0000035402-26-002567.txt : 20260424
0000035402-26-002567.hdr.sgml : 20260424
20260424165827
ACCESSION NUMBER: 0000035402-26-002567
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20260228
FILED AS OF DATE: 20260424
DATE AS OF CHANGE: 20260424
PERIOD START: 20260831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY INCOME FUND /MA/
CENTRAL INDEX KEY: 0000751199
ORGANIZATION NAME:
EIN: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0731
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04085
FILM NUMBER: 26895362
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY MORTGAGE SECURITIES FUND
DATE OF NAME CHANGE: 19851103
0000751199
S000007070
Fidelity Intermediate Government Income Fund
C000019284
Fidelity Intermediate Government Income Fund
FSTGX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000751199
XXXXXXXX
S000007070
C000019284
Fidelity Income Fund
811-04085
0000751199
D66RCKM57LC8ELZCAY58
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Intermediate Government Income Fund
S000007070
G2GUNF34BXXVYK2PAF03
2026-08-31
2026-02-28
N
585496408.13
80767153.41
504729254.72
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
28667777.36000000
0.00000000
0.00000000
512755.12000000
USD
N
Bloomberg US Intermediate Government Bond Index
19808149
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
5641542.08900000
NS
USD
5642670.40000000
1.117959846240
Long
STIV
RF
US
N
1
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.673% 03/25/2026
3137BPW21
486921.51000000
PA
USD
485631.56000000
0.096216249693
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Fixed
0.02673000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.525% 05/25/2026
3137BQYS0
1642070.98000000
PA
USD
1634943.90000000
0.323924932963
Long
ABS-MBS
USGSE
US
N
2
2026-05-25
Fixed
0.02525000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.57% 07/25/2026
3137BRQJ7
1623362.88000000
PA
USD
1613918.32000000
0.319759218414
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Fixed
0.02570000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.653% 08/25/2026
3137BSP72
2500000.00000000
PA
USD
2483219.75000000
0.491990453649
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Fixed
0.02653000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHMS K059 A2 CSTR 09/25/2026
3137BSRE5
471508.66000000
PA
USD
468978.50000000
0.092916845143
Long
ABS-MBS
USGSE
US
N
2
2026-09-25
Variable
0.03120000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.3% 10/25/2026
3137BTAC5
4100000.00000000
PA
USD
4079388.48000000
0.808233016384
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Fixed
0.03300000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.347% 11/25/2026
3137BTUM1
12807703.47500000
PA
USD
12747755.74000000
2.525662148724
Long
ABS-MBS
USGSE
US
N
2
2026-11-25
Fixed
0.03347000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.413% 12/25/2026
3137BUX60
2278537.24800000
PA
USD
2268416.67000000
0.449432373651
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Fixed
0.03413000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.43% 01/25/2027
3137BVZ82
497760.24000000
PA
USD
495649.49000000
0.098201062324
Long
ABS-MBS
USGSE
US
N
2
2027-01-25
Fixed
0.03430000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.243% 04/25/2027
3137F1G44
2200000.00000000
PA
USD
2186439.20000000
0.433190503533
Long
ABS-MBS
USGSE
US
N
2
2027-04-25
Fixed
0.03243000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.194% 07/25/2027
3137FAWS3
700000.00000000
PA
USD
694791.51000000
0.137656278787
Long
ABS-MBS
USGSE
US
N
2
2027-07-25
Fixed
0.03194000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027
3137FBBX3
3200000.00000000
PA
USD
3176017.60000000
0.629251736510
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Fixed
0.03244000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.125% 11/15/2028
9128285M8
8510000.00000000
PA
USD
8452491.04000000
1.674658435380
Long
DBT
UST
US
N
2
2028-11-15
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
68709.73000000
PA
USD
67562.09000000
0.013385808206
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2019-K735 A2 2.862% 05/25/2026
3137FMU67
798782.21800000
PA
USD
795703.71000000
0.157649611659
Long
ABS-MBS
USGSE
US
N
2
2026-05-25
Fixed
0.02862000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.282% 07/25/2026
3137FNWX4
870289.60000000
PA
USD
865174.73000000
0.171413628575
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Fixed
0.02282000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 01/31/2027
912828Z78
5049000.00000000
PA
USD
4956421.84000000
0.981996148162
Long
DBT
UST
US
N
2
2027-01-31
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K737 A2 2.525% 10/25/2026
3137FQXJ7
8200000.00000000
PA
USD
8133318.42000000
1.611422033484
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Fixed
0.02525000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2030#ZS8591
3132A9RL3
13193.67000000
PA
USD
12999.49000000
0.002575537256
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.336% 09/25/2027
3137F64P9
5963447.72000000
PA
USD
5782058.13000000
1.145576182860
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
0.01336000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2050#SD8106
3132DWAF0
50771.31800000
PA
USD
42502.80000000
0.008420910736
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 01/20/2051#MA7135
36179V4U1
540065.36900000
PA
USD
457816.76000000
0.090705413985
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 09/20/2050#MA6864
36179VTV2
92935.84600000
PA
USD
78956.55000000
0.015643347252
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.125% 08/31/2028
91282CCV1
53595000.00000000
PA
USD
50718455.59000000
10.04864590584
Long
DBT
UST
US
N
2
2028-08-31
Fixed
0.01125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2035#
3140XC4X3
17067.16200000
PA
USD
16823.96000000
0.003333264288
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.25% 09/30/2028
91282CCY5
580000.00000000
PA
USD
549572.65000000
0.108884643570
Long
DBT
UST
US
N
2
2028-09-30
Fixed
0.01250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2320
3140QMSJ4
538042.11700000
PA
USD
473489.49000000
0.093810589652
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.25% 12/31/2026
91282CDQ1
3278000.00000000
PA
USD
3216501.64000000
0.637272678355
Long
DBT
UST
US
N
2
2026-12-31
Fixed
0.01250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.875% 02/28/2027
91282CEC1
2980000.00000000
PA
USD
2932017.35000000
0.580908937332
Long
DBT
UST
US
N
2
2027-02-28
Fixed
0.01875000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2044
3136BL6D7
505106.71400000
PA
USD
491818.22000000
0.097441988036
Long
ABS-CBDO
USGSE
US
N
2
2044-05-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 03/20/2052#
36179WY85
113655.79300000
PA
USD
96346.72000000
0.019088792476
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 04/30/2029
91282CEM9
600000.00000000
PA
USD
590484.37000000
0.116990319954
Long
DBT
UST
US
N
2
2029-04-30
Fixed
0.02875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 05/15/2032
91282CEP2
2646000.00000000
PA
USD
2530857.67000000
0.501428765290
Long
DBT
UST
US
N
2
2032-05-15
Fixed
0.02875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 07/31/2027
91282CFB2
2880000.00000000
PA
USD
2852324.99000000
0.565119806971
Long
DBT
UST
US
N
2
2027-07-31
Fixed
0.02750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.625% 07/31/2029
91282CFC0
410000.00000000
PA
USD
399605.86000000
0.079172319865
Long
DBT
UST
US
N
2
2029-07-31
Fixed
0.02625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 08/15/2032
91282CFF3
13693000.00000000
PA
USD
12961815.16000000
2.568072890324
Long
DBT
UST
US
N
2
2032-08-15
Fixed
0.02750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 10/31/2029
91282CFT3
6300000.00000000
PA
USD
6419601.59000000
1.271890133168
Long
DBT
UST
US
N
2
2029-10-31
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3295
3140XJUV3
118334.36700000
PA
USD
120430.92000000
0.023860499242
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 12/31/2027
91282CGC9
1800000.00000000
PA
USD
1814643.54000000
0.359528107996
Long
DBT
UST
US
N
2
2027-12-31
Fixed
0.03875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 01/31/2028
91282CGH8
1920000.00000000
PA
USD
1923675.00000000
0.381130077563
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 02/15/2033
91282CGM7
730000.00000000
PA
USD
719991.01000000
0.142648955507
Long
DBT
UST
US
N
2
2033-02-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2028#FS3865
3140XKJK7
37790.99700000
PA
USD
37212.79000000
0.007372822092
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 03/15/2026
91282CGR6
620000.00000000
PA
USD
620181.29000000
0.122874052613
Long
DBT
UST
US
N
2
2026-03-15
Fixed
0.04625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.625% 03/31/2030
91282CGS4
4740000.00000000
PA
USD
4767773.46000000
0.944619994861
Long
DBT
UST
US
N
2
2030-03-31
Fixed
0.03625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.375% 05/15/2033
91282CHC8
290000.00000000
PA
USD
283259.76000000
0.056121129764
Long
DBT
UST
US
N
2
2033-05-15
Fixed
0.03375000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047
3137H5KC0
355688.84500000
PA
USD
331687.92000000
0.065716008513
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047
3136BLES5
1064478.38200000
PA
USD
974532.94000000
0.193080335820
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#CB2110
3140QMKY9
318814.09400000
PA
USD
284332.28000000
0.056333623886
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047
3137H5J57
78944.85100000
PA
USD
73363.65000000
0.014535248217
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049
3137H5UF2
105634.65700000
PA
USD
96153.51000000
0.019050512547
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047
3137H5F77
104105.54300000
PA
USD
96681.38000000
0.019155097331
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048
3136BLMF4
137893.62400000
PA
USD
131295.65000000
0.026013084990
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048
3136BLRV4
194914.98500000
PA
USD
185632.47000000
0.036778623046
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6538
3140QSHQ7
282979.37800000
PA
USD
295507.10000000
0.058547646532
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6539
3140QSHR5
229412.05300000
PA
USD
239281.54000000
0.047407899930
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048
3136BG6S5
101115.18400000
PA
USD
88462.99000000
0.017526820403
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048
3136BG6Y2
107456.53400000
PA
USD
94010.87000000
0.018625999805
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048
3136BKJA1
88819.50400000
PA
USD
81177.62000000
0.016083399018
Long
ABS-CBDO
USGSE
US
N
2
2048-08-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050
3136BKWX6
139721.45100000
PA
USD
127107.71000000
0.025183345092
Long
ABS-CBDO
USGSE
US
N
2
2050-02-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049
3136BLYE4
101428.17700000
PA
USD
92487.23000000
0.018324127071
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047
3137H3SE3
79682.87400000
PA
USD
72435.20000000
0.014351298111
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050
3137H4N30
504913.91300000
PA
USD
454128.21000000
0.089974616242
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047
3137H5BG1
99406.09200000
PA
USD
92407.39000000
0.018308308689
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050
3137H5MS3
117698.55500000
PA
USD
105768.06000000
0.020955405103
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 06/30/2028
91282CHK0
8620000.00000000
PA
USD
8739198.39000000
1.731462622440
Long
DBT
UST
US
N
2
2028-06-30
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.75% 06/30/2030
91282CHJ3
14430000.00000000
PA
USD
14580500.43000000
2.888776565584
Long
DBT
UST
US
N
2
2030-06-30
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 01/01/2034#G18720
3128MMYS6
171041.87900000
PA
USD
169800.66000000
0.033641929492
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2033#SB0621
3132CWVN1
11953.01100000
PA
USD
11782.69000000
0.002334457511
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2031#FS1234
3140XGLQ0
41894.89800000
PA
USD
41353.02000000
0.008193109397
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2035#FS0112
3140XFDS7
108180.72700000
PA
USD
106373.49000000
0.021075356541
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2034#FS1799
3140XG7M5
24606.16200000
PA
USD
24244.05000000
0.004803377211
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2034#FM8940
3140XC5A2
49267.52800000
PA
USD
48580.84000000
0.009625128629
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 09/01/2052#SD1579
3132DNXG3
209895.89600000
PA
USD
216688.42000000
0.042931614915
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 07/31/2030
91282CHR5
2560000.00000000
PA
USD
2612800.00000000
0.517663673259
Long
DBT
UST
US
N
2
2030-07-31
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6642
3140QSLY5
88367.12000000
PA
USD
91420.11000000
0.018112702829
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 08/15/2033
91282CHT1
1350000.00000000
PA
USD
1359808.59000000
0.269413468168
Long
DBT
UST
US
N
2
2033-08-15
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 10/01/2040#FM7397
3140XBGF1
1012858.84600000
PA
USD
973175.64000000
0.192811419369
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 09/01/2041#FM9587
3140XDUM6
370434.78900000
PA
USD
352332.79000000
0.069806294504
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 08/31/2030
91282CHW4
3770000.00000000
PA
USD
3866458.99000000
0.766046143321
Long
DBT
UST
US
N
2
2030-08-31
Fixed
0.04125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 09/30/2030
91282CHZ7
11400000.00000000
PA
USD
11935710.97000000
2.364774947832
Long
DBT
UST
US
N
2
2030-09-30
Fixed
0.04625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 09/30/2028
91282CJA0
10550000.00000000
PA
USD
10871033.23000000
2.153834581280
Long
DBT
UST
US
N
2
2028-09-30
Fixed
0.04625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 10/01/2053#RJ0002
3142GQAC6
266872.47000000
PA
USD
281942.20000000
0.055860086841
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 10/01/2053#RJ0001
3142GQAB8
263938.92000000
PA
USD
279255.40000000
0.055327761842
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 05/01/2041#SC0237
3132D9HN7
449340.88100000
PA
USD
416966.27000000
0.082611868858
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0806
3133KT3P3
17064.65600000
PA
USD
15687.98000000
0.003108197088
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2042#RB0710
3133KTYF1
35457.40400000
PA
USD
32637.41000000
0.006466320248
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 02/01/2042#SC0248
3132D9HZ0
212481.68300000
PA
USD
196160.52000000
0.038864503724
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#SC0210
3132D9GT5
1136805.53900000
PA
USD
1047869.15000000
0.207610147460
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 06/25/2051
3137H1B70
403240.28000000
PA
USD
349868.89000000
0.069318131796
Long
ABS-CBDO
USGSE
US
N
2
2051-06-25
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 09/20/2051#785616
3622ABDV1
333974.49300000
PA
USD
293552.52000000
0.058160393370
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.5% 09/25/2051
3137H6XY6
573490.72400000
PA
USD
566766.43000000
0.112291178825
Long
ABS-CBDO
USGSE
US
N
2
2051-09-25
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.75% 08/25/2044
3137H7FZ1
327166.92300000
PA
USD
320412.07000000
0.063481969195
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.03750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.875% 10/31/2030
91282CJG7
12410000.00000000
PA
USD
13133270.31000000
2.602042617340
Long
DBT
UST
US
N
2
2030-10-31
Fixed
0.04875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.875% 10/31/2028
91282CJF9
258000.00000000
PA
USD
267654.85000000
0.053029391004
Long
DBT
UST
US
N
2
2028-10-31
Fixed
0.04875000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.5% 04/25/2052
3137H6RW7
217659.51600000
PA
USD
212019.30000000
0.042006540737
Long
ABS-CBDO
USGSE
US
N
2
2052-04-25
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.5% 01/25/2051
3137H77F4
286497.19500000
PA
USD
277009.01000000
0.054882693525
Long
ABS-CBDO
USGSE
US
N
2
2051-01-25
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 11/15/2026
91282CJK8
12958000.00000000
PA
USD
13047309.00000000
2.585011444846
Long
DBT
UST
US
N
2
2026-11-15
Fixed
0.04625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 11/30/2028
91282CJN2
6350000.00000000
PA
USD
6511974.59000000
1.290191628304
Long
DBT
UST
US
N
2
2028-11-30
Fixed
0.04375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 11/30/2030
91282CJM4
2016000.00000000
PA
USD
2090970.00000000
0.414275570604
Long
DBT
UST
US
N
2
2030-11-30
Fixed
0.04375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 12/15/2026
91282CJP7
760000.00000000
PA
USD
764755.94000000
0.151518053064
Long
DBT
UST
US
N
2
2026-12-15
Fixed
0.04375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 01/15/2027
91282CJT9
4740000.00000000
PA
USD
4758330.48000000
0.942749094787
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 08/20/2051#785575
3622ABCL4
376874.60600000
PA
USD
331260.30000000
0.065631285863
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 2.5% 12/20/2051#785792
3622ABKD3
444808.31500000
PA
USD
390971.79000000
0.077461685912
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 01/31/2031
91282CJX0
700000.00000000
PA
USD
714710.93000000
0.141602834255
Long
DBT
UST
US
N
2
2031-01-31
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 02/15/2027
91282CKA8
20080000.00000000
PA
USD
20188400.68000000
3.999847540281
Long
DBT
UST
US
N
2
2027-02-15
Fixed
0.04125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 02/28/2031
91282CKC4
4250000.00000000
PA
USD
4388125.00000000
0.869401755290
Long
DBT
UST
US
N
2
2031-02-28
Fixed
0.04250000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 09/01/2053#RA9856
3133KR5R1
38647.64700000
PA
USD
40177.45000000
0.007960198388
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 11/01/2053#FS6498
3140XNGG3
152024.77200000
PA
USD
157483.72000000
0.031201623152
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 03/01/2054#CB8112
3140QUAN6
38839.26500000
PA
USD
40027.70000000
0.007930529016
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 03/01/2054#CB8113
3140QUAP1
103601.89200000
PA
USD
108116.58000000
0.021420708030
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
0.06500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 03/15/2027
91282CKE0
7250000.00000000
PA
USD
7304139.67000000
1.447140145274
Long
DBT
UST
US
N
2
2027-03-15
Fixed
0.04250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 03/31/2031
91282CKF7
3670000.00000000
PA
USD
3768487.90000000
0.746635520877
Long
DBT
UST
US
N
2
2031-03-31
Fixed
0.04125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 05/15/2034
91282CKQ3
670000.00000000
PA
USD
695622.27000000
0.137820873962
Long
DBT
UST
US
N
2
2034-05-15
Fixed
0.04375000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046
3136AWGE1
1155068.20100000
PA
USD
1078485.22000000
0.213675987653
Long
ABS-CBDO
USGSE
US
N
2
2046-09-25
Fixed
0.02550000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2024-K523 AS TSFR1M+55 05/25/2029
3137HDJW1
2296741.52000000
PA
USD
2298069.96000000
0.455307462071
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Variable
0.04229240
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 06/30/2031
91282CKW0
4920000.00000000
PA
USD
5082782.82000000
1.007031546610
Long
DBT
UST
US
N
2
2031-06-30
Fixed
0.04250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 06/30/2029
91282CKX8
3960000.00000000
PA
USD
4063021.78000000
0.804990347201
Long
DBT
UST
US
N
2
2029-06-30
Fixed
0.04250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 07/31/2029
91282CLC3
200000.00000000
PA
USD
203720.42000000
0.040362316646
Long
DBT
UST
US
N
2
2029-07-31
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 08/15/2034
91282CLF6
4680000.00000000
PA
USD
4686806.12000000
0.928578257782
Long
DBT
UST
US
N
2
2034-08-15
Fixed
0.03875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 09/30/2029
91282CLN9
7540000.00000000
PA
USD
7556199.24000000
1.497079705473
Long
DBT
UST
US
N
2
2029-09-30
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 10/31/2029
91282CLR0
2537000.00000000
PA
USD
2596064.53000000
0.514347941143
Long
DBT
UST
US
N
2
2029-10-31
Fixed
0.04125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 10/31/2026
91282CLS8
20000000.00000000
PA
USD
20062343.80000000
3.974872391957
Long
DBT
UST
US
N
2
2026-10-31
Fixed
0.04125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 11/15/2034
91282CLW9
2016000.00000000
PA
USD
2071203.74000000
0.410359360118
Long
DBT
UST
US
N
2
2034-11-15
Fixed
0.04250000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.625% 11/15/2044
912810UF3
3560000.00000000
PA
USD
3593514.05000000
0.711968647823
Long
DBT
UST
US
N
2
2044-11-15
Fixed
0.04625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 11/30/2031
91282CLZ2
3110000.00000000
PA
USD
3192730.85000000
0.632563066266
Long
DBT
UST
US
N
2
2031-11-30
Fixed
0.04125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 12/20/2054#MB0092
3618N5C64
165172.46700000
PA
USD
167655.47000000
0.033216911528
Long
ABS-MBS
USGA
US
N
2
2054-12-20
Fixed
0.05500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 01/15/2028
91282CMF5
12080000.00000000
PA
USD
12263087.50000000
2.429636757790
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.04250000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6.5% 01/01/2055#RJ3308
3142GTVA1
309155.85000000
PA
USD
326709.84000000
0.064729721319
Long
ABS-MBS
USGSE
US
N
2
2055-01-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 01/01/2055#CB9828
3140QV4N1
170185.49100000
PA
USD
180659.73000000
0.035793393846
Long
ABS-MBS
USGSE
US
N
2
2055-01-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054
3136BUW22
290176.74000000
PA
USD
292240.83000000
0.057900513446
Long
ABS-CBDO
USGSE
US
N
2
2054-09-25
Variable
0.04867210
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054
3137HJQ26
444169.53000000
PA
USD
447757.98000000
0.088712507906
Long
ABS-CBDO
USGSE
US
N
2
2054-10-25
Variable
0.04917210
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055
3137HJZC4
218464.06000000
PA
USD
219622.82000000
0.043512995917
Long
ABS-CBDO
USGSE
US
N
2
2055-02-25
Variable
0.04867210
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055
3136BUWD8
287522.33000000
PA
USD
289910.86000000
0.057438885756
Long
ABS-CBDO
USGSE
US
N
2
2055-02-25
Variable
0.04817210
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055
3136BUWL0
370607.96000000
PA
USD
374541.52000000
0.074206421858
Long
ABS-CBDO
USGSE
US
N
2
2055-02-25
Variable
0.05067210
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054
3136BUWX4
428811.95000000
PA
USD
433226.44000000
0.085833431676
Long
ABS-CBDO
USGSE
US
N
2
2054-09-25
Variable
0.05067210
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053
3136BQRD3
671411.31400000
PA
USD
679598.97000000
0.134646241256
Long
ABS-CBDO
USGSE
US
N
2
2053-11-25
Variable
0.05117210
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055
3137HJYG6
681665.34000000
PA
USD
686556.36000000
0.136024681268
Long
ABS-CBDO
USGSE
US
N
2
2055-02-25
Variable
0.04817210
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054
3136BUGA2
516143.57100000
PA
USD
520349.52000000
0.103094781040
Long
ABS-CBDO
USGSE
US
N
2
2054-06-25
Variable
0.04867210
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055
3137HJEZ6
435900.61000000
PA
USD
439559.17000000
0.087088110286
Long
ABS-CBDO
USGSE
US
N
2
2055-02-25
Variable
0.04817210
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.75% 02/15/2045
912810UJ5
3940000.00000000
PA
USD
4038500.00000000
0.800131944450
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.04750000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTN TII 2.375% 02/15/2055
912810UH9
1490000.00000000
PA
USD
1508777.85000000
0.298928155221
Long
DBT
UST
US
N
2
2055-02-15
Fixed
0.02375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 03/15/2028
91282CMS7
3500000.00000000
PA
USD
3533359.38000000
0.700050442283
Long
DBT
UST
US
N
2
2028-03-15
Fixed
0.03875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 03/31/2027
91282CMV0
6410000.00000000
PA
USD
6434538.25000000
1.274849474213
Long
DBT
UST
US
N
2
2027-03-31
Fixed
0.03875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 03/31/2032
91282CMT5
4000000.00000000
PA
USD
4105156.24000000
0.813338280198
Long
DBT
UST
US
N
2
2032-03-31
Fixed
0.04125000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.9025 04/14/26
N/A
1360000.00000000
NC
USD
42598.75000000
0.008439920928
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 04/16/36 SOFRV3.9025%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2036-04-16
0.00000000
USD
0.00000000
USD
1360000.00000000
USD
1.00000000
3.90250000
USD
2026-04-14
XXXX
-5273.25000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 3.9025 04/14/26
N/A
1360000.00000000
NC
USD
1288.25000000
0.000255235849
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 04/16/36 3.9025%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2036-04-16
0.00000000
USD
0.00000000
USD
1360000.00000000
USD
1.00000000
3.90250000
USD
2026-04-14
XXXX
-46583.75000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.75% 04/30/2027
91282CMY4
3240000.00000000
PA
USD
3249365.61000000
0.643783886036
Long
DBT
UST
US
N
2
2027-04-30
Fixed
0.03750000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 4.065 05/02/30
N/A
5120000.00000000
NC
USD
136486.20000000
0.027041468019
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 05/06/35 4.065%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-05-06
0.00000000
USD
0.00000000
USD
5120000.00000000
USD
1.00000000
4.06500000
USD
2030-05-02
XXXX
-68825.80000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 4.065 05/02/30
N/A
5120000.00000000
NC
USD
195411.97000000
0.038716196490
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 05/06/35 SOFRV4.065%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-05-06
0.00000000
USD
0.00000000
USD
5120000.00000000
USD
1.00000000
4.06500000
USD
2030-05-02
XXXX
-9900.03000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 12/01/2052#RA8306
3133KQGP5
327808.17800000
PA
USD
342627.83000000
0.067883489374
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 07/01/2053#FS5067
3140XLTZ1
507160.73300000
PA
USD
529613.14000000
0.104930145230
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.06000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 4.01 05/07/30
N/A
2200000.00000000
NC
USD
60692.30000000
0.012024724034
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 05/09/35 4.01%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-05-09
0.00000000
USD
0.00000000
USD
2200000.00000000
USD
1.00000000
4.01000000
USD
2030-05-07
XXXX
-27934.70000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 4.01 05/07/30
N/A
2200000.00000000
NC
USD
81075.98000000
0.016063261489
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 05/09/35 SOFRV4.01%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-05-09
0.00000000
USD
0.00000000
USD
2200000.00000000
USD
1.00000000
4.01000000
USD
2030-05-07
XXXX
-7551.02000000
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 5% 05/15/2045
912810UL0
1130000.00000000
PA
USD
1194533.60000000
0.236668191674
Long
DBT
UST
US
N
2
2045-05-15
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 05/31/2032
91282CNF4
1600000.00000000
PA
USD
1641581.12000000
0.325239938967
Long
DBT
UST
US
N
2
2032-05-31
Fixed
0.04125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 05/31/2027
91282CNE7
5200000.00000000
PA
USD
5224781.22000000
1.035165124894
Long
DBT
UST
US
N
2
2027-05-31
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2055#CC0577
3140Y6UB4
378803.51300000
PA
USD
396905.17000000
0.078637242895
Long
ABS-MBS
USGSE
US
N
2
2055-06-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053
3137HAFW1
1310168.95000000
PA
USD
1319104.83000000
0.261348994072
Long
ABS-CBDO
USGSE
US
N
2
2053-08-25
Variable
0.04717210
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054
3137HCYX4
923254.48400000
PA
USD
931770.86000000
0.184608054969
Long
ABS-CBDO
USGSE
US
N
2
2054-06-25
Variable
0.04867210
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055
3137HKUC6
1181196.41900000
PA
USD
1187879.51000000
0.235349843285
Long
ABS-CBDO
USGSE
US
N
2
2055-04-25
Variable
0.04717210
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.75% 06/30/2027
91282CNL1
8000000.00000000
PA
USD
8030000.00000000
1.590951965812
Long
DBT
UST
US
N
2
2027-06-30
Fixed
0.03750000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.75% 08/15/2055
912810UM8
620000.00000000
PA
USD
631334.38000000
0.125083769980
Long
DBT
UST
US
N
2
2055-08-15
Fixed
0.04750000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.25% 08/15/2035
91282CNT4
23140000.00000000
PA
USD
23714884.38000000
4.698535731430
Long
DBT
UST
US
N
2
2035-08-15
Fixed
0.04250000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 4.146 07/30/30
N/A
4330000.00000000
NC
USD
172050.60000000
0.034087701156
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 08/01/35 SOFRV4.146%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-08-01
0.00000000
USD
0.00000000
USD
4330000.00000000
USD
1.00000000
4.14600000
USD
2030-07-30
XXXX
8614.75000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 4.146 07/30/30
N/A
4330000.00000000
NC
USD
114884.25000000
0.022761559573
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 08/01/35 4.146%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-08-01
0.00000000
USD
0.00000000
USD
4330000.00000000
USD
1.00000000
4.14600000
USD
2030-07-30
XXXX
-48551.60000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+110 FB 11/25/2054
3137HHF97
462595.32800000
PA
USD
465251.55000000
0.092178439361
Long
ABS-CBDO
USGSE
US
N
2
2054-11-25
Variable
0.04767210
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT FUT JUN26 WNM6
N/A
8.00000000
NC
USD
12644.11000000
0.002505127230
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
UNITED STATES TREASURY BOND
UNITED STATES TREASURY BOND 0% 06/30/2040
2026-06-18
959855.89000000
USD
12644.11000000
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 10YR NOTE FUT (CBT)JUN26 TYM6
N/A
454.00000000
NC
USD
399946.76000000
0.079239861026
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
UST NOTES
UST NOTES 0% 06/30/2040
2026-06-18
51256740.74000000
USD
399946.76000000
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) FUT JUN26 USM6
N/A
-19.00000000
NC
USD
-22599.36000000
-0.00447752132
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
UST NOTES
UST NOTES 0% 06/30/2040
2026-06-18
-2227119.39000000
USD
-22599.36000000
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) FUT JUN26 TUM6
N/A
456.00000000
NC
USD
132954.42000000
0.026341730493
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
UST NOTES
UST NOTES 0% 06/30/2040
2026-06-30
95277920.58000000
USD
132954.42000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/01/2056 #TBA
21H022630
-150000.00000000
PA
USD
-132336.03000000
-0.02621921134
Short
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 03/01/2056 #TBA
21H060630
12525000.00000000
PA
USD
12779074.64000000
2.531867237830
Long
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 03/01/2056 #TBA
21H060630
-12525000.00000000
PA
USD
-12779074.64000000
-2.53186723783
Short
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 03/01/2056 #TBA
01F020638
-2500000.00000000
PA
USD
-2070410.25000000
-0.41020214910
Short
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2056 #TBA
01F022634
5100000.00000000
PA
USD
4416480.66000000
0.875019749439
Long
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2056 #TBA
01F022634
-5100000.00000000
PA
USD
-4416480.66000000
-0.87501974943
Short
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2056 #TBA
01F030637
-6300000.00000000
PA
USD
-5696824.14000000
-1.12868911138
Short
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 03/01/2056 #TBA
01F040636
-4500000.00000000
PA
USD
-4373964.90000000
-0.86659627099
Short
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 03/01/2056 #TBA
01F040636
2325000.00000000
PA
USD
2259881.87000000
0.447741407668
Long
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4.5% 03/01/2056 #TBA
01F042632
-5200000.00000000
PA
USD
-5141906.12000000
-1.01874541091
Short
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6% 03/01/2056 #TBA
01F060634
-5700000.00000000
PA
USD
-5846730.54000000
-1.15838947026
Short
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6% 03/01/2056 #TBA
01F060634
5700000.00000000
PA
USD
5846730.54000000
1.158389470260
Long
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.06000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 10/15/2028
91282CPC9
3520000.00000000
PA
USD
3529625.09000000
0.699310582256
Long
DBT
UST
US
N
2
2028-10-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 04/01/2056 #TBA
21H060648
-3400000.00000000
PA
USD
-3466579.82000000
-0.68681967363
Short
ABS-MBS
USGA
US
N
2
2056-04-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6% 04/01/2056 #TBA
21H060648
3400000.00000000
PA
USD
3466579.82000000
0.686819673633
Long
ABS-MBS
USGA
US
N
2
2056-04-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 04/01/2056 #TBA
01F022642
-5100000.00000000
PA
USD
-4416679.56000000
-0.87505915670
Short
ABS-MBS
USGA
US
N
2
2056-04-01
Fixed
0.02500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.625% 11/15/2055
912810UP1
1890000.00000000
PA
USD
1886751.56000000
0.373814583235
Long
DBT
UST
US
N
2
2055-11-15
Fixed
0.04625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 11/15/2035
91282CPJ4
8210000.00000000
PA
USD
8239504.69000000
1.632460296871
Long
DBT
UST
US
N
2
2035-11-15
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.75% 11/30/2032
91282CPM7
2530000.00000000
PA
USD
2536819.13000000
0.502609885651
Long
DBT
UST
US
N
2
2032-11-30
Fixed
0.03750000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 09/25/2053
3136BQY60
354560.81600000
PA
USD
357117.34000000
0.070754238368
Long
ABS-CBDO
USGSE
US
N
2
2053-09-25
Variable
0.04867210
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 03/18/28
N/A
-35617000.00000000
NC
USD
-67314.74000000
-0.01333680173
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2028-03-18
0.00000000
USD
0.00000000
USD
-35756665.62000000
USD
-67314.74000000
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV4.0% MAC 03/18/56
N/A
1160000.00000000
NC
USD
49460.95000000
0.009799501324
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2056-03-18
0.00000000
USD
0.00000000
USD
1130705.07000000
USD
49460.95000000
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 03/18/29
N/A
-21554000.00000000
NC
USD
-131334.99000000
-0.02602087926
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2029-03-18
0.00000000
USD
0.00000000
USD
-21628052.86000000
USD
-131334.99000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 12/31/2032
91282CPQ8
810000.00000000
PA
USD
817973.44000000
0.162061824701
Long
DBT
UST
US
N
2
2032-12-31
Fixed
0.03875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 01/15/2029
91282CPT2
9700000.00000000
PA
USD
9729554.74000000
1.927677987557
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+52 11/25/2030
3137HPUB7
1999809.87000000
PA
USD
1999808.47000000
0.396214099202
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
0.04179240
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 3.964 01/26/27
N/A
5600000.00000000
NC
USD
239346.13000000
0.047420696890
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/28/37 SOFRV3.964%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2037-01-28
0.00000000
USD
0.00000000
USD
5600000.00000000
USD
1.00000000
3.96400000
USD
2027-01-26
XXXX
107186.13000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 3.964 01/26/27
N/A
5600000.00000000
NC
USD
73551.86000000
0.014572537516
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/28/37 3.964%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2037-01-28
0.00000000
USD
0.00000000
USD
5600000.00000000
USD
1.00000000
3.96400000
USD
2027-01-26
XXXX
-58608.14000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 02/15/2029
91282CQA2
10690000.00000000
PA
USD
10723406.25000000
2.124585834825
Long
DBT
UST
US
N
2
2029-02-15
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANKS
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANKS VFAC SOFR+12 06/12/2028
3133EWDR8
7430000.00000000
PA
USD
7429926.00000000
1.472061690603
Long
DBT
USGSE
US
N
2
2028-06-12
Variable
0.03790000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANKS
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANKS VFAC SOFR+16.5 01/19/2029
3133EWEB2
7990000.00000000
PA
USD
7989867.85000000
1.583000742533
Long
DBT
USGSE
US
N
2
2029-01-19
Variable
0.03835000
N
N
N
N
N
N
2026-03-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer