| Holding | Feb 20 | May 20 | Aug 20 | Nov 20 | Feb 21 | May 21 | Aug 21 | Nov 21 | Feb 22 | May 22 | Aug 22 | Nov 22 | Feb 23 | May 23 | Aug 23 | Nov 23 | Feb 24 | May 24 | Aug 24 | Nov 24 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BANK OF AMERICA, N.A. | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)MAR25 TYH5 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT SEP24 FVU4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US LONG BOND(CBT) FUT SEP24 USU4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)SEP24 TYU4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT SEP24 TUU4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US LONG BOND(CBT) FUT JUN24 USM4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT JUN24 TUM4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT JUN24 FVM4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)JUN24 TYM4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US ULTRA BOND CBT FUT MAR24 WNH4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)MAR24 TYH4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT MAR24 FVH4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT MAR24 TUH4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US LONG BOND(CBT) FUT MAR24 USH4 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT DEC23 FVZ3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT DEC23 TUZ3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US LONG BOND(CBT) FUT DEC23 USZ3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US ULTRA BOND CBT FUT DEC23 WNZ3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)DEC23 TYZ3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT SEP23 TUU3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT SEP23 FVU3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)SEP23 TYU3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US ULTRA BOND CBT FUT SEP23 WNU3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)JUN23 TYM3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT JUN23 TUM3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US ULTRA BOND CBT FUT JUN23 WNM3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT JUN23 FVM3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US LONG BOND(CBT) FUT JUN23 USM3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT MAR23 TUH3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT MAR23 FVH3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US LONG BOND(CBT) FUT MAR23 USH3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)MAR23 TYH3 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)DEC22 TYZ2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT DEC22 FVZ2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT DEC22 TUZ2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US LONG BOND(CBT) FUT DEC22 USZ2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US LONG BOND(CBT) FUT SEP22 USU2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT SEP22 FVU2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)SEP22 TYU2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT SEP22 TUU2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT JUN22 FVM2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US LONG BOND(CBT) FUT JUN22 USM2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT JUN22 TUM2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)JUN22 TYM2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US LONG BOND(CBT) FUT MAR22 USH2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)MAR22 TYH2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT MAR22 FVH2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT MAR22 TUH2 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE FUT (CBT)DEC21 TUZ1 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)DEC21 TYZ1 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)SEP21 TYU1 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT SEP21 TUU1 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT JUN21 FVM1 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 2YR NOTE (CBT) FUT JUN21 TUM1 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 10YR NOTE FUT (CBT)JUN21 TYM1 | ||||||||||||||||||||
| CHICAGO BOARD OF TRADE US 5YR NOTE (CBT) FUT MAR21 FVH1 | ||||||||||||||||||||
| CITIBANK, N.A. | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 20YR 3% 04/01/2033#K90336 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 15YR 6.50% 12/21 #G12483 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 30YR 10% 10/01/2020# | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 20YR 3% 06/01/2033#K90632 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 20YR 3% 07/01/2033#C91714 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 20YR 3% 06/01/2033#K90684 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 20YR 3% 06/01/2033#K90806 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 15YR 6.0% 01/01/2024#G14293 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 20YR 3.0% 06/01/2033#C91709 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 15YR 2.5% 12/01/2032#G18669 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 20YR 3% 11/01/2033#G30872 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 20YR 3.5% 05/01/2038#G31067 | ||||||||||||||||||||
| FED HOME LOAN MTG CORP - GOLD FHLG 30YR 10% 08/01/2020# | ||||||||||||||||||||
| FEDERAL FARM CREDIT BANKS | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FEDERAL HOME LN MTG MLT CTF GT 2019-K735 A2 2.862% 05/25/2026 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 2877 ZD 5% 10/34 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 1929 EZ 7.5 2/2027 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 2770 FH 1ML+40 3/34 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FEDERAL HOME LN MTG MLT CTF GT 5.0% 09/15/2024 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 2357 ZB 6.5% 9/31 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 3415 PC 5% 12/37 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 3007 EW 5.5 7/25 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 2145 MZ 6.5% 4/29 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 2802 OB 6% 5/34 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 2711 FC 1ML+90 2/33 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 2526 FC 1ML+40 11/32 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FHR 2998 LY 5.5 7/25 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD FEDERAL HOME LN MTG MLT CTF GT 4.5% 12/15/2026 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.811% 01/25/2025 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.023% 01/25/2025 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD FHR 2014-4335 AL 4.25% 03/40 | ||||||||||||||||||||
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.5% 11/15/2031 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2048 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2% 06/25/2046 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 21-59 H 2% 06/25/2048 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 4.5% 12/25/2048 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2044 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2% 11/25/2047 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2040 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 20-49 JA 2% 08/25/2044 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 22-66 KA 5% 10/25/2052 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2.5% 12/25/2049 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 5% 04/25/2046 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2% 08/25/2051 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 20-101 BA 1.5% 09/25/2045 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 21-68 A 2% 07/25/2049 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FNR 2004-91 Z 5 12/34 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FNR 2002-75 FA 1ML+100 11/32 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 5.5% 07/25/2034 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FNR 2002-60 FV 1ML+100 4/32 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 5.5% 06/25/2035 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FNR 2002-74 FV 1ML+45 11/32 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FNR 2001-38 QF 1ML+98 8/31 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FNR 2011-67 AI IO 4% 7/26 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FNR 2010-139 NI 4.5% 2/40 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FEDERAL NAT MTG ASN GTD REM PA 5.0% 12/25/2023 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FNR 2009-59 HB 5% 8/25/39 | ||||||||||||||||||||
| FEDERAL NAT MTG ASN GTD REM PA FNR 05-19 PA 5.5% 7/34 | ||||||||||||||||||||
| Fidelity Central Investment Portfolios II LLC | ||||||||||||||||||||
| Fidelity Revere Street Trust | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 15YR 3% 12/01/2039 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2% 01/01/2055 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 15YR 2% 12/01/2039 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3% 12/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2.5% 12/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2% 12/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3.5% 12/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2.5% 09/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3% 10/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3.5% 09/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 5.5% 09/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3% 09/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 5% 09/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2.5% 10/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2% 09/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2% 07/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3.5% 06/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2% 06/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 5% 06/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 6% 06/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 5.5% 06/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 5.5% 07/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 4% 06/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 6% 07/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 5% 07/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2.5% 06/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3% 03/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 6% 03/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2% 03/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 6.5% 03/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 2.5% 03/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3.5% 03/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 5.5% 03/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 5% 03/01/2054 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 5.5% 12/01/2053 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 6.5% 12/01/2053 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3.5% 04/01/2053 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 4% 12/01/2052 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 4.5% 01/01/2053 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 4.5% 12/01/2052 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 15YR 2.5% 12/01/2037 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 5% 12/01/2052 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3.5% 01/01/2053 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 4% 07/01/2052 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3.5% 07/01/2052 #TBA | ||||||||||||||||||||
| FNMA/FHLG TBA ISSUER UMBS 30YR 3.5% 10/01/2051 #TBA | ||||||||||||||||||||
| FREMF 2015-KPLB MORTGAGE TRUST | ||||||||||||||||||||
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER | ||||||||||||||||||||
| GOLDMAN SACHS BANK USA | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GOVERNMENT NAT MTG ASSN HECM 1.75% 03/20/2063 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2016-H13 FB T1Y+50 05/20/2066 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF 1ML+65 05/20/2061 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2010-H15 TP 5.15% 8/20/60 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2010-H19 FG 1ML+30 8/60 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GOVERNMENT NAT MTG ASSN HECM 2.5% 05/20/2065 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GOVERNMENT NAT MTGE 2016-H04 1ML+65 11/20/2065 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNII RVM 1ML+70 1/20/62 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2010-H18 AF 1ML+30 9/60 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GOVERNMENT NAT MTG ASSN HECM 2.75% 05/20/2064 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2012-H07 FA 1ML+63 3/20/62 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2010-H17 XP 5.3019% 7/60 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GOVERNMENT NAT MTG ASSN HECM 2.5% 06/20/2065 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2010-H17 FA 1ML+33 7/60 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GOVERNMENT NAT MTG ASSN HECM 1.65% 02/20/2063 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2012-H01 FA 1ML+70 11/61 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2011-H17 FA 1ML+53 6/61 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2012-H06 FA 1ML+63 1/62 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2011-H14 FC 1ML+50 5/61 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2015-H13 FL 1ML+28 05/63 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2011-H13 FA 1ML+50 4/61 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2011-H07 FA 1ML+50 3/61 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GOVERNMENT NAT MTG ASSN HECM 2016-H02 FM 1ML+50 09/20/2062 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2017-134 BA 2.5% 11/46 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2010-H18 PL 5.01% 9/60 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2015-H21 HA 2.5% 06/63 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA 1ML+20 04/63 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2011-H12 FA 1ML+49 5/61 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2013-H06 HA 1.65% 01/20/2063 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2010-H27 FA 1ML+38 12/60 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2011-H14 FB 1ML+50 5/61 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2011-H05 FA 1ML+50 12/60 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNMA 2017-H06 FA 12ML+35 08/66 | ||||||||||||||||||||
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS GNR 2011-H21 FA 1ML+60 10/61 | ||||||||||||||||||||
| ISRAEL, STATE OF | ||||||||||||||||||||
| JORDAN KINGDOM OF | ||||||||||||||||||||
| JPMORGAN CHASE BANK NA NEW YORK NY | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.75% MAC 12/18/2044 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.75% MAC 12/18/27 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.75% MAC 12/18/31 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.75% MAC 12/18/26 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.5% MAC 09/18/27 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.75% MAC 09/18/26 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.75% MAC 09/18/44 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.5% MAC 09/18/31 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV4.0% MAC 06/20/2026 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.75% MAC 06/20/44 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.75% MAC 06/20/31 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV4.0% MAC 06/20/27 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV4.25% MAC 03/20/31 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV4.5% MAC 03/20/27 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV4.0% MAC 03/20/26 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV4.25% MAC 12/20/25 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.5% MAC 12/20/43 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.75% MAC 12/20/28 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV4.0% MAC 12/20/26 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH FSWP OIS SOFRV3.5% MAC 12/20/30 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.5% MAC 09/20/30 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.0% MAC 06/21/30 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV3.75% MAC 03/15/30 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV2.5% MAC 12/21/29 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV2.75% MAC 09/21/29 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV1.75% MAC 6/15/24 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV1.75% MAC 06/15/29 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV.25% MAC 03/16/24 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH OIS SOFRV1.25% MAC 03/16/2029 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV1.5% MAC 12/15/28 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV.5% MAC 12/15/23 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV.75% MAC 09/15/28 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV1.25% MAC 09/15/51 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV1.0% MAC 09/15/31 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV.5% MAC 09/15/26 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV.25% MAC 09/15/23 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV.75% MAC 09/15/28 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV1.25% MAC 09/15/51 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV1.0% MAC 09/15/31 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV.5% MAC 09/15/26 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV.25% MAC 09/15/23 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV.25% MAC 03/17/23 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV.5% MAC 03/17/26 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCS IRS 3MLV.75% MAC 03/17/31 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV.5% MAC 03/17/28 | ||||||||||||||||||||
| LONDON CLEARING HOUSE LCH IRS 3MLV1.0% MAC 03/17/51 | ||||||||||||||||||||
| NCUA GTD NTS MASTER TR | ||||||||||||||||||||
| NCUA GTD NTS TR 2010-A1 | ||||||||||||||||||||
| PRIVATE EXPORT FUNDING CORP | ||||||||||||||||||||
| UKRAINE GOVERNMENT | ||||||||||||||||||||
| UST NOTES |
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