| 1. FNCL 3.5% 9/15 TBA |
BBG001LJWDL5 |
US |
3600000 |
8.98% |
| 2. GNMA 3 9/17 3% |
BBG001LJVYM9 |
US |
2450000 |
6.06% |
| 3. US Long Bond (CBT) Futr Sept22 |
BBG019229HF9 |
US |
1300000 |
4.65% |
| 4. FNCL 2 9/20 2% |
BBG012CQRP35 |
US |
1088000 |
2.46% |
| 5. Fr Qd6052 2% 1/1/2052 |
BBG014RB6TT5 |
US |
956942 |
2.16% |
| 6. FN FM1699 4% 10/1/2048 |
BBG00QKPWZ56 |
US |
815256 |
2.13% |
| 7. FHR 2519 NU 5% 11/15/2032 |
BBG00085K6W8 |
US |
694611 |
1.83% |
| 8. GNR 2014-43 Z 4% 3/20/2044 |
BBG0066GDY32 |
US |
627677 |
1.67% |
| 9. SCRT 2016-1 M2 3.75% 9/25/2055 |
BBG00FHQZM21 |
US |
700497 |
1.62% |
| 10. SLST 2019-2 A2C 2.75% 9/25/2029 |
BBG00Q53C6R4 |
US |
660000 |
1.56% |
| 11. CME Ultra LT US Bond (CBT) Futr Sept22 |
|
US |
400000 |
1.56% |
| 12. GNMA II POOL 005204 G2 10/41 FIXED 4.5 |
BBG0024V6W23 |
US |
458706 |
1.23% |
| 13. Neub 2019-32A Cr % 1/19/2032 |
BBG00Z72P887 |
KY |
500000 |
1.21% |
| 14. FNR 2015-23 HZ 3% 4/25/2045 |
BBG0089B9T32 |
US |
499539 |
1.21% |
| 15. GNR 2009-76 XA 5.5% 9/16/2039 |
BBG000B8LJ22 |
US |
425664 |
1.20% |
| 16. FN CA7963 2.5% 11/1/2050 |
BBG00Y3XNDW0 |
US |
503116 |
1.19% |
| 17. FHR 4179 AZ 4% 1/15/2041 |
BBG004CFRG27 |
US |
457245 |
1.18% |
| 18. FNCL 2.5 9/16 2.5% |
BBG001LK8QZ5 |
US |
500000 |
1.17% |
| 19. GNMA BB6189 3.5% 7/20/2047 |
BBG00H5DQX34 |
US |
457129 |
1.16% |
| 20. US 5Yr Note (CBT) Futr Sep22 |
BBG014QB3N03 |
US |
400000 |
1.15% |
| 21. FR QD6054 2.5% 2/1/2052 |
BBG014RB70D4 |
US |
485724 |
1.14% |
| 22. FHR 3284 LF 0.40313% 3/15/2037 |
BBG0008PL4C0 |
US |
447958 |
1.14% |
| 23. FN FM9867 2.5% 12/1/2051 |
BBG013ZFJZ11 |
US |
480394 |
1.13% |
| 24. FR SD0715 2% 9/1/2051 |
BBG012NJ7NF3 |
US |
495591 |
1.12% |
| 25. JPMMT 2020-5 B1 3.73594% 12/25/2050 |
BBG00VNK1C12 |
US |
478501 |
1.09% |
| 26. FN BF0035 4% 4/1/2055 |
BBG00DWWN9D6 |
US |
420677 |
1.09% |
| 27. FHR 3658 CZ 5% 4/15/2040 |
BBG0009Y5ZB0 |
US |
388577 |
1.06% |
| 28. G2SF 4 9/14 TBA |
BBG001LJW088 |
US |
400000 |
1.03% |
| 29. FHR 3626 ME 5% 1/15/2040 |
BBG000B78W02 |
US |
373329 |
1.01% |
| 30. FNR 2012-51 Gu 1.75% 11/25/2040 |
BBG002YC8VT3 |
US |
400000 |
0.99% |
| 31. FHR 4136 ZG 3% 11/15/2042 |
BBG003PDZYG7 |
US |
401785 |
0.98% |
| 32. Ares 2018-47A C 1.98688% 4/15/2030 |
BBG00K9GKRZ0 |
KY |
400000 |
0.97% |
| 33. LCM 28A C 4.11588% 10/20/2030 |
BBG00M7X6NB2 |
KY |
400000 |
0.97% |
| 34. FNR 2011-84 PZ 5.25% 9/25/2041 |
BBG0021B0JN2 |
US |
355867 |
0.96% |
| 35. Bank 2020-Bn29 XA 1.35815% 11/15/2053 |
BBG00Y6TF801 |
US |
4442100 |
0.92% |
| 36. FR RA6765 2.5% 2/1/2052 |
BBG014MBC4V5 |
US |
387422 |
0.91% |
| 37. FN CB3068 2.5% 2/1/2052 |
BBG015HKKFT7 |
US |
377021 |
0.88% |
| 38. Wa St Hsg Fin -X-1 0.725% 12/20/2035 |
BBG010VX9671 |
US |
6218074 |
0.86% |
| 39. PFMT 2020-1 B1 3.29026% 2/25/2050 |
BBG00RMKL6V0 |
US |
378396 |
0.86% |
| 40. Apidos CLO 2021-36A C 7/20/2034 |
BBG011YVTJK5 |
US |
350000 |
0.85% |
| 41. FHS 280 30 3% 9/15/2042 |
BBG003FNNN46 |
US |
312055 |
0.77% |
| 42. FR ZM4198 3.5% 9/1/2047 |
BBG00MC07XM3 |
US |
305153 |
0.77% |
| 43. FNR 2009-62 Z 6% 8/25/2039 |
BBG000B955N5 |
US |
282050 |
0.77% |
| 44. FHR 3726 QZ 4.5% 9/15/2040 |
BBG001717WX3 |
US |
290688 |
0.77% |
| 45. VERUS SECURITIZATION TRUST VERUS 2020 2 A2 144A |
BBG00TZNSBD8 |
|
300000 |
0.75% |
| 46. FNR 2010-80 PZ 5% 7/25/2040 |
BBG000B4DB27 |
US |
275256 |
0.74% |
| 47. FN AS1092 4% 11/1/2043 |
BBG005HLTFG1 |
US |
281995 |
0.73% |
| 48. FHR 4908 BD 3% 4/25/2049 |
BBG00Q3B6409 |
US |
294594 |
0.73% |
| 49. SCRT 2018-1 M 4.75% 5/25/2057 |
BBG00JX8G2T1 |
US |
300000 |
0.72% |
| 50. G2 MA4900 3.5% 12/20/2047 |
BBG00JDS6GF4 |
US |
282137 |
0.72% |
| 51. FWLS 2017-SC01 2A 3.5% 12/25/2046 |
BBG00G4Y01R3 |
US |
287325 |
0.71% |
| 52. Bank 2021-Bn35 C 2.902% 7/15/2031 |
BBG011WV3PL0 |
US |
350000 |
0.71% |
| 53. BMARK 2019-B14 D 2.5% 12/15/2061 |
BBG00QQ812Z2 |
US |
380000 |
0.71% |
| 54. Navsl 2019-A B 3.9% 1/15/2043 |
BBG00N8JB872 |
US |
284000 |
0.70% |
| 55. FNR 2007-30 ZM 4.25% 4/25/2037 |
BBG0009X5PJ6 |
US |
263494 |
0.70% |
| 56. JPMMT 2019-9 B2A 3.515502% 5/25/2050 |
BBG00QRY57K5 |
US |
285377 |
0.65% |
| 57. JPMMT 2020-4 B2 3.746613% 11/25/2050 |
BBG00V4TWQK8 |
US |
287013 |
0.65% |
| 58. GNR 2014-60 AL 3.75% 4/16/2044 |
BBG0068Q4VC4 |
US |
250000 |
0.64% |
| 59. JP Morgan Mortgage Trust 3.983986% 12/25/2048 |
BBG00L7W6366 |
US |
268754 |
0.63% |
| 60. OCP 2014-5A A1R 2.87413% 4/26/2031 |
BBG00K15NQ81 |
KY |
250000 |
0.63% |
| 61. FG Q05722 4% 1/1/2042 |
BBG002D5DRC2 |
US |
238110 |
0.62% |
| 62. GOVERNMENT NATIONAL MORTGAGE A GNR 2010 125 BZ |
BBG0016ZR575 |
|
233153 |
0.61% |
| 63. FR ZS9776 3.5% 8/1/2046 |
BBG00M31YGH4 |
US |
237836 |
0.60% |
| 64. FN BM3211 4% 12/1/2047 |
BBG00JHGDDM7 |
US |
224702 |
0.58% |
| 65. Fn As9586 4% 5/1/2047 |
BBG00GKHXJ97 |
US |
223206 |
0.58% |
| 66. FHR 4669 EV 4% 5/15/2028 |
BBG00G4XJGD7 |
US |
227854 |
0.57% |
| 67. FNR 2007-26 JZ 5% 4/25/2037 |
BBG0005Y0393 |
US |
204295 |
0.54% |
| 68. FNR 2012-152 TB 2.5% 11/25/2042 |
BBG003RT6S48 |
US |
231000 |
0.53% |
| 69. JP MMT 2019-Inv3 B3 4.562762% 5/25/2050 |
BBG00R0MGVM1 |
US |
220379 |
0.51% |
| 70. FHR 4092 AY 3% 8/15/2032 |
BBG003BRKX15 |
US |
200000 |
0.50% |
| 71. FNR 2015-42 CA 3% 3/25/2044 |
BBG0099SNBP2 |
US |
199281 |
0.50% |
| 72. GNR 2004-31 Zb 5% 4/20/2034 |
BBG00081P6L4 |
US |
186970 |
0.49% |
| 73. FHR 4483 CA 3% 6/15/2044 |
BBG009BDV6C8 |
US |
188377 |
0.47% |
| 74. WFRBS 2014-C21 C 4.234% 8/15/2047 |
BBG006SYMKR3 |
US |
200000 |
0.47% |
| 75. SLST 2018-1 A1 3.5% 6/25/2028 |
BBG00KLHJ1V7 |
US |
179528 |
0.45% |
| 76. Cantor Comm RE CF 2019-CF3 D 2.5% 1/15/2053 |
BBG00R0MZ342 |
US |
250000 |
0.44% |
| 77. FNR 2006-62 Pz 6% 7/25/2036 |
BBG0009PCPS5 |
US |
139473 |
0.44% |
| 78. FNR 2011-80 HE 3.5% 8/25/2026 |
BBG001Y7Z498 |
US |
163999 |
0.42% |
| 79. GNR 2005-46 Yx 5% 6/20/2035 |
BBG0009GHYR2 |
US |
154880 |
0.42% |
| 80. FHR 2812 MF 0.54313% 6/15/2034 |
BBG0009D7GV4 |
US |
158015 |
0.40% |
| 81. FHR 4048 CE 4% 5/15/2042 |
BBG0032RS1R9 |
US |
150000 |
0.39% |
| 82. FNR 2011-52 GB 5% 6/25/2041 |
BBG001QFLYB5 |
US |
144012 |
0.39% |
| 83. SCRT 2020-3 M5TU 2.5% 5/25/2060 |
BBG00XXXWJW6 |
US |
159576 |
0.38% |
| 84. FNR 2016-9 D 3% 3/25/2046 |
BBG00C77YJN6 |
US |
155282 |
0.38% |
| 85. FNR 2010-102 PN 5% 9/25/2040 |
BBG0015GSNH7 |
US |
143110 |
0.38% |
| 86. FNR 2018-3 Pa 3% 4/25/2046 |
BBG00JQ52Q99 |
US |
149527 |
0.37% |
| 87. FNR 2015-93 AD 2% 11/25/2030 |
BBG00BMBG4N5 |
US |
143164 |
0.36% |
| 88. FNR 2013-37 JA 1.75% 6/25/2042 |
BBG004D0V8H6 |
US |
144180 |
0.35% |
| 89. GNR 2012-39 GC 3% 3/16/2042 |
BBG002V5ZZ03 |
US |
145000 |
0.34% |
| 90. GNR 2003-60 ZG 5% 7/16/2033 |
BBG0008TJHC6 |
US |
127167 |
0.33% |
| 91. RCKT Mort Trust 2020-1 A13 3% 2/25/2050 |
BBG00RKG98G8 |
US |
142015 |
0.33% |
| 92. FHR 2520 PH 5.5% 11/15/2032 |
BBG00085DWV0 |
US |
119439 |
0.32% |
| 93. FNR 2009-89 Ph 5% 11/25/2039 |
BBG0001PBZ66 |
US |
118000 |
0.31% |
| 94. US 10Yr Note (CBT) Futr Sept22 |
BBG0141PVN80 |
US |
100000 |
0.30% |
| 95. JPMMT 2015-3 B3 3.663136% 5/25/2045 |
BBG008VN2PC6 |
US |
124212 |
0.30% |
| 96. GNR 2015-165 ZE 3% 11/20/2045 |
BBG00BH5VTK5 |
US |
122109 |
0.30% |
| 97. FNR 2005-80 SZ 4.75% 8/25/2035 |
BBG0009RCCP3 |
US |
111936 |
0.29% |
| 98. FHR 4774 LP 3.5% 9/15/2046 |
BBG00KDG6FZ7 |
US |
112312 |
0.29% |
| 99. GNR 2011-135 WH 3% 7/16/2041 |
BBG0027CGF91 |
US |
117205 |
0.27% |
| 100. FNR 2014-58 Vm 4% 8/25/2033 |
BBG006YVF7G1 |
US |
100000 |
0.26% |
| 101. FNR 2005-40 FB 0.33925% 5/25/2035 |
BBG0009F8QH2 |
US |
79803 |
0.20% |
| 102. FN Bf0118 4.5% 6/1/2056 |
BBG00FWN7QX9 |
US |
71807 |
0.19% |
| 103. FNR 2006-120 PF 0.33925% 12/25/2036 |
BBG0009J9KF8 |
US |
71101 |
0.18% |
| 104. FNR 2013-1 JZ 3% 2/25/2043 |
BBG0042X0JM0 |
US |
77089 |
0.18% |
| 105. G2 MA5932 4.5% 5/20/2049 |
BBG00N6NPFY4 |
US |
65782 |
0.17% |
| 106. FHR 4322 DJ 3% 5/15/2043 |
BBG00660Q778 |
US |
65937 |
0.17% |
| 107. GNR 2008-42 Qb 5.5% 5/20/2038 |
BBG000B0XKV1 |
US |
61163 |
0.16% |
| 108. FHR 4406 AC 2.25% 8/15/2044 |
BBG007BNHPX1 |
US |
66417 |
0.16% |
| 109. FHR 4273 GM 3% 12/15/2041 |
BBG005JTHMR8 |
US |
62280 |
0.16% |
| 110. FHMR 2021-P011 X1 1.84848% 9/25/2045 |
BBG012JBQTS7 |
US |
434170 |
0.15% |
| 111. FNR 2011-134 NJ 3% 2/25/2041 |
BBG0029GHBV3 |
US |
60468 |
0.15% |
| 112. FHR 4229 MA 3.5% 5/15/2041 |
BBG004X862F0 |
US |
59080 |
0.15% |
| 113. GNR 2011-52 Ky 2% 8/20/2039 |
BBG001NQ7YX6 |
US |
57735 |
0.14% |
| 114. GNR 2007-24 Pc 5.5% 4/20/2037 |
BBG000B70RX5 |
US |
51473 |
0.13% |
| 115. FHR 2448 ZQ 6% 5/15/2032 |
BBG0009K10R4 |
US |
47230 |
0.13% |
| 116. FNR 2014-36 QA 3% 6/25/2033 |
BBG006H597V7 |
US |
47792 |
0.12% |
| 117. FHR 4671 JM 4.5% 9/15/2042 |
BBG00G9DPPH5 |
US |
41924 |
0.11% |
| 118. FHR 2175 TH 6% 7/15/2029 |
BBG0001NQR54 |
US |
37919 |
0.10% |
| 119. FHR 2893 Pe 5% 11/15/2034 |
BBG0001GXM98 |
US |
37000 |
0.10% |
| 120. FNR 2016-21 BA 3% 3/25/2042 |
BBG00CF5VT70 |
US |
36119 |
0.09% |
| 121. FNR 2009-19 Pw 4.5% 10/25/2036 |
BBG0009Z42L0 |
US |
32610 |
0.09% |
| 122. FHR 4332 CU 2.5% 1/15/2033 |
BBG006BMMHC0 |
US |
33511 |
0.08% |
| 123. FNR 2016-63 CA 2.5% 9/25/2046 |
BBG00DGQ8PD8 |
US |
33329 |
0.08% |
| 124. FHR 2519 ZD 5.5% 11/15/2032 |
BBG00085K596 |
US |
26678 |
0.07% |
| 125. SEMT 2018-CH1 A1 4% 2/25/2048 |
BBG00JX8FNN2 |
US |
23929 |
0.06% |
| 126. FHR 2485 WG 6% 8/15/2032 |
BBG0001QNR69 |
US |
18022 |
0.05% |
| 127. FNR 2001-52 YZ 6.5% 10/25/2031 |
BBG0008RQ6Z1 |
US |
14891 |
0.04% |
| 128. FHR 4112 CP 2% 1/15/2042 |
BBG003DP62Y5 |
US |
16016 |
0.04% |
| 129. FHR 3000 BC 4.5% 7/15/2025 |
BBG0006HMJ90 |
US |
14502 |
0.04% |
| 130. FNR 2012-131 DZ 2.5% 5/25/2041 |
BBG003NYY292 |
US |
13690 |
0.03% |
| 131. FHR 2861 Z 5.5% 9/15/2034 |
BBG0009MWL90 |
US |
8059 |
0.02% |
| 132. FNR 2007-6 PA 5.5% 2/25/2037 |
BBG0009QQDW0 |
US |
8158 |
0.02% |
| 133. FNR 2011-127 Jc 2.5% 9/25/2041 |
BBG0029GH8D0 |
US |
8415 |
0.02% |
| 134. FNR 2008-16 EA 5% 3/25/2038 |
BBG0009VLMY2 |
US |
6463 |
0.02% |
| 135. FNR 2004-75 Zg 4.5% 10/25/2034 |
BBG0009MHM40 |
US |
6106 |
0.02% |
| 136. FNR 1993-169 L 6.5% 9/25/2023 |
BBG00017Y6P4 |
US |
4919 |
0.01% |
| 137. FHR 1517 J 7.4% 5/15/2023 |
BBG00015BKH1 |
US |
1814 |
0.00% |
| 138. FNR 1996-8 C 6% 8/25/2023 |
BBG0001D8000 |
US |
910 |
0.00% |
| 139. FHR 3244 LZ 6% 11/15/2036 |
BBG000B43YT9 |
US |
250 |
0.00% |
| 140. FNR G93-1 K 6.675% 1/25/2023 |
BBG0001329K7 |
US |
132 |
0.00% |