX
237379.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANXH1
100586.74000000
PA
USD
103704.28000000
0.001977496671
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LSH0
14408.18000000
PA
USD
14561.22000000
0.000277662253
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379R6F5
2616931.89000000
PA
USD
2155126.89000000
0.041095278347
Long
ABS-MBS
USGA
US
N
2
2057-09-16
Fixed
2.60000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
Comm 2013-CCRE13 Mortgage Trust
12630BBC1
10000000.00000000
PA
USD
9959968.00000000
0.189922764728
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
4.44900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FT46
7097422.07000000
PA
USD
1806704.15000000
0.034451340327
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020695
-50000000.00000000
PA
USD
-45027344.00000000
-0.85860894943
Short
ABS-MBS
USGSE
US
N
2
2052-09-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KB72
9601.84000000
PA
USD
10476.50000000
0.000199772312
Long
ABS-MBS
USGA
US
N
2
2035-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDFK5
26056346.76000000
PA
USD
26544202.87000000
0.506161103789
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XVSH7
6068927.11000000
PA
USD
6362265.79000000
0.121319577409
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374UCB5
412274.03980000
PA
USD
446658.52000000
0.008517157987
Long
ABS-MBS
USGA
US
N
2
2039-05-16
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31346YJT1
3047711.60000000
PA
USD
3117347.06000000
0.059443481369
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AEUH8
6035864.67000000
PA
USD
1115665.60000000
0.021274194381
Long
ABS-MBS
USGSE
US
N
2
2034-11-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FFHC4
25191634.17000000
PA
USD
3583600.65000000
0.068334290143
Long
ABS-MBS
USGSE
US
N
2
2051-03-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BBL67
4901026.39000000
PA
USD
1050105.19000000
0.020024048364
Long
ABS-MBS
USGSE
US
N
2
2047-10-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31339NKJ4
150747.00000000
PA
USD
168189.56000000
0.003207141452
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383RBL0
16449023.43000000
PA
USD
15792414.60000000
0.301139425605
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BPBU2
143751.07000000
PA
USD
131896.22000000
0.002515077835
Long
ABS-MBS
USGSE
US
N
2
2046-04-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H7AS2
4913693.25000000
PA
USD
4931381.56000000
0.094034601296
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3GG9
30811389.82000000
PA
USD
31230286.07000000
0.595518205849
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375QFE4
79870.47000000
PA
USD
7914.88000000
0.000150925775
Long
ABS-MBS
USGA
US
N
2
2038-04-16
Floating
5.54400000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KBE2
731644.38000000
PA
USD
703020.04000000
0.013405616328
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374K2D4
134150.14000000
PA
USD
139531.89000000
0.002660679463
Long
ABS-MBS
USGA
US
N
2
2035-04-16
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2QQ8
2863760.12000000
PA
USD
3000005.63000000
0.057205943176
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394DQF0
71889.29060000
PA
USD
8314.36000000
0.000158543304
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
4.44100000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BM6Q4
1064502.94200000
PA
USD
39.39000000
0.000000751112
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Variable
0.50694600
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BNRK2
11415988.33000000
PA
USD
1701430.91000000
0.032443925765
Long
ABS-MBS
USGSE
US
N
2
2046-04-15
Floating
4.00086000
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust 2021-NQM1
10569TAB4
2078288.43000000
PA
USD
1955186.21000000
0.037282687109
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
1.26000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ALRP8
96889.82680000
PA
USD
9024.06000000
0.000172076298
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380MCA7
13696340.00000000
PA
USD
11844271.60000000
0.225853818854
Long
ABS-MBS
USGA
US
N
2
2060-08-16
Variable
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A6D61
4522075.32000000
PA
USD
4749414.70000000
0.090564745857
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382NLP0
34079809.15000000
PA
USD
3750639.76000000
0.071519494110
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
200.00000000
NC
USD
6250.00000000
0.000119178824
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-30
0.00000000
USD
100000.00000000
110.25000000
USD
2022-08-26
XXXX
-94268.00000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379UNY8
12854967.25590000
PA
USD
471007.29000000
0.008981455233
Long
ABS-MBS
USGA
US
N
2
2058-03-16
Variable
0.75033000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358TKQ1
27.88240000
PA
USD
27.95000000
0.000000532967
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380BC94
7396730.64000000
PA
USD
7065393.35000000
0.134727243995
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6NJ3
244016.52000000
PA
USD
262591.45000000
0.005007254458
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-1
89177BAA3
2740337.32000000
PA
USD
2692984.84000000
0.051351482874
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.67088600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376F4G4
145603.10980000
PA
USD
162172.95000000
0.003092413050
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
5.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FGRS8
925086.94000000
PA
USD
161706.68000000
0.003083521929
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YKF3
1952.35000000
PA
USD
2027.74000000
0.000038666187
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
4.50000000
N
N
N
N
N
N
CIG Auto Receivables Trust
N/A
CIG Auto Receivables Trust 2021-1
12598NAA0
5284909.74000000
PA
USD
5178690.45000000
0.098750438549
Long
ABS-O
CORP
US
N
2
2025-04-14
Fixed
0.69000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617V15Y3
1523031.87000000
PA
USD
1619736.87000000
0.030886133819
Long
ABS-MBS
USGA
US
N
2
2035-09-20
Fixed
5.50000000
N
N
N
N
N
N
Rialto Real Estate Fund LP
N/A
RIAL 2022-FL8 Issuer Ltd
76243NAA4
4428000.00000000
PA
USD
4367045.65000000
0.083273498824
Long
ABS-MBS
CORP
BM
N
2
2037-01-19
Floating
4.41253000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YV38
96212.86000000
PA
USD
99936.67000000
0.001905653578
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XC5P9
12133133.14000000
PA
USD
12894133.81000000
0.245873233927
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
-5495.00000000
NC
USD
-10062639.99000000
-0.19188057706
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-30
-614864823.70000000
USD
-10062639.99000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MEZW4
6639.65000000
PA
USD
6651.33000000
0.000126831630
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376FJN3
9112750.04080000
PA
USD
999674.15000000
0.019062398432
Long
ABS-MBS
USGA
US
N
2
2035-11-16
Floating
4.09400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6AH7
347837.23370000
PA
USD
327310.14000000
0.006241350043
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373SM61
300016.09000000
PA
USD
303292.93000000
0.005783375186
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378FMX5
13612183.98730000
PA
USD
2341445.38000000
0.044648113330
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AYT37
2142593.27000000
PA
USD
2072304.43000000
0.039515968997
Long
ABS-MBS
USGSE
US
N
2
2057-11-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W5Z35
174503.74000000
PA
USD
177967.52000000
0.003393593576
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382JXY7
25010663.27000000
PA
USD
3024111.83000000
0.057665614949
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AL2S9
641732.20630000
PA
USD
22633.06000000
0.000431581038
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AN6K8
10097724.16000000
PA
USD
1900059.47000000
0.036231496696
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398SGL1
236892.62160000
PA
USD
11423.74000000
0.000217834864
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Floating
3.74100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358UJN7
1183.60000000
PA
USD
1192.84000000
0.000022745803
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406K5A4
138960.53000000
PA
USD
144461.50000000
0.002754680283
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382HHG8
28563902.76000000
PA
USD
4461407.40000000
0.085072846417
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
3.00000000
N
N
N
N
N
N
Westlake Automobile Receivable
N/A
Westlake Automobile Receivables Trust 2021-3
96043JAE5
10750000.00000000
PA
USD
10452682.95000000
0.199318154907
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
0.95000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325TYW3
231097.62230000
PA
USD
36642.85000000
0.000698728287
Long
ABS-MBS
USGSE
US
N
2
2043-01-15
Floating
4.00086000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380XHF7
5372715.53000000
PA
USD
5214471.86000000
0.099432740371
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-50.00000000
NC
USD
-1562.50000000
-0.00002979470
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
0.00000000
USD
100000.00000000
116.00000000
USD
2022-08-26
XXXX
38151.75000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AYVG3
7940685.80000000
PA
USD
6922260.29000000
0.131997895218
Long
ABS-MBS
USGSE
US
N
2
2032-11-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AFGB4
3586492.82000000
PA
USD
656857.91000000
0.012525368585
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374MBY4
2340038.84000000
PA
USD
2436760.60000000
0.046465642272
Long
ABS-MBS
USGA
US
N
2
2035-10-16
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VPNH7
1394954.36000000
PA
USD
1503457.97000000
0.028668856598
Long
ABS-MBS
USGA
US
N
2
2039-01-20
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-50.00000000
NC
USD
-32812.50000000
-0.00062568882
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-12-20
0.00000000
USD
100000.00000000
134.00000000
USD
2022-10-21
XXXX
2995.50000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-150.00000000
NC
USD
-21093.75000000
-0.00040222853
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
0.00000000
USD
100000.00000000
136.00000000
USD
2022-08-26
XXXX
264455.25000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EAE52
103125.88000000
PA
USD
106319.27000000
0.002027360901
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AEJ24
366238.70000000
PA
USD
335202.72000000
0.006391850588
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A94X3
7698824.44520000
PA
USD
1084732.80000000
0.020684348821
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Floating
3.84100000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-4
64828FCS9
2722132.50000000
PA
USD
2662387.68000000
0.050768037504
Long
ABS-MBS
CORP
US
N
2
2048-01-25
Floating
3.15900000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2015-2
64829EAF1
5683031.24000000
PA
USD
5610864.13000000
0.106991390743
Long
ABS-MBS
CORP
US
N
2
2055-08-25
Variable
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380MC82
18200826.74000000
PA
USD
15119239.30000000
0.288302907042
Long
ABS-MBS
USGA
US
N
2
2061-01-16
Fixed
2.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K24 Mortgage Trust
30290XAN3
5373000.00000000
PA
USD
5362716.62000000
0.102259562171
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Variable
3.48925800
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383P5T4
10917513.00000000
PA
USD
10223969.25000000
0.194956902116
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379YV39
6687473.94000000
PA
USD
635718.63000000
0.012122271858
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DQA2
56048.50000000
PA
USD
59844.35000000
0.001141148686
Long
ABS-MBS
USGA
US
N
2
2031-10-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382P4V1
7324510.41000000
PA
USD
1039425.67000000
0.019820404741
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G6N86
447356.20000000
PA
USD
461686.97000000
0.008803729668
Long
ABS-MBS
USGA
US
N
2
2035-06-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y2JH0
2496844.94000000
PA
USD
2607347.23000000
0.049718492522
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-170.00000000
NC
USD
-100937.50000000
-0.00192473801
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-12-20
0.00000000
USD
100000.00000000
136.00000000
USD
2022-09-23
XXXX
50028.46000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6A53
129583.74000000
PA
USD
6589.00000000
0.000125643084
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KYF82
11196497.49000000
PA
USD
10688327.99000000
0.203811578730
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BAYH8
13836698.41000000
PA
USD
14191612.21000000
0.270614346037
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R02
20754BAB7
2950000.00000000
PA
USD
2807988.48000000
0.053544442657
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
4.51422000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LNF2
23841.18000000
PA
USD
25567.54000000
0.000487537498
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BWQ5
245967.04000000
PA
USD
249330.17000000
0.004754380256
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multiclass Certificates Series 2015-P001
3137FV2D3
44200500.00000000
PA
USD
4493299.07000000
0.085680976296
Long
ABS-MBS
USGSE
US
N
2
2028-12-27
Variable
2.44079800
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376JAY0
294566.86550000
PA
USD
330230.84000000
0.006297043738
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393JLU0
182357.37000000
PA
USD
193395.53000000
0.003687784312
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
5.30000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
Ready Capital Mortgage Financing 2021-FL6 LLC
75575TAA1
9797644.51000000
PA
USD
9466578.13000000
0.180514504762
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
3.20900000
N
N
N
N
N
N
Westlake Automobile Receivable
N/A
Westlake Automobile Receivables Trust 2022-1
96042WAD9
10000000.00000000
PA
USD
9780663.00000000
0.186503667264
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
2.42000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132MQFB7
970635.97000000
PA
USD
1004716.47000000
0.019158548476
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AL7G3
192464.76000000
PA
USD
202176.41000000
0.003855223505
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0326A7
-265000000.00000000
PA
USD
-261699038.10000000
-4.99023740264
Short
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BY6K1
17968501.95000000
PA
USD
17747616.95000000
0.338422420482
Long
ABS-MBS
USGSE
US
N
2
2047-03-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379XRX0
2641242.57540000
PA
USD
452908.66000000
0.008636339481
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HJJP7
236955.45000000
PA
USD
247092.40000000
0.004711709088
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC18
36252RAJ8
3985930.32000000
PA
USD
3956563.58000000
0.075446175523
Long
ABS-MBS
CORP
US
N
2
2047-01-10
Fixed
3.80100000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2022-1
35563P7G8
15000000.00000000
PA
USD
13546462.50000000
0.258312236574
Long
ABS-MBS
USGSE
US
N
2
2061-11-25
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711X3H5
9952835.06000000
PA
USD
9950330.93000000
0.189738999180
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Floating
4.25900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BTQ1
8554.94000000
PA
USD
8587.79000000
0.000163757234
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0506A9
175000000.00000000
PA
USD
179168405.50000000
3.416492796417
Long
ABS-MBS
USGSE
US
N
2
2050-10-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374LCL3
115667.59200000
PA
USD
117981.63000000
0.002249745918
Long
ABS-MBS
USGA
US
N
2
2035-05-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620C5BG1
544689.29000000
PA
USD
557749.16000000
0.010635502291
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.00000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2019-2
33852BAL9
1693073.65000000
PA
USD
1625638.53000000
0.030998670283
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380AAW7
1021892.64000000
PA
USD
998921.82000000
0.019048052544
Long
ABS-MBS
USGA
US
N
2
2036-08-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393DRP8
13166.17000000
PA
USD
13160.94000000
0.000250960857
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Floating
2.55900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395DVV8
40031.36000000
PA
USD
39935.21000000
0.000761509022
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
2.70900000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multiclass Certificates Series 2020-RR09
3137FTG84
47500000.00000000
PA
USD
5586422.75000000
0.106525327553
Long
ABS-MBS
USGSE
US
N
2
2029-02-27
Variable
2.19787000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296DEE4
15650.19000000
PA
USD
17144.66000000
0.000326924868
Long
ABS-MBS
USGA
US
N
2
2038-08-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LYNP4
6751940.09000000
PA
USD
6420539.75000000
0.122430780939
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
2.50000000
N
N
N
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Commercial Mortgage Trust 2021-MHC
55316VAA2
6335000.00000000
PA
USD
6146998.11000000
0.117214721556
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
2.79996200
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AWMU6
304142.15350000
PA
USD
53218.52000000
0.001014803305
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Floating
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396CNQ9
2217259.69000000
PA
USD
2331190.70000000
0.044452570816
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADCB3
50386.61620000
PA
USD
42631.44000000
0.000812922385
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCWD4
92445.50320000
PA
USD
16838.40000000
0.000321084915
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DQZ7
36913.66000000
PA
USD
40377.49000000
0.000769942687
Long
ABS-MBS
USGA
US
N
2
2031-12-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDHA7
18907391.41000000
PA
USD
19105452.20000000
0.364314453943
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TPS3
185496.04250000
PA
USD
19380.96000000
0.000369568005
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137GARQ2
214502.06000000
PA
USD
32890.44000000
0.000627175036
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Floating
4.00086000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397KTL5
71073.21000000
PA
USD
69647.99000000
0.001328090493
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Floating
2.34914000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BPVN6
12017000.00000000
PA
USD
11928017.72000000
0.227450741118
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Fixed
3.08000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397EMA0
770200.08000000
PA
USD
48950.61000000
0.000933420186
Long
ABS-MBS
USGSE
US
N
2
2037-01-15
Floating
4.41086000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H6JA4
17699483.88000000
PA
USD
14245790.67000000
0.271647454067
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Fixed
2.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UN85
3266637.19000000
PA
USD
774642.14000000
0.014771350360
Long
ABS-MBS
USGSE
US
N
2
2042-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WKF2
855154.31000000
PA
USD
915465.26000000
0.017456651787
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Fixed
4.75000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTG43
18674000.00000000
PA
USD
2172796.46000000
0.041432212520
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.79787600
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359HUV4
38378.75000000
PA
USD
38638.05000000
0.000736773981
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Floating
3.12357000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8XE0
6295478.58000000
PA
USD
6574347.76000000
0.125363686195
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380ASK4
7817220.69880000
PA
USD
1271210.63000000
0.024240222197
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Floating
3.97357000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379NT28
11133273.35520000
PA
USD
1877546.39000000
0.035802203510
Long
ABS-MBS
USGA
US
N
2
2045-07-16
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376YAL5
1545149.24000000
PA
USD
1558592.50000000
0.029720195555
Long
ABS-MBS
USGA
US
N
2
2035-03-20
Floating
2.92643000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust 2010-1
92261XAC2
5963742.06000000
PA
USD
6011411.44000000
0.114629271962
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
4.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-150.00000000
NC
USD
-693750.00000000
-0.01322884953
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
0.00000000
USD
100000.00000000
140.00000000
USD
2022-08-26
XXXX
-466013.50000000
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLN75
68018000.00000000
PA
USD
1031492.97000000
0.019669139163
Long
ABS-MBS
USGSE
US
N
2
2026-02-25
Variable
0.41624100
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGZD4
10994483.06000000
PA
USD
11276492.87000000
0.215027066584
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393YES0
43555.51000000
PA
USD
48781.76000000
0.000930200451
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XG2C2
25336717.38000000
PA
USD
25939606.85000000
0.494632296903
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FP56
32164.39000000
PA
USD
34745.56000000
0.000662549600
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FLEW0
3231197.57000000
PA
USD
3209933.71000000
0.061208980269
Long
ABS-MBS
USGSE
US
N
2
2049-04-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394YDV3
798856.87110000
PA
USD
75150.70000000
0.001433019535
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Floating
5.05086000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGMS5
48829619.70000000
PA
USD
49931091.40000000
0.952116605655
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382JTY2
17593370.91980000
PA
USD
2124232.40000000
0.040506163306
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNB44
24229982.63000000
PA
USD
24361869.82000000
0.464547041734
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A9P96
63326.99000000
PA
USD
66995.53000000
0.001277511763
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MGYD1
342990.62000000
PA
USD
349782.90000000
0.006669874383
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395K2B8
628635.64000000
PA
USD
778139.21000000
0.014838034630
Long
ABS-MBS
USGSE
US
N
2
2034-11-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377UX86
219381.26850000
PA
USD
29570.07000000
0.000563860189
Long
ABS-MBS
USGA
US
N
2
2041-01-16
Fixed
5.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31282YDX4
1069272.00000000
PA
USD
150068.80000000
0.002861603711
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2017-DELC Mortgage Trust
05552EAA8
12000000.00000000
PA
USD
11851356.00000000
0.225988908528
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
2.84914000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F5CM9
2579064.51000000
PA
USD
447330.49000000
0.008529971522
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377XLV2
343758.28300000
PA
USD
8.59000000
0.000000163799
Long
ABS-MBS
USGA
US
N
2
2026-08-16
Variable
0.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HN2R2
3191170.65000000
PA
USD
3389664.53000000
0.064636197529
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2020-2 Receivables Funding LLC
826525AA5
4908771.47000000
PA
USD
4666422.97000000
0.088982208763
Long
ABS-O
CORP
US
N
2
2037-07-20
Fixed
1.33000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374CYN5
182192.57000000
PA
USD
189941.26000000
0.003621916178
Long
ABS-MBS
USGA
US
N
2
2033-10-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multiclass Certificates Series 2021-RR15
3137F92K6
112345000.00000000
PA
USD
14502290.25000000
0.276538545020
Long
ABS-MBS
USGSE
US
N
2
2034-10-27
Variable
1.56367500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KHFQ4
67208.45000000
PA
USD
72324.70000000
0.001379131637
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TAH2
13087403.00000000
PA
USD
13057932.79000000
0.248996653113
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
4.11422000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust 2011-2
92262BAF2
19314928.09000000
PA
USD
18985131.49000000
0.362020105015
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9GH9
431862.58000000
PA
USD
464763.71000000
0.008862398829
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F8ZZ9
49625000.00000000
PA
USD
3400632.53000000
0.064845342065
Long
ABS-MBS
USGSE
US
N
2
2030-12-25
Variable
0.97660200
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2022-2
31572YAA6
6093929.57000000
PA
USD
5959130.63000000
0.113632349484
Long
ABS-MBS
CORP
US
N
2
2067-04-25
Variable
4.29900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FUPF5
6101031.05000000
PA
USD
990749.48000000
0.018892217364
Long
ABS-MBS
USGSE
US
N
2
2047-12-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VVF59
2998672.45000000
PA
USD
3232920.65000000
0.061647309308
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F83U5
21236000.00000000
PA
USD
1758332.31000000
0.033528956481
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
1.19455400
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2021-4
80285VAC3
10115000.00000000
PA
USD
9973906.88000000
0.190188559822
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
0.51000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNNE9
5803314.74000000
PA
USD
5674476.22000000
0.108204385002
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B7LQ2
24165304.88000000
PA
USD
20789191.88000000
0.396421032509
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419E6N4
59008.30000000
PA
USD
60831.31000000
0.001159968644
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133D4KQ5
13536851.93000000
PA
USD
12872787.99000000
0.245466198769
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4UD8
7312572.19000000
PA
USD
7234101.71000000
0.137944278243
Long
ABS-MBS
USGSE
US
N
2
2049-06-25
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCCR5
200119.87000000
PA
USD
33160.17000000
0.000632318413
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BBH8
7677151.97000000
PA
USD
7894389.96000000
0.150535058651
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617AVHG6
427753.18000000
PA
USD
436365.32000000
0.008320880951
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XLP3
13971.44000000
PA
USD
14231.32000000
0.000271371518
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B9S65
12528571.94000000
PA
USD
2430828.61000000
0.046352527457
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AAEZ3
3736726.90000000
PA
USD
3887913.38000000
0.074137111500
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BLDP0
542755.64000000
PA
USD
575632.74000000
0.010976517339
Long
ABS-MBS
USGSE
US
N
2
2038-05-15
Variable
5.33839100
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FAJF8
73522.01940000
PA
USD
14932.24000000
0.000284737089
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382RUQ9
10158775.34000000
PA
USD
1520642.70000000
0.028996545545
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KSU4
97430.21000000
PA
USD
87828.86000000
0.001674774448
Long
ABS-MBS
USGA
US
N
2
2053-12-16
Variable
2.60454000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374LUZ2
264642.51350000
PA
USD
22977.37000000
0.000438146551
Long
ABS-MBS
USGA
US
N
2
2035-07-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380BHQ1
326703.20000000
PA
USD
276248.69000000
0.005267679068
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.00000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Mortgage Loan Trust 2003-J10
36185NM72
892.33570000
PA
USD
869.85000000
0.000016586832
Long
ABS-MBS
CORP
US
N
2
2019-01-25
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382JYH3
85677139.86000000
PA
USD
10430806.23000000
0.198900996222
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398KHZ6
34002.25000000
PA
USD
34052.76000000
0.000649338865
Long
ABS-MBS
USGSE
US
N
2
2039-08-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DT82
2970.12000000
PA
USD
3199.88000000
0.000061017269
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392CDZ4
6270.02930000
PA
USD
6894.72000000
0.000131472740
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380AVQ7
703806.01870000
PA
USD
97528.37000000
0.001859730640
Long
ABS-MBS
USGA
US
N
2
2040-02-16
Fixed
4.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K29 Mortgage Trust
30291JAJ2
8700000.00000000
PA
USD
8642415.57000000
0.164798868729
Long
ABS-MBS
USGSE
US
N
2
2046-05-25
Variable
3.47139500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403E7J0
39789.93000000
PA
USD
41032.56000000
0.000782433963
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396LC99
176363.17000000
PA
USD
175247.76000000
0.003341731528
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
2.60900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283HS89
14488.65000000
PA
USD
15541.67000000
0.000296358074
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F62P1
34868584.04520000
PA
USD
2171040.08000000
0.041398720792
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
0.95970400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ5Q9
853369.62000000
PA
USD
891803.41000000
0.017005453152
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XYC8
862930.42000000
PA
USD
915931.04000000
0.017465533565
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H3XT5
798840.30000000
PA
USD
805553.02000000
0.015360777935
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A9N98
235276.91000000
PA
USD
246812.38000000
0.004706369496
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393L2Q5
261604.77000000
PA
USD
280581.24000000
0.005350294783
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397RCQ7
101793.46000000
PA
USD
107348.63000000
0.002046989367
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411EPA9
136071.98000000
PA
USD
146306.51000000
0.002789862063
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETH74
56177.36000000
PA
USD
56863.67000000
0.001084311256
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
3.50000000
N
N
N
N
N
N
Foursight Capital Automobile R
N/A
Foursight Capital Automobile Receivables Trust 2022-1
35105JAB4
14009256.84000000
PA
USD
13750137.42000000
0.262196034585
Long
ABS-O
CORP
US
N
2
2025-09-15
Fixed
1.15000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KRF8
5500000.00000000
PA
USD
5208087.50000000
0.099310999487
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
3.91422000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617AVJA7
299575.56000000
PA
USD
307351.92000000
0.005860774491
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
4.00000000
N
N
N
N
N
N
J.P. Morgan Wealth Management
N/A
JPMorgan Wealth Management 2020-ATR1
46652HAJ5
10000000.00000000
PA
USD
9067753.00000000
0.172909463126
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-1
64829FAA9
4256776.67000000
PA
USD
4139425.85000000
0.078933105188
Long
ABS-MBS
CORP
US
N
2
2056-03-25
Variable
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MCZ81
6020.22000000
PA
USD
6040.84000000
0.000115190433
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AKXX2
137231.12000000
PA
USD
141363.93000000
0.002695613923
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR 2019-HQA3
35564XAH4
4326280.16000000
PA
USD
4303155.33000000
0.082055199106
Long
ABS-MBS
CORP
US
N
2
2049-09-25
Floating
4.10900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382DUR8
19143032.64000000
PA
USD
2535525.30000000
0.048348948010
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGVS5
61006325.21000000
PA
USD
58200385.65000000
1.109800568727
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15
61763KBC7
8015000.00000000
PA
USD
7943878.10000000
0.151478728788
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
4.25500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374J3S3
36518.19000000
PA
USD
38194.94000000
0.000728324488
Long
ABS-MBS
USGA
US
N
2
2034-11-16
Floating
10.03200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617V16U0
4671886.69000000
PA
USD
4995368.73000000
0.095254747810
Long
ABS-MBS
USGA
US
N
2
2035-09-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VQN7
426843.08000000
PA
USD
450581.56000000
0.008591964915
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FYTY2
149782684.50000000
PA
USD
6830404.96000000
0.130246341576
Long
ABS-MBS
USGSE
US
N
2
2036-02-25
Variable
0.47161400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393MVJ7
30568.91000000
PA
USD
30621.19000000
0.000583903589
Long
ABS-MBS
USGSE
US
N
2
2023-03-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ASD43
1034087.92000000
PA
USD
140282.30000000
0.002674988740
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
4.00086000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VVLF0
572234.93000000
PA
USD
614722.88000000
0.011721912049
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2PK3
4705618.23000000
PA
USD
361311.01000000
0.006889699439
Long
ABS-MBS
USGSE
US
N
2
2041-03-25
Floating
4.39100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380FWU6
3062987.76000000
PA
USD
476626.32000000
0.009088602336
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292KZX8
10534.14000000
PA
USD
11210.97000000
0.000213777636
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383CRU6
38115048.16000000
PA
USD
35613549.93000000
0.679100963426
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2018-TALL Mortgage Trust
05548WAA5
8394000.00000000
PA
USD
7964866.82000000
0.151878954545
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
2.72100000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multiclass Certificates Series 2015-P001
3137H1M86
100924000.00000000
PA
USD
9343342.07000000
0.178164564157
Long
ABS-MBS
USGSE
US
N
3
2028-10-27
Variable
1.90332400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414RB61
4732.40000000
PA
USD
4880.77000000
0.000093069509
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31281LCS5
270186.72000000
PA
USD
279520.62000000
0.005330070232
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-INV1
12555DAL9
1860456.70000000
PA
USD
1834941.65000000
0.034989790256
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B16B3
732650.00000000
PA
USD
720326.02000000
0.013735617345
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KGX32
1705964.00000000
PA
USD
1676502.80000000
0.031968581309
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K96H2
61933.10000000
PA
USD
66417.20000000
0.001266483812
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZK3
86901437.61850000
PA
USD
12229343.85000000
0.233196612158
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Variable
1.51114800
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ3
36257QAA4
769482.84000000
PA
USD
754717.31000000
0.014391411508
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RTE9
175780.90000000
PA
USD
190893.96000000
0.003640082844
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BCWE6
33453120.09000000
PA
USD
3777449.38000000
0.072030716350
Long
ABS-MBS
USGSE
US
N
2
2035-11-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AQUG1
593671.95000000
PA
USD
589313.63000000
0.011237392921
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
1.46171000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKNK7
418200.95000000
PA
USD
424834.63000000
0.008101006698
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394VL99
20126460.33500000
PA
USD
12579.24000000
0.000239868646
Long
ABS-MBS
USGSE
US
N
2
2035-02-25
Variable
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374XSE6
84721.20000000
PA
USD
6912.20000000
0.000131806059
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Floating
5.47357000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A33E9
1401167.21000000
PA
USD
1409907.83000000
0.026884985281
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERHC7
108377.07000000
PA
USD
117684.31000000
0.002244076438
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
5.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K32 Mortgage Trust
30291NAE4
11943000.00000000
PA
USD
11898189.86000000
0.226881965230
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Variable
3.53111600
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust 2021-NQM2
10569EAA9
3696502.39000000
PA
USD
3555162.55000000
0.067792015050
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
0.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396X7A6
308725.14000000
PA
USD
333401.42000000
0.006357502298
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2022-2
02530BAA8
5187911.23000000
PA
USD
5140735.48000000
0.098026689955
Long
ABS-O
CORP
US
N
2
2026-02-13
Fixed
2.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398GMM8
55219.06000000
PA
USD
59371.30000000
0.001132128280
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AHG38
1003000.00000000
PA
USD
1069278.04000000
0.020389648000
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Fixed
4.50000000
N
N
N
N
N
N
Winwater Mortgage Loan Trust
5493007FSEV8PHXVE122
WinWater Mortgage Loan Trust 2016-1
97655JCB6
3871766.21000000
PA
USD
3703599.14000000
0.070622494782
Long
ABS-MBS
CORP
US
N
2
2046-01-20
Variable
3.78131900
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297GP46
110551.24000000
PA
USD
115019.44000000
0.002193261066
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DCC1
5360080.44000000
PA
USD
4989316.17000000
0.095139333892
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
4.45932300
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397TJN3
165874.80000000
PA
USD
3074.39000000
0.000058624349
Long
ABS-MBS
USGSE
US
N
2
2038-05-15
Floating
4.05086000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379CUJ3
21488.88870000
PA
USD
1257.82000000
0.000023984881
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395BW33
876812.09000000
PA
USD
38368.51000000
0.000731634227
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Floating
4.42100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QLV9
4400000.00000000
PA
USD
4774372.24000000
0.091040651502
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJL0
57790000.00000000
PA
USD
4074483.95000000
0.077694753298
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Variable
1.14140600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379UH41
14734301.27000000
PA
USD
840695.03000000
0.016030887287
Long
ABS-MBS
USGA
US
N
2
2058-02-16
Variable
1.09039000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380BXS9
538875.29000000
PA
USD
533540.21000000
0.010173871218
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Floating
2.11314000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R01
20754FAK8
2481536.28000000
PA
USD
2480896.04000000
0.047307243850
Long
ABS-MBS
CORP
US
N
2
2031-07-25
Floating
4.70900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NRJ2
100073.94000000
PA
USD
105826.08000000
0.002017956452
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
5.00000000
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM 2021-AFC1 Trust
69357TAA8
8544984.81000000
PA
USD
7567878.61000000
0.144308940424
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
1.51000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31281LCL0
133454.56000000
PA
USD
134790.52000000
0.002570268119
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31347AMG6
4442135.18000000
PA
USD
4517444.12000000
0.086141388885
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Floating
2.34500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376PWN6
732000.00000000
PA
USD
791450.70000000
0.015091866268
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7CJ3
21124.09000000
PA
USD
21833.93000000
0.000416342738
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
4.50000000
N
N
N
N
N
N
PSMC Trust
N/A
PSMC 2020-3 Trust
693675AA8
3331361.88000000
PA
USD
3175187.30000000
0.060546414461
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKGA7
67373.26000000
PA
USD
68155.56000000
0.001299631925
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-700.00000000
NC
USD
-60156.60000000
-0.00114710286
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-30
0.00000000
USD
1000.00000000
111.50000000
USD
2022-08-26
XXXX
452092.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGMR7
35490928.56000000
PA
USD
36157036.50000000
0.689464497924
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FUA4
434909.52000000
PA
USD
420190.66000000
0.008012452636
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398JSS3
1451397.66000000
PA
USD
114222.09000000
0.002178056709
Long
ABS-MBS
USGSE
US
N
2
2039-09-15
Floating
4.80086000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M92Q4
324783.20000000
PA
USD
334144.79000000
0.006371677332
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.00000000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2022-OANA
05592DAA2
10000000.00000000
PA
USD
9808156.00000000
0.187027920612
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Floating
3.85658000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BAHQ0
33092946.45000000
PA
USD
2883130.30000000
0.054977292863
Long
ABS-MBS
USGSE
US
N
2
2035-06-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9MP4
43013.64000000
PA
USD
44160.57000000
0.000842080772
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BNN4
13859.39000000
PA
USD
15327.11000000
0.000292266712
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
VMC Finance LLC
N/A
VMC Finance 2021-HT1 LLC
91835TAA4
3932998.66000000
PA
USD
3916491.12000000
0.074682049334
Long
ABS-MBS
CORP
US
N
2
2037-01-18
Floating
3.80600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397NJC0
661.54500000
PA
USD
8.13000000
0.000000155027
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Floating
3.99100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394FW84
13201.39000000
PA
USD
15097.52000000
0.000287888750
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Floating
10.06832900
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR5 Trust
03217JAA9
6393000.00000000
PA
USD
5955980.91000000
0.113572288695
Long
ABS-O
CORP
US
N
2
2037-11-17
Fixed
1.37900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJLY2
66473.16000000
PA
USD
72251.08000000
0.001377727806
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
-2004.00000000
NC
USD
-6222053.38000000
-0.11864592137
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
-236543759.12000000
USD
-6222053.38000000
N
N
N
RUN NQM TRUST
N/A
RUN 2022-NQM1 Trust
74981CAA9
9622114.01000000
PA
USD
9416257.54000000
0.179554960958
Long
ABS-MBS
CORP
US
N
2
2067-03-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multiclass Certificates Series 2015-P001
3137FTZY6
96907000.00000000
PA
USD
8078884.63000000
0.154053115918
Long
ABS-MBS
USGSE
US
N
2
2027-12-27
Variable
2.01317900
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382MFR5
21429683.82000000
PA
USD
2896783.23000000
0.055237635287
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B6QZ9
10618806.41000000
PA
USD
10193183.41000000
0.194369858880
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
2.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP MORGAN MORTGAGE TRUST 2018-5
46649KAN5
1221744.07000000
PA
USD
1149800.57000000
0.021925100877
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ALJ5
48098.45000000
PA
USD
47267.03000000
0.000901316652
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137GAFM4
370467.83000000
PA
USD
12406.12000000
0.000236567487
Long
ABS-MBS
USGSE
US
N
2
2025-10-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multiclass Certificates Series 2015-P001
3137H4CM0
55000000.00000000
PA
USD
8542055.50000000
0.162885141500
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Variable
1.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379ENH1
2845283.05800000
PA
USD
388639.20000000
0.007410810089
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Floating
3.47357000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382VKU2
100023378.10000000
PA
USD
9660787.98000000
0.184217817026
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CNT7
173844.46000000
PA
USD
179567.59000000
0.003424104690
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377NF41
609154.57820000
PA
USD
537295.78000000
0.010245484725
Long
ABS-MBS
USGA
US
N
2
2040-12-20
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398VFK7
107000.00000000
PA
USD
104017.16000000
0.001983462859
Long
ABS-MBS
USGSE
US
N
2
2040-02-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JHD91
419941.70000000
PA
USD
442574.45000000
0.008439280441
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H7HM8
18521388.83000000
PA
USD
15327793.91000000
0.292279753968
Long
ABS-MBS
USGSE
US
N
2
2051-08-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FVJ7
97000.00000000
PA
USD
105000.17000000
0.002002207495
Long
ABS-MBS
USGSE
US
N
2
2039-11-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B0PK4
905000.00000000
PA
USD
928678.96000000
0.017708618705
Long
ABS-MBS
USGSE
US
N
2
2043-03-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AGB8
206188.91000000
PA
USD
208083.07000000
0.003967855313
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LDT6
1201.83000000
PA
USD
1201.46000000
0.000022910174
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
5.50000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300O5GNH0TNJ6B119
WFRBS Commercial Mortgage Trust 2013-C18
96221QAD5
4260254.13000000
PA
USD
4224573.65000000
0.080556755544
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
3.89600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADZ44
1170985.12650000
PA
USD
241102.09000000
0.004597482192
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378FUX6
79872.83060000
PA
USD
10527.09000000
0.000200736994
Long
ABS-MBS
USGA
US
N
2
2042-10-16
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382XR56
31121171.52000000
PA
USD
28938485.04000000
0.551816741364
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380HCX8
4974843.16900000
PA
USD
709720.08000000
0.013533376791
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
7.00000000
N
N
N
N
N
N
BLACKROCK TREASURY TRUST
N/A
BLACKROCK TREASURY TRUST
000000000
18740112.53000000
NS
USD
18740112.53000000
0.357347933549
Long
EC
CORP
US
N
1
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FAMX5
65407.62000000
PA
USD
9829.46000000
0.000187434158
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395N2K2
329938.71000000
PA
USD
44169.52000000
0.000842251436
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
4.31100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383P4G3
12991946.00000000
PA
USD
12119017.15000000
0.231092835129
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-900.00000000
NC
USD
-3782812.50000000
-0.07213298360
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
0.00000000
USD
100000.00000000
117.00000000
USD
2022-08-26
XXXX
-2563268.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHJM0
13030330.21000000
PA
USD
13648203.58000000
0.260252297747
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383PF22
17039395.19000000
PA
USD
15673979.04000000
0.298881023872
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379CA89
585472.08000000
PA
USD
659408.19000000
0.012573998885
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
-20.00000000
NC
USD
-16562.50000000
-0.00031582388
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
0.00000000
USD
100000.00000000
152.00000000
USD
2022-08-26
XXXX
5885.70000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4VN5
4520277.64000000
PA
USD
4428294.96000000
0.084441438148
Long
ABS-MBS
USGSE
US
N
2
2049-06-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDUX4
14929928.78000000
PA
USD
1568611.47000000
0.029911243406
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392CH31
64149.50200000
PA
USD
69565.01000000
0.001326508180
Long
ABS-MBS
USGSE
US
N
2
2032-05-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138APD62
1504002.33000000
PA
USD
1548463.68000000
0.029527053017
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST 2018-1
59166DAA5
4030304.00000000
PA
USD
3940120.71000000
0.075132632816
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36198TAS1
666035.71000000
PA
USD
686008.34000000
0.013081226823
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.50000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-1 Receivables Funding LLC
82653EAA5
2242059.29000000
PA
USD
2200347.35000000
0.041957569750
Long
ABS-O
CORP
US
N
2
2036-01-20
Fixed
3.20000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCTX4
105817.91000000
PA
USD
15620.16000000
0.000297854769
Long
ABS-MBS
USGSE
US
N
2
2035-11-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BL2K3
650172.36000000
PA
USD
118162.97000000
0.002253203820
Long
ABS-MBS
USGSE
US
N
2
2045-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ALYJ2
1878000.00000000
PA
USD
1866245.60000000
0.035586713131
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BLTL2
82804.78000000
PA
USD
8826.70000000
0.000168312917
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380B3G8
303000.00000000
PA
USD
257064.17000000
0.004901856901
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394ERF7
1100318.27000000
PA
USD
1250579.49000000
0.023846814995
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMU83
42271272.72000000
PA
USD
1280223.54000000
0.024412085880
Long
ABS-MBS
USGSE
US
N
2
2026-05-25
Variable
0.95722000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCEX0
42038.22000000
PA
USD
6837.82000000
0.000130387736
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397BDZ1
1246896.00000000
PA
USD
150546.98000000
0.002870721940
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
Floating
4.60086000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2022-INV1 Trust
55284TAA5
9658538.18000000
PA
USD
9287404.02000000
0.177097903188
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
3.90700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ALJ32
22084.59000000
PA
USD
23029.53000000
0.000439141170
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ATM76
3060736.21000000
PA
USD
510820.35000000
0.009740635025
Long
ABS-MBS
USGSE
US
N
2
2046-08-25
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FXQT8
51000000.00000000
PA
USD
3975756.00000000
0.075812148332
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.13447400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31339WW85
135955.48000000
PA
USD
10352.44000000
0.000197406660
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Floating
5.90086000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359DMP5
27202.57000000
PA
USD
27547.56000000
0.000525293731
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398GJE0
813141.94000000
PA
USD
1012970.27000000
0.019315936985
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTZM2
90000591.97000000
PA
USD
11969214.73000000
0.228236310914
Long
ABS-MBS
USGSE
US
N
2
2035-02-25
Variable
1.51157600
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UPS9
236516.29510000
PA
USD
10479.64000000
0.000199832188
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BRGT6
228184.39000000
PA
USD
13613.46000000
0.000259589785
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ABF48
473302.16000000
PA
USD
60008.51000000
0.001144278990
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
4.00086000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373MC32
453776.83000000
PA
USD
492506.77000000
0.009391420475
Long
ABS-MBS
USGA
US
N
2
2037-04-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377FVF5
924223.48000000
PA
USD
1130531.60000000
0.021557668366
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BUSM1
1173000.00000000
PA
USD
1022213.20000000
0.019492186830
Long
ABS-MBS
USGSE
US
N
2
2047-01-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HQPT3
387576.70000000
PA
USD
398333.36000000
0.007595664264
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ER2K5
836978.15000000
PA
USD
869885.74000000
0.016587513608
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-9
46651YBB5
1052003.99000000
PA
USD
1004101.51000000
0.019146822042
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Floating
2.52357000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHCW5
10222089.83000000
PA
USD
10494885.31000000
0.200122895332
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376T2N1
25176.21000000
PA
USD
25011.43000000
0.000476933252
Long
ABS-MBS
USGA
US
N
2
2040-01-16
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDJH0
42778247.13000000
PA
USD
39656775.76000000
0.756199667765
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383PD40
49271348.40000000
PA
USD
49663572.97000000
0.947015400527
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPA90
259114.11000000
PA
USD
267745.89000000
0.005105542474
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0204A4
10000000.00000000
PA
USD
9509622.60000000
0.181335303056
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Fixed
2.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-LTV3
46651HBH9
218057.62000000
PA
USD
215154.60000000
0.004102699574
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395JU20
100546.18000000
PA
USD
105960.77000000
0.002020524804
Long
ABS-MBS
USGSE
US
N
2
2034-11-15
Fixed
5.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2018-EXP1 Trust
67097VAC8
1551921.38000000
PA
USD
1500520.66000000
0.028612846173
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Variable
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H7YC1
9012259.21000000
PA
USD
5795824.45000000
0.110518327310
Long
ABS-MBS
USGSE
US
N
2
2051-08-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398PMS5
324419.66000000
PA
USD
343834.62000000
0.006556448940
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPWJ9
44676.61000000
PA
USD
46077.27000000
0.000878629580
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
Arroyo Mortgage Trust
N/A
Arroyo Mortgage Trust 2021-1R
042853AC5
4135288.46000000
PA
USD
3732796.70000000
0.071179251723
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
1.63700000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2015-IVR2
46644CAP3
3916523.38000000
PA
USD
3842970.68000000
0.073280116594
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Variable
2.64187300
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374XBQ7
108789.84000000
PA
USD
16357.56000000
0.000311915963
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBDE5
759918.10000000
PA
USD
793031.07000000
0.015122001730
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396LA59
1782664.52000000
PA
USD
238624.09000000
0.004550230171
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
4.39100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380NLL1
1869714.78000000
PA
USD
1473347.59000000
0.028094693446
Long
ABS-MBS
USGA
US
N
2
2061-05-16
Fixed
2.80000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2019-3 Trust
949831AA9
227790.16000000
PA
USD
220518.46000000
0.004204980939
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENRL5
510319.33000000
PA
USD
532114.20000000
0.010146679187
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414CZV3
11785.95000000
PA
USD
12155.45000000
0.000231787559
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FA5Y2
208941.13000000
PA
USD
29776.43000000
0.000567795188
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378AMF5
234720.88460000
PA
USD
40900.79000000
0.000779921292
Long
ABS-MBS
USGA
US
N
2
2041-11-16
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375KYH9
184250.10000000
PA
USD
13392.05000000
0.000255367804
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
4.62357000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375JJ71
130198.29000000
PA
USD
8311.64000000
0.000158491437
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
4.07357000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2PF4
13230230.38000000
PA
USD
14064348.78000000
0.268187609076
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F4W73
3049554.84000000
PA
USD
470939.70000000
0.008980166386
Long
ABS-MBS
USGSE
US
N
2
2048-04-15
Floating
4.20086000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WA4D6
2361413.45000000
PA
USD
2499663.70000000
0.047665117076
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
5.00000000
N
N
N
N
N
N
MASTR Seasoned Securitization
N/A
MASTR Seasoned Securitization Trust 2005-2
55265WDJ9
1002.80760000
PA
USD
981.84000000
0.000018722325
Long
ABS-MBS
CORP
US
N
2
2017-11-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379NPR7
34323.04080000
PA
USD
689.77000000
0.000013152956
Long
ABS-MBS
USGA
US
N
2
2037-05-16
Variable
1.54568000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A8N20
196346.77000000
PA
USD
216743.63000000
0.004133000170
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378PR75
2112827.93770000
PA
USD
132335.29000000
0.002523450290
Long
ABS-MBS
USGA
US
N
2
2043-06-16
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXG20
229089.48000000
PA
USD
243719.80000000
0.004647398288
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BYU6
296526.30000000
PA
USD
309070.27000000
0.005893541040
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378PXC7
688000.00000000
PA
USD
702972.94000000
0.013404718197
Long
ABS-MBS
USGA
US
N
2
2043-12-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LAH9
1467153.37000000
PA
USD
1470606.61000000
0.028042426762
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
5.35900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B4Z25
670272.13450000
PA
USD
659508.03000000
0.012575902695
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
5.49255700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393EHE2
355000.00000000
PA
USD
374085.58000000
0.007133292757
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Fixed
4.28600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T0C69
18011.49000000
PA
USD
18188.25000000
0.000346824681
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Fixed
6.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2HE6
1776263.84000000
PA
USD
1913157.65000000
0.036481260808
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BRYL3
841518.53000000
PA
USD
685326.46000000
0.013068224318
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Floating
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394UCM2
3889030.32000000
PA
USD
4095957.07000000
0.078104215891
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Fixed
5.50000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2020-1
743874AJ8
2098884.49000000
PA
USD
1882583.11000000
0.035898246769
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KAJ7
27479233.58000000
PA
USD
842579.25000000
0.016066816747
Long
ABS-MBS
USGA
US
N
2
2056-07-16
Variable
0.68007000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XSTW0
1741480.73000000
PA
USD
1788333.09000000
0.034101029712
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396TP64
1130419.59000000
PA
USD
1127957.08000000
0.021508575843
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Floating
2.34914000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGWB1
29710071.05000000
PA
USD
29196084.44000000
0.556728804358
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380P5C4
10200000.00000000
PA
USD
7234627.44000000
0.137954303185
Long
ABS-MBS
USGA
US
N
2
2062-03-16
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AMEE8
68451.36000000
PA
USD
71871.33000000
0.001370486501
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
5.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2017-2
81746KAU8
1937174.10000000
PA
USD
1832017.51000000
0.034934030965
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Variable
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F84T7
52929984.68000000
PA
USD
2956965.35000000
0.056385224779
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
0.85201900
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K35 Mortgage Trust
30291VAE6
27855000.00000000
PA
USD
27806256.54000000
0.530226715469
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Variable
3.93293900
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F64T1
40072531.00000000
PA
USD
2775295.26000000
0.052921028332
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Variable
1.56996900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4NB8
1736752.28000000
PA
USD
1790490.89000000
0.034142175963
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHG8
94327929.62500000
PA
USD
11737922.31000000
0.223825885513
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Variable
1.33007400
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208NRF2
47446.05000000
PA
USD
46359.58000000
0.000884012840
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LXC5
125263.94000000
PA
USD
131980.59000000
0.002516686654
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137GAFQ5
72314.94000000
PA
USD
7298.83000000
0.000139178556
Long
ABS-MBS
USGSE
US
N
2
2030-10-15
Fixed
4.50000000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2021-NQM2 Trust
55283WAA9
6610210.20000000
PA
USD
5954474.04000000
0.113543554776
Long
ABS-MBS
CORP
US
N
2
2064-11-25
Variable
1.02900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B22X7
500000.00000000
PA
USD
481777.45000000
0.009186827235
Long
ABS-MBS
USGSE
US
N
2
2043-05-15
Fixed
3.00000000
N
N
N
N
N
N
Arroyo Mortgage Trust
N/A
Arroyo Mortgage Trust 2019-3
04285AAC9
3081813.35000000
PA
USD
2975795.27000000
0.056744285217
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.41600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375XBM5
496451.60000000
PA
USD
523171.52000000
0.009976154693
Long
ABS-MBS
USGA
US
N
2
2038-06-16
Fixed
5.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BP7A1
288445756.59750000
PA
USD
9375237.05000000
0.178772757153
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Variable
1.04317100
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300XO83D3BDYP0P62
Wells Fargo Commercial Mortgage Trust 2015-LC22
94989TBA1
4059964.34000000
PA
USD
4033801.12000000
0.076918988201
Long
ABS-MBS
CORP
US
N
2
2058-09-15
Fixed
3.57100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JLLF9
16394757.48000000
PA
USD
17114108.61000000
0.326342295785
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWGB0
55537412.00000000
PA
USD
5705663.79000000
0.108799088672
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Variable
1.54728400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B06R2
2575537.28000000
PA
USD
2485385.23000000
0.047392846472
Long
ABS-MBS
USGSE
US
N
2
2048-03-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AXF26
5955130.56000000
PA
USD
807731.88000000
0.015402325771
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Floating
3.64100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VV5T8
1515837.33000000
PA
USD
1612289.29000000
0.030744118806
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LDP8
49099.57000000
PA
USD
51941.24000000
0.000990447349
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378FX62
1510262.41240000
PA
USD
185900.92000000
0.003544872502
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373VUK4
193705.56990000
PA
USD
193603.20000000
0.003691744291
Long
ABS-MBS
USGA
US
N
2
2032-10-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KMD2
40566802.31000000
PA
USD
5011217.09000000
0.095556954037
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AECG0
382384.39000000
PA
USD
36878.49000000
0.000703221614
Long
ABS-MBS
USGSE
US
N
2
2032-11-25
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-8
46650MAG2
1620379.93000000
PA
USD
1597146.92000000
0.030455374828
Long
ABS-MBS
CORP
US
N
2
2049-01-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3WL0
6101338.80000000
PA
USD
6152836.54000000
0.117326052312
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36230N2R5
77368.56000000
PA
USD
82300.84000000
0.001569362780
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQYB2
1716863.98000000
PA
USD
1784374.81000000
0.034025550807
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DSQ5
39114.70000000
PA
USD
41706.29000000
0.000795281059
Long
ABS-MBS
USGA
US
N
2
2032-04-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8SL8
11422619.65000000
PA
USD
12691464.34000000
0.242008608451
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
7.47500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210BDM4
77342.48000000
PA
USD
82467.69000000
0.001572544378
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
6.00000000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2022-1
02530WAC8
9000000.00000000
PA
USD
8671002.30000000
0.165343977990
Long
ABS-O
CORP
US
N
2
2026-09-14
Fixed
1.68000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FQV83
18024292.62000000
PA
USD
17608362.24000000
0.335767026456
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379UGS9
24741915.70930000
PA
USD
1055762.29000000
0.020131921409
Long
ABS-MBS
USGA
US
N
2
2058-01-16
Variable
0.91468000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380CAX1
464000.00000000
PA
USD
524178.48000000
0.009995356022
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
5.00000000
N
N
N
N
N
N
FCI Funding, LLC
N/A
FCI Funding 2019-1 LLC
30259MAA4
2842808.22000000
PA
USD
2840511.23000000
0.054164606356
Long
ABS-O
CORP
US
N
2
2031-02-18
Fixed
3.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AEZ67
131279.29300000
PA
USD
125512.51000000
0.002393349346
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQ59
332653.55000000
PA
USD
363938.04000000
0.006939793255
Long
ABS-MBS
USGA
US
N
2
2039-01-20
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9J77
5376112.10000000
PA
USD
5684448.69000000
0.108394546163
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137APVG2
1065519.89000000
PA
USD
43284.72000000
0.000825379528
Long
ABS-MBS
USGSE
US
N
2
2027-04-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KF32
17791.60780000
PA
USD
19683.26000000
0.000375332446
Long
ABS-MBS
USGA
US
N
2
2035-02-16
Floating
13.37600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BQPQ4
1348092.19000000
PA
USD
193106.79000000
0.003682278441
Long
ABS-MBS
USGSE
US
N
2
2044-12-15
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F84L4
35210000.00000000
PA
USD
2656953.64000000
0.050664417904
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
1.08101000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJBU1
373325.78000000
PA
USD
401403.21000000
0.007654202043
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BMGY8
8220606.83000000
PA
USD
7651934.84000000
0.145911776055
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAVL9
5683796.19000000
PA
USD
5803389.40000000
0.110662580406
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374GSA1
100755.04000000
PA
USD
106412.13000000
0.002029131612
Long
ABS-MBS
USGA
US
N
2
2034-04-17
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394UET5
57226.18290000
PA
USD
71228.47000000
0.001358228053
Long
ABS-MBS
USGSE
US
N
2
2035-11-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BB7E6
43028408.57000000
PA
USD
8809343.78000000
0.167981957988
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RHB2
8963995.67000000
PA
USD
285863.61000000
0.005451022246
Long
ABS-MBS
USGA
US
N
2
2057-08-16
Variable
0.71392000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382MTD1
19620642.41000000
PA
USD
2074796.60000000
0.039563491220
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE15 Mortgage Trust
12591RBC3
11300000.00000000
PA
USD
11252271.06000000
0.214565190288
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Variable
4.42600000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
17500000.00000000
PA
USD
21205376.81000000
0.404357101434
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040693
-86000000.00000000
PA
USD
-86402735.42000000
-1.64758023229
Short
ABS-MBS
USGSE
US
N
2
2051-09-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENWT2
869.68000000
PA
USD
871.30000000
0.000016614481
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BTFY2
2030675.70000000
PA
USD
274490.29000000
0.005234148821
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395F3B8
128577.73000000
PA
USD
14858.07000000
0.000283322771
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Floating
5.90086000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UK35
2694078.64000000
PA
USD
2910805.41000000
0.055505018796
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NDW5
132285.37000000
PA
USD
143658.18000000
0.002739362086
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
6.00000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Inc Asset-Backed Certificates Trust 2004-5
1266716K7
2364593.19000000
PA
USD
2325686.17000000
0.044347607070
Long
ABS-O
CORP
US
N
2
2034-08-25
Floating
3.11400000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-LTV2
46651AAL6
6371.87000000
PA
USD
6358.71000000
0.000121251773
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Floating
3.15900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A75X6
3155017.25000000
PA
USD
94154.23000000
0.001795390474
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392JGL7
15776.01000000
PA
USD
15786.95000000
0.000301035223
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
4.00000000
N
N
N
N
N
N
Winwater Mortgage Loan Trust
5493007FSEV8PHXVE122
WinWater Mortgage Loan Trust 2016-1
97655JAT9
1251397.48000000
PA
USD
1199335.09000000
0.022869655417
Long
ABS-MBS
CORP
US
N
2
2046-01-20
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KV4H5
145060.53000000
PA
USD
152044.89000000
0.002899285004
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376K2G5
69000.00000000
PA
USD
73157.83000000
0.001395018270
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VY57
139495.24000000
PA
USD
143810.88000000
0.002742273863
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GSUC1
18350.31000000
PA
USD
18586.93000000
0.000354426955
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFDV5
548822.54000000
PA
USD
556832.62000000
0.010618025146
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VEXP3
3483700.46000000
PA
USD
3755646.41000000
0.071614963976
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374HVU1
40920.34000000
PA
USD
43480.97000000
0.000829121743
Long
ABS-MBS
USGA
US
N
2
2034-08-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KF99
821.73000000
PA
USD
822.26000000
0.000015679356
Long
ABS-MBS
USGA
US
N
2
2034-12-17
Floating
12.89540000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K27 Mortgage Trust
30291GAN9
1300000.00000000
PA
USD
1293534.45000000
0.024665906458
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Variable
3.49493800
N
N
N
N
N
N
MSILF Treasury Securities Portfolio
549300OJY9IZ31SGS926
MSILF Treasury Securities Portfolio
61747C525
18740112.51000000
NS
USD
18740112.51000000
0.357347933168
Long
STIV
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ATVK7
7752767.51000000
PA
USD
792306.48000000
0.015108184804
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Floating
3.84100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MDXY4
12009.29000000
PA
USD
12035.15000000
0.000229493604
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHFP7
25516706.75000000
PA
USD
23646749.09000000
0.450910682043
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-4
33851LAM6
2466580.13000000
PA
USD
2296167.07000000
0.043784718807
Long
ABS-MBS
CORP
US
N
2
2048-07-25
Variable
4.24546900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YKH9
31298.45000000
PA
USD
32517.81000000
0.000620069500
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AV5X1
1055871.98000000
PA
USD
55703.79000000
0.001062193955
Long
ABS-MBS
USGSE
US
N
2
2027-10-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394RR35
402572.01000000
PA
USD
431301.20000000
0.008224315212
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ANCR4
24946.83590000
PA
USD
23920.68000000
0.000456134164
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A53N0
58941.95000000
PA
USD
60771.79000000
0.001158833680
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-NXS2
94989MAK5
7500000.00000000
PA
USD
7317777.75000000
0.139539864179
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Variable
4.28242200
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398EXD1
177000.00000000
PA
USD
182657.24000000
0.003483020027
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AFH6
573090.24000000
PA
USD
598064.52000000
0.011404260247
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AJV86
60098.67120000
PA
USD
3065.09000000
0.000058447011
Long
ABS-MBS
USGSE
US
N
2
2029-05-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BKM7
610937.43000000
PA
USD
619813.44000000
0.011818981962
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374XAM7
35696.73620000
PA
USD
2112.60000000
0.000040284349
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Floating
4.17357000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NNU4
88682.61000000
PA
USD
78844.62000000
0.001503457462
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617V7ZY7
1919453.99000000
PA
USD
2041321.47000000
0.038925166956
Long
ABS-MBS
USGA
US
N
2
2035-10-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H7DA9
134435.02000000
PA
USD
139595.52000000
0.002661892799
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620C1FT8
254061.49000000
PA
USD
267968.47000000
0.005109786766
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374JPK6
360692.99000000
PA
USD
23503.19000000
0.000448173209
Long
ABS-MBS
USGA
US
N
2
2034-10-16
Floating
3.94400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FTF28
2515155.00000000
PA
USD
700751.11000000
0.013362350983
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383RK55
8660619.02000000
PA
USD
5412790.75000000
0.103214406325
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397JSA3
34349.46600000
PA
USD
34062.26000000
0.000649520017
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
2.29914000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KLN5
15904.20000000
PA
USD
16402.81000000
0.000312778818
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HNBD0
54397.58000000
PA
USD
55306.28000000
0.001054613991
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HVW4
55324.67000000
PA
USD
1233.66000000
0.000023524183
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393DRH6
1089730.37000000
PA
USD
175638.71000000
0.003349186402
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AQ35
4665529.55000000
PA
USD
4700924.17000000
0.089640098757
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396AAK0
113198.25270000
PA
USD
15324.78000000
0.000292222282
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
4.69086000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBD62
1086010.35000000
PA
USD
1134449.29000000
0.021632373276
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H7CW2
102374.29000000
PA
USD
107321.63000000
0.002046474515
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617NA7A2
5185106.97000000
PA
USD
5530908.44000000
0.105466746718
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HPUZ8
2970742.32000000
PA
USD
3102676.55000000
0.059163735107
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374NV20
192297.30320000
PA
USD
196544.50000000
0.003747830799
Long
ABS-MBS
USGA
US
N
2
2036-11-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KVZ3
53946639.11000000
PA
USD
6855004.83000000
0.130715426951
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2020-1NV
33851YAL0
3108146.91000000
PA
USD
2944918.85000000
0.056155514745
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
3.10900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B2EV8
1205693.16000000
PA
USD
1000381.10000000
0.019075878988
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Floating
3.00129000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RH44
3499540.20000000
PA
USD
3325510.87000000
0.063412876282
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
3.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31282YDT3
768099.80000000
PA
USD
109425.83000000
0.002086598688
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376CXX2
104912.39000000
PA
USD
94738.87000000
0.001806538747
Long
ABS-MBS
USGA
US
N
2
2037-11-16
None
0.00000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2018-2
59980MAC5
1658954.55000000
PA
USD
1643661.31000000
0.031342339681
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CPH1
115377.51000000
PA
USD
120667.56000000
0.002300962875
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418SYU7
8235.19000000
PA
USD
8553.08000000
0.000163095363
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2020-SDAL
95002GAE2
5450000.00000000
PA
USD
5243537.65000000
0.099986984641
Long
ABS-MBS
CORP
US
N
2
2037-02-15
Floating
3.73900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380CS95
4178656.75000000
PA
USD
683413.88000000
0.013031754072
Long
ABS-MBS
USGA
US
N
2
2035-05-20
Fixed
5.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-9INV
33851MAA0
17721360.77000000
PA
USD
16457565.47000000
0.313822929427
Long
ABS-MBS
CORP
US
N
2
2041-09-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B6ZA4
11419944.96000000
PA
USD
11174900.35000000
0.213089838244
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200M7J6
83317.54000000
PA
USD
87931.32000000
0.001676728218
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405FTE2
275456.37000000
PA
USD
290476.95000000
0.005538992237
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379H8G3
7312585.34000000
PA
USD
7722711.69000000
0.147261392342
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F012494
-251374911.00000000
PA
USD
-233490310.04000000
-4.45233611394
Short
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291URZ0
70167.05000000
PA
USD
74578.10000000
0.001422100848
Long
ABS-MBS
USGA
US
N
2
2036-11-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380CS79
2455466.35710000
PA
USD
241924.33000000
0.004613161167
Long
ABS-MBS
USGA
US
N
2
2047-02-16
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383PP62
7043701.61000000
PA
USD
6670244.55000000
0.127192304869
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.50000000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2021-WILL
05591VAA3
4837958.92000000
PA
USD
4706819.27000000
0.089752510132
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
3.74900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B9JR9
11969763.00000000
PA
USD
4154562.30000000
0.079221736279
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ABW93
80691.94000000
PA
USD
83629.58000000
0.001594700007
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JSX7
2845145.29000000
PA
USD
3015824.19000000
0.057507581158
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617V15M9
2281021.74000000
PA
USD
2433854.74000000
0.046410231555
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H3EZ1
44491000.00000000
PA
USD
2894335.31000000
0.055190956851
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Variable
0.85574600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378MVC6
1623880.30910000
PA
USD
171914.85000000
0.003278177561
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296UZ46
90233.66000000
PA
USD
94071.81000000
0.001793818839
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ATJQ6
26218.19000000
PA
USD
3934.48000000
0.000075025072
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Floating
4.10086000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNWZ9
57281113.71000000
PA
USD
2280338.22000000
0.043482884609
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Variable
1.30638500
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F9Z38
26688000.00000000
PA
USD
1751125.11000000
0.033391525181
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.93617800
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KQF8
7660039.97000000
PA
USD
170134.85000000
0.003244235432
Long
ABS-MBS
USGA
US
N
2
2049-12-16
Variable
0.58681000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AT7D8
2447000.00000000
PA
USD
2382073.99000000
0.045422844528
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KAZ1
238928.32000000
PA
USD
260717.96000000
0.004971529605
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VAD6
193917.66880000
PA
USD
172182.06000000
0.003283272885
Long
ABS-MBS
USGA
US
N
2
2046-02-16
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381B4T8
12488006.00000000
PA
USD
12508706.12000000
0.238523662875
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W5M88
848312.41000000
PA
USD
861535.81000000
0.016428292033
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335A3R7
211312.67000000
PA
USD
207172.00000000
0.003950482472
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382L2N0
11061175.29000000
PA
USD
1516216.13000000
0.028912137000
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HMU4
39143.99000000
PA
USD
42453.14000000
0.000809522452
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376GL99
3558483.39000000
PA
USD
3383134.85000000
0.064511685595
Long
ABS-MBS
USGA
US
N
2
2052-09-16
Variable
3.57570000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AXGR0
9187999.18000000
PA
USD
9410438.80000000
0.179444005663
Long
ABS-MBS
USGSE
US
N
2
2057-07-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409GV86
34823.66000000
PA
USD
35896.53000000
0.000684497000
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417MTZ6
165316.63000000
PA
USD
177765.88000000
0.003389748581
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JLQM9
1124652.96000000
PA
USD
1130696.18000000
0.021560806678
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYPN3
16052.23000000
PA
USD
16575.21000000
0.000316066247
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F82T9
29929105.17000000
PA
USD
1729169.02000000
0.032972853021
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
0.88202600
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B9ES0
772110.93000000
PA
USD
175924.47000000
0.003354635449
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132VMK79
1994748.56000000
PA
USD
2035612.54000000
0.038816305585
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K28 Mortgage Trust
30291HAE7
6203000.00000000
PA
USD
6166969.87000000
0.117595555297
Long
ABS-MBS
USGSE
US
N
2
2046-06-25
Variable
3.48876300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397SMA9
132023.18300000
PA
USD
144231.18000000
0.002750288401
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Fixed
5.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2022-5 Mortgage Loan Trust
19688LAA0
11907181.18000000
PA
USD
11677324.95000000
0.222670377970
Long
ABS-MBS
CORP
US
N
2
2067-04-25
Variable
4.55000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UEA0
5730137.12000000
PA
USD
597124.93000000
0.011386343569
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KHE2
5722386.66000000
PA
USD
5619693.28000000
0.107159750379
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
3.16422000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
300.00000000
NC
USD
84375.00000000
0.001608914132
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
0.00000000
USD
100000.00000000
119.00000000
USD
2022-08-26
XXXX
-306245.75000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE3 Mortgage Trust
12624PAJ4
7450000.00000000
PA
USD
7432306.25000000
0.141723763701
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
3.41600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WK70
505051.00000000
PA
USD
568217.78000000
0.010835124344
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FX3V8
63500000.00000000
PA
USD
6149676.55000000
0.117265795689
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
1.43322300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AFNZ3
100337.78000000
PA
USD
100205.17000000
0.001910773501
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
2.50900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377EGU2
87135.96000000
PA
USD
85462.65000000
0.001629654108
Long
ABS-MBS
USGA
US
N
2
2039-06-16
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397NHJ7
2459.95000000
PA
USD
2464.46000000
0.000046993831
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERER7
324563.05000000
PA
USD
333905.11000000
0.006367106967
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MEZN4
63648.76000000
PA
USD
64883.59000000
0.001237239998
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WRUE8
190495.45000000
PA
USD
194266.02000000
0.003704383348
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376LWH8
1517198.52580000
PA
USD
19118.37000000
0.000364560778
Long
ABS-MBS
USGA
US
N
2
2035-07-20
Floating
0.62000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B3FV5
11837.93000000
PA
USD
10908.39000000
0.000208007855
Long
ABS-MBS
USGSE
US
N
2
2043-01-15
Floating
5.36058000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RHP7
1098434.78980000
PA
USD
169679.51000000
0.003235552730
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393CSV6
326679.53000000
PA
USD
350427.66000000
0.006682169061
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Fixed
5.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-1
81748MAG3
10946136.31000000
PA
USD
10302522.10000000
0.196454795929
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2HT9
88561.70000000
PA
USD
92336.84000000
0.001760735369
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H7G31
29705094.54000000
PA
USD
29974377.16000000
0.571569766212
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RAQ2
324918.29000000
PA
USD
348747.62000000
0.006650133030
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394YH98
334336.49000000
PA
USD
354570.80000000
0.006761172990
Long
ABS-MBS
USGSE
US
N
2
2034-05-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P7UF8
16383.11000000
PA
USD
16869.19000000
0.000321672037
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379UE69
3954203.52000000
PA
USD
3620595.67000000
0.069039733823
Long
ABS-MBS
USGA
US
N
2
2038-01-16
Fixed
2.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382LNV9
0.08000000
PA
USD
0.01000000
0.000000000190
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.50000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2022-1
80286EAC0
9500000.00000000
PA
USD
9289874.25000000
0.177145007046
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
1.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138APDU9
327060.46000000
PA
USD
336644.95000000
0.006419351913
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6YM0
548639.22000000
PA
USD
93764.47000000
0.001787958292
Long
ABS-MBS
USGSE
US
N
2
2040-07-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
313920ZH6
84163.29430000
PA
USD
84262.88000000
0.001606776159
Long
ABS-MBS
USGSE
US
N
2
2031-09-18
Floating
2.55600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407DZM0
169868.56000000
PA
USD
176593.08000000
0.003367384913
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
-641.00000000
NC
USD
-2468438.97000000
-0.04706970481
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
-89835561.03000000
USD
-2468438.97000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617UUFQ6
1441530.58000000
PA
USD
1524493.19000000
0.029069969045
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5KX2
15333841.49000000
PA
USD
15138246.07000000
0.288665339763
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617V15Z0
1883332.36000000
PA
USD
2029835.33000000
0.038706142210
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398EDX9
1251342.96000000
PA
USD
1338366.23000000
0.025520786273
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AT6Z2
821305.66000000
PA
USD
813378.42000000
0.015509997451
Long
ABS-MBS
USGSE
US
N
2
2046-11-25
Floating
1.46171000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397SMD3
115340.08000000
PA
USD
6154.09000000
0.000117349954
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Variable
1.01781900
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VQAU0
722722.42000000
PA
USD
768704.90000000
0.014658135434
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KKX1
292471.89000000
PA
USD
314487.52000000
0.005996840478
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A8VQ8
300000.00000000
PA
USD
328866.84000000
0.006271034151
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379AVB3
2358568.87800000
PA
USD
121200.25000000
0.002311120534
Long
ABS-MBS
USGA
US
N
2
2028-04-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHFN2
39640478.93000000
PA
USD
36735619.48000000
0.700497272245
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAFH3
535550.65000000
PA
USD
483433.65000000
0.009218408670
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
1.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H53U9
8815818.00000000
PA
USD
7019911.57000000
0.133859969582
Long
ABS-MBS
USGSE
US
N
2
2052-01-25
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QQC5
1507000.00000000
PA
USD
1806781.63000000
0.034452817763
Long
ABS-MBS
USGSE
US
N
2
2041-02-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FW2Z2
8383530.73000000
PA
USD
1379165.42000000
0.026298770195
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377V3U8
606522.69000000
PA
USD
634480.84000000
0.012098668921
Long
ABS-MBS
USGA
US
N
2
2034-07-16
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGNR1
2556.76000000
PA
USD
2567.21000000
0.000048953131
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376LU98
239265.00000000
PA
USD
248173.91000000
0.004732331983
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132G7GV1
56653.65000000
PA
USD
57803.25000000
0.001102227743
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KU30
4483395.78000000
PA
USD
4308889.91000000
0.082164549586
Long
ABS-MBS
USGA
US
N
2
2035-05-16
Variable
2.70000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R03
20753XAB0
6000000.00000000
PA
USD
5966809.20000000
0.113778769155
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
5.01422000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE21 Mortgage Trust
12592RBJ7
6850000.00000000
PA
USD
6717632.66000000
0.128095930350
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Fixed
3.98700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394DGJ3
59366.75580000
PA
USD
63665.08000000
0.001214004704
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HCMV2
29896.62000000
PA
USD
30956.54000000
0.000590298248
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H1YZ3
41565013.00000000
PA
USD
3749517.48000000
0.071498093788
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Variable
1.21437900
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-INV4
46654DAD5
9019897.45000000
PA
USD
8333351.56000000
0.158905447058
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RJK6
171213.65000000
PA
USD
185999.73000000
0.003546756672
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KNNR5
4727440.28000000
PA
USD
4666287.58000000
0.088979627064
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380RAP5
6700000.00000000
PA
USD
4890765.50000000
0.093260109409
Long
ABS-MBS
USGA
US
N
2
2062-08-16
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FNH3
14014801.00000000
PA
USD
3200704.46000000
0.061032991282
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396VCB2
20729.17500000
PA
USD
20581.29000000
0.000392456632
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Floating
2.58900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B1GZ9
3549683.22000000
PA
USD
200814.81000000
0.003829259683
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393XSN8
244127.09000000
PA
USD
264080.92000000
0.005035656584
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378DJU0
2088169.00470000
PA
USD
18157.46000000
0.000346237558
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Floating
0.58000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MLT8
101594.79000000
PA
USD
107492.18000000
0.002049726667
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHX1
55500000.00000000
PA
USD
5972038.65000000
0.113878487508
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Variable
1.59977500
N
N
N
N
N
N
Austin Fairmont Hotel Trust
N/A
Austin Fairmont Hotel Trust 2019-FAIR
05223HAA0
5000000.00000000
PA
USD
4910220.00000000
0.093631079720
Long
ABS-MBS
CORP
US
N
2
2032-09-15
Floating
3.04900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EWL9
65349.88000000
PA
USD
65619.20000000
0.001251267060
Long
ABS-MBS
USGA
US
N
2
2023-10-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397S7M0
334162.48000000
PA
USD
354406.71000000
0.006758044021
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A7VH0
153801.00000000
PA
USD
152314.05000000
0.002904417512
Long
ABS-MBS
USGSE
US
N
2
2041-02-15
Floating
7.20258000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RLQ0
8237762.22000000
PA
USD
8434121.64000000
0.160826992609
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AEN1
35902853.71000000
PA
USD
34914559.45000000
0.665772185213
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Floating
2.69643000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP MORGAN MORTGAGE TRUST 2018-5
46649KAA3
800108.58000000
PA
USD
764107.05000000
0.014570460817
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379EYF3
2656952.81510000
PA
USD
74693.05000000
0.001424292785
Long
ABS-MBS
USGA
US
N
2
2029-03-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBDR6
454067.02000000
PA
USD
471017.36000000
0.008981647254
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QN3R1
49551172.64000000
PA
USD
50730192.75000000
0.967354359199
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHV5
16446604.94000000
PA
USD
1458105.01000000
0.027804038603
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Variable
1.42558800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XG6S3
62446084.12000000
PA
USD
59573942.67000000
1.135992394519
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383RDP9
19285129.58000000
PA
USD
16255559.15000000
0.309970949301
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F7RT4
18011301.19480000
PA
USD
2865913.22000000
0.054648987046
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617JKVA8
273901.98000000
PA
USD
281523.97000000
0.005368271335
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
5.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2018-EXP1 Trust
67097VAS3
1402880.24000000
PA
USD
1395241.84000000
0.026605325209
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Floating
3.10900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RT37
3212443.07000000
PA
USD
2960075.15000000
0.056444524349
Long
ABS-MBS
USGA
US
N
2
2056-12-16
Fixed
2.60000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F9ZC8
41267000.00000000
PA
USD
2322708.97000000
0.044290835998
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.78137100
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-4
64828FCQ3
19859438.76000000
PA
USD
19422731.69000000
0.370364533414
Long
ABS-MBS
CORP
US
N
2
2048-01-25
Floating
3.00900000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R04
20753YCK6
4251000.00000000
PA
USD
4133549.55000000
0.078821052304
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
4.61422000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AWC96
597364.00000000
PA
USD
517780.96000000
0.009873364196
Long
ABS-MBS
USGSE
US
N
2
2047-06-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376FEC2
278124.39000000
PA
USD
334100.71000000
0.006370836787
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
7.50000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
CoreVest American Finance 2020-3 Trust
21873CAA1
12437635.58000000
PA
USD
11360841.06000000
0.216635469487
Long
ABS-O
CORP
US
N
2
2053-08-15
Fixed
1.35800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393NTQ2
30088.27000000
PA
USD
30953.64000000
0.000590242949
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
5.50000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2019-1
74387LAJ0
1375184.41000000
PA
USD
1240125.90000000
0.023647479544
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K8VV5
381372.29000000
PA
USD
381836.33000000
0.007281088801
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379AJ84
5439872.09000000
PA
USD
5774119.05000000
0.110104435460
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
312915RW3
1769.02000000
PA
USD
1772.99000000
0.000033808458
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Floating
3.14914000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374VSP5
3732468.21000000
PA
USD
3875813.28000000
0.073906379388
Long
ABS-MBS
USGA
US
N
2
2039-06-16
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9EA2
231256.33000000
PA
USD
259644.29000000
0.004951056208
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multiclass Certificates Series 2015-P001
3137FRV99
50000000.00000000
PA
USD
6604320.00000000
0.125935215208
Long
ABS-MBS
USGSE
US
N
2
2033-05-27
Variable
1.83575300
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F62R7
37051661.00000000
PA
USD
2965911.36000000
0.056555812772
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
1.16972000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FGRM1
113723.79700000
PA
USD
2615.04000000
0.000049865182
Long
ABS-MBS
USGSE
US
N
2
2024-06-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BQBX4
7045524.15000000
PA
USD
7178352.71000000
0.136881222196
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380CYG2
949444.11000000
PA
USD
1045152.44000000
0.019929606296
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377UAJ7
771202.00000000
PA
USD
813173.20000000
0.015506084190
Long
ABS-MBS
USGA
US
N
2
2041-03-16
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LFT4
2190.50000000
PA
USD
2200.36000000
0.000041957810
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31294MFY2
12685.48000000
PA
USD
12960.17000000
0.000247132452
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ASF50
18014664.80000000
PA
USD
3195871.79000000
0.060940838974
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Floating
3.74100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QZ92
1555146.16000000
PA
USD
72627.66000000
0.001384908664
Long
ABS-MBS
USGSE
US
N
2
2041-01-25
Floating
3.69100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ASPG5
8774460.00000000
PA
USD
8102890.91000000
0.154510882356
Long
ABS-MBS
USGSE
US
N
2
2046-06-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H4A92
11600.20000000
PA
USD
11406.37000000
0.000217503643
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020497
-160000000.00000000
PA
USD
-152310211.20000000
-2.90434431189
Short
ABS-MBS
USGSE
US
N
2
2037-09-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MRA7
76594.14000000
PA
USD
79670.55000000
0.001519206801
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FP81
19759118.24000000
PA
USD
5217849.63000000
0.099497149756
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-8
12669FZW6
30013.66120000
PA
USD
30246.38000000
0.000576756482
Long
ABS-MBS
CORP
US
N
2
2019-06-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A2XV9
1419277.64000000
PA
USD
1558886.23000000
0.029725796578
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ALAF6
396532.33000000
PA
USD
424094.58000000
0.008086894971
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Variable
5.54764300
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H76P3
11931047.46000000
PA
USD
11994279.63000000
0.228714263766
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-P4
29429EAF8
90231840.36000000
PA
USD
5143079.55000000
0.098071388116
Long
ABS-MBS
CORP
US
N
2
2049-07-10
Variable
1.89751900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393XRL3
223815.71000000
PA
USD
242109.38000000
0.004616689814
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Fixed
5.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2015-K721 Mortgage Trust
30288BAE5
16266829.00000000
PA
USD
16229109.48000000
0.309466590808
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Variable
3.76644600
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394U2K7
497822.29000000
PA
USD
533686.65000000
0.010176663626
Long
ABS-MBS
USGSE
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
1046534.79000000
PA
USD
1045510.86000000
0.019936440868
Long
ABS-MBS
CORP
US
N
2
2031-08-25
Floating
4.55900000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-INV6
46654FAD0
8873640.41000000
PA
USD
8177641.75000000
0.155936277116
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Variable
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393VKU4
259136.00000000
PA
USD
245958.03000000
0.004690078227
Long
ABS-MBS
USGSE
US
N
2
2033-06-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380GAD6
5159756.32550000
PA
USD
556111.31000000
0.010604270765
Long
ABS-MBS
USGA
US
N
2
2047-08-16
Floating
4.04400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WLC43
201748.37000000
PA
USD
207081.91000000
0.003948764581
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQXL2
75453819.17850000
PA
USD
1624716.91000000
0.030981096269
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Variable
0.63760700
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132FYAW7
4989351.50000000
PA
USD
5241474.01000000
0.099947633891
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ALC0
29143.59000000
PA
USD
30205.73000000
0.000575981343
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36186G6E9
110214.41000000
PA
USD
114427.38000000
0.002181971304
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132FYBK2
3272284.74000000
PA
USD
3454193.14000000
0.065866668553
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397NMS1
693946.48690000
PA
USD
116929.64000000
0.002229685929
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJDT4
1649.30000000
PA
USD
1796.49000000
0.000034256570
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380GHF4
12459708.88000000
PA
USD
11323625.15000000
0.215925813741
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300TRQQDPEF728F16
Wells Fargo Commercial Mortgage Trust 2016-C37
95000PAH7
67119431.26000000
PA
USD
1753944.84000000
0.033445293518
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.80714900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4N88
776952.00000000
PA
USD
814157.75000000
0.015524858192
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FTF8
191015.24000000
PA
USD
205270.38000000
0.003914221219
Long
ABS-MBS
USGSE
US
N
2
2039-11-25
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381A3V6
8103321.30000000
PA
USD
8309562.17000000
0.158451816412
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382NRG4
101682844.59000000
PA
USD
11239055.65000000
0.214313190763
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AAST6
239744.71000000
PA
USD
253062.53000000
0.004825551181
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XXEZ8
463204.69000000
PA
USD
481507.37000000
0.009181677184
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620AQAS2
497013.67000000
PA
USD
511758.15000000
0.009758517569
Long
ABS-MBS
USGA
US
N
2
2036-06-20
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AS3H7
12369284.64000000
PA
USD
12388684.63000000
0.236235019658
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A9PA8
103546.95800000
PA
USD
133378.28000000
0.002543338662
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Floating
14.18429800
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0306A1
-265000000.00000000
PA
USD
-255259392.35000000
-4.86744229680
Short
ABS-MBS
USGSE
US
N
2
2051-10-15
Fixed
3.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-1
81748MAU2
3524324.27000000
PA
USD
3383161.69000000
0.064512197397
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
313920PF1
31917.61580000
PA
USD
1981.62000000
0.000037786742
Long
ABS-MBS
USGSE
US
N
2
2031-08-18
Floating
5.94400000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM5
64830PAA4
5040721.46000000
PA
USD
4794060.31000000
0.091416075669
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.70986000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132G7CD5
92767.38000000
PA
USD
94681.83000000
0.001805451074
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RB40
88356.77000000
PA
USD
96021.31000000
0.001830993098
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AEK9
178305.08000000
PA
USD
185885.44000000
0.003544577320
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398LXJ2
500000.00000000
PA
USD
522174.60000000
0.009957144812
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
Fixed
5.00000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2021-FL7 Ltd
55284AAA6
4000000.00000000
PA
USD
3862500.00000000
0.073652513618
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
3.23600000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multiclass Certificates Series 2021-P011
3137H2NR1
4360286.69000000
PA
USD
612507.35000000
0.011679664967
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Variable
1.83836300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412DXP8
65672.69000000
PA
USD
66445.30000000
0.001267019640
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH
46650FAA0
9690856.72000000
PA
USD
9445294.29000000
0.180108651476
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
3.20900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KGD9
240449.56000000
PA
USD
246480.20000000
0.004700035284
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379WTL6
141043.53000000
PA
USD
145703.27000000
0.002778359114
Long
ABS-MBS
USGA
US
N
2
2031-03-20
Variable
5.54433000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382M3V9
16122740.01000000
PA
USD
1783250.82000000
0.034004117878
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395KL92
365451.97000000
PA
USD
369031.06000000
0.007036910077
Long
ABS-MBS
USGSE
US
N
2
2034-12-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K1A48
5370311.10000000
PA
USD
5507885.42000000
0.105027729684
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multiclass Certificates Series 2015-P001
3137FV2B7
112919000.00000000
PA
USD
15760308.08000000
0.300527198834
Long
ABS-MBS
USGSE
US
N
2
2029-01-27
Variable
2.84282600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376WLA1
1014115.70350000
PA
USD
68098.38000000
0.001298541581
Long
ABS-MBS
USGA
US
N
2
2040-02-16
Floating
4.09400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398MUM6
150138.20000000
PA
USD
132844.97000000
0.002533169181
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396L4R8
1643603.53000000
PA
USD
1632487.18000000
0.031129264532
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
1.68357000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCEY8
60187.17000000
PA
USD
10526.22000000
0.000200720404
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Variable
7.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-7FRB
46650AAD5
5167632.08000000
PA
USD
5072919.20000000
0.096733527628
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
3.00900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NJ54
91346.30000000
PA
USD
1410.21000000
0.000026890747
Long
ABS-MBS
USGSE
US
N
2
2025-10-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398JGX5
762006.97000000
PA
USD
839928.51000000
0.016016270814
Long
ABS-MBS
USGSE
US
N
2
2039-08-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBZ58
113754.38000000
PA
USD
116548.62000000
0.002222420406
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWG95
50686375.36860000
PA
USD
4256535.36000000
0.081166220989
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.32696100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617ARK55
924668.20000000
PA
USD
970498.01000000
0.018506049941
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-INV1
92537TAE5
6255000.00000000
PA
USD
6190437.77000000
0.118043055575
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
3.88900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H7KJ1
10463314.47000000
PA
USD
10615445.83000000
0.202421817104
Long
ABS-MBS
USGSE
US
N
2
2051-08-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LWWK9
5639942.52000000
PA
USD
6009075.57000000
0.114584730163
Long
ABS-MBS
CORP
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGXB0
26710164.10000000
PA
USD
25481670.70000000
0.485900090165
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3TV2
5417875.42000000
PA
USD
5429181.98000000
0.103526964329
Long
ABS-MBS
USGSE
US
N
2
2048-12-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QQP3
5460793.25360000
PA
USD
175454.74000000
0.003345678350
Long
ABS-MBS
USGA
US
N
2
2038-01-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380F6N1
3906335.66000000
PA
USD
900368.57000000
0.017168778864
Long
ABS-MBS
USGA
US
N
2
2047-08-16
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YHW5
20615.79440000
PA
USD
21840.19000000
0.000416462107
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E4Z79
637340.02000000
PA
USD
653589.41000000
0.012463042827
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BDZM1
3001916.00000000
PA
USD
136120.68000000
0.002595632423
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BYGP9
600000.00000000
PA
USD
543657.36000000
0.010366791226
Long
ABS-MBS
USGSE
US
N
2
2047-05-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383PC90
12276798.38000000
PA
USD
11081670.47000000
0.211312073841
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3837427Z0
149602.46000000
PA
USD
157142.66000000
0.002996492402
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H74A8
7500000.00000000
PA
USD
6921861.75000000
0.131990295614
Long
ABS-MBS
USGSE
US
N
2
2055-04-25
Fixed
2.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398PHK8
500000.00000000
PA
USD
559243.70000000
0.010664001095
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Fixed
5.50000000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Home Lending Mortgage Trust 2019-1
16159WBC7
3036414.55000000
PA
USD
2908754.88000000
0.055465918035
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
3.10900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394CCQ3
286020.36000000
PA
USD
2569.52000000
0.000048997179
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Floating
0.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ANAM9
875000.00000000
PA
USD
852490.98000000
0.016255819680
Long
ABS-MBS
USGSE
US
N
2
2045-04-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ATDD3
11510000.00000000
PA
USD
10564086.33000000
0.201442462729
Long
ABS-MBS
USGSE
US
N
2
2046-08-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392JM71
47296.53500000
PA
USD
47865.52000000
0.000912729026
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
4.00000000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2018-GLKS Mortgage Trust
23307GAA4
10844968.00000000
PA
USD
10571439.47000000
0.201582676902
Long
ABS-MBS
CORP
US
N
2
2030-12-19
Floating
3.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380GP57
11628644.29000000
PA
USD
10655652.36000000
0.203188499822
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HVE4
3478.88000000
PA
USD
60.16000000
0.000001147167
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36183KUN6
406246.71000000
PA
USD
416577.17000000
0.007943548397
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397F5S7
35918.47000000
PA
USD
38167.81000000
0.000727807157
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YSL7
8942.61600000
PA
USD
776.65000000
0.000014809637
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AGC91
195852.00000000
PA
USD
175421.17000000
0.003345038216
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379YEV6
2778551.49800000
PA
USD
285663.16000000
0.005447199943
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Floating
3.87357000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297GM80
245015.80000000
PA
USD
254920.76000000
0.004860985047
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HJL90
79364.52000000
PA
USD
81681.47000000
0.001557552254
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380XDR5
5414681.82060000
PA
USD
715001.15000000
0.013634079466
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACCG4
690000.00000000
PA
USD
547247.28000000
0.010435246017
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QT54
86310.31000000
PA
USD
88771.57000000
0.001692750619
Long
ABS-MBS
USGA
US
N
2
2034-04-20
Variable
5.30457000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398QFX0
524617.97000000
PA
USD
540602.76000000
0.010308544244
Long
ABS-MBS
USGSE
US
N
2
2040-05-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414UW87
40381.74000000
PA
USD
43410.47000000
0.000827777406
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TGKG3
1049.22000000
PA
USD
91.06000000
0.000001736387
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2ZG0
428954.32000000
PA
USD
454956.74000000
0.008675393524
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290RU43
237568.36000000
PA
USD
249147.99000000
0.004750906336
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2014-GC23
17322VAW6
2915000.00000000
PA
USD
2852166.88000000
0.054386863423
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Variable
4.17500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0426A6
175000000.00000000
PA
USD
177639159.25000000
3.387332193115
Long
ABS-MBS
USGSE
US
N
2
2051-10-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374MU98
394562.23000000
PA
USD
424631.34000000
0.008097130240
Long
ABS-MBS
USGA
US
N
2
2036-04-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31339W2W5
88397.34000000
PA
USD
96001.01000000
0.001830606005
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LNG7
73161.11000000
PA
USD
79773.29000000
0.001521165910
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
5.50000000
N
N
N
N
N
N
Hawaii Hotel Trust 2019-MAUI
N/A
Hawaii Hotel Trust 2019-MAUI
41975AAA0
9290000.00000000
PA
USD
9061083.25000000
0.172782280251
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
3.14914000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AR3D1
167624.14000000
PA
USD
173487.78000000
0.003308171153
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B92E3
11905029.18000000
PA
USD
12173569.38000000
0.232133070433
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-INV1
46591VBH1
4704110.40000000
PA
USD
4526248.46000000
0.086309275428
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.50000000
N
N
N
N
N
N
FNA VI LLC
N/A
FNA VI LLC
34411YAA5
8327873.38000000
PA
USD
7806625.96000000
0.148861520993
Long
ABS-O
CORP
US
N
2
2032-01-10
Fixed
1.35000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-1
92537QAA9
5031111.35000000
PA
USD
4614660.60000000
0.087995172216
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
0.81500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294SLD7
242015.37000000
PA
USD
254319.49000000
0.004849519663
Long
ABS-MBS
USGA
US
N
2
2037-03-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225B3E6
46822.73000000
PA
USD
51334.62000000
0.000978879947
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YMB0
27587.80000000
PA
USD
28652.57000000
0.000546364738
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XY5W3
2153530.75000000
PA
USD
2289537.63000000
0.043658304588
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MBQL4
606.48000000
PA
USD
606.81000000
0.000011571024
Long
ABS-MBS
USGSE
US
N
2
2022-10-01
Fixed
6.50000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2022-1
33845VAA9
12005671.37000000
PA
USD
11681140.06000000
0.222743126822
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
1.79000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AP59
5823160.83000000
PA
USD
5920913.07000000
0.112903593663
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ANJT5
8000000.00000000
PA
USD
7984066.40000000
0.152245063886
Long
ABS-MBS
USGSE
US
N
2
2045-04-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H6TV7
11485034.74000000
PA
USD
11013988.67000000
0.210021475861
Long
ABS-MBS
USGSE
US
N
2
2052-03-25
Fixed
3.50000000
N
N
N
N
N
N
Arroyo Mortgage Trust
N/A
Arroyo Mortgage Trust 2019-2
042858AD2
9000000.00000000
PA
USD
8431777.80000000
0.160782298833
Long
ABS-MBS
CORP
US
N
2
2049-04-25
Variable
4.76000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378ACU3
38293.71380000
PA
USD
3166.40000000
0.000060378852
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Floating
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377LBS6
89000.00000000
PA
USD
95641.41000000
0.001823748932
Long
ABS-MBS
USGA
US
N
2
2040-09-16
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417EWV9
146529.44000000
PA
USD
148322.28000000
0.002828299999
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MCLN3
29081.67000000
PA
USD
30016.68000000
0.000572376422
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378GM88
1733388.62000000
PA
USD
1891081.92000000
0.036060307279
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Variable
6.32883000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMQQ7
3734.35000000
PA
USD
3749.58000000
0.000071499285
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FWY7
90493.78000000
PA
USD
98823.31000000
0.001884423349
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4NA0
1892977.05000000
PA
USD
1915002.78000000
0.036516444876
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-5
46591FAR5
633310.93000000
PA
USD
623842.80000000
0.011895816264
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMTU6
158255433.78000000
PA
USD
11676671.45000000
0.222657916632
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Variable
0.90942600
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-6762.00000000
NC
USD
-14659857.42000000
-0.27954313224
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
-872852642.58000000
USD
-14659857.42000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CN73
156198.23000000
PA
USD
167410.70000000
0.003192289672
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FRW7
106581.16000000
PA
USD
114597.94000000
0.002185223647
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358SA27
272377.40280000
PA
USD
13829.72000000
0.000263713563
Long
ABS-MBS
USGSE
US
N
2
2030-12-18
Floating
5.79400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BMFV5
53839987.76000000
PA
USD
49108578.09000000
0.936432418531
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F012692
44000000.00000000
PA
USD
37962031.36000000
0.723883244464
Long
ABS-MBS
USGSE
US
N
2
2051-09-15
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AMMY0
40246.57000000
PA
USD
40438.90000000
0.000771113691
Long
ABS-MBS
USGSE
US
N
2
2040-06-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376FUK6
618814.67000000
PA
USD
701391.16000000
0.013374555848
Long
ABS-MBS
USGA
US
N
2
2039-09-16
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MMJJ3
39206.83000000
PA
USD
40467.37000000
0.000771656574
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-3
46592KBC5
7631219.97000000
PA
USD
7004495.35000000
0.133566003665
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Floating
1.52566000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9PN6
328517.64000000
PA
USD
338993.36000000
0.006464132832
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MDCM3
8723.32000000
PA
USD
8892.56000000
0.000169568775
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373AM52
1067441.27000000
PA
USD
1100399.16000000
0.020983084561
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394FHE8
38303.67250000
PA
USD
3959.93000000
0.000075510368
Long
ABS-MBS
USGSE
US
N
2
2035-09-25
Floating
3.83100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGWA3
16364603.91000000
PA
USD
16122791.19000000
0.307439248594
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YDAP4
63621.39000000
PA
USD
65059.87000000
0.001240601413
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ATD76
391217.53000000
PA
USD
65629.75000000
0.001251468234
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8ZJ2
3226477.27000000
PA
USD
141471.99000000
0.002697674477
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419HYB2
79045.90000000
PA
USD
81495.96000000
0.001554014835
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
Salomon Brothers Mortgage Secu
549300VB2N1G56GWKB41
Citigroup Global Markets Mortgage Securities VII Inc
79549AXS3
238.51670000
PA
USD
210.45000000
0.000004012989
Long
ABS-MBS
CORP
US
N
2
2018-12-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ARBM9
4863763.00000000
PA
USD
4600164.55000000
0.087718752664
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382P4X7
12481871.62000000
PA
USD
1767717.61000000
0.033707921124
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HN34
3131.98000000
PA
USD
3405.96000000
0.000064946929
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KJP4
29331.46000000
PA
USD
30961.34000000
0.000590389777
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
7.00000000
N
N
N
N
N
N
RBSCF Trust
N/A
RBS Commercial Funding Inc 2013-GSP Trust
74932QAA8
7045000.00000000
PA
USD
6930312.33000000
0.132151436444
Long
ABS-MBS
CORP
US
N
2
2032-01-15
Variable
3.83360000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398GTS8
275293.53000000
PA
USD
287329.91000000
0.005478982552
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FFXM4
143990000.00000000
PA
USD
3259602.42000000
0.062156093626
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.31198700
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050692
310000000.00000000
PA
USD
317954073.00000000
6.062942832832
Long
ABS-MBS
USGSE
US
N
2
2050-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136APAL6
21824.97000000
PA
USD
197.22000000
0.000003760711
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129882Y3
704437.64000000
PA
USD
718643.27000000
0.013703529639
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392FLJ4
72841.05000000
PA
USD
76355.65000000
0.001455996259
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176DKS1
283640.59000000
PA
USD
297188.26000000
0.005666967603
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BPFZ7
21273839.57000000
PA
USD
3194498.90000000
0.060914659867
Long
ABS-MBS
USGSE
US
N
2
2046-05-15
Floating
4.00086000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AHZ76
9234714.81000000
PA
USD
1351844.97000000
0.025777807136
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Floating
4.00086000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FKKP0
7101000.00000000
PA
USD
7339261.27000000
0.139949525085
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Variable
3.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GHBH5
328647.59000000
PA
USD
334835.76000000
0.006384853171
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380JLF3
4306976.21000000
PA
USD
3386114.55000000
0.064568504338
Long
ABS-MBS
USGA
US
N
2
2059-10-16
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQPX4
493053.26000000
PA
USD
506945.64000000
0.009666749683
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3Y53
8513435.78000000
PA
USD
8497217.68000000
0.162030146511
Long
ABS-MBS
USGSE
US
N
2
2049-03-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPGX6
1874408.24000000
PA
USD
1971611.23000000
0.037595889441
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383PXJ5
17014000.00000000
PA
USD
15365505.03000000
0.292998852681
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379F2J7
4025561.78310000
PA
USD
288942.35000000
0.005509729545
Long
ABS-MBS
USGA
US
N
2
2033-02-16
Fixed
5.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31282YWM7
213726.77000000
PA
USD
37483.88000000
0.000714765561
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Variable
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179Q6U0
87694.89000000
PA
USD
95233.54000000
0.001815971417
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - SLST
N/A
Seasoned Loans Structured Transaction Trust Series 2022-1
35564CMD6
10000000.00000000
PA
USD
9782561.00000000
0.186539859490
Long
ABS-MBS
USGSE
US
N
2
2032-05-25
Fixed
3.50000000
N
N
N
N
N
N
M360 2018-CRE1, Ltd.
N/A
M360 2021-CRE3 Ltd
55379AAA2
5000000.00000000
PA
USD
4889452.10000000
0.093235064694
Long
ABS-CBDO
CORP
KY
N
2
2038-11-22
Floating
3.71357000
N
N
N
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance 2018-MTG2
585499AJ5
4595630.32000000
PA
USD
4545481.88000000
0.086676030050
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.34978000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137APLG3
560122.34000000
PA
USD
27486.32000000
0.000524125969
Long
ABS-MBS
USGSE
US
N
2
2027-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGGW8
68503.20000000
PA
USD
73513.32000000
0.001401796971
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358USN7
115.19500000
PA
USD
114.64000000
0.000002186025
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
3.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ACW96
1387000.00000000
PA
USD
1445536.67000000
0.027564377805
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AEQT7
580932.07450000
PA
USD
62728.87000000
0.001196152479
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0406A0
-285000000.00000000
PA
USD
-286144779.45000000
-5.45638375803
Short
ABS-MBS
USGSE
US
N
2
2051-10-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T2YT1
825.45350000
PA
USD
831.49000000
0.000015855360
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376UJQ3
4571563.05150000
PA
USD
741586.61000000
0.014141027286
Long
ABS-MBS
USGA
US
N
2
2047-04-16
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373AGM2
706202.85370000
PA
USD
67527.96000000
0.001287664464
Long
ABS-MBS
USGA
US
N
2
2039-08-16
Floating
4.09400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394EH50
8535.76830000
PA
USD
9061.01000000
0.000172780883
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Floating
9.54815000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376KVU2
633042.55040000
PA
USD
58917.14000000
0.001123468079
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B1HG0
826035.00000000
PA
USD
837688.45000000
0.015973555979
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FLCA2
291428.55000000
PA
USD
44507.69000000
0.000848699868
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Variable
3.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCUD6
318173.95000000
PA
USD
59485.04000000
0.001134297144
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Fixed
5.50000000
N
N
N
N
N
N
Winwater Mortgage Loan Trust
5493007FSEV8PHXVE122
WinWater Mortgage Loan Trust 2016-1
97655JBS0
544892.82000000
PA
USD
521709.81000000
0.009948281912
Long
ABS-MBS
CORP
US
N
2
2030-12-20
Variable
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381TYP4
5518271.26000000
PA
USD
5294213.44000000
0.100953301615
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
3.50000000
N
N
N
N
N
N
FannieMae Grantor Trust
N/A
Fannie Mae Grantor Trust 2005-T1
31394C7D8
1994153.81000000
PA
USD
1991875.49000000
0.037982300751
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
2.65900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AATY4
62497.81000000
PA
USD
65976.46000000
0.001258079512
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
TIAA Bank Mortgage Loan Trust
N/A
TIAA Bank Mortgage Loan Trust 2018-3
88632AAA6
338497.99000000
PA
USD
333076.03000000
0.006351297562
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375L4C1
553413.90000000
PA
USD
577630.85000000
0.011014618523
Long
ABS-MBS
USGA
US
N
2
2037-11-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BTH1
17057.69000000
PA
USD
17592.47000000
0.000335463983
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A0AK1
60595.01180000
PA
USD
60882.87000000
0.001160951821
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Floating
2.59914000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCDY1
7140820.79000000
PA
USD
7334695.57000000
0.139862463523
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FJZ8
3000000.00000000
PA
USD
735121.80000000
0.014017752332
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
2.50000000
N
N
N
N
N
N
Barclays Mortgage Loan Trust
N/A
Barclays Mortgage Loan Trust 2021-NQM1
06744UAA9
5956149.13000000
PA
USD
5559034.80000000
0.106003077363
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
1.74700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393LFT5
100583.18000000
PA
USD
106433.16000000
0.002029532625
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381HJA0
19141200.00000000
PA
USD
14808493.67000000
0.282377419211
Long
ABS-MBS
USGA
US
N
2
2063-05-16
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396VKM9
511592.82000000
PA
USD
550320.81000000
0.010493853968
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394DYA2
304292.79000000
PA
USD
380846.95000000
0.007262222698
Long
ABS-MBS
USGSE
US
N
2
2035-06-25
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAPD0
2202076.05000000
PA
USD
2135855.95000000
0.040727808270
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379UEH5
9051884.20000000
PA
USD
269604.94000000
0.005140991978
Long
ABS-MBS
USGA
US
N
2
2058-02-16
Variable
0.67749000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R07
20754MBZ9
9000000.00000000
PA
USD
9105827.40000000
0.173635489084
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
4.46689000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A0JB4
207577.47000000
PA
USD
24848.60000000
0.000473828310
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Floating
4.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-2
89175VAA1
3792260.12000000
PA
USD
3721570.50000000
0.070965183672
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MJ57
10654.74000000
PA
USD
10992.58000000
0.000209613242
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MA5P5
10571744.67000000
PA
USD
10810213.42000000
0.206135764696
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H6UD5
13495963.30000000
PA
USD
11886757.27000000
0.226663961608
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y2K2
3291.70000000
PA
USD
3419.91000000
0.000065212936
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1MS1
750000.00000000
PA
USD
749696.70000000
0.014295675445
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-1
46650HAE8
2100463.60000000
PA
USD
2071925.65000000
0.039508746188
Long
ABS-MBS
CORP
US
N
2
2049-05-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AYW33
3509680.33000000
PA
USD
555274.60000000
0.010588315867
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376JCQ5
3918905.79000000
PA
USD
295579.16000000
0.005636284299
Long
ABS-MBS
USGA
US
N
2
2036-04-20
Floating
3.97357000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B9AH8
2428131.59000000
PA
USD
2539661.02000000
0.048427810449
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.50000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2018-4
59980YAB1
4960604.94000000
PA
USD
4857572.18000000
0.092627158871
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
3.49182300
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FF4B0
107703000.00000000
PA
USD
4899947.99000000
0.093435206748
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Variable
0.94867500
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HAH8
1399006.95000000
PA
USD
1387035.09000000
0.026448833878
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
3.95900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6VF2
107765.75000000
PA
USD
115975.48000000
0.002211491422
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398KRU6
450258.60000000
PA
USD
448573.42000000
0.008553672472
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
Floating
1.56171000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380B7X7
8197460.39370000
PA
USD
1503145.36000000
0.028662895559
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A92Y3
148822.00850000
PA
USD
23854.64000000
0.000454874873
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGHT4
174815.54000000
PA
USD
180247.54000000
0.003437070393
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36180B5R8
78296.09000000
PA
USD
80699.07000000
0.001538819249
Long
ABS-MBS
USGA
US
N
2
2033-08-20
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H74S3
45887.81000000
PA
USD
47237.06000000
0.000900745166
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEZA0
321731.26000000
PA
USD
320242.74000000
0.006106584535
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VQW9
5995747.09000000
PA
USD
464063.03000000
0.008849037834
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Floating
4.34357000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LYNN9
10326711.03000000
PA
USD
9820098.28000000
0.187255643315
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QN5A6
14494023.21000000
PA
USD
14207419.41000000
0.270915767400
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K8ZA7
161277.52000000
PA
USD
172965.21000000
0.003298206468
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDN28
5240481.41000000
PA
USD
5410253.93000000
0.103166032688
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BR2M6
136618.73000000
PA
USD
105892.28000000
0.002019218794
Long
ABS-MBS
USGSE
US
N
2
2043-08-15
Floating
2.02037000
N
N
N
N
N
N
Vista Point Securitization Tru
N/A
Vista Point Securitization Trust 2020-1
92838WAD6
4200000.00000000
PA
USD
4114120.92000000
0.078450575298
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
4.15100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397RDR4
233856.55000000
PA
USD
250506.20000000
0.004776805516
Long
ABS-MBS
USGSE
US
N
2
2038-02-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RGE3
39777.72000000
PA
USD
43228.58000000
0.000824309016
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RYP0
212705.88000000
PA
USD
218776.86000000
0.004171771044
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31342WBL4
1031930.52000000
PA
USD
1049838.56000000
0.020018964100
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Floating
2.94600000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ4B6
69591394.94000000
PA
USD
3458859.35000000
0.065955646700
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
0.83555000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373R5N5
20612.76700000
PA
USD
20590.33000000
0.000392629012
Long
ABS-MBS
USGA
US
N
2
2031-12-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B8CR8
32268831.06000000
PA
USD
31348927.36000000
0.597780530568
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419LJ61
20541.76000000
PA
USD
21178.89000000
0.000403852034
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5KU8
6129217.55000000
PA
USD
6066389.39000000
0.115677625155
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XKE9
36318.35000000
PA
USD
37445.21000000
0.000714028178
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398THN4
371955.18000000
PA
USD
72139.00000000
0.001375590596
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292LW68
91490.05000000
PA
USD
90267.17000000
0.001721269635
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A0YN1
1223670.92000000
PA
USD
221763.43000000
0.004228720789
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GGT2
7907814.51370000
PA
USD
664960.21000000
0.012679868200
Long
ABS-MBS
USGA
US
N
2
2042-07-16
Floating
3.94400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QNH7
161016.70000000
PA
USD
166341.78000000
0.003171906852
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XC4M7
33348792.62000000
PA
USD
34348247.93000000
0.654973410601
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378FBW9
560657.94650000
PA
USD
45434.37000000
0.000866370370
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
3.50000000
N
N
N
N
N
N
OSCAR US Funding Trust
353800FUC565GTX73583
Oscar US Funding XIV LLC
68784HAB7
10750000.00000000
PA
USD
10571714.68000000
0.201587924775
Long
ABS-O
CORP
JP
N
2
2025-03-10
Fixed
1.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393BKD6
74109.13750000
PA
USD
13285.94000000
0.000253344434
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFX30
53164841.17000000
PA
USD
50787944.26000000
0.968455600332
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418M7B2
33870.75000000
PA
USD
34068.30000000
0.000649635192
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A5MM3
22224.01000000
PA
USD
22145.35000000
0.000422281085
Long
ABS-MBS
USGSE
US
N
2
2039-10-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396FPT4
22460.90000000
PA
USD
26199.34000000
0.000499585047
Long
ABS-MBS
USGSE
US
N
2
2035-11-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379AWF3
5903267.86390000
PA
USD
55745.74000000
0.001062993883
Long
ABS-MBS
USGA
US
N
2
2044-03-16
Variable
0.32638000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-5
924921AA7
9932000.64000000
PA
USD
9607770.48000000
0.183206846893
Long
ABS-MBS
CORP
US
N
2
2067-04-25
Variable
3.80000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FL2N3
28608465.28790000
PA
USD
1184030.00000000
0.022577808595
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Variable
0.48201600
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAB0
1456035.19000000
PA
USD
1456248.79000000
0.027768643064
Long
ABS-MBS
CORP
US
N
2
2039-09-25
Floating
4.35900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GSKA6
54556.30000000
PA
USD
56297.36000000
0.001073512511
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BRZK4
306881.53000000
PA
USD
308952.61000000
0.005891297427
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Floating
3.09914000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397HM70
192892.16000000
PA
USD
185727.55000000
0.003541566577
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BYF7
2096.36000000
PA
USD
2010.89000000
0.000038344881
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUKR1
319608.12000000
PA
USD
317379.52000000
0.006051986904
Long
ABS-MBS
USGSE
US
N
2
2046-11-25
Floating
1.48171000
N
N
N
N
N
N
Freddie Mac - SLST
N/A
Seasoned Loans Structured Transaction Trust Series 2019-3
35564CEE3
4065020.95000000
PA
USD
3948815.01000000
0.075298421049
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQA93
180744.16000000
PA
USD
182945.93000000
0.003488524945
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AYMD2
4025688.07000000
PA
USD
4017955.93000000
0.076616842421
Long
ABS-MBS
USGSE
US
N
2
2057-10-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398CFG8
2268618.93000000
PA
USD
224374.58000000
0.004278511795
Long
ABS-MBS
USGSE
US
N
2
2039-04-15
Floating
4.10086000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394AWK8
610039.00000000
PA
USD
632750.57000000
0.012065675074
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TPA2
1623922.70110000
PA
USD
251618.87000000
0.004798022588
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380ULR2
13741710.81000000
PA
USD
3124125.73000000
0.059572741197
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QPA98
42157790.29000000
PA
USD
44010341.03000000
0.839216114455
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FQX0
3728315.32000000
PA
USD
3973725.71000000
0.075773433520
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FH4X8
5609409.51000000
PA
USD
5591150.88000000
0.106615486429
Long
ABS-MBS
USGSE
US
N
2
2048-09-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KPS6
239451.84000000
PA
USD
236348.86000000
0.004506844693
Long
ABS-MBS
USGA
US
N
2
2035-01-16
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380XH91
13172553.96000000
PA
USD
13331486.09000000
0.254212934835
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ALK26
596028.98000000
PA
USD
576465.22000000
0.010992391577
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FVNL2
53100000.00000000
PA
USD
4678704.72000000
0.089216404688
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.34162000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NLR4
45230.13000000
PA
USD
47472.58000000
0.000905236205
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XQC4
11034.60000000
PA
USD
11735.09000000
0.000223771877
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0226A8
254000000.00000000
PA
USD
236790161.42000000
4.515259699367
Long
ABS-MBS
USGSE
US
N
2
2051-10-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAZM0
435138.00000000
PA
USD
241216.79000000
0.004599669361
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0206A2
-54000000.00000000
PA
USD
-48625910.28000000
-0.92722861336
Short
ABS-MBS
USGSE
US
N
2
2052-10-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BCVJ4
16242753.93000000
PA
USD
16271734.25000000
0.310279386006
Long
ABS-MBS
USGSE
US
N
2
2044-08-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H13T1
27836000.00000000
PA
USD
2478890.44000000
0.047268999842
Long
ABS-MBS
USGSE
US
N
2
2031-05-25
Variable
1.22446200
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Home Lending Mortgage Trust 2019-ATR2
16159GAL3
224536.35000000
PA
USD
216019.12000000
0.004119184770
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Floating
3.15900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H7UG6
8108702.87000000
PA
USD
8710684.86000000
0.166100669328
Long
ABS-MBS
USGSE
US
N
2
2052-06-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373SV20
1508449.91000000
PA
USD
1506501.29000000
0.028726888486
Long
ABS-MBS
USGA
US
N
2
2033-04-16
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H7C51
44838.86000000
PA
USD
46429.13000000
0.000885339062
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398TKX8
34579.72000000
PA
USD
33836.86000000
0.000645221952
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Variable
1.59854300
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA3
35564KUX5
4000000.00000000
PA
USD
3889032.80000000
0.074158457285
Long
ABS-MBS
CORP
US
N
2
2042-04-25
Floating
4.41422000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377YTM2
3962.43000000
PA
USD
3936.31000000
0.000075059967
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ARQ20
764301.60000000
PA
USD
802132.95000000
0.015295561947
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RCY7
16119784.57600000
PA
USD
638554.64000000
0.012176350632
Long
ABS-MBS
USGA
US
N
2
2056-01-16
Variable
0.78451000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4WC8
10585936.80000000
PA
USD
10625293.20000000
0.202609592781
Long
ABS-MBS
USGSE
US
N
2
2049-06-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
7399000.00000000
PA
USD
7276981.61000000
0.138761938416
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6L58
47947799.91000000
PA
USD
49512949.87000000
0.944143227083
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
4.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-INV3
12557LBK0
3346289.66000000
PA
USD
3263175.19000000
0.062224221390
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Floating
2.57357000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AC7F5
41384.61000000
PA
USD
43487.28000000
0.000829242066
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393XCU9
187465.80000000
PA
USD
202414.45000000
0.003859762598
Long
ABS-MBS
USGSE
US
N
2
2034-02-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NGR0
6674.66000000
PA
USD
6709.72000000
0.000127945046
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375CTY6
1041963.24210000
PA
USD
177330.68000000
0.003381449922
Long
ABS-MBS
USGA
US
N
2
2042-04-16
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLN59
103108261.21800000
PA
USD
1940239.71000000
0.036997678100
Long
ABS-MBS
USGSE
US
N
2
2026-02-25
Variable
0.64663100
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359FE38
4710.91000000
PA
USD
4720.65000000
0.000090016242
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
2.22357000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291FVQ8
8674.42200000
PA
USD
9341.44000000
0.000178128294
Long
ABS-MBS
USGA
US
N
2
2034-03-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418U4X9
55177.54000000
PA
USD
59070.19000000
0.001126386530
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XXS34
760511.66000000
PA
USD
795344.49000000
0.015166115438
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RQH9
4119012.49000000
PA
USD
3340942.56000000
0.063707137191
Long
ABS-MBS
USGA
US
N
2
2059-05-16
Variable
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T0YC2
1834.50000000
PA
USD
1825.69000000
0.000034813374
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
Floating
2.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QGR4
77012.81000000
PA
USD
82811.71000000
0.001579104362
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
5.50000000
N
N
N
N
N
N
United Auto Credit Securitizat
N/A
United Auto Credit Securitization Trust 2022-1
90944DAA9
5447639.83000000
PA
USD
5404675.93000000
0.103059667971
Long
ABS-O
CORP
US
N
2
2024-07-10
Fixed
1.11000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375KWU2
103436.45000000
PA
USD
94572.42000000
0.001803364777
Long
ABS-MBS
USGA
US
N
2
2037-07-20
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJQA9
4561037.11000000
PA
USD
4612768.03000000
0.087959083534
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B8RV3
14997566.17000000
PA
USD
2742966.37000000
0.052304561274
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Floating
3.74100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379WN99
946079.76000000
PA
USD
225555.44000000
0.004301029156
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377U2F4
44736.75140000
PA
USD
3255.08000000
0.000062069857
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRYM7
42606.68000000
PA
USD
41860.34000000
0.000798218579
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394CCK6
1623656.10000000
PA
USD
174324.65000000
0.003324129102
Long
ABS-MBS
USGSE
US
N
2
2035-02-25
Floating
4.34100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T2CQ1
19413.07000000
PA
USD
19659.66000000
0.000374882427
Long
ABS-MBS
USGSE
US
N
2
2023-11-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDT65
15704191.52000000
PA
USD
3344706.98000000
0.063778919455
Long
ABS-MBS
USGSE
US
N
2
2061-02-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133THHD2
4262.49050000
PA
USD
4494.68000000
0.000085707308
Long
ABS-MBS
USGSE
US
N
2
2028-12-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A9AE4
55325.80000000
PA
USD
57047.08000000
0.001087808630
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F72F1
33000000.00000000
PA
USD
1660025.40000000
0.031654380163
Long
ABS-MBS
USGSE
US
N
2
2027-10-25
Variable
1.11094800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WSC1
556002.02000000
PA
USD
620055.23000000
0.011823592562
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BMYS1
16571626.42000000
PA
USD
13352568.10000000
0.254614939503
Long
ABS-MBS
USGSE
US
N
2
2052-03-25
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F64R5
131647345.98530000
PA
USD
6427984.46000000
0.122572741225
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Variable
1.22140900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LMD1
724757.13000000
PA
USD
750589.21000000
0.014312694371
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292MS86
151893.12000000
PA
USD
159137.36000000
0.003034528563
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
4.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379AAX8
12430482.29000000
PA
USD
11535957.44000000
0.219974695781
Long
ABS-MBS
USGA
US
N
2
2044-02-16
Variable
1.75116000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UDY9
315685.77000000
PA
USD
17734.35000000
0.000338169438
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FQPH0
9757413.84380000
PA
USD
2230599.45000000
0.042534435305
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
3.74100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADR35
750000.00000000
PA
USD
678661.28000000
0.012941128587
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379DER1
2786268.29950000
PA
USD
399232.96000000
0.007612818387
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193FLA3
231120.50000000
PA
USD
238605.04000000
0.004549866914
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMGM7
971289.64000000
PA
USD
971193.16000000
0.018519305486
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-450.00000000
NC
USD
-840234.60000000
-0.01602210752
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-09-30
0.00000000
USD
100000.00000000
112.00000000
USD
2022-08-26
XXXX
-488666.10000000
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H1Z58
107111355.75980000
PA
USD
4637257.61000000
0.088426065831
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Variable
0.85508800
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFGX4
1857417.27000000
PA
USD
2010035.67000000
0.038328590177
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398SKS1
2821000.00000000
PA
USD
2935678.16000000
0.055979307614
Long
ABS-MBS
USGSE
US
N
2
2040-12-25
Fixed
4.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FFTK5
649779.20000000
PA
USD
115784.92000000
0.002207857708
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETTJ5
2212633.63000000
PA
USD
2374647.66000000
0.045281234723
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YP68
16488.11000000
PA
USD
17398.82000000
0.000331771346
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XG2E8
24692194.74000000
PA
USD
25155630.44000000
0.479682954970
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398WRF3
393351.70000000
PA
USD
448626.23000000
0.008554679486
Long
ABS-MBS
USGSE
US
N
2
2040-02-15
Floating
10.83620000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396HX79
68932.78000000
PA
USD
84119.48000000
0.001604041720
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398KP61
1231504.66000000
PA
USD
1316193.27000000
0.025097978703
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380KXH3
4851717.03000000
PA
USD
858008.21000000
0.016361025597
Long
ABS-MBS
USGA
US
N
2
2047-11-16
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YJD5
121676.07750000
PA
USD
121848.08000000
0.002323473753
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Floating
2.80900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BBVG2
3789616.21000000
PA
USD
3636859.81000000
0.069349868397
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AYFN1
146242.41000000
PA
USD
154751.86000000
0.002950903165
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416YJD1
991918.78000000
PA
USD
1003947.90000000
0.019143892913
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AMGA9
330736.89000000
PA
USD
14736.54000000
0.000281005362
Long
ABS-MBS
USGSE
US
N
2
2027-03-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374BDT7
127647.39580000
PA
USD
136104.94000000
0.002595332283
Long
ABS-MBS
USGA
US
N
2
2033-07-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A0XA8
400000.00000000
PA
USD
430464.72000000
0.008208364699
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9YS6
2015150.05000000
PA
USD
2074029.89000000
0.039548871124
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31339MNN4
12874.57000000
PA
USD
13021.02000000
0.000248292777
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABFP3
1334126.65000000
PA
USD
1202633.93000000
0.022932559717
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Fixed
1.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374J4D5
1396914.04000000
PA
USD
1478902.00000000
0.028200608335
Long
ABS-MBS
USGA
US
N
2
2034-11-16
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B7ZK8
26649.02000000
PA
USD
226.32000000
0.000004315608
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACY62
54877.43000000
PA
USD
41472.18000000
0.000790816906
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Floating
3.50529000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAA8
10000000.00000000
PA
USD
9758058.00000000
0.186072621291
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
2.99900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396RBT3
23612.95000000
PA
USD
25529.56000000
0.000486813272
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJZR2
323753.30000000
PA
USD
327712.86000000
0.006249029355
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BND92
6496588.26000000
PA
USD
434621.75000000
0.008287633491
Long
ABS-MBS
USGSE
US
N
2
2031-03-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617UNQN7
1445612.87000000
PA
USD
1542679.85000000
0.029416763407
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-450.00000000
NC
USD
-28125.00000000
-0.00053630471
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
0.00000000
USD
100000.00000000
133.00000000
USD
2022-08-26
XXXX
406647.01000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383PN49
12673247.18000000
PA
USD
11646716.69000000
0.222086720938
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379PC54
5193602.76080000
PA
USD
496836.14000000
0.009473975551
Long
ABS-MBS
USGA
US
N
2
2045-05-16
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AGQC9
192198.74000000
PA
USD
174796.35000000
0.003333123766
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
None
0.00000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2021-INV2 Trust
95003FBR3
13727032.81000000
PA
USD
12182818.49000000
0.232309438123
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQE63
724431.50000000
PA
USD
6999.02000000
0.000133461596
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377RB79
63910.58430000
PA
USD
1214.68000000
0.000023162261
Long
ABS-MBS
USGA
US
N
2
2039-02-20
Fixed
4.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31282YJZ3
234746.28000000
PA
USD
39770.08000000
0.000758360222
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BSR0
35021.66000000
PA
USD
39190.47000000
0.000747307864
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378HPP5
251623.00000000
PA
USD
232513.94000000
0.004433718092
Long
ABS-MBS
USGA
US
N
2
2042-09-16
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241L7B6
7667333.39000000
PA
USD
8057537.17000000
0.153646049488
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
4.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV3
92537MAD2
3223296.55000000
PA
USD
3147940.71000000
0.060026859809
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.94700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VVF67
1716672.86000000
PA
USD
1846671.04000000
0.035213453442
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MCHA6
5270.46000000
PA
USD
5291.79000000
0.000100907089
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383RBC0
11009372.15000000
PA
USD
9804723.35000000
0.186962464741
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
3.00000000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2021-4
36263DAA5
17516370.27000000
PA
USD
17218238.14000000
0.328327901385
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
0.84000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AT5V0
664127.06000000
PA
USD
690585.42000000
0.013168505385
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MC4S1
759.77000000
PA
USD
761.12000000
0.000014513501
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374MLY3
201234.11000000
PA
USD
185861.94000000
0.003544129208
Long
ABS-MBS
USGA
US
N
2
2035-06-20
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380MLC3
17224627.71000000
PA
USD
14511834.97000000
0.276720549582
Long
ABS-MBS
USGA
US
N
2
2060-06-16
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B6K36
39314948.06000000
PA
USD
37755119.63000000
0.719937724979
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8UG7
180777.33000000
PA
USD
192316.37000000
0.003667206229
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2021-4
26253WAA6
4558812.14000000
PA
USD
4472482.37000000
0.085284030722
Long
ABS-O
CORP
US
N
2
2025-09-15
Fixed
0.56000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
250.00000000
NC
USD
5859.50000000
0.000111732531
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-30
0.00000000
USD
100000.00000000
110.00000000
USD
2022-08-26
XXXX
-161975.50000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BJ54
3304056.03060000
PA
USD
431478.66000000
0.008227699128
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
5.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FLCE4
326149.70000000
PA
USD
49567.30000000
0.000945179608
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Variable
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 Year US Treasury Note
000000000
-925.00000000
NC
USD
-41845.90000000
-0.00079794322
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-30
-194634521.75000000
USD
-41845.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACE56
379635.09000000
PA
USD
18232.17000000
0.000347662174
Long
ABS-MBS
USGSE
US
N
2
2028-03-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MCYB5
21136.15000000
PA
USD
21206.21000000
0.000404372989
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132FTAW8
2205874.97000000
PA
USD
2247502.21000000
0.042856747477
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AAV0
9258.84000000
PA
USD
9514.44000000
0.000181427164
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374NPM3
500000.00000000
PA
USD
528341.50000000
0.010074739035
Long
ABS-MBS
USGA
US
N
2
2036-08-20
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379LGS9
9574052.15000000
PA
USD
1573033.04000000
0.029995556608
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374DKM0
150899.78020000
PA
USD
150998.17000000
0.002879325507
Long
ABS-MBS
USGA
US
N
2
2037-12-20
Floating
2.47643000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BQNX1
867075.54000000
PA
USD
861154.80000000
0.016421026701
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Floating
1.56171000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PMQS2
49024.39000000
PA
USD
49975.50000000
0.000952963416
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2022-3
85571RAA8
8753018.93000000
PA
USD
8392138.09000000
0.160026424586
Long
ABS-MBS
CORP
US
N
2
2067-03-25
Variable
4.16100000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQKG7
64993000.00000000
PA
USD
4397101.42000000
0.083846620639
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
1.08516000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36176LGK5
1013399.29000000
PA
USD
1044666.01000000
0.019920330751
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
4.50000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2017-7
12553HAA6
532420.02000000
PA
USD
531473.16000000
0.010134455444
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380RFV7
8760723.95000000
PA
USD
5398839.94000000
0.102948383742
Long
ABS-MBS
USGA
US
N
2
2062-06-16
Fixed
1.83000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397KS93
1018953.29000000
PA
USD
1028665.75000000
0.019615228002
Long
ABS-MBS
USGSE
US
N
2
2047-10-15
Floating
2.61914000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BFRC8
430769.04000000
PA
USD
448513.84000000
0.008552536364
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7L61
59363.19000000
PA
USD
62018.54000000
0.001182607472
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MGV44
418327.84000000
PA
USD
426649.38000000
0.008135611461
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375XME1
400829.22460000
PA
USD
31562.58000000
0.000601854589
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
-44.00000000
NC
USD
-173052.78000000
-0.00329987630
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
-6792697.22000000
USD
-173052.78000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BLNQ7
215248.05000000
PA
USD
213115.44000000
0.004063815623
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QAH8
279469.13510000
PA
USD
304096.99000000
0.005798707494
Long
ABS-MBS
USGA
US
N
2
2038-01-20
Variable
5.55198000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417BXC6
72118.21000000
PA
USD
73000.14000000
0.001392011341
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BQXX0
771702.00000000
PA
USD
776770.85000000
0.014811941905
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Fixed
3.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
5493000QSGFCHIR1BT31
FREMF 2013-K26 Mortgage Trust
30261QAJ2
14800000.00000000
PA
USD
14768705.40000000
0.281618712131
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Variable
3.57202000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380T4U7
3625157.40310000
PA
USD
44700.00000000
0.000852366953
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Floating
0.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409USC0
893164.02000000
PA
USD
919603.69000000
0.017535565903
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383PDV0
5578841.47000000
PA
USD
4480239.27000000
0.085431944038
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138APE87
933736.17000000
PA
USD
1050900.72000000
0.020039218017
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398PGF0
327013.66000000
PA
USD
350840.20000000
0.006690035626
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Floating
10.13667000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379XQF0
480746.55150000
PA
USD
52516.03000000
0.001001407796
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380VVB4
909435.09000000
PA
USD
765438.41000000
0.014595848004
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H7L27
13931581.17000000
PA
USD
14217111.71000000
0.271100586107
Long
ABS-MBS
USGSE
US
N
2
2052-05-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393TL61
157865.17730000
PA
USD
169761.69000000
0.003237119788
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617QC2G7
850479.97000000
PA
USD
907732.31000000
0.017309195164
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RJH7
32633288.28000000
PA
USD
1504094.36000000
0.028680991672
Long
ABS-MBS
USGA
US
N
2
2058-04-16
Variable
0.92903000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust 2003-2
911760TM8
1677497.12000000
PA
USD
1742140.48000000
0.033220200758
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AQK69
101782.59000000
PA
USD
105760.61000000
0.002016708030
Long
ABS-MBS
USGA
US
N
2
2035-12-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MFN52
1568850.19000000
PA
USD
1587074.27000000
0.030263303374
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NNC3
6025.42040000
PA
USD
5841.76000000
0.000111394254
Long
ABS-MBS
USGA
US
N
2
2044-11-16
Variable
2.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378F3M0
2223000.00000000
PA
USD
2018993.29000000
0.038499399556
Long
ABS-MBS
USGA
US
N
2
2043-02-16
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XG2D0
24629083.25000000
PA
USD
25184664.39000000
0.480236592096
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LA85
15135.23000000
PA
USD
15609.74000000
0.000297656074
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y2M94
1363077.97000000
PA
USD
1400835.53000000
0.026711989113
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394UHT2
19633.47000000
PA
USD
19531.08000000
0.000372430585
Long
ABS-MBS
USGSE
US
N
2
2035-11-25
Floating
13.58775000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M4KK7
187446.07000000
PA
USD
189633.22000000
0.003616042283
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AAV96
142094.46000000
PA
USD
147698.29000000
0.002816401376
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
4.50000000
N
N
N
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2021-A
00833MAA2
8160000.00000000
PA
USD
8077846.75000000
0.154033324987
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
0.88000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376T7H9
6091012.90000000
PA
USD
5970824.42000000
0.113855333827
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YBM3
89733.96000000
PA
USD
91833.70000000
0.001751141188
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ADLC9
525000.00000000
PA
USD
568672.49000000
0.010843795032
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BVKC9
10302440.57000000
PA
USD
7629943.19000000
0.145492425815
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BMV70
26345358.04000000
PA
USD
20269127.89000000
0.386504134100
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RMR1
3165681.90000000
PA
USD
2520076.53000000
0.048054361410
Long
ABS-MBS
USGA
US
N
2
2059-05-16
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395DWA3
1245072.75000000
PA
USD
169901.01000000
0.003239776427
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
4.29100000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
10000000.00000000
PA
USD
11380891.35000000
0.217017800686
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379XH60
321392.52000000
PA
USD
346897.43000000
0.006614852475
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Variable
5.52120000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHAM4
181404.81000000
PA
USD
175805.96000000
0.003352375628
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373YD92
166110.88140000
PA
USD
168337.10000000
0.003209954835
Long
ABS-MBS
USGA
US
N
2
2033-01-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AGPZ9
379979.00000000
PA
USD
379558.33000000
0.007237650503
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377TAY7
154425.39140000
PA
USD
164745.70000000
0.003141471822
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358QF83
79.41000000
PA
USD
79.44000000
0.000001514810
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FJD63
2904685.59000000
PA
USD
2946595.56000000
0.056187487278
Long
ABS-MBS
USGSE
US
N
2
2048-10-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376MDW4
2211936.92000000
PA
USD
349156.90000000
0.006657937432
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Floating
3.97357000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382NLK1
49549849.71000000
PA
USD
6610262.12000000
0.126048523189
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295QKB5
118467.57000000
PA
USD
125333.68000000
0.002389939306
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395BVS9
46232.62000000
PA
USD
6506.68000000
0.000124073355
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Floating
4.32100000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325TN96
336621.48000000
PA
USD
38821.45000000
0.000740271165
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Floating
4.00086000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398P5R6
25016.09100000
PA
USD
27515.02000000
0.000524673238
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Floating
8.14200000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Commercial Mortgage Securities Trust 2013-WBRK
05525BAA8
7000000.00000000
PA
USD
6621533.80000000
0.126263458480
Long
ABS-MBS
CORP
US
N
2
2037-03-10
Variable
3.53430000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3WA4
3087419.67000000
PA
USD
3086156.61000000
0.058848722782
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374UXY2
283951.22000000
PA
USD
32564.80000000
0.000620965534
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374GV41
543559.22340000
PA
USD
578713.48000000
0.011035262774
Long
ABS-MBS
USGA
US
N
2
2034-06-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374JBT2
49082.92500000
PA
USD
50308.31000000
0.000959309640
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Floating
7.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4C73
64476612.05000000
PA
USD
2512543.96000000
0.047910725755
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Variable
0.53177700
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-3
89175MAA1
6140924.24000000
PA
USD
6032962.49000000
0.115040220571
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413RK47
128507.82000000
PA
USD
133595.01000000
0.002547471402
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BNXM1
4326352.92000000
PA
USD
669274.25000000
0.012762130954
Long
ABS-MBS
USGSE
US
N
2
2045-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396PSA0
313274.13000000
PA
USD
347977.39000000
0.006635445813
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Fixed
5.75000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UPV2
1043079.56000000
PA
USD
42752.28000000
0.000815226636
Long
ABS-MBS
USGSE
US
N
2
2026-09-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374UNN7
2796163.71000000
PA
USD
3113584.49000000
0.059371734382
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36178YGE9
1964092.70000000
PA
USD
2033015.58000000
0.038766785163
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2019-1 Trust
95001TAA3
476663.05000000
PA
USD
470871.31000000
0.008978862284
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
3.95251200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
313920B41
1747.18230000
PA
USD
1778.07000000
0.000033905326
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Floating
8.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419MB59
488712.47000000
PA
USD
511807.20000000
0.009759452884
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383RAN7
32118908.36000000
PA
USD
29210287.47000000
0.556999636426
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128UNBB7
4554.03000000
PA
USD
4748.80000000
0.000090553024
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multiclass Certificates Series 2021-P009
3137H13X2
39281842.85000000
PA
USD
2670906.05000000
0.050930470996
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
1.46050200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398GUS6
193068.36000000
PA
USD
21050.94000000
0.000401412205
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Floating
3.99100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359DLT8
8402.46000000
PA
USD
8618.48000000
0.000164342450
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
15.12331600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380GHX5
8486254.18000000
PA
USD
7818313.84000000
0.149084392641
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393LYD9
931000.00000000
PA
USD
983428.71000000
0.018752620441
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5GK3
8119744.30000000
PA
USD
8471393.37000000
0.161537712765
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297GQQ6
735855.17000000
PA
USD
773032.47000000
0.014740656187
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376CKS7
455000.00000000
PA
USD
501819.14000000
0.009568994444
Long
ABS-MBS
USGA
US
N
2
2039-09-16
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multiclass Certificates Series 2020-RR09
3137FTG68
37600000.00000000
PA
USD
4999213.28000000
0.095328058042
Long
ABS-MBS
USGSE
US
N
2
2028-11-27
Variable
2.63487000
N
N
N
N
N
N
First Trust Long Duration Opportunities ETF
54930081NDDOB374EM36
First Trust Long Duration Opportunities ETF
33738D606
29359.00000000
NS
USD
710487.80000000
0.013548016146
Long
EC
RF
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MCXR1
26129.60000000
PA
USD
26667.06000000
0.000508503818
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2E99
194525.28000000
PA
USD
205984.11000000
0.003927831059
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BMHX9
10100375.60000000
PA
USD
8122434.20000000
0.154883545769
Long
ABS-MBS
USGSE
US
N
2
2052-04-25
Fixed
3.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2017-CH1
81746HAN1
597100.27000000
PA
USD
587425.04000000
0.011201380131
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Variable
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-INV2
46651DAR7
1301707.82000000
PA
USD
1261535.55000000
0.024055731851
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FNHT0
6588807.16000000
PA
USD
1373604.87000000
0.026192738225
Long
ABS-MBS
USGSE
US
N
2
2049-06-15
Floating
4.05086000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KG64
146681.86000000
PA
USD
147165.25000000
0.002806237043
Long
ABS-MBS
USGA
US
N
2
2034-12-17
Floating
12.89540000
N
N
N
N
N
N
2022-09-23
First Trust Exchange-Traded Fund IV
Donald P. Swade
Donald P. Swade
Treasurer, Chief Financial Officer and Chief Accounting Officer
XXXX