Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Returns before sales charge do not reflect the current maximum sales charges as indicated below. Had the sales charge been reflected, returns would be lower. Returns at public offering price (after sales charge) for class A and class M shares reflect the current maximum initial sales charges of 5.75% and 3.50% for equity funds and 4.00% and 3.25% for income funds (2.25% for class A of Putnam Floating Rate Income Fund, Short-Term Municipal Income, Short Duration Bond Fund, and Fixed Income Absolute Return Fund), respectively. Class B share returns reflect the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declining to 1% in the sixth year, and is eliminated thereafter (except for Putnam Floating Rate Income Fund, Putnam Short Duration Bond Fund, Putnam Fixed Income Absolute Return Fund, and Putnam Short-Term Municipal Income Fund, which is 1% in the first year, declining to 0.5% in the second year, and is eliminated thereafter). Class C shares reflect a 1% CDSC the first year that is eliminated thereafter. Performance for class B, C, M, N, R, and Y shares prior to their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares (with the exception of Putnam Tax-Free High Yield Fund and Putnam AMT-Free Municipal Fund, which are based on the historical performance of class B shares). Performance for class A, C, and Y shares of Putnam Mortgage Opportunities Fund before their inception is derived from the historical performance of class I shares, which have been adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares. Returns at public offering price (after sales charge) for class N shares reflect the current maximum initial sales charge of 1.50%. Class R5/R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Class Y shares are generally only available for corporate and institutional clients and have no initial sales charge. Performance for class R5/R6 shares before their inception are derived from the historical performance of class Y shares, which have not been adjusted for the lower expenses; had they, returns would have been higher. Class A shares of Putnam money market funds have no initial sales charge. For a portion of the period, some funds had expenses limitations or had been sold on a limited basis with limited assets and expenses, without which returns would be lower.
Prior to April 19, 2018, the fund was known as Putnam U.S. Government Income Trust. As of 4/19, Brett Kozlowski was added to the fund as a Portfolio Manager.
Active Income
Mortgage Securities Fund (Class A) (PGSIX)
Seeking opportunities through mortgage-backed securities
Highlights
Objective
The fund seeks as high a level of current income as Putnam Management believes is consistent with preservation of capital.
Strategy and process
- Broad securitized opportunities:The fund invests in mortgage sectors, including agency MBS and CMOs, and non-agency RMBS and CMBS, and ABS.
- Higher potential returns: By investing in mortgage-backed bonds, the fund can offer the potential for higher returns than an investment strategy focused only on agency MBS.
- Leading research: The fund's portfolio managers use proprietary models to assist in the evaluation of mortgage-backed bonds and to manage the fund's interest-rate risk.
Fund price |
Yesterday’s close | 52-week high | 52-week low |
|---|---|---|---|
| Net asset value |
$11.80
0.08% | $0.01 |
$13.27
03/06/20 |
$11.23
03/23/20 |
Fund facts as of 04/30/20
Total net assets
$795.50M
$795.50M
Turnover (fiscal year end)
1,089%
1,089%
Dividend frequency (view rate)
Monthly
Monthly
Number of holdings
923
923
Fiscal year-end
September
September
CUSIP / Fund code
746885102 / 0017
746885102 / 0017
Inception date
02/08/84
02/08/84
Category
Taxable Income
Taxable Income
Open to new investors
Ticker
PGSIX
PGSIX
Management team
Co-Head of Fixed Income
Portfolio Manager
Portfolio Manager
Literature
Fund documents |
| Prospectuses/SAI |
| Fact Sheet (Y share) (PDF) |
| Fact Sheet (A share) (PDF) |
| Annual Fund Report (PDF) |
| Semiannual Fund Report (PDF) |
Performance
Consistency of positive performance over five years
Performance shown above does not reflect the effects of any sales charges. Click on the dots to see specific returns in each five-year period as of the date revealed. Note that returns of 0.00% are counted as positive periods. For complete fund performance, please see below.
12.45%
Best 5-year annualized return
(for period ending 06/30/89)
0.50%
Worst 5-year annualized return
(for period ending 03/31/20)
5.90%
Average 5-year annualized return
Total return (%) as of 03/31/20
Annual performance as of 03/31/20
Annualized Total return (%) as of 03/31/20
| Annualized performance | 1 yr. | 3 yrs. | 5 yrs. | 10 yrs. |
|---|---|---|---|---|
| Before sales charge | -1.00% | 0.73% | 0.50% | 1.86% |
| After sales charge | -4.96% | -0.64% | -0.32% | 1.44% |
| Bloomberg Barclays U.S. MBS Index | 7.03% | 4.04% | 2.94% | 3.28% |
| BBG Barc GNMA-BBG Barc U.S. MBS Linked Benchmark | 7.03% | 3.92% | 2.84% | 3.35% |
Performance snapshot
| Before sales charge | After sales charge | ||
|---|---|---|---|
| 1 mt. as of 05/31/20 | 0.96% | -3.08% | |
| YTD as of 05/31/20 | -8.02% | -11.70% | |
Yield
| Distribution rate before sales charge as of 05/29/20 |
4.17% |
|---|---|
| Distribution rate after sales charge as of 05/29/20 |
4.00% |
| 30-day SEC yield with subsidy as of 04/30/20 (after sales charge) |
4.33% |
| 30-day SEC yield without subsidy as of 04/30/20 (after sales charge) |
4.17% |
Risk-adjusted performance as of 04/30/20
| Sharpe ratio (3 yrs.) | -0.16 |
|---|---|
| Information ratio (3 yrs.) | -0.48 |
Volatility as of 04/30/20
| Standard deviation (3 yrs.) | 6.67% |
|---|---|
| Beta | 0.15 |
| R-squared | 0.00 |
Lipper rankings as of 04/30/20
| Time period | Rank/Funds in category | Percentile ranking |
|---|---|---|
| 1 yr. | 114/124 | 92% |
| 3 yrs. | 105/110 | 95% |
| 5 yrs. | 98/101 | 97% |
| 10 yrs. | 68/73 | 92% |
Morningstar Ratings™ as of 04/30/20
| Time period | Funds in category | Morningstar Rating™ |
|---|---|---|
| Overall | 533 | |
| 3 yrs. | 533 | |
| 5 yrs. | 449 | |
| 10 yrs. | 333 |
Distributions
| Record/Ex dividend date | 05/18/20 |
|---|---|
| Payable date | 05/20/20 |
| Income | $0.041 |
| Extra income | -- |
| Short-term cap. gain | -- |
| Long-term cap. gain | -- |
Lipper rankings are based on total return without sales charge relative to all share classes of funds with similar objectives as determined by Lipper. Past performance is not indicative of future results.
The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.
The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.
Holdings
| Fnma Fn30 Tba Umbs 04.5000 05/01/2050 | 10.16% |
|---|---|
| Fnma Fn30 Tba Umbs 05.5000 05/01/2050 | 7.17% |
| Gnma Gii30 Tba 04.5000 05/01/2050 | 4.31% |
| Fncl 2.50 04/01/2042 | 3.28% |
| Fnr 2007-95 A3 01.1966 08/27/2036 | 2.61% |
| Fhs 315 Po Po 00.0000 09/15/2043 | 1.63% |
| Fnma Fn30 Tba Umbs 06.0000 05/01/2050 | 1.59% |
| Fnr 2016-85 Sl Io 05.6128 11/25/2046 | 1.01% |
| Bayv 2006-C 1a3 06.0280 11/28/2036 | 0.99% |
| Carr 2006-Nc2 A4 00.7273 06/25/2036 | 0.94% |
| Top 10 holdings, percent of portfolio | 33.69% |
| Top 10 holdings as of 04/30/20 | |
|---|---|
| Fnma Fn30 Tba Umbs 04.5000 05/01/2050 | |
| Fnma Fn30 Tba Umbs 05.5000 05/01/2050 | |
| Gnma Gii30 Tba 04.5000 05/01/2050 | |
| Fncl 2.50 04/01/2042 | |
| Fnr 2007-95 A3 01.1966 08/27/2036 | |
| Fhs 315 Po Po 00.0000 09/15/2043 | |
| Fnma Fn30 Tba Umbs 06.0000 05/01/2050 | |
| Fnr 2016-85 Sl Io 05.6128 11/25/2046 | |
| Bayv 2006-C 1a3 06.0280 11/28/2036 | |
| Carr 2006-Nc2 A4 00.7273 06/25/2036 | |
| Holdings represent 33.69% of portfolio | |
| Top 10 holdings as of 03/31/20 | |
|---|---|
| Fnma Fn30 Tba Umbs 04.5000 04/01/2050 | |
| Fnma Fn30 Tba Umbs 05.5000 04/01/2050 | |
| Gnma Gii30 Tba 04.5000 04/01/2050 | |
| Fncl 2.50 04/01/2042 | |
| Fnr 2007-95 A3 01.8767 08/27/2036 | |
| Fhs 315 Po Po 00.0000 09/15/2043 | |
| Fnma Fn30 Tba Umbs 06.0000 04/01/2050 | |
| Fnr 2016-85 Sl Io 05.1534 11/25/2046 | |
| Bayv 2006-C 1a3 06.0280 11/28/2036 | |
| Msc 2011-C3 E P/P 144a 05.2448 07/15/2049 | |
| Holdings represent 33.06% of portfolio | |
| Top 10 holdings as of 02/29/20 | |
|---|---|
| Gnma Gii30 Tba 04.0000 03/01/2050 | |
| Fnma Fn30 Tba Umbs 03.0000 04/01/2050 | |
| Fnma Fn30 Tba Umbs 04.5000 03/01/2050 | |
| Fnma Fn30 Tba Umbs 05.5000 03/01/2050 | |
| Fncl 2.50 04/01/2042 | |
| Fnma Fn30 Tba Umbs 03.0000 03/01/2050 | |
| Gnma Gii30 Tba 04.5000 03/01/2050 | |
| Fnr 2007-95 A3 01.9109 08/27/2036 | |
| Fhs 315 Po Po 00.0000 09/15/2043 | |
| Fnma Fn30 Tba Umbs 06.0000 03/01/2050 | |
| Holdings represent 54.05% of portfolio | |
| Top 10 holdings as of 01/31/20 | |
|---|---|
| Gnma Gii30 Tba 04.0000 02/01/2050 | |
| Fnma Fn30 Tba Umbs 04.5000 02/01/2050 | |
| Fnma Fn30 Tba Umbs 03.0000 02/01/2050 | |
| Fnma Fn30 Tba Umbs 05.5000 02/01/2050 | |
| Fncl 2.50 04/01/2042 | |
| Fnma Fn30 Tba Umbs 03.0000 03/01/2050 | |
| Gnma Gii30 Tba 04.5000 02/01/2050 | |
| Fnr 2007-95 A3 02.0420 08/27/2036 | |
| Fhs 315 Po Po 00.0000 09/15/2043 | |
| Fnma Fn30 Tba Umbs 06.0000 02/01/2050 | |
| Holdings represent 53.46% of portfolio | |
| FNMA FN30 TBA UMBS 04.5000 05/01/2050 | 10.16% |
|---|---|
| FNMA FN30 TBA UMBS 05.5000 05/01/2050 | 7.17% |
| REPO TRIPA MORTG 0.04 05/01/2020 | 5.89% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 4.54% |
| GNMA GII30 TBA 04.5000 05/01/2050 | 4.30% |
| FNMA FN30 AB8804 UMBS 02.5000 03/01/2043 | 3.28% |
| FNR 2007-95 A3 01.1966 08/27/2036 | 2.61% |
| TREASURY BILL 00.0000 06/25/2020 | 2.48% |
| REPO TRIPA MORTG 0.04 05/01/2020 | 2.43% |
| TREASURY BILL 00.0000 08/13/2020 | 2.42% |
| TREASURY BILL 00.0000 06/11/2020 | 2.28% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 2.14% |
| MBX.GII30.500.10 R USL1M P 01/12/41 BC | 1.94% |
| SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS | 1.72% |
| FHS 315 PO PO 00.0000 09/15/2043 | 1.63% |
| FNMA FN30 TBA UMBS 06.0000 05/01/2049 | 1.59% |
| TREASURY BILL 00.0000 08/20/2020 | 1.44% |
| TREASURY BILL 00.0000 08/06/2020 | 1.19% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 1.15% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 1.13% |
| SWPTN 9YX10Y R 3.312 USD 11/27/2028 BA | 1.09% |
| TREASURY BILL 00.0000 07/23/2020 | 1.08% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML | 1.07% |
| FNR 2016-85 SL IO 05.6128 11/25/2046 | 1.00% |
| SWPTN 6YX30Y R 2.8025 USD 04/24/2026 MS | 1.00% |
| BAYV 2006-C 1A3 06.0280 11/28/2036 | 0.99% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.94% |
| FED HOME LN DISCOUNT NT 313384F38 GDC 09/09/2020 | 0.94% |
| CARR 2006-NC2 A4 00.7273 06/25/2036 | 0.94% |
| TREASURY BILL 00.0000 09/10/2020 | 0.89% |
| 1.57 R ISWP US0003M P 02/18/2030 | 0.87% |
| TREASURY BILL 00.0000 05/05/2020 | 0.85% |
| 3.096 R ISWP US0003M P 12/03/2029 | 0.84% |
| 3.312 R ISWP US0003M P 11/08/2048 | 0.81% |
| STACR 2016-DNA3 M3 05.4873 12/25/2028 | 0.79% |
| MSC 2011-C3 E P/P 144A 05.4192 07/15/2049 | 0.76% |
| FNR 2016-83 BS IO 05.6128 11/25/2046 | 0.75% |
| TREASURY BILL 00.0000 07/09/2020 | 0.74% |
| SWPTN 11MX13Y R 3.162 USD 11/30/2020 JP | 0.74% |
| CWL 2007-10 1A1 00.6673 06/25/2047 | 0.73% |
| TREASURY BILL 00.0000 05/07/2020 | 0.73% |
| DBUBS 2011-LC3A D P/P 144A 05.5124 08/10/2044 | 0.72% |
| US ULTRA BOND CBT JUN20 WNM0 | 0.71% |
| CAS 2017-C05 1B1 04.0873 01/25/2030 | 0.67% |
| FNR 2018-36 SD IO 05.7628 06/25/2048 | 0.66% |
| FNR 2016-81 SA IO 05.6628 11/25/2046 | 0.64% |
| SWPTN 1YX5Y R 1.765 USD 06/26/2020 CI | 0.62% |
| SWPTN 1YX5Y R 1.755 USD 06/29/2020 GS | 0.62% |
| STACR 2018-DNA1 B1 03.6373 07/25/2030 | 0.61% |
| WFRBS 2012-C9 D P/P 144A 04.9711 11/15/2045 | 0.58% |
| SPST 2019-3 A 01.6285 06/24/2020 | 0.58% |
| MCAS 2019-01 M10 P/P 144A 03.7373 10/15/2049 | 0.58% |
| BF0101 03.5000 06/01/2056 | 0.57% |
| WAMU 2005-AR14 1A2 03.8313 12/25/2035 | 0.56% |
| SPST 2019-7 A 01.6285 09/24/2020 | 0.56% |
| 3.073 R ISWP FWD US0003M P 03/04/2029 | 0.54% |
| SPST 2020-2 A 01.3173 03/26/2021 | 0.53% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS | 0.53% |
| GNR 2016-H11 HI IO 02.1022 01/20/2066 | 0.52% |
| STACR 2018-DNA2 B1 04.1873 12/25/2030 | 0.51% |
| CAS 2018-C02 2M2 02.6873 08/25/2030 | 0.51% |
| MRAIT 2020-2 A 02.1345 10/22/2020 | 0.51% |
| GNR 2019-125 SG IO 05.3318 10/20/2049 | 0.51% |
| CAS 2018 - C01 1B1 04.0373 07/25/2030 | 0.50% |
| GNR 2016-H23 NI IO 02.5817 10/20/2066 | 0.49% |
| GSMS 2014-GC18 C 05.1552 01/10/2047 | 0.48% |
| AHM 2007-1 GA1C 00.6773 05/25/2047 | 0.48% |
| FN BF0091 | 0.48% |
| FNR 2016-50 SM IO 05.6128 08/25/2046 | 0.48% |
| MWST 2018-W1 A 01.3373 11/25/2051 | 0.46% |
| GNR 2013-87 SA IO 05.4818 06/20/2043 | 0.46% |
| GNR 2016-H07 PI IO 02.2780 03/20/2066 | 0.45% |
| FNR 2016-8 SA IO 05.5628 03/25/2046 | 0.45% |
| GNR 2019-121 SD IO 05.2818 10/20/2049 | 0.44% |
| GNR 2017-H20 AI IO 02.3548 10/20/2067 | 0.44% |
| CAS 2017-C01 1M2 04.0373 07/25/2029 | 0.43% |
| FHR 3065 DC 17.4180 03/15/2035 | 0.43% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.42% |
| UBSCM 2012-C1 D P/P 144A 05.7548 05/10/2045 | 0.42% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.42% |
| BMIR 2017-1 M2 P/P 144A 03.8373 10/25/2027 | 0.41% |
| GNR 2019-56 SK IO 05.4318 05/20/2049 | 0.40% |
| CAS 2016-C03 1M2 05.7873 10/25/2028 | 0.40% |
| FNR 2017-104 SL IO 05.6628 01/25/2048 | 0.40% |
| GNR 2016-H27 GI IO 02.3902 12/20/2066 | 0.40% |
| GNMA GII30 BS2396 04.5000 12/20/2049 | 0.40% |
| GNR 2017-H03 KI IO 02.3107 01/20/2067 | 0.40% |
| STACR 2019-HQA1 M2 02.8373 02/25/2049 | 0.39% |
| JPMBB 2013-C14 D P/P 144A 04.8586 08/15/2046 | 0.39% |
| GNR 2017-H25 CI IO 02.3769 12/20/2067 | 0.39% |
| GNR 2015-H22 AI IO 02.1868 09/20/2065 | 0.38% |
| STRU BC-6764 IO IO 04.0000 07/20/2045 | 0.38% |
| CAS 2017-C06 2B1 04.9373 02/25/2030 | 0.37% |
| STACR 2018-HQA1 M2 02.7873 09/25/2030 | 0.37% |
| GSMS 2014-GC24 D P/P 144A 04.6652 09/10/2047 | 0.37% |
| COMM 2014-CR17 D P/P 144A 05.0091 05/10/2047 | 0.36% |
| TREASURY BILL 00.0000 06/04/2020 | 0.36% |
| CAS 2017-C07 1B1 04.4873 05/25/2030 | 0.36% |
| GNR 2017-H06 MI IO 02.2449 02/20/2067 | 0.36% |
| GNR 2019-158 AS IO 05.3559 09/16/2043 | 0.36% |
| CAS 2017-C06 1B1 04.6373 02/25/2030 | 0.36% |
| MWST 2019-1 A 01.2873 06/25/2052 | 0.36% |
| FNR 2010-109 IM IO 05.5000 09/25/2040 | 0.35% |
| UBSC 2011-C1 D P/P 144A 06.2521 01/10/2045 | 0.34% |
| 1.688 R ISWP US0003M P 01/31/2030 | 0.34% |
| STACR 2017-HQA2 M2 03.1373 12/25/2029 | 0.34% |
| SWPTN 3YX2Y R 2.2275 USD 05/16/2022 BA | 0.34% |
| GNR 2013-6 OI IO 05.0000 01/20/2043 | 0.33% |
| FNR 2019-58 SA IO 05.5628 10/25/2049 | 0.33% |
| FNMA FN30 AV7052 UMBS 03.5000 03/01/2045 | 0.32% |
| GNR 2015-H20 CI IO 02.4433 08/20/2065 | 0.32% |
| FNR 2008-24 SP 21.4967 02/25/2038 | 0.32% |
| GNR 2018-H01 XI IO 02.3369 01/20/2068 | 0.32% |
| GNR 2016-H13 IK IO 02.6243 06/20/2066 | 0.32% |
| GNR 2016-H18 QI IO 03.2565 06/20/2066 | 0.31% |
| MSBAM 2013-C12 E P/P 144A 04.9244 10/15/2046 | 0.31% |
| GNR 2015-H10 HI IO 02.1284 04/20/2065 | 0.30% |
| CAS 2016-C03 1B 12.2373 10/25/2028 | 0.30% |
| OMIR 2018-1A M2 03.3373 07/25/2028 | 0.30% |
| STACR 2015-HQA1 B 09.2873 03/25/2028 | 0.29% |
| GNMA GII30 AI6258 04.5000 05/20/2044 | 0.29% |
| GNR 2017-H08 GI IO 02.5784 02/20/2067 | 0.29% |
| FNR 2018-20 SB IO 05.7628 03/25/2048 | 0.29% |
| GNR 2019-83 SL IO 05.3818 07/20/2049 | 0.29% |
| GNR 2018-H04 JI IO 02.5631 03/20/2068 | 0.28% |
| GNMA GN30 AM4380 04.0000 05/15/2045 | 0.28% |
| FHR 3835 FO PO 00.0000 04/15/2041 | 0.28% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.28% |
| GNR 2017-H08 EI IO 02.6287 02/20/2067 | 0.28% |
| SPST 2019-11 A 01.3198 10/24/2020 | 0.27% |
| JPMCC 2013-LC11 D 04.3064 04/15/2046 | 0.27% |
| CWALT 2006-OA19 A1 00.8983 02/20/2047 | 0.27% |
| FNMA FN30 AX5555 UMBS 03.5000 10/01/2046 | 0.27% |
| GNR 2019-35 SE IO 05.3559 01/16/2044 | 0.27% |
| FNMA FN30 AV7059 UMBS 03.5000 04/01/2045 | 0.27% |
| GNR 2011-156 SK IO 05.8818 04/20/2038 | 0.26% |
| GNR 2012-38 MI IO 04.0000 03/20/2042 | 0.26% |
| GNR 2017-H04 BI IO 02.4614 02/20/2067 | 0.26% |
| COMM 2013-LC13 D P/P 144A 05.4635 08/10/2046 | 0.26% |
| MBX.FN30.500.10 R USL1M P 01/12/41 GS | 0.26% |
| MCAS 2020-01 M10 P/P 144A 04.6500 03/25/2050 | 0.26% |
| NHLT 2019-2A M4 P/P 144A 05.6822 11/26/2029 | 0.26% |
| GNR 2016-H17 DI IO 02.4702 07/20/2066 | 0.26% |
| COMM 2012-CR4 B P/P 144A 03.7030 10/15/2045 | 0.26% |
| 1.698 R ISWP US0003M P 01/28/2030 | 0.26% |
| GNR 2016-H10 AI IO 01.7427 04/20/2066 | 0.26% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.26% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.26% |
| FNR 2019-45 SD IO 05.5628 08/25/2049 | 0.26% |
| GNR 2013-39 IJ IO 04.5000 03/20/2043 | 0.26% |
| FNR 2017-32 IP IO 04.5000 05/25/2047 | 0.25% |
| GNR 2019-100 JS IO 05.3818 08/20/2049 | 0.25% |
| 0.85 R ISWP FWD US0003M P 06/17/2030 | 0.25% |
| GNR 2015-H13 AI IO 02.5734 06/20/2065 | 0.25% |
| GNR 2015-H22 GI IO 02.5843 09/20/2065 | 0.25% |
| CAS 2017-C07 2B1 04.9373 05/25/2030 | 0.25% |
| BMIR 2018-2A M1C P/P 144A 02.0873 08/25/2028 | 0.24% |
| GNR 2016-H24 IO IO 02.1362 09/20/2066 | 0.24% |
| FNR 2015-58 KI IO 06.0000 03/25/2037 | 0.24% |
| GNMA GII30 AH8784 04.5000 06/20/2034 | 0.24% |
| CAS 2018-C06 1B1 04.2373 03/25/2031 | 0.24% |
| JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 | 0.24% |
| GNR 2010-35 DI IO 04.5000 03/20/2040 | 0.23% |
| GNR 2015-H04 AI IO 01.7047 12/20/2064 | 0.23% |
| SWPTN 1YX1Y R 1.5025 USD 10/19/2020 UB | 0.23% |
| GNR 2014-H21 AI IO 01.7826 10/20/2064 | 0.23% |
| GNR 2018-H02 IM IO 02.3389 02/20/2068 | 0.22% |
| MSC 2012-C4 E P/P 144A 05.5997 03/15/2045 | 0.22% |
| MLCFC 2006-4 C 05.3240 12/12/2049 | 0.22% |
| FNR 2018-47 SA IO 05.7628 07/25/2048 | 0.22% |
| JPALT 2006-A6 1A1 00.6473 11/25/2036 | 0.22% |
| FNR 2017-19 IH IO 05.0000 03/25/2047 | 0.22% |
| FHR 4953 AI IO 04.0000 02/25/2050 | 0.22% |
| GNR 2018-89 LS IO 04.1536 06/20/2048 | 0.22% |
| FHR 2976 LC 21.4353 05/15/2035 | 0.22% |
| FHR 4436 SC IO 05.3360 02/15/2045 | 0.22% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.21% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.21% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.21% |
| JPMBB 2014-C19 D P/P 144A 04.8340 04/15/2047 | 0.21% |
| STACR 2019-DNA1 B2 11.2373 01/25/2049 | 0.21% |
| CAS 2018-C04 2B1 04.9873 12/25/2030 | 0.21% |
| GNR 2017-H08 NI IO 02.4135 03/20/2067 | 0.21% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.21% |
| OPTN GII30 3.0 05/06/20 CALL 104.5625 JPMC | 0.21% |
| SWPTN 1YX5Y R 1.629 USD 01/14/2021 CI | 0.21% |
| FNR 2018-51 BI IO 05.5000 07/25/2038 | 0.21% |
| GNR 2016-H14 AI IO 02.8596 06/20/2066 | 0.21% |
| GNR 2017-H10 MI IO 01.4095 04/20/2067 | 0.21% |
| SWPTN 5YX10Y R 1.613 USD 08/27/2024 MS | 0.21% |
| GNR 2016-H03 AI IO 01.8489 01/20/2066 | 0.21% |
| STACR 2017-DNA2 M2 03.9373 10/25/2029 | 0.20% |
| JPMCC 2010-C2 D P/P 144A 05.8231 11/15/2043 | 0.20% |
| FHR 4621 QI IO 03.5000 10/15/2046 | 0.20% |
| FNR 2015-86 MI IO 05.5000 11/25/2045 | 0.20% |
| JPMCC 2011-C3 D P/P 144A 05.8529 02/15/2046 | 0.20% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.20% |
| STACR 2014-DN4 M3 05.0373 10/25/2024 | 0.20% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.20% |
| FNR 2016-70 QI IO 03.5000 10/25/2046 | 0.20% |
| GNR 2016-80 SD IO 05.3818 06/20/2046 | 0.20% |
| UBSCM 2012-C1 E P/P 144A 05.0000 05/10/2045 | 0.20% |
| GNR 2016-H06 DI IO 02.3900 07/20/2065 | 0.20% |
| GNR 2015-89 LI IO 05.0000 12/20/2044 | 0.20% |
| GNR 2015-H23 TI IO 01.9057 09/20/2065 | 0.19% |
| GNR 2017-H03 CI IO 02.8777 12/20/2066 | 0.19% |
| GNR 2018-1 IO IO 04.5000 01/20/2048 | 0.19% |
| SPST 2019-WL1 A 01.1373 08/25/2052 | 0.19% |
| CAS 2018-C03 1M2 02.6373 10/25/2030 | 0.19% |
| GNR 2013-182 SP IO 05.9818 12/20/2043 | 0.19% |
| SWPTN 1YX5Y R 1.996 USD 01/14/2021 CI | 0.19% |
| GNR 2013-67 IP IO 04.0000 04/16/2043 | 0.19% |
| GNR 2014-119 SA IO 04.8818 08/20/2044 | 0.19% |
| STACR 2018-DNA2 M2 02.6373 12/25/2030 | 0.19% |
| SWPTN 12MX1Y R 1.316 USD 10/13/2020 CI | 0.19% |
| WFRBS 2012-C9 E P/P 144A 04.9711 11/15/2045 | 0.19% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.19% |
| FNR 2017-66 IO IO 04.5000 09/25/2047 | 0.19% |
| GNR 2013-34 HI IO 04.5000 03/20/2043 | 0.19% |
| GNR 2016-H04 KI IO 01.6441 02/20/2066 | 0.19% |
| GNMA GII30 635075 04.5000 04/20/2046 | 0.19% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.19% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.19% |
| GSMS 2010-C1 D P/P 144A 06.1690 08/10/2043 | 0.18% |
| GNR 2009-121 CI IO 04.5000 12/16/2039 | 0.18% |
| SWPTN 5YX30Y R 2.032 USD 01/14/2025 JP | 0.18% |
| SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP | 0.18% |
| CAS 2018-C05 1M2 02.8373 01/25/2031 | 0.18% |
| GNR 2016-H06 HI IO 02.0785 02/20/2066 | 0.18% |
| GNR 2017-H09 IO IO 01.5357 04/20/2067 | 0.18% |
| SWPTN 1YX2Y R 1.5775 USD 09/14/2020 MS | 0.18% |
| 2.536 R ISWP FWD US0003M P 12/02/2023 | 0.18% |
| GNR 2011-H07 FI IO 01.2361 02/20/2061 | 0.18% |
| 1.27 R ISWP FWD US0003M P 01/27/2047 | 0.18% |
| UBSBB 2012-C4 D P/P 144A 04.6245 12/10/2045 | 0.18% |
| CAS 2017-C02 2B1 05.9873 09/25/2029 | 0.18% |
| FNMA FN30 AX5472 UMBS 03.5000 08/01/2045 | 0.17% |
| FNR 2011-4 CS 11.9255 05/25/2040 | 0.17% |
| GNR 2017-H25 IO IO 02.2632 11/20/2067 | 0.17% |
| DBUBS 2011-LC2A D P/P 144A 05.7140 07/10/2044 | 0.17% |
| FNMA FN30 AX5489 UMBS 03.5000 10/01/2045 | 0.17% |
| GNR 2016-H24 KI IO 02.9962 11/20/2066 | 0.17% |
| TREASURY BILL 00.0000 05/21/2020 | 0.17% |
| SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI | 0.17% |
| GNR 2014-H25 BI IO 01.6880 12/20/2064 | 0.17% |
| STACR 2019-DNA4 B2 06.7373 10/25/2049 | 0.17% |
| GNR 2016-75 LI IO 06.0000 01/20/2040 | 0.17% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.17% |
| GNR 2015-H25 BI IO 02.1211 10/20/2065 | 0.17% |
| GSMS 2014-GC22 C 04.8469 06/10/2047 | 0.17% |
| FNR 2016-3 MI IO 05.5000 02/25/2046 | 0.16% |
| GNR 2017-H14 LI IO 02.2335 06/20/2067 | 0.16% |
| WFHET 2007-2 A3 00.7173 04/25/2037 | 0.16% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.16% |
| GNR 2014-137 ID IO 05.5000 09/16/2044 | 0.16% |
| GNR 2015-H24 HI IO 02.0391 09/20/2065 | 0.16% |
| SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS | 0.16% |
| FNMA FN30 AX5560 UMBS 03.5000 11/01/2046 | 0.16% |
| GNR 2015-H16 XI IO 02.6911 07/20/2065 | 0.16% |
| WFRBS 2011-C4 E P/P 144A 05.3901 06/15/2044 | 0.16% |
| FNMA FN30 AX5565 UMBS 03.5000 12/01/2046 | 0.16% |
| GNR 2018-127 IA IO 03.5000 04/20/2042 | 0.16% |
| GNR 2016-H06 AI IO 01.7399 02/20/2066 | 0.16% |
| FASST 2019-HB1 M5 06.0000 04/25/2029 | 0.15% |
| MCAS 2019-01 M7 P/P 144A 02.1873 10/15/2049 | 0.15% |
| SWPTN 9MX1Y R 1.33 USD 10/30/2020 JP | 0.15% |
| GNMA GII30 AD8811 03.0000 03/20/2043 | 0.15% |
| 2.806 R ISWP FWD US0003M P 03/05/2030 | 0.15% |
| GNR 2016-H04 HI IO 02.3811 07/20/2065 | 0.15% |
| SWPTN 5YX10Y R 1.6125 USD 08/27/2024 UB | 0.15% |
| FHR 4546 PI IO 04.0000 12/15/2045 | 0.14% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.14% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.14% |
| GNR 2018-H05 ID 02.0570 03/20/2068 | 0.14% |
| FNR 2012-151 IM IO 05.0000 04/25/2042 | 0.14% |
| OPTN FN30 3.0 06/04/20 CALL 105.40625 JPMC | 0.14% |
| FNR 2019-71 CS 03.9500 11/25/2049 | 0.14% |
| GNMA GII30 609146 04.5000 05/20/2044 | 0.14% |
| GNR 2012-56 IB IO 04.0000 04/20/2042 | 0.14% |
| GNR 2014-H18 CI IO 01.5775 09/20/2064 | 0.14% |
| GNR 2017-H16 HI IO 01.4953 08/20/2067 | 0.14% |
| FNR 2005-74 NK 25.0638 05/25/2035 | 0.14% |
| GNR 2017-H14 JI IO 02.1897 06/20/2067 | 0.14% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.14% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | 0.14% |
| GNR 2014-104 IO IO 04.0000 03/20/2042 | 0.14% |
| SWPTN 5YX30Y R 1.727 USD 01/22/2025 GS | 0.14% |
| GNR 2014-182 BI IO 04.0000 01/20/2039 | 0.13% |
| FNMA FN30 TBA UMBS 03.0000 05/01/2050 | 0.13% |
| CAS 2017-C03 1M2 03.4873 10/25/2029 | 0.13% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.13% |
| SWPTN 20MX5Y P 1.3 USD 08/27/2021 UB | 0.13% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.13% |
| 0.90 R ISWP FWD US0003M P 06/17/2050 | 0.13% |
| GNR 2012-136 IO IO 03.5000 11/20/2042 | 0.13% |
| GNR 2014-133 IP IO 05.0000 09/16/2044 | 0.13% |
| GNR 2018-H02 IO IO 02.6653 01/20/2068 | 0.13% |
| FHR 3072 SM 04.2533 11/15/2035 | 0.13% |
| GNR 2017-H23 BI IO 01.8870 11/20/2067 | 0.13% |
| LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 | 0.13% |
| SWPTN 1YX10Y R 1.101 USD 03/02/2021 JP | 0.13% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.12% |
| COMM 2014-CR19 D P/P 144A 04.8879 08/10/2047 | 0.12% |
| FHR 4452 QI IO 04.0000 11/15/2044 | 0.12% |
| GNR 2013-51 QI IO 05.0000 02/20/2043 | 0.12% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.12% |
| STACR 2017-DNA2 B1 05.6373 10/25/2029 | 0.12% |
| STACR 2017-HQA1 M2 04.0373 08/25/2029 | 0.12% |
| FHR 2990 LB 14.8652 06/15/2034 | 0.12% |
| BSCMS 2007-T26 AJ 05.5420 01/12/2045 | 0.12% |
| CAS 2020-SBT1 1B1 06.7500 02/25/2040 | 0.12% |
| GNR 2012-H11 FI IO 01.2147 02/20/2062 | 0.12% |
| GNR 2016-H01 HI IO 02.0867 10/20/2065 | 0.12% |
| UBSC 2011-C1 B P/P 144A 06.2521 01/10/2045 | 0.12% |
| FNR 2005-106 JC 18.6132 12/25/2035 | 0.12% |
| MSAC 2004-HE9 M2 01.4173 11/25/2034 | 0.12% |
| GNR 2017-H25 AI IO 02.7273 12/20/2067 | 0.12% |
| STACR 2018-HQA2 B1 04.7373 10/25/2048 | 0.12% |
| FHR 4165 TI IO 03.0000 12/15/2042 | 0.11% |
| JPMBB 2013-C12 E P/P 144A 04.2365 07/15/2045 | 0.11% |
| MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 | 0.11% |
| 2.2225 R ISWP FWD US0003M P 06/05/2029 | 0.11% |
| FNR 2007-53 SP 22.4134 06/25/2037 | 0.11% |
| GNR 2012-129 IO IO 04.5000 11/16/2042 | 0.11% |
| STAR 2019-1 M1 03.7640 06/25/2049 | 0.11% |
| WAMU 2005-AR8 2AC2 01.4073 07/25/2045 | 0.11% |
| CAS 2019-R05 1B1 04.5873 07/25/2039 | 0.11% |
| GNR 2013-79 PI IO 03.5000 04/20/2043 | 0.11% |
| SCRT 2019-2 M 04.7500 08/25/2058 | 0.11% |
| FNR 2013-6 JI IO 03.0000 02/25/2043 | 0.11% |
| GNR 2016-27 IB IO 04.0000 11/20/2045 | 0.11% |
| JPMBB 2014-C23 D P/P 144A 04.1218 09/15/2047 | 0.11% |
| SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP | 0.11% |
| CAS 2018-C06 2B1 04.5873 03/25/2031 | 0.10% |
| FHR 4425 EI IO 04.0000 01/15/2045 | 0.10% |
| GNMA GII30 AJ8849 03.0000 10/20/2044 | 0.10% |
| FHR 4136 IQ IO 03.5000 11/15/2042 | 0.10% |
| MSBAM 2013-C10 F P/P 144A 04.2184 07/15/2046 | 0.10% |
| SWPTN 6MX30Y P 1.042 USD 09/23/2020 JP | 0.10% |
| GNMA GII30 627009 04.5000 10/20/2045 | 0.10% |
| GNR 2011-H16 FI IO 01.0213 07/20/2061 | 0.10% |
| FNMA FN30 BD9021 UMBS 03.5000 01/01/2047 | 0.10% |
| GNR 2014-100 NI IO 04.0000 06/20/2043 | 0.10% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.10% |
| GNMA GII30 BA7681 04.6250 06/20/2067 | 0.10% |
| GNR 2017-H06 EI IO 01.5826 02/20/2067 | 0.10% |
| STACR 2019-DNA1 M2 03.1373 01/25/2049 | 0.10% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.10% |
| COMM 2013-LC6 E P/P 144A 03.5000 01/10/2046 | 0.10% |
| GNR 2016-H08 GI IO 01.4261 04/20/2066 | 0.10% |
| OMIR 2017-1A M2 P/P 144A 04.4873 04/25/2027 | 0.10% |
| 2.32 R ISWP FWD US0003M P 02/09/2024 | 0.10% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.10% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.10% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.10% |
| OPTN FN30 2.5 06/04/20 CALL 103.96875 JPMC | 0.10% |
| FHR 4213 GI IO 04.0000 11/15/2041 | 0.09% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.09% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.09% |
| MSBAM 2013-C12 D P/P 144A 04.9244 10/15/2046 | 0.09% |
| FNR 2012-114 NI IO 03.5000 10/25/2041 | 0.09% |
| FNR 2013-22 PI IO 03.5000 10/25/2042 | 0.09% |
| FNMA FN30 AV7026 UMBS 03.5000 11/01/2044 | 0.09% |
| IOS.FN30.400.13 R USL1M P 01/12/44 CS | 0.09% |
| GNR 2016-H24 JI IO 02.3764 11/20/2066 | 0.09% |
| FNR 2006-8 HP 22.7801 03/25/2036 | 0.09% |
| STACR 2018-HQA2 B2 11.4873 10/25/2048 | 0.09% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.09% |
| FHR 4601 IC IO 04.0000 12/15/2045 | 0.09% |
| GNMA GII30 AY4779 04.5100 03/20/2067 | 0.09% |
| SCRT 2018-3 M 04.7500 08/25/2057 | 0.09% |
| JPMCC 2011-C3 E P/P 144A 05.8529 02/15/2046 | 0.08% |
| BALTA 2005-8 21A1 03.7562 10/25/2035 | 0.08% |
| GNR 2015-168 IG IO 03.5000 03/20/2043 | 0.08% |
| GNR 2018-127 IE IO 03.5000 01/20/2046 | 0.08% |
| SWPTN 9YX30Y P 2.7875 USD 04/24/2029 MS | 0.08% |
| 2.55 R ISWP FWD US0003M P 11/20/2039 | 0.08% |
| CAS 2016-C04 1B 10.7373 01/25/2029 | 0.08% |
| FHR 4425 IO IO 04.0000 01/15/2045 | 0.08% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.08% |
| HVMLT 2005-2 1A 01.2383 05/19/2035 | 0.08% |
| FNR 2006-62 PS 36.9765 07/25/2036 | 0.08% |
| ARRW 2019-3 M1 04.2040 10/25/2048 | 0.08% |
| FHR 4141 PI IO 03.0000 12/15/2042 | 0.08% |
| FHR 4171 NI IO 03.0000 06/15/2042 | 0.08% |
| SWPTN 6YX30Y P 3.195 USD 11/28/2025 BA | 0.08% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG | 0.08% |
| FNMA FN30 AX5483 UMBS 03.5000 10/01/2045 | 0.07% |
| CAS 2015-C04 1M2 06.1873 04/25/2028 | 0.07% |
| FNR 2015-10 AI IO 03.5000 08/25/2043 | 0.07% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.07% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.07% |
| STACR 2014-HQ3 M3 05.2373 10/25/2024 | 0.07% |
| SWPTN 11MX10Y R 2.764 USD 02/16/2021 MS | 0.07% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.07% |
| FHR 4500 GI IO 04.0000 08/15/2045 | 0.07% |
| GNR 2010-151 KO PO 00.0000 06/16/2037 | 0.07% |
| GNMA GII30 BQ7313 04.5000 10/20/2049 | 0.07% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.07% |
| SWPTN 3YX2Y P 1.245 USD 08/26/2022 CI | 0.07% |
| FHR 4530 HI IO 04.0000 11/15/2045 | 0.07% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.07% |
| GNR 2020-15 CS IO 05.3318 12/02/2021 | 0.07% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.07% |
| FNR 2015-83 IO IO 04.0000 10/25/2043 | 0.07% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.07% |
| 2.3075 R ISWP FWD US0003M P 02/02/2024 | 0.06% |
| GNMA GII30 AJ4184 04.5000 09/20/2044 | 0.06% |
| FHR 3408 EK 22.5177 04/15/2037 | 0.06% |
| FNR 12-118 PI IO 04.0000 06/25/2042 | 0.06% |
| GNR 2015-52 KI IO 03.5000 11/20/2040 | 0.06% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.06% |
| GNR 2015-H23 DI IO 01.8649 09/20/2065 | 0.06% |
| OPTN FN30 2.5 06/04/20 CALL 104.1875 JPMC | 0.06% |
| SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA | 0.06% |
| FHR 4019 JI IO 04.0000 05/15/2041 | 0.06% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.06% |
| CAS 2016-C05 2M2 04.9373 01/25/2029 | 0.06% |
| FNMA FN30 BC0960 UMBS 04.0000 06/01/2046 | 0.06% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.06% |
| BALTA 2005-10 11A1 00.9873 01/25/2036 | 0.06% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.06% |
| STACR 2015-HQ1 M3 04.2873 03/25/2025 | 0.06% |
| FHR 4136 ES IO 05.4360 11/15/2042 | 0.06% |
| FNR 2012-104 HI IO 04.0000 09/25/2027 | 0.06% |
| GNMA GII30 BP7884 04.5000 01/20/2050 | 0.06% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.06% |
| FNR 2005-122 SE 21.3946 11/25/2035 | 0.06% |
| GNMA GII30 609117 04.5000 02/20/2044 | 0.06% |
| GNMA GN30 AE8022 04.5000 12/15/2043 | 0.06% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.06% |
| SWPTN 5YX10Y P 1.613 USD 08/27/2024 MS | 0.06% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.05% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.05% |
| SAMI 2006-AR7 A1BG 00.6073 08/25/2036 | 0.05% |
| FNR 2012-151 PI IO 03.0000 01/25/2043 | 0.05% |
| GNMA GII30 AJ4182 04.5000 09/20/2044 | 0.05% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.05% |
| FHR 4165 AI IO 03.5000 02/15/2043 | 0.05% |
| GNR 2016-69 IO IO 04.0000 05/20/2046 | 0.05% |
| CAS 2016-C03 2B 13.2373 10/25/2028 | 0.05% |
| GNMA GII30 AJ6287 04.0000 09/20/2044 | 0.05% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.05% |
| OMIR 2019-1A B1B 04.8373 07/25/2029 | 0.05% |
| FNR 2013-55 KI IO 03.0000 04/25/2043 | 0.05% |
| GNR 2013-165 IL IO 04.0000 03/20/2043 | 0.05% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.05% |
| CAS 2018-C01 1M2 02.7373 07/25/2030 | 0.05% |
| GNR 2012-91 IN IO 04.5000 05/20/2042 | 0.05% |
| GNR 2015-24 AI IO 03.5000 12/20/2037 | 0.05% |
| 1.88 R ISWP FWD US0003M P 12/21/2030 | 0.05% |
| SCRT 2019-4 M 04.5000 02/25/2059 | 0.05% |
| STACR 2019-DNA2 M2 02.9373 03/25/2049 | 0.05% |
| FNR 2013-53 JI IO 03.0000 12/25/2041 | 0.04% |
| GNMA GII30 AY2298 04.7000 05/20/2067 | 0.04% |
| GNR 2014-174 AI IO 03.0000 11/16/2029 | 0.04% |
| CAS 2019-R01 2B1 04.8373 07/25/2031 | 0.04% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.04% |
| GNMA GII30 BR2728 04.0000 12/20/2049 | 0.04% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.04% |
| CAS 2019-R02 1M2 02.7873 08/25/2031 | 0.04% |
| GNMA GII30 BB0107 04.7000 08/20/2067 | 0.04% |
| GNMA GN30 AG8989 04.5000 05/15/2044 | 0.04% |
| STACR 2017-DNA1 M2 03.7373 07/25/2029 | 0.04% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CG | 0.04% |
| FNMA FN30 BD9219 UMBS 04.5000 10/01/2046 | 0.04% |
| OMIR 2019-1A B1A 03.9873 07/25/2029 | 0.04% |
| 2.57 R ISWP FWD US0003M P 02/02/2024 | 0.04% |
| FNR 2005-75 GS 18.7883 08/25/2035 | 0.04% |
| GNMA GII30 BN1509 05.0000 05/20/2049 | 0.04% |
| GNMA GII30 BO8117 04.0000 08/20/2049 | 0.04% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.04% |
| GNMA GII30 BP5514 03.5000 09/20/2049 | 0.04% |
| GNMA GII30 BQ4111 03.5000 03/20/2050 | 0.04% |
| GNMA GII30 BQ4112 03.5000 03/20/2050 | 0.04% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.04% |
| EMIR 2020-1 B1 04.9260 01/25/2030 | 0.04% |
| 0.40 R ISWP FWD US0003M P 06/17/2022 | 0.04% |
| FHR 3249 PS 19.5888 12/15/2036 | 0.04% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.04% |
| FNR 2014-28 AI IO 03.0000 03/25/2040 | 0.04% |
| GNMA GII30 BP7527 03.5000 10/20/2049 | 0.04% |
| SWPTN 5YX30Y P 1.04 USD 03/20/2025 TD | 0.04% |
| SWPTN 4YX10Y P 3.229 USD 11/30/2023 JP | 0.04% |
| FHR 4201 JI IO 03.0000 12/15/2041 | 0.04% |
| FNMA FN30 AV7020 UMBS 03.5000 10/01/2044 | 0.04% |
| FNR 2013-55 PI IO 03.0000 05/25/2042 | 0.04% |
| GNMA GII30 AQ6653 04.5000 09/20/2045 | 0.04% |
| GNMA GN30 704478 04.5000 04/15/2039 | 0.04% |
| STACR 2015-DNA3 B 09.8373 04/25/2028 | 0.04% |
| GNMA GII30 635065 04.5000 03/20/2046 | 0.03% |
| GNMA GII30 AL8543 04.0000 02/20/2045 | 0.03% |
| IOS.FN30.550.08 R USL1M P 01/12/39 BC | 0.03% |
| OPTN FN30 2.5 06/04/20 PUT 104.28125 JPMC | 0.03% |
| GNMA GII30 609118 04.5000 02/20/2034 | 0.03% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.03% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.03% |
| GNMA GN30 AG8984 04.5000 05/15/2044 | 0.03% |
| MBX.GII30.500.10 R USL1M P 01/12/41 BC | 0.03% |
| FNMA FN30 MA2180 UMBS 04.0000 02/01/2045 | 0.03% |
| GNMA GII30 AW8447 04.3250 05/20/2067 | 0.03% |
| GNR 2016-156 PI IO 03.5000 11/20/2046 | 0.03% |
| STACR 2019-HQA2 B2 11.7373 04/25/2049 | 0.03% |
| TREASURY BILL 00.0000 07/16/2020 | 0.03% |
| FHR 4024 PI IO 04.5000 12/15/2041 | 0.03% |
| GNMA GII30 BQ1446 04.0000 09/20/2049 | 0.03% |
| GNR 2014-160 IB IO 03.0000 11/20/2040 | 0.03% |
| IOS.FN30.400.11 R USL1M P 01/12/42 BC | 0.03% |
| GNR 2014-102 IG IO 03.5000 03/16/2041 | 0.03% |
| GNR 2010-20 SC IO 05.4318 02/20/2040 | 0.03% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.03% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.03% |
| FHR 4018 DI IO 04.5000 07/15/2041 | 0.03% |
| GNMA GII30 AO8363 04.0000 09/20/2045 | 0.03% |
| GNMA GII30 BP8088 03.5000 03/20/2050 | 0.03% |
| GNR 2018-127 IB IO 04.5000 06/20/2045 | 0.03% |
| RMIR 2020-1 B1 05.1690 02/25/2030 | 0.03% |
| 1.03 R ISWP FWD US0003M P 03/17/2032 | 0.03% |
| FHR 4015 GI IO 04.0000 03/15/2027 | 0.03% |
| GNR 2014-2 IL IO 04.0000 01/16/2044 | 0.03% |
| IOS.FN30.400.13 R USL1M P 01/12/44 CS | 0.03% |
| CMB CMBX.NA.BB.12 2061-08-17 500.0 08/17/2061 JP | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.02% |
| GNMA GII30 AK1223 04.0000 02/20/2045 | 0.02% |
| STACR 2019-FTR3 B2 05.7466 09/25/2047 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| FNR 2008-53 DO PO 00.0000 07/25/2038 | 0.02% |
| STACR 2017-HQA2 B1 05.2373 12/25/2029 | 0.02% |
| 2.5725 R ISWP FWD US0003M P 02/02/2024 | 0.02% |
| CAS 2020-R02 2B1 04.6609 01/25/2040 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML | 0.02% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML | 0.02% |
| FHLMC FR30 ZS0468 UMBS 07.5000 10/01/2029 | 0.02% |
| FNR 2005-83 QP 16.1272 11/25/2034 | 0.02% |
| FNR 2011-123 KS IO 06.1128 10/25/2041 | 0.02% |
| GNMA GII30 AO8415 04.0000 10/20/2045 | 0.02% |
| GNMA GII30 BP7627 03.5000 11/20/2049 | 0.02% |
| GNMA GII30 BQ1550 04.0000 10/20/2049 | 0.02% |
| GNR 2012-48 AI IO 03.5000 02/20/2036 | 0.02% |
| CAS 2018-C03 1B1 04.2373 10/25/2030 | 0.02% |
| CMB CMBX.NA.BBB-.10 2059-11-17 300.0 11/17/2059 JP | 0.02% |
| FNW 1998-W2 X IO 06.9543 06/25/2028 | 0.02% |
| GNMA GII30 BN1507 05.0000 05/20/2049 | 0.02% |
| GNR 2014-141 CI IO 03.0000 03/20/2040 | 0.02% |
| FNMA FN30 AX2731 UMBS 04.5000 10/01/2044 | 0.02% |
| FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 | 0.02% |
| FNR 2012-124 JI IO 03.5000 11/25/2042 | 0.02% |
| GNMA GII30 AO7326 04.6650 09/20/2065 | 0.02% |
| GNMA GII30 BN1508 05.0000 05/20/2049 | 0.02% |
| GNR 2019-99 KS IO 05.3318 08/20/2049 | 0.02% |
| FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 | 0.02% |
| FNR 2013-30 IP IO 03.0000 10/25/2041 | 0.02% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.02% |
| FNMA FN30 MA2242 UMBS 04.0000 04/01/2045 | 0.02% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.02% |
| GNMA GII30 BN1510 05.5000 05/20/2049 | 0.02% |
| GNR 2015-24 IC IO 03.5000 11/20/2037 | 0.02% |
| IOS.FN30.400.11 R USL1M P 01/12/42 CS | 0.02% |
| FNMA FN30 AX8877 UMBS 04.5000 12/01/2044 | 0.02% |
| FNMA FN30 AX8927 UMBS 04.5000 12/01/2044 | 0.02% |
| FNR 2012-62 MI IO 04.0000 03/25/2041 | 0.02% |
| GNR 2015-99 TI IO 03.5000 04/20/2039 | 0.02% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BA | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| MBX.GII30.450.10 R USL1M P 01/12/41 DE | 0.02% |
| CAS 2020-R01 1B1 03.7373 01/25/2040 | 0.02% |
| FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 | 0.02% |
| GNMA GII30 BN1511 05.5000 05/20/2049 | 0.02% |
| GNMA GII30 BQ1549 04.0000 10/20/2049 | 0.02% |
| GNR 2019-78 SJ IO 05.3318 06/20/2049 | 0.02% |
| STACR 2019-DNA3 B2 08.6373 07/25/2049 | 0.02% |
| 0.78 R ISWP US0003M P 04/28/2050 | 0.02% |
| CAS 2019-R01 2M2 02.9373 07/25/2031 | 0.02% |
| FNMA FN30 BA1056 UMBS 04.5000 11/01/2045 | 0.02% |
| GNMA GII30 BP7740 03.5000 11/20/2049 | 0.02% |
| MBX.GII30.500.10 R USL1M P 01/12/41 CS | 0.02% |
| SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS | 0.02% |
| 1.101 R ISWP FWD US0003M P 03/04/2031 | 0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | 0.01% |
| FHLMC FR30 ZS1312 UMBS 04.5000 01/01/2037 | 0.01% |
| FNMA FN30 BN3050 UMBS 05.0000 01/01/2049 | 0.01% |
| FNR 2012-145 TI IO 03.0000 11/25/2042 | 0.01% |
| GNMA GII30 BP8086 03.5000 02/20/2050 | 0.01% |
| GNMA GII30 BP8087 03.5000 02/20/2050 | 0.01% |
| OPTN GII30 4.0 05/06/20 CALL 106.28125 JPMC | 0.01% |
| GNMA GII30 BM2417 03.5000 08/20/2049 | 0.01% |
| GNMA GII30 BP7324 03.5000 10/20/2049 | 0.01% |
| GNMA GII30 BP7505 03.5000 10/20/2049 | 0.01% |
| GNMA GII30 BT5534 05.0000 03/20/2050 | 0.01% |
| IOS.FN30.350.12 R USL1M P 01/12/43 BC | 0.01% |
| STACR 2019-DNA2 B2 10.9873 03/25/2049 | 0.01% |
| 1.977 R ISWP FWD US0003M P 01/24/2055 | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| FHLMC FR30 ZN5756 UMBS 05.0000 04/01/2049 | 0.01% |
| FNMA FN30 BO3442 UMBS 05.0000 08/01/2049 | 0.01% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.01% |
| GNR 2014-4 IK IO 04.0000 07/20/2039 | 0.01% |
| IOS.FN30.350.13 R USL1M P 01/12/44 CS | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS | 0.01% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.01% |
| FHS 304 C37 IO 03.5000 12/15/2027 | 0.01% |
| FNR 2007-44 CO PO 00.0000 05/25/2037 | 0.01% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | 0.01% |
| SWPTN 3YX30Y P 2.983 USD 05/23/2022 GS | 0.01% |
| 0.717 R ISWP FWD US0003M P 03/11/2052 | 0.01% |
| FNMA FN30 AA2892 UMBS 04.5000 03/01/2039 | 0.01% |
| FNR 2013-23 LI IO 03.0000 06/25/2041 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| CMB CMBX.NA.BB.12 2061-08-17 500.0 08/17/2061 MS | 0.01% |
| FNMA FN30 MA2216 UMBS 04.0000 03/01/2045 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BA | 0.01% |
| GNMA GII30 BR7370 04.0000 01/20/2050 | 0.01% |
| GNR 2011-71 IK IO 04.0000 04/16/2039 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.01% |
| 0.6915 R ISWP US0003M P 04/22/2030 | 0.01% |
| FNR 2003-34 P1 PO 00.0000 04/25/2043 | 0.01% |
| IOS.FN30.400.09 R USL1M P 01/12/40 GS | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.01% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.01% |
| STACR 2019-HQA3 B1 03.4873 09/25/2049 | 0.01% |
| FHR 3300 PO PO 00.0000 02/15/2037 | 0.01% |
| FHR 3391 PO PO 00.0000 04/15/2037 | 0.01% |
| FHR 3996 IK IO 04.0000 03/15/2039 | 0.01% |
| FNW 1998-W5 X IO 00.8218 07/25/2028 | 0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | 0.00% |
| FHR 4199 CI IO 03.5000 12/15/2037 | 0.00% |
| FNMA FN30 AS5038 UMBS 04.0000 05/01/2045 | 0.00% |
| FNMA FN30 BC0390 UMBS 04.5000 12/01/2045 | 0.00% |
| GNMA GII30 2987 07.5000 10/20/2030 | 0.00% |
| GNR 2010-114 MI IO 04.0000 03/20/2039 | 0.00% |
| SWPTN 1YX5Y P 1.996 USD 01/14/2021 CI | 0.00% |
| FNW 2003-W3 1A4 04.0184 08/25/2042 | 0.00% |
| FSPC T-48 AIO2 IO 00.2120 07/25/2033 | 0.00% |
| FSPC T-59 1AX IO 00.2862 10/25/2043 | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.00% |
| 0.664 R ISWP US0003M P 04/24/2030 | 0.00% |
| 0.66726 R ISWP US0003M P 04/24/2030 | 0.00% |
| FHLMC FR30 ZS1526 UMBS 04.5000 06/01/2037 | 0.00% |
| FHR 3175 MO PO 00.0000 06/15/2036 | 0.00% |
| FHR 3326 WF 00.0000 10/15/2035 | 0.00% |
| FNMA FN15 888594 06.0000 08/01/2022 | 0.00% |
| FNMA FN30 AY3392 UMBS 04.0000 04/01/2045 | 0.00% |
| FNR 2007-64 LO PO 00.0000 07/25/2037 | 0.00% |
| FNR 2008-36 OV PO 00.0000 01/25/2036 | 0.00% |
| GNR 2018-127 ID IO 05.0000 07/20/2045 | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| SWPTN 3YX5Y R 0.8925 USD 04/11/2023 UB | 0.00% |
| FHR 3117 AF 00.0000 02/15/2036 | 0.00% |
| FNMA FN30 AY1318 UMBS 04.0000 03/01/2045 | 0.00% |
| FNR 2001-50 BI IO 00.3852 10/25/2041 | 0.00% |
| FNW 2003-W14 2A 04.3970 01/25/2043 | 0.00% |
| FSPC T-57 2A1 04.0218 07/25/2043 | 0.00% |
| GNR 2011-81 SB IO 05.9109 11/16/2036 | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| 0.968 R ISWP FWD US0003M P 03/24/2035 | 0.00% |
| 1.07 R ISWP FWD US0003M P 03/24/2032 | 0.00% |
| FHR 3210 PO PO 00.0000 05/15/2036 | 0.00% |
| FNMA FN15 891706 06.0000 07/01/2021 | 0.00% |
| FNMA FN15 893456 06.0000 09/01/2021 | 0.00% |
| FNR 2001-79 BI IO 00.2742 03/25/2045 | 0.00% |
| FNR 2007-14 KO PO 00.0000 03/25/2037 | 0.00% |
| FNW 2004-W2 4A 04.1388 02/25/2044 | 0.00% |
| FNW 2004-W7 A2 04.5037 03/25/2034 | 0.00% |
| FSPC T-59 2A1 03.8901 10/25/2043 | 0.00% |
| FSPC T-8 A9 IO 00.4220 11/15/2028 | 0.00% |
| GNMA GIIARM 8913 03.2500 07/20/2026 | 0.00% |
| GNR 2006-36 OD PO 00.0000 07/16/2036 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.400.09 R USL1M P 01/12/40 DE | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.00% |
| IOS.FN30.450.09 R USL1M P 01/12/40 BC | 0.00% |
| IOS.FN30.500.09 R USL1M P 01/12/40 BC | 0.00% |
| IOS.FN30.500.09 R USL1M P 01/12/40 DE | 0.00% |
| SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS | 0.00% |
| SWPTN 2YX30Y P 2.904 USD 05/24/2021 MS | 0.00% |
| FHLMC FR15 ZS5132 UMBS 06.0000 09/01/2021 | 0.00% |
| FHR 3206 EO PO 00.0000 08/15/2036 | 0.00% |
| FHR 3314 PO PO 00.0000 11/15/2036 | 0.00% |
| FHR 3369 BO PO 00.0000 09/15/2037 | 0.00% |
| FNMA FN15 745502 06.0000 04/01/2021 | 0.00% |
| FNMA FN15 746111 06.0000 09/01/2021 | 0.00% |
| FNMA FN15 823534 05.5000 07/01/2020 | 0.00% |
| FNMA FN15 829041 05.5000 07/01/2020 | 0.00% |
| FNMA FN15 829091 04.0000 09/01/2020 | 0.00% |
| FNMA FN15 831317 05.0000 03/01/2021 | 0.00% |
| FNMA FN15 831496 06.0000 05/01/2021 | 0.00% |
| FNMA FN15 833587 05.5000 09/01/2020 | 0.00% |
| FNMA FN15 836615 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 840106 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 843104 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 847073 05.5000 08/01/2020 | 0.00% |
| FNMA FN15 849103 05.5000 01/01/2021 | 0.00% |
| FNMA FN15 852535 05.5000 01/01/2021 | 0.00% |
| FNMA FN15 872585 06.0000 04/01/2021 | 0.00% |
| FNMA FN15 879632 06.0000 06/01/2021 | 0.00% |
| FNMA FN15 880974 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 880975 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 887261 06.0000 07/01/2021 | 0.00% |
| FNMA FN15 894310 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 894829 06.0000 09/01/2021 | 0.00% |
| FNMA FN15 896560 06.0000 07/01/2021 | 0.00% |
| FNMA FN15 917693 06.0000 04/01/2022 | 0.00% |
| FNR 2006-125 OX PO 00.0000 01/25/2037 | 0.00% |
| FNR 2006-46 OC PO 00.0000 06/25/2036 | 0.00% |
| FNR 2006-84 OT PO 00.0000 09/25/2036 | 0.00% |
| FNW 2003-W11 A1 04.7990 06/25/2033 | 0.00% |
| GNMA GN30 497455 06.0000 01/15/2029 | 0.00% |
| GNMA GN30 645703 05.5000 08/15/2035 | 0.00% |
| GSMPS 1999-2 IO IO 00.8396 09/19/2027 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | 0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 GS | 0.00% |
| OPTN FN30 3.5 05/06/20 CALL 106.15625 JPMC | 0.00% |
| OPTN FN30 4.0 05/06/20 CALL 106.875 JPMC | 0.00% |
| OPTN GII30 3.0 05/06/20 PUT 104.5625 JPMC | 0.00% |
| OPTN GII30 3.5 05/06/20 CALL 106.375 JPMC | 0.00% |
| SWPTN 11MX3Y P 2.975 USD 11/30/2020 JP | 0.00% |
| SWPTN 12MX1Y P 1.316 USD 10/13/2020 CI | 0.00% |
| SWPTN 1YX1Y P 1.5025 USD 10/19/2020 UB | 0.00% |
| SWPTN 1YX5Y P 1.629 USD 01/14/2021 CI | 0.00% |
| SWPTN 2YX5Y P 2.664 USD 05/24/2021 MS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| IOS.FN30.450.09 P USL1M R 01/12/40 DE | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 CI | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 CS | -0.00% |
| OPTN GII30 4.0 05/06/20 PUT 106.28125 JPMC | -0.00% |
| SWPTN 10YX2Y P 0.983 USD 04/02/2030 UB | -0.00% |
| SWPTN 10YX2Y R 0.983 USD 04/02/2030 UB | -0.00% |
| SWPTN 3YX1Y P 1.333 USD 01/30/2023 JP | -0.00% |
| SWPTN 5YX10Y P 0.902 USD 04/02/2025 UB | -0.00% |
| SWPTN 5YX10Y R 0.902 USD 04/02/2025 UB | -0.00% |
| 0.7925 R ISWP FWD US0003M P 04/25/2032 | -0.00% |
| SWPTN 7YX1Y P 0.87 USD 04/06/2027 UB | -0.00% |
| SWPTN 7YX1Y R 0.87 USD 04/06/2027 UB | -0.00% |
| 0.8725 R ISWP FWD US0003M P 03/10/2052 | -0.00% |
| IOS.FN30.350.12 P USL1M R 01/12/43 JP | -0.00% |
| SWPTN 1YX10Y P 1.805 USD 01/14/2021 CI | -0.00% |
| SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| SWPTN 3YX5Y P 2.823 USD 05/23/2022 GS | -0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| SWPTN 11MX13Y P 3.162 USD 11/30/2020 JP | -0.00% |
| 0.67619 R ISWP US0003M P 04/24/2030 | -0.01% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| 0.678 R ISWP US0003M P 04/24/2030 | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| SWPTN 3YX5Y P 0.8925 USD 04/11/2023 UB | -0.01% |
| 2.25 R ISWP FWD US0003M P 07/05/2052 | -0.01% |
| 0.3765 R ISWP US0003M P 04/29/2022 | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| OPTN FN30 2.5 06/04/20 PUT 102.96875 JPMC | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | -0.01% |
| 0.4029 R ISWP US0003M P 04/27/2022 | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| IOS.FN30.350.13 P US0001M R 01/12/44 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| SWPTN 11MX10Y P 2.764 USD 02/16/2021 MS | -0.01% |
| SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA | -0.01% |
| 1.275 R ISWP FWD US0003M P 03/07/2050 | -0.02% |
| 2.035 R ISWP FWD US0003M P 01/22/2031 | -0.02% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | -0.02% |
| 0.85537 R ISWP US0003M P 04/20/2050 | -0.02% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.02% |
| OPTN FN30 2.5 06/04/20 PUT 103.625 JPMC | -0.02% |
| SWPTN 1YX10Y P 2.13 USD 12/17/2020 GS | -0.02% |
| SWPTN 5YX30Y R 1.17 USD 03/13/2025 TD | -0.02% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | -0.02% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.02% |
| SWPTN 3YX1Y R 1.333 USD 01/30/2023 JP | -0.02% |
| SWPTN 4YX10Y P 2.9425 USD 02/13/2024 GS | -0.02% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.02% |
| SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS | -0.02% |
| SWPTN 5YX30Y P 1.17 USD 03/13/2025 TD | -0.02% |
| SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS | -0.02% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG | -0.02% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | -0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 JP | -0.02% |
| 2.032 R ISWP US0003M P 01/16/2055 | -0.03% |
| 0.7275 R ISWP US0003M P 04/22/2030 | -0.03% |
| 2.0625 R ISWP FWD US0003M P 06/22/2030 | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| 1.5095 R ISWP FWD US0003M P 08/28/2030 | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.03% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | -0.03% |
| IOS.FN30.550.08 P USL1M R 01/12/39 GS | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.03% |
| SWPTN 5YX2Y P 1.05 USD 03/20/2025 TD | -0.03% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG | -0.03% |
| SWPTN 3YX10Y P 1.512 USD 08/30/2022 MS | -0.03% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| 0.895 R ISWP US0003M P 04/22/2030 | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| SWPTN 5YX10Y P 0.968 USD 03/20/2025 JP | -0.03% |
| SWPTN 7YX5Y P 1.07 USD 03/22/2027 JP | -0.03% |
| SWPTN 5YX10Y R 0.968 USD 03/20/2025 JP | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.04% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS | -0.04% |
| SWPTN 7YX5Y R 1.07 USD 03/22/2027 JP | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.04% |
| SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA | -0.04% |
| 1.265 R ISWP FWD US0003M P 03/04/2052 | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.05% |
| SWPTN 1YX2Y P 1.5775 USD 09/14/2020 MS | -0.05% |
| OPTN GII30 3.5 05/06/20 PUT 106.375 JPMC | -0.05% |
| IOS.FN30.500.10 P USL1M R 01/12/41 BC | -0.05% |
| IOS.FN30.500.10 P USL1M R 01/12/41 CS | -0.05% |
| 2.3075 R ISWP FWD US0003M P 06/22/2052 | -0.05% |
| OPTN FN30 4.0 05/06/20 PUT 106.875 JPMC | -0.05% |
| SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP | -0.05% |
| 2.528 R ISWP FWD US0003M P 02/02/2024 | -0.06% |
| IOS.FN30.500.10 P USL1M R 01/12/41 GS | -0.06% |
| IOS.FN30.500.10 P USL1M R 01/12/41 JP | -0.06% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.06% |
| SWPTN 5YX30Y P 2.032 USD 01/14/2025 JP | -0.06% |
| SWPTN 7YX10Y P 1.9875 USD 10/19/2026 UB | -0.06% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.06% |
| 1.9665 R ISWP FWD US0003M P 07/06/2030 | -0.06% |
| SWPTN 6MX30Y R 0.442 USD 09/23/2020 JP | -0.06% |
| SWPTN 5YX30Y P 1.727 USD 01/22/2025 GS | -0.06% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | -0.06% |
| SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI | -0.06% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.07% |
| 0.68 R ISWP FWD US0003M P 09/08/2021 | -0.07% |
| SWPTN 10YX10Y P 1.865 USD 10/10/2029 CI | -0.07% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | -0.07% |
| SWPTN 3YX2Y R 1.245 USD 08/26/2022 CI | -0.07% |
| IOS.FN30.650.67 P USL1M R 01/12/38 BC | -0.07% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.07% |
| SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP | -0.07% |
| SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA | -0.07% |
| SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS | -0.08% |
| SWPTN 9MX1Y R 0.83 USD 10/30/2020 JP | -0.08% |
| OPTN FN30 2.5 06/04/20 PUT 104.1875 JPMC | -0.08% |
| OPTN FN30 2.5 06/04/20 PUT 103.96875 JPMC | -0.09% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.09% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS | -0.09% |
| SWPTN 6YX30Y P 2.8025 USD 04/24/2026 MS | -0.09% |
| SWPTN 9YX10Y P 3.312 USD 11/27/2028 BA | -0.10% |
| 0.571 R ISWP FWD US0003M P 10/15/2021 | -0.11% |
| OPTN FN30 3.0 06/04/20 PUT 105.40625 JPMC | -0.11% |
| SWPTN 5YX10Y P 1.6125 USD 08/27/2024 UB | -0.11% |
| 1.771 R ISWP US0003M P 01/16/2030 | -0.11% |
| SWPTN 3YX2Y P 2.2275 USD 05/16/2022 BA | -0.11% |
| 1.733 R ISWP FWD US0003M P 02/07/2024 | -0.11% |
| 2.6785 R ISWP US0003M P 02/13/2029 | -0.12% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS | -0.12% |
| SWPTN 1YX10Y R 0.7785 USD 03/02/2021 JP | -0.14% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.15% |
| 1.4765 R ISWP US0003M P 02/18/2030 | -0.15% |
| 1.58 R ISWP FWD US0003M P 03/18/2025 | -0.15% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.15% |
| SWPTN 1YX5Y P 1.765 USD 06/26/2020 CI | -0.15% |
| SWPTN 1YX5Y P 1.755 USD 06/29/2020 GS | -0.15% |
| SWPTN 20MX5Y R 1.3 USD 08/27/2021 UB | -0.15% |
| 1.748 R ISWP FWD US0003M P 01/31/2030 | -0.16% |
| 1.626 R ISWP FWD US0003M P 09/12/2052 | -0.16% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.17% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 ML | -0.18% |
| SWPTN 11MX3Y R 2.975 USD 11/30/2020 JP | -0.18% |
| SWPTN 3YX10Y R 1.512 USD 08/30/2022 MS | -0.19% |
| 1.7505 R ISWP FWD US0003M P 01/31/2030 | -0.20% |
| OPTN FN30 3.5 05/06/20 PUT 106.15625 JPMC | -0.21% |
| SWPTN 10YX10Y R 1.865 USD 10/10/2029 CI | -0.22% |
| 2.184 R ISWP FWD US0003M P 12/07/2030 | -0.23% |
| 1.73 R ISWP FWD US0003M P 03/18/2030 | -0.25% |
| SWPTN 7YX10Y R 1.9875 USD 10/19/2026 UB | -0.26% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | -0.30% |
| 2.2685 R ISWP FWD US0003M P 07/22/2052 | -0.31% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.31% |
| 2.44 R ISWP FWD US0003M P 03/26/2030 | -0.32% |
| 2.67 R ISWP FWD US0003M P 03/28/2052 | -0.32% |
| 1.9185 R ISWP FWD US0003M P 08/08/2052 | -0.32% |
| IOS.FN30.400.11 P USL1M R 01/12/42 JP | -0.33% |
| 2.098 R ISWP FWD US0003M P 03/04/2030 | -0.35% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 DE | -0.36% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | -0.36% |
| 2.647 R ISWP FWD US0003M P 03/16/2030 | -0.38% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.38% |
| SWPTN 1YX10Y R 1.805 USD 01/14/2021 CI | -0.39% |
| GNMA GII30 TBA 03.5000 05/01/2050 | -0.40% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.40% |
| 2.1935 R ISWP FWD US0003M P 12/14/2030 | -0.44% |
| SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS | -0.46% |
| SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS | -0.47% |
| SWPTN 4YX10Y R 3.229 USD 11/30/2023 JP | -0.52% |
| 2.4105 R ISWP FWD US0003M P 06/14/2052 | -0.53% |
| 1.50 R ISWP US0003M P 09/30/2024 | -0.55% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.56% |
| 0.65 R ISWP FWD US0003M P 06/17/2025 | -0.56% |
| 1.53 R ISWP US0003M P 10/01/2024 | -0.57% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | -0.68% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.81% |
| SWPTN 9YX30Y R 2.7875 USD 04/24/2029 MS | -0.91% |
| SWPTN 4YX10Y R 2.9425 USD 02/13/2024 GS | -0.92% |
| 3.065 R ISWP FWD US0003M P 01/03/2029 | -0.95% |
| 2.715 R ISWP US0003M P 03/02/2030 | -1.24% |
| 2.7225 R ISWP US0003M P 02/20/2030 | -1.24% |
| SWPTN 6YX30Y R 3.195 USD 11/28/2025 BA | -1.59% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -2.15% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -3.48% |
| US 5YR NOTE (CBT) JUN20 FVM0 | -3.74% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -5.87% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -6.53% |
| US 2YR NOTE (CBT) JUN20 TUM0 | -172.88% |
| FNMA FN30 TBA UMBS 04.5000 04/01/2050 | 10.00% |
|---|---|
| FNMA FN30 TBA UMBS 05.5000 04/01/2050 | 7.06% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 4.49% |
| GNMA GII30 TBA 04.5000 04/01/2050 | 4.21% |
| REPO TRIPA MORTG 0.01 04/01/2020 | 3.60% |
| FNMA FN30 AB8804 UMBS 02.5000 03/01/2043 | 3.22% |
| US 2YR NOTE (CBT) JUN20 TUM0 | 2.98% |
| FNR 2007-95 A3 01.8767 08/27/2036 | 2.52% |
| TREASURY BILL 00.0000 06/25/2020 | 2.45% |
| TREASURY BILL 00.0000 08/13/2020 | 2.39% |
| 1.75 R ISWP FWD US0003M P 03/18/2030 | 2.34% |
| TREASURY BILL 00.0000 06/11/2020 | 2.25% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 2.14% |
| 2.00 R ISWP FWD US0003M P 03/18/2050 | 2.07% |
| MBX.GII30.500.10 R USL1M P 01/12/41 BC | 1.93% |
| SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS | 1.65% |
| FHS 315 PO PO 00.0000 09/15/2043 | 1.63% |
| FNMA FN30 TBA UMBS 06.0000 04/01/2050 | 1.57% |
| TREASURY BILL 00.0000 08/20/2020 | 1.42% |
| TREASURY BILL 00.0000 08/06/2020 | 1.18% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 1.12% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 1.07% |
| TREASURY BILL 00.0000 07/23/2020 | 1.07% |
| SWPTN 9YX10Y R 3.312 USD 11/27/2028 BA | 1.01% |
| FNR 2016-85 SL IO 05.1534 11/25/2046 | 0.98% |
| BAYV 2006-C 1A3 06.0280 11/28/2036 | 0.93% |
| OPTN FN30 3.0 04/08/20 CALL 103.0 JPMC | 0.92% |
| SWPTN 6YX30Y R 2.8025 USD 04/24/2026 MS | 0.92% |
| MSC 2011-C3 E P/P 144A 05.2448 07/15/2049 | 0.91% |
| CARR 2006-NC2 A4 01.1866 06/25/2036 | 0.89% |
| TREASURY BILL 00.0000 09/10/2020 | 0.88% |
| TREASURY BILL 00.0000 05/05/2020 | 0.84% |
| MCAS 2019-01 M10 P/P 144A 04.1966 10/15/2049 | 0.81% |
| 3.096 R ISWP US0003M P 12/03/2029 | 0.80% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML | 0.79% |
| 1.57 R ISWP US0003M P 02/18/2030 | 0.78% |
| 3.312 R ISWP US0003M P 11/08/2048 | 0.77% |
| STACR 2016-DNA3 M3 05.9466 12/25/2028 | 0.76% |
| TREASURY BILL 00.0000 04/28/2020 | 0.75% |
| TREASURY BILL 00.0000 07/09/2020 | 0.73% |
| FNR 2016-83 BS IO 05.1534 11/25/2046 | 0.72% |
| OPTN FN30 3.5 04/08/20 CALL 104.03125 JPMC | 0.72% |
| TREASURY BILL 00.0000 05/07/2020 | 0.72% |
| CWL 2007-10 1A1 01.1266 06/25/2047 | 0.70% |
| SWPTN 11MX13Y R 3.162 USD 11/30/2020 JP | 0.69% |
| US ULTRA BOND CBT JUN20 WNM0 | 0.69% |
| DBUBS 2011-LC3A D P/P 144A 05.3348 08/10/2044 | 0.68% |
| TREASURY BILL 00.0000 04/16/2020 | 0.66% |
| FNR 2018-36 SD IO 05.3034 06/25/2048 | 0.64% |
| FNR 2016-81 SA IO 05.2034 11/25/2046 | 0.62% |
| SPST 2019-3 A 01.6285 06/24/2020 | 0.57% |
| BF0101 03.5000 06/01/2056 | 0.57% |
| SWPTN 1YX5Y R 1.765 USD 06/26/2020 CI | 0.57% |
| SWPTN 1YX5Y R 1.755 USD 06/29/2020 GS | 0.56% |
| SPST 2019-7 A 01.6285 09/24/2020 | 0.55% |
| WAMU 2005-AR14 1A2 03.8348 12/25/2035 | 0.55% |
| WFRBS 2012-C9 D P/P 144A 04.8111 11/15/2045 | 0.53% |
| SPST 2020-2 A 01.7549 03/26/2021 | 0.52% |
| GNR 2016-H11 HI IO 02.1024 01/20/2066 | 0.52% |
| 3.073 R ISWP FWD US0003M P 03/04/2029 | 0.51% |
| TREASURY BILL 00.0000 04/02/2020 | 0.50% |
| CAS 2018-C02 2M2 03.1466 08/25/2030 | 0.50% |
| CAS 2017-C05 1B1 04.5466 01/25/2030 | 0.48% |
| FN BF0091 | 0.48% |
| GSMS 2014-GC18 C 04.9892 01/10/2047 | 0.47% |
| GNR 2019-125 SG IO 05.2771 10/20/2049 | 0.46% |
| AHM 2007-1 GA1C 01.8168 05/25/2047 | 0.46% |
| GNR 2017-H20 AI IO 02.3539 10/20/2067 | 0.46% |
| FNR 2016-50 SM IO 05.1534 08/25/2046 | 0.46% |
| GSMS 2014-GC24 D P/P 144A 04.5325 09/10/2047 | 0.46% |
| MWST 2018-W1 A 01.7966 11/25/2051 | 0.45% |
| STACR 2018-DNA1 B1 04.0966 07/25/2030 | 0.45% |
| TREASURY BILL 00.0000 04/07/2020 | 0.44% |
| GNR 2016-H07 PI IO 02.2789 03/20/2066 | 0.44% |
| JPMBB 2013-C14 D P/P 144A 04.7021 08/15/2046 | 0.44% |
| FNR 2016-8 SA IO 05.1034 03/25/2046 | 0.43% |
| UBSCM 2012-C1 D P/P 144A 05.5725 05/10/2045 | 0.43% |
| GNR 2019-121 SD IO 05.2271 10/20/2049 | 0.43% |
| OPTN GII30 4.0 04/08/20 CALL 102.8125 JPMC | 0.43% |
| FHR 3065 DC 17.7461 03/15/2035 | 0.42% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.42% |
| GNR 2013-87 SA IO 05.4271 06/20/2043 | 0.42% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.41% |
| GNR 2016-H23 NI IO 02.5101 10/20/2066 | 0.41% |
| CAS 2017-C01 1M2 04.4966 07/25/2029 | 0.40% |
| 1.7945 R ISWP US0003M P 12/18/2029 | 0.40% |
| GNR 2016-H27 GI IO 02.3912 12/20/2066 | 0.40% |
| GNR 2017-H03 KI IO 02.2371 01/20/2067 | 0.39% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS | 0.39% |
| GNR 2017-H25 CI IO 02.3729 12/20/2067 | 0.39% |
| COMM 2014-CR17 D P/P 144A 04.8478 05/10/2047 | 0.39% |
| GNMA GII30 BS2396 04.5000 12/20/2049 | 0.39% |
| STACR 2019-HQA1 M2 03.2966 02/25/2049 | 0.39% |
| STACR 2018-DNA2 B1 04.6466 12/25/2030 | 0.38% |
| GNR 2019-56 SK IO 05.3771 05/20/2049 | 0.38% |
| STACR 2018-HQA1 M2 03.2466 09/25/2030 | 0.38% |
| UBSC 2011-C1 D P/P 144A 06.0508 01/10/2045 | 0.38% |
| BMIR 2017-1 M2 P/P 144A 04.2966 10/25/2027 | 0.37% |
| MRAIT 2020-2 A 02.7311 10/22/2020 | 0.36% |
| FNR 2017-104 SL IO 05.2034 01/25/2048 | 0.36% |
| GNR 2017-H06 MI IO 02.2456 02/20/2067 | 0.36% |
| TREASURY BILL 00.0000 06/04/2020 | 0.35% |
| CAS 2018 - C01 1B1 04.4966 07/25/2030 | 0.35% |
| MWST 2019-1 A 01.7466 06/25/2052 | 0.35% |
| FNR 2010-109 IM IO 05.5000 09/25/2040 | 0.35% |
| GNR 2019-158 AS IO 05.4454 09/16/2043 | 0.34% |
| 1.608 R ISWP US0003M P 02/07/2030 | 0.34% |
| STRU BC-6764 IO IO 04.0000 07/20/2045 | 0.33% |
| STACR 2019-DNA1 B2 11.6966 01/25/2049 | 0.32% |
| GNR 2016-H13 IK IO 02.6210 06/20/2066 | 0.32% |
| GNR 2018-H01 XI IO 02.3364 01/20/2068 | 0.32% |
| MSBAM 2013-C12 E P/P 144A 04.7659 10/15/2046 | 0.32% |
| GNR 2013-6 OI IO 05.0000 01/20/2043 | 0.32% |
| GNR 2015-H22 AI IO 02.1156 09/20/2065 | 0.32% |
| GNR 2015-H20 CI IO 02.3712 08/20/2065 | 0.32% |
| JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 | 0.32% |
| FNMA FN30 AV7052 UMBS 03.5000 03/01/2045 | 0.32% |
| FNR 2019-58 SA IO 05.1034 10/25/2049 | 0.32% |
| CAS 2016-C03 1M2 06.2466 10/25/2028 | 0.31% |
| STACR 2017-HQA2 M2 03.5966 12/25/2029 | 0.31% |
| SWPTN 3YX2Y R 2.2275 USD 05/16/2022 BA | 0.31% |
| 1.688 R ISWP US0003M P 01/31/2030 | 0.31% |
| FNR 2008-24 SP 19.8124 02/25/2038 | 0.31% |
| GNMA GII30 AI6258 04.5000 05/20/2044 | 0.31% |
| GNR 2016-H18 QI IO 03.0722 06/20/2066 | 0.31% |
| FHR 3835 FO PO 00.0000 04/15/2041 | 0.30% |
| JPMCC 2013-LC11 D 04.1678 04/15/2046 | 0.29% |
| GNR 2017-H08 GI IO 01.4102 02/20/2067 | 0.29% |
| GNMA GN30 AM4380 04.0000 05/15/2045 | 0.28% |
| GNR 2017-H08 EI IO 01.4614 02/20/2067 | 0.28% |
| OMIR 2018-1A M2 03.7966 07/25/2028 | 0.28% |
| TREASURY BILL 00.0000 04/09/2020 | 0.28% |
| OPTN FN30 3.0 04/08/20 CALL 101.90625 JPMC | 0.27% |
| SPST 2019-11 A 01.6785 10/24/2020 | 0.27% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.27% |
| GNR 2015-H10 HI IO 02.5027 04/20/2065 | 0.27% |
| OPTN GII30 3.5 04/08/20 CALL 103.71875 JPMC | 0.26% |
| GNR 2017-H04 BI IO 02.4664 02/20/2067 | 0.26% |
| GNR 2019-83 SL IO 05.3271 07/20/2049 | 0.26% |
| CAS 2017-C06 2B1 05.3966 02/25/2030 | 0.26% |
| FNMA FN30 AX5555 UMBS 03.5000 10/01/2046 | 0.26% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.26% |
| FNMA FN30 AV7059 UMBS 03.5000 04/01/2045 | 0.26% |
| COMM 2012-CR4 B P/P 144A 03.7030 10/15/2045 | 0.26% |
| GNR 2019-35 SE IO 05.4454 01/16/2044 | 0.26% |
| MBX.FN30.500.10 R USL1M P 01/12/41 GS | 0.26% |
| CWALT 2006-OA19 A1 00.9529 02/20/2047 | 0.26% |
| GNR 2012-38 MI IO 04.0000 03/20/2042 | 0.26% |
| NHLT 2019-2A M4 P/P 144A 05.6822 11/26/2029 | 0.26% |
| GNR 2016-H17 DI IO 02.5073 07/20/2066 | 0.26% |
| GNR 2016-H10 AI IO 01.7409 04/20/2066 | 0.25% |
| FNR 2018-20 SB IO 05.3034 03/25/2048 | 0.25% |
| GNR 2019-100 JS IO 05.3271 08/20/2049 | 0.25% |
| GNR 2011-156 SK IO 05.8271 04/20/2038 | 0.25% |
| CAS 2017-C06 1B1 05.0966 02/25/2030 | 0.25% |
| 1.547 R ISWP US0003M P 02/11/2030 | 0.24% |
| CAS 2017-C07 1B1 04.9466 05/25/2030 | 0.24% |
| GNR 2018-H04 JI IO 01.5993 03/20/2068 | 0.24% |
| FNR 2015-58 KI IO 06.0000 03/25/2037 | 0.24% |
| GNR 2015-H13 AI IO 02.5696 06/20/2065 | 0.24% |
| FNR 2017-32 IP IO 04.5000 05/25/2047 | 0.24% |
| UBSCM 2012-C1 E P/P 144A 05.0000 05/10/2045 | 0.24% |
| 1.4335 R ISWP US0003M P 02/12/2022 | 0.24% |
| GNR 2013-39 IJ IO 04.5000 03/20/2043 | 0.24% |
| FNR 2019-45 SD IO 05.1034 08/25/2049 | 0.24% |
| GNR 2016-H24 IO IO 02.1324 09/20/2066 | 0.24% |
| JPMCC 2011-C3 D P/P 144A 05.6644 02/15/2046 | 0.24% |
| GNMA GII30 AH8784 04.5000 06/20/2034 | 0.24% |
| BMIR 2018-2A M1C P/P 144A 02.5466 08/25/2028 | 0.24% |
| TREASURY BILL 00.0000 04/21/2020 | 0.24% |
| 1.698 R ISWP US0003M P 01/28/2030 | 0.23% |
| COMM 2013-LC13 D P/P 144A 05.2876 08/10/2046 | 0.23% |
| GNR 2015-H04 AI IO 01.6318 12/20/2064 | 0.23% |
| GNR 2015-H22 GI IO 02.5863 09/20/2065 | 0.23% |
| CAS 2016-C03 1B 12.6966 10/25/2028 | 0.23% |
| GNR 2014-H21 AI IO 01.7106 10/20/2064 | 0.23% |
| MCAS 2020-01 M10 P/P 144A 04.6500 03/25/2050 | 0.23% |
| GNR 2010-35 DI IO 04.5000 03/20/2040 | 0.23% |
| GNR 2018-H02 IM IO 02.3378 02/20/2068 | 0.22% |
| SWPTN 1YX1Y R 1.5025 USD 10/19/2020 UB | 0.22% |
| MSC 2012-C4 E P/P 144A 05.4195 03/15/2045 | 0.22% |
| MLCFC 2006-4 C 05.3240 12/12/2049 | 0.22% |
| OPTN FN30 2.5 05/06/20 CALL 102.8125 JPMC | 0.22% |
| FNR 2018-47 SA IO 05.3034 07/25/2048 | 0.22% |
| STACR 2014-DN4 M3 05.4966 10/25/2024 | 0.22% |
| STACR 2015-HQA1 B 09.7466 03/25/2028 | 0.22% |
| JPALT 2006-A6 1A1 01.1066 11/25/2036 | 0.21% |
| FHR 2976 LC 21.8364 05/15/2035 | 0.21% |
| FHR 4436 SC IO 05.4454 02/15/2045 | 0.21% |
| FNR 2017-19 IH IO 05.0000 03/25/2047 | 0.21% |
| FNR 2018-51 BI IO 05.5000 07/25/2038 | 0.21% |
| JPMBB 2014-C19 D P/P 144A 04.6785 04/15/2047 | 0.21% |
| FHR 4953 AI IO 04.0000 02/25/2050 | 0.20% |
| MSBAM 2013-C10 F P/P 144A 04.0827 07/15/2046 | 0.20% |
| GNR 2016-H03 AI IO 01.7785 01/20/2066 | 0.20% |
| GNR 2016-H14 AI IO 02.7939 06/20/2066 | 0.20% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.20% |
| SWPTN 5YX10Y R 1.613 USD 08/27/2024 MS | 0.20% |
| GNR 2018-89 LS IO 04.1536 06/20/2048 | 0.20% |
| JPMCC 2010-C2 D P/P 144A 05.6356 11/15/2043 | 0.20% |
| WFRBS 2011-C4 E P/P 144A 05.2215 06/15/2044 | 0.20% |
| FNR 2015-86 MI IO 05.5000 11/25/2045 | 0.19% |
| GNR 2016-H06 DI IO 02.3295 07/20/2065 | 0.19% |
| SWPTN 1YX5Y R 1.629 USD 01/14/2021 CI | 0.19% |
| GNR 2017-H03 CI IO 02.8741 12/20/2066 | 0.19% |
| SPST 2019-WL1 A 01.5966 08/25/2052 | 0.19% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.19% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.19% |
| FNR 2016-70 QI IO 03.5000 10/25/2046 | 0.19% |
| JPMCC 2011-C3 E P/P 144A 05.6644 02/15/2046 | 0.19% |
| FHR 4621 QI IO 03.5000 10/15/2046 | 0.19% |
| GNR 2016-H04 KI IO 01.5812 02/20/2066 | 0.19% |
| STACR 2017-DNA2 M2 04.3966 10/25/2029 | 0.19% |
| CAS 2018-C03 1M2 03.0966 10/25/2030 | 0.18% |
| GNMA GII30 635075 04.5000 04/20/2046 | 0.18% |
| GNR 2017-H25 IO IO 02.2625 11/20/2067 | 0.18% |
| SWPTN 1YX5Y R 1.996 USD 01/14/2021 CI | 0.18% |
| WFRBS 2012-C9 E P/P 144A 04.8111 11/15/2045 | 0.18% |
| GNR 2015-H23 TI IO 01.9728 09/20/2065 | 0.18% |
| GSMS 2010-C1 D P/P 144A 05.9805 08/10/2043 | 0.18% |
| SWPTN 6MX30Y P 1.042 USD 09/23/2020 JP | 0.18% |
| FNR 2017-66 IO IO 04.5000 09/25/2047 | 0.18% |
| GNR 2016-H06 HI IO 02.0803 02/20/2066 | 0.18% |
| GNR 2017-H09 IO IO 01.8181 04/20/2067 | 0.18% |
| SWPTN 12MX1Y R 1.316 USD 10/13/2020 CI | 0.18% |
| GNR 2013-34 HI IO 04.5000 03/20/2043 | 0.18% |
| GNR 2015-89 LI IO 05.0000 12/20/2044 | 0.18% |
| CAS 2017-C07 2B1 05.3966 05/25/2030 | 0.18% |
| GNR 2016-80 SD IO 05.3271 06/20/2046 | 0.18% |
| GNR 2013-67 IP IO 04.0000 04/16/2043 | 0.18% |
| GNR 2009-121 CI IO 04.5000 12/16/2039 | 0.18% |
| GNR 2013-182 SP IO 05.9271 12/20/2043 | 0.17% |
| GNR 2014-119 SA IO 04.8271 08/20/2044 | 0.17% |
| GNR 2017-H08 NI IO 01.7152 03/20/2067 | 0.17% |
| FNR 2011-4 CS 11.0067 05/25/2040 | 0.17% |
| MCAS 2019-01 M7 P/P 144A 02.6466 10/15/2049 | 0.17% |
| GNR 2017-H10 MI IO 01.7152 04/20/2067 | 0.17% |
| 2.536 R ISWP FWD US0003M P 12/02/2023 | 0.17% |
| TREASURY BILL 00.0000 05/21/2020 | 0.17% |
| CAS 2020-SBT1 1B1 06.7500 02/25/2040 | 0.17% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.17% |
| FNMA FN30 AX5472 UMBS 03.5000 08/01/2045 | 0.17% |
| GNR 2014-H25 BI IO 01.7549 12/20/2064 | 0.17% |
| GNR 2016-H24 KI IO 02.9963 11/20/2066 | 0.17% |
| SWPTN 1YX2Y R 1.5775 USD 09/14/2020 MS | 0.17% |
| SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP | 0.17% |
| CAS 2018-C05 1M2 03.2966 01/25/2031 | 0.17% |
| FNMA FN30 AX5489 UMBS 03.5000 10/01/2045 | 0.17% |
| SWPTN 5YX30Y R 2.032 USD 01/14/2025 JP | 0.17% |
| GNR 2015-H24 HI IO 02.0403 09/20/2065 | 0.16% |
| CAS 2018-C06 1B1 04.6966 03/25/2031 | 0.16% |
| GNR 2011-H07 FI IO 01.3028 02/20/2061 | 0.16% |
| GNR 2018-1 IO IO 04.5000 01/20/2048 | 0.16% |
| GNR 2016-75 LI IO 06.0000 01/20/2040 | 0.16% |
| OPTN FN30 4.0 04/08/20 CALL 105.625 JPMC | 0.16% |
| CAS 2018-C04 2B1 05.4466 12/25/2030 | 0.16% |
| WFHET 2007-2 A3 01.1766 04/25/2037 | 0.16% |
| GNR 2014-137 ID IO 05.5000 09/16/2044 | 0.16% |
| UBSBB 2012-C4 D P/P 144A 04.4759 12/10/2045 | 0.16% |
| GNR 2017-H14 LI IO 02.2497 06/20/2067 | 0.16% |
| SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI | 0.16% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.16% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.16% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.16% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.16% |
| FNR 2016-3 MI IO 05.5000 02/25/2046 | 0.16% |
| FNMA FN30 AX5560 UMBS 03.5000 11/01/2046 | 0.16% |
| GNR 2016-H06 AI IO 01.6655 02/20/2066 | 0.15% |
| FNMA FN30 AX5565 UMBS 03.5000 12/01/2046 | 0.15% |
| GNR 2018-127 IA IO 03.5000 04/20/2042 | 0.15% |
| GSMS 2014-GC22 C 04.6907 06/10/2047 | 0.15% |
| SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS | 0.15% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.15% |
| FASST 2019-HB1 M5 06.0000 04/25/2029 | 0.15% |
| GNMA GII30 AD8811 03.0000 03/20/2043 | 0.15% |
| FHR 4546 PI IO 04.0000 12/15/2045 | 0.14% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.14% |
| STACR 2019-DNA4 B2 07.1966 10/25/2049 | 0.14% |
| GNR 2016-H04 HI IO 02.3817 07/20/2065 | 0.14% |
| GNR 2018-H05 ID 02.0570 03/20/2068 | 0.14% |
| BMIR 2019-4A B1 P/P 144A 04.7966 10/25/2029 | 0.14% |
| COMM 2014-CR19 D P/P 144A 04.7305 08/10/2047 | 0.14% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.14% |
| GNR 2015-H25 BI IO 02.0491 10/20/2065 | 0.14% |
| SWPTN 9MX1Y R 1.33 USD 10/30/2020 JP | 0.14% |
| SWPTN 5YX10Y R 1.6125 USD 08/27/2024 UB | 0.14% |
| 2.806 R ISWP FWD US0003M P 03/05/2030 | 0.14% |
| GNR 2014-H18 CI IO 01.6532 09/20/2064 | 0.14% |
| GNR 2015-H16 XI IO 02.6741 07/20/2065 | 0.14% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.14% |
| GNR 2017-H16 HI IO 01.4953 08/20/2067 | 0.14% |
| FNR 2012-151 IM IO 05.0000 04/25/2042 | 0.14% |
| GNMA GII30 609146 04.5000 05/20/2044 | 0.14% |
| 1.27 R ISWP FWD US0003M P 01/27/2047 | 0.14% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.14% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.14% |
| GNR 2012-56 IB IO 04.0000 04/20/2042 | 0.14% |
| FNR 2005-74 NK 22.7669 05/25/2035 | 0.13% |
| GNR 2012-136 IO IO 03.5000 11/20/2042 | 0.13% |
| GNR 2017-H14 JI IO 02.1897 06/20/2067 | 0.13% |
| CAS 2017-C02 2B1 06.4466 09/25/2029 | 0.13% |
| FNR 2019-71 CS 03.9500 11/25/2049 | 0.13% |
| GNR 2014-182 BI IO 04.0000 01/20/2039 | 0.13% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.13% |
| TREASURY BILL 00.0000 04/14/2020 | 0.13% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.13% |
| FNMA FN30 TBA UMBS 03.0000 04/01/2050 | 0.13% |
| MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 | 0.13% |
| GNR 2018-H02 IO IO 02.7174 01/20/2068 | 0.13% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.13% |
| GNR 2014-104 IO IO 04.0000 03/20/2042 | 0.13% |
| SWPTN 1YX10Y R 1.101 USD 03/02/2021 JP | 0.12% |
| FHR 3072 SM 04.2533 11/15/2035 | 0.12% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.12% |
| SWPTN 5YX30Y R 1.727 USD 01/22/2025 GS | 0.12% |
| FHR 4452 QI IO 04.0000 11/15/2044 | 0.12% |
| GNR 2014-133 IP IO 05.0000 09/16/2044 | 0.12% |
| SWPTN 20MX5Y P 1.3 USD 08/27/2021 UB | 0.12% |
| FHR 2990 LB 15.1447 06/15/2034 | 0.12% |
| GNR 2013-51 QI IO 05.0000 02/20/2043 | 0.12% |
| GNR 2012-H11 FI IO 01.2823 02/20/2062 | 0.12% |
| GNR 2017-H23 BI IO 01.9539 11/20/2067 | 0.12% |
| LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 | 0.12% |
| JPMBB 2013-C12 E P/P 144A 04.1002 07/15/2045 | 0.12% |
| MSAC 2004-HE9 M2 01.8766 11/25/2034 | 0.12% |
| BSCMS 2007-T26 AJ 05.4375 01/12/2045 | 0.12% |
| FNR 2005-106 JC 17.1887 12/25/2035 | 0.12% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.12% |
| GNR 2016-H01 HI IO 02.0854 10/20/2065 | 0.12% |
| GNR 2017-H25 AI IO 02.7749 12/20/2067 | 0.12% |
| JPMBB 2014-C23 D P/P 144A 03.9730 09/15/2047 | 0.12% |
| OMIR 2017-1A M2 P/P 144A 04.9466 04/25/2027 | 0.12% |
| OPTN GII30 3.0 05/06/20 CALL 104.5625 JPMC | 0.12% |
| FHR 4165 TI IO 03.0000 12/15/2042 | 0.11% |
| CAS 2019-R05 1B1 05.0466 07/25/2039 | 0.11% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.11% |
| 0.73081 R ISWP US0003M P 03/12/2050 | 0.11% |
| STACR 2018-DNA2 M2 03.0966 12/25/2030 | 0.11% |
| FNR 2007-53 SP 20.7290 06/25/2037 | 0.11% |
| MSBAM 2013-C12 D P/P 144A 04.7659 10/15/2046 | 0.11% |
| SCRT 2019-2 M 04.7500 08/25/2058 | 0.11% |
| WAMU 2005-AR8 2AC2 01.8666 07/25/2045 | 0.11% |
| 2.2225 R ISWP FWD US0003M P 06/05/2029 | 0.10% |
| FNR 2013-6 JI IO 03.0000 02/25/2043 | 0.10% |
| STACR 2018-HQA2 B2 11.9466 10/25/2048 | 0.10% |
| STAR 2019-1 M1 03.7640 06/25/2049 | 0.10% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.10% |
| FHR 4425 EI IO 04.0000 01/15/2045 | 0.10% |
| GNMA GII30 AJ8849 03.0000 10/20/2044 | 0.10% |
| GNR 2012-129 IO IO 04.5000 11/16/2042 | 0.10% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.10% |
| GNMA GII30 627009 04.5000 10/20/2045 | 0.10% |
| GNR 2011-H16 FI IO 01.0875 07/20/2061 | 0.10% |
| GNR 2013-79 PI IO 03.5000 04/20/2043 | 0.10% |
| GNR 2014-100 NI IO 04.0000 06/20/2043 | 0.10% |
| SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP | 0.10% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.10% |
| FHR 4136 IQ IO 03.5000 11/15/2042 | 0.10% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.10% |
| FNMA FN30 BD9021 UMBS 03.5000 01/01/2047 | 0.10% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.10% |
| GNR 2015-168 IG IO 03.5000 03/20/2043 | 0.10% |
| GNR 2016-27 IB IO 04.0000 11/20/2045 | 0.10% |
| GNR 2016-H08 GI IO 01.4919 04/20/2066 | 0.10% |
| GNR 2017-H06 EI IO 01.6474 02/20/2067 | 0.10% |
| FHR 4213 GI IO 04.0000 11/15/2041 | 0.10% |
| GNMA GII30 BA7681 04.6250 06/20/2067 | 0.10% |
| STACR 2019-DNA1 M2 03.5966 01/25/2049 | 0.10% |
| COMM 2013-LC6 E P/P 144A 03.5000 01/10/2046 | 0.10% |
| IOS.FN30.400.13 R USL1M P 01/12/44 CS | 0.10% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.09% |
| SCRT 2018-3 M 04.7500 08/25/2057 | 0.09% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | 0.09% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.09% |
| FNR 2012-114 NI IO 03.5000 10/25/2041 | 0.09% |
| 2.32 R ISWP FWD US0003M P 02/09/2024 | 0.09% |
| GNR 2016-H24 JI IO 02.3018 11/20/2066 | 0.09% |
| FHR 4601 IC IO 04.0000 12/15/2045 | 0.09% |
| FNMA FN30 AV7026 UMBS 03.5000 11/01/2044 | 0.09% |
| FNR 2006-8 HP 21.0957 03/25/2036 | 0.09% |
| STACR 2014-HQ3 M3 05.6966 10/25/2024 | 0.09% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.08% |
| STACR 2018-HQA2 B1 05.1966 10/25/2048 | 0.08% |
| BALTA 2005-8 21A1 03.7623 10/25/2035 | 0.08% |
| GNMA GII30 AY4779 04.5100 03/20/2067 | 0.08% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.08% |
| CAS 2018-C06 2B1 05.0466 03/25/2031 | 0.08% |
| HVMLT 2005-2 1A 01.2700 05/19/2035 | 0.08% |
| 2.55 R ISWP FWD US0003M P 11/20/2039 | 0.08% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG | 0.08% |
| FHR 4141 PI IO 03.0000 12/15/2042 | 0.08% |
| FHR 4425 IO IO 04.0000 01/15/2045 | 0.08% |
| FNR 2006-62 PS 34.2202 07/25/2036 | 0.08% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.08% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.08% |
| SWPTN 9YX30Y P 2.7875 USD 04/24/2029 MS | 0.08% |
| CAS 2015-C04 1M2 06.6466 04/25/2028 | 0.08% |
| FHR 4171 NI IO 03.0000 06/15/2042 | 0.08% |
| FNR 2013-22 PI IO 03.5000 10/25/2042 | 0.08% |
| FNR 2015-10 AI IO 03.5000 08/25/2043 | 0.07% |
| ARRW 2019-3 M1 04.2040 10/25/2048 | 0.07% |
| GNR 2018-127 IE IO 03.5000 01/20/2046 | 0.07% |
| FHR 4530 HI IO 04.0000 11/15/2045 | 0.07% |
| FNMA FN30 AX5483 UMBS 03.5000 10/01/2045 | 0.07% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.07% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.07% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.07% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.07% |
| GNR 2010-151 KO PO 00.0000 06/16/2037 | 0.07% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.07% |
| GNMA GII30 BQ7313 04.5000 10/20/2049 | 0.07% |
| FHR 4500 GI IO 04.0000 08/15/2045 | 0.07% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.07% |
| SWPTN 6YX30Y P 3.195 USD 11/28/2025 BA | 0.07% |
| GNMA GII30 609117 04.5000 02/20/2044 | 0.06% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.06% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.06% |
| GNR 2020-15 CS IO 05.2771 12/02/2021 | 0.06% |
| SCRT 2019-4 M 04.5000 02/25/2059 | 0.06% |
| GNMA GII30 AJ4184 04.5000 09/20/2044 | 0.06% |
| GNR 2015-52 KI IO 03.5000 11/20/2040 | 0.06% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.06% |
| FHR 3408 EK 22.9578 04/15/2037 | 0.06% |
| FNR 12-118 PI IO 04.0000 06/25/2042 | 0.06% |
| FNR 2015-83 IO IO 04.0000 10/25/2043 | 0.06% |
| GNR 2015-H23 DI IO 01.9291 09/20/2065 | 0.06% |
| SWPTN 5YX10Y P 1.613 USD 08/27/2024 MS | 0.06% |
| FHR 4019 JI IO 04.0000 05/15/2041 | 0.06% |
| FNMA FN30 BC0960 UMBS 04.0000 06/01/2046 | 0.06% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.06% |
| STACR 2015-HQ1 M3 04.7466 03/25/2025 | 0.06% |
| 2.3075 R ISWP FWD US0003M P 02/02/2024 | 0.06% |
| FNR 2012-104 HI IO 04.0000 09/25/2027 | 0.06% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.06% |
| BALTA 2005-10 11A1 01.4466 01/25/2036 | 0.06% |
| CAS 2016-C05 2M2 05.3966 01/25/2029 | 0.06% |
| EMIR 2020-1 B1 04.9260 01/25/2030 | 0.06% |
| OMIR 2019-1A B1B 05.2966 07/25/2029 | 0.06% |
| GNMA GII30 BP7884 04.5000 01/20/2050 | 0.06% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.06% |
| SWPTN 3YX2Y P 1.245 USD 08/26/2022 CI | 0.06% |
| FNR 2005-122 SE 19.7868 11/25/2035 | 0.06% |
| GNMA GN30 AE8022 04.5000 12/15/2043 | 0.06% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.06% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.06% |
| FHR 4136 ES IO 05.5454 11/15/2042 | 0.06% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.06% |
| CAS 2016-C04 1B 11.1966 01/25/2029 | 0.05% |
| FNR 2012-151 PI IO 03.0000 01/25/2043 | 0.05% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.05% |
| FHR 4165 AI IO 03.5000 02/15/2043 | 0.05% |
| GNMA GII30 AJ4182 04.5000 09/20/2044 | 0.05% |
| GNMA GII30 AJ6287 04.0000 09/20/2044 | 0.05% |
| SAMI 2006-AR7 A1BG 01.0666 08/25/2036 | 0.05% |
| GNR 2015-24 AI IO 03.5000 12/20/2037 | 0.05% |
| GNR 2016-69 IO IO 04.0000 05/20/2046 | 0.05% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.05% |
| FNR 2013-55 KI IO 03.0000 04/25/2043 | 0.05% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.05% |
| GNR 2012-91 IN IO 04.5000 05/20/2042 | 0.05% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.05% |
| OMIR 2019-1A B1A 04.4466 07/25/2029 | 0.05% |
| CAS 2018-C01 1M2 03.1966 07/25/2030 | 0.05% |
| GNR 2013-165 IL IO 04.0000 03/20/2043 | 0.05% |
| FNR 2013-53 JI IO 03.0000 12/25/2041 | 0.04% |
| GNR 2014-174 AI IO 03.0000 11/16/2029 | 0.04% |
| SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA | 0.04% |
| 1.88 R ISWP FWD US0003M P 12/21/2030 | 0.04% |
| CAS 2019-R01 2B1 05.2966 07/25/2031 | 0.04% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.04% |
| GNMA GII30 BR2728 04.0000 12/20/2049 | 0.04% |
| GNMA GN30 AG8989 04.5000 05/15/2044 | 0.04% |
| 1.1175 R ISWP FWD US0003M P 03/27/2030 | 0.04% |
| CAS 2019-R02 1M2 03.2466 08/25/2031 | 0.04% |
| FNMA FN30 BD9219 UMBS 04.5000 10/01/2046 | 0.04% |
| GNMA GII30 AY2298 04.7000 05/20/2067 | 0.04% |
| FNR 2005-75 GS 17.4101 08/25/2035 | 0.04% |
| GNMA GII30 BB0107 04.7000 08/20/2067 | 0.04% |
| STACR 2019-DNA2 M2 03.3966 03/25/2049 | 0.04% |
| FNR 2014-28 AI IO 03.0000 03/25/2040 | 0.04% |
| GNMA GII30 BN1509 05.0000 05/20/2049 | 0.04% |
| GNMA GII30 BO8117 04.0000 08/20/2049 | 0.04% |
| GNMA GII30 BP5514 03.5000 09/20/2049 | 0.04% |
| GNMA GII30 BQ4111 03.5000 03/20/2050 | 0.04% |
| GNMA GII30 BQ4112 03.5000 03/20/2050 | 0.04% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.04% |
| SWPTN 5YX30Y P 1.04 USD 03/20/2025 TD | 0.04% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.04% |
| STACR 2017-DNA1 M2 04.1966 07/25/2029 | 0.04% |
| 2.57 R ISWP FWD US0003M P 02/02/2024 | 0.04% |
| CAS 2016-C03 2B 13.6966 10/25/2028 | 0.04% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.04% |
| GNMA GII30 BP7527 03.5000 10/20/2049 | 0.04% |
| FHR 3249 PS 19.9497 12/15/2036 | 0.04% |
| FHR 4201 JI IO 03.0000 12/15/2041 | 0.04% |
| RMIR 2020-1 B1 05.1690 02/25/2030 | 0.04% |
| FNR 2013-55 PI IO 03.0000 05/25/2042 | 0.04% |
| GNMA GII30 AL8543 04.0000 02/20/2045 | 0.04% |
| GNMA GN30 AG8984 04.5000 05/15/2044 | 0.04% |
| 0.6725 R ISWP US0003M P 03/16/2050 | 0.04% |
| GNMA GN30 704478 04.5000 04/15/2039 | 0.04% |
| IOS.FN30.550.08 R USL1M P 01/12/39 BC | 0.04% |
| FNMA FN30 AV7020 UMBS 03.5000 10/01/2044 | 0.03% |
| GNMA GII30 635065 04.5000 03/20/2046 | 0.03% |
| GNMA GII30 AQ6653 04.5000 09/20/2045 | 0.03% |
| GNMA GII30 609118 04.5000 02/20/2034 | 0.03% |
| GNR 2014-160 IB IO 03.0000 11/20/2040 | 0.03% |
| GNR 2016-156 PI IO 03.5000 11/20/2046 | 0.03% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.03% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.03% |
| FNMA FN30 MA2180 UMBS 04.0000 02/01/2045 | 0.03% |
| IOS.FN30.400.11 R USL1M P 01/12/42 BC | 0.03% |
| MBX.GII30.500.10 R USL1M P 01/12/41 BC | 0.03% |
| STACR 2019-HQA2 B2 12.1966 04/25/2049 | 0.03% |
| SWPTN 4YX10Y P 3.229 USD 11/30/2023 JP | 0.03% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CG | 0.03% |
| TREASURY BILL 00.0000 07/16/2020 | 0.03% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.03% |
| GNMA GII30 AW8447 04.3240 05/20/2067 | 0.03% |
| GNMA GII30 BQ1446 04.0000 09/20/2049 | 0.03% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.03% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.03% |
| FHR 4018 DI IO 04.5000 07/15/2041 | 0.03% |
| GNMA GII30 AO8363 04.0000 09/20/2045 | 0.03% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.03% |
| GNR 2014-102 IG IO 03.5000 03/16/2041 | 0.03% |
| GNR 2014-2 IL IO 04.0000 01/16/2044 | 0.03% |
| IOS.FN30.400.13 R USL1M P 01/12/44 CS | 0.03% |
| STACR 2015-DNA3 B 10.2966 04/25/2028 | 0.03% |
| FHR 4015 GI IO 04.0000 03/15/2027 | 0.03% |
| GNMA GII30 BP8088 03.5000 03/20/2050 | 0.03% |
| GNR 2010-20 SC IO 05.3771 02/20/2040 | 0.03% |
| GNR 2018-127 IB IO 04.5000 06/20/2045 | 0.03% |
| STACR 2019-DNA3 B2 09.0966 07/25/2049 | 0.03% |
| 1.07 R ISWP FWD US0003M P 04/02/2030 | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.02% |
| FHR 4024 PI IO 04.5000 12/15/2041 | 0.02% |
| GNR 2012-48 AI IO 03.5000 02/20/2036 | 0.02% |
| GNMA GII30 AK1223 04.0000 02/20/2045 | 0.02% |
| CAS 2020-R01 1B1 04.1966 01/25/2040 | 0.02% |
| FNR 2008-53 DO PO 00.0000 07/25/2038 | 0.02% |
| CMB CMBX.NA.BB.12 2061-08-17 500.0 08/17/2061 JP | 0.02% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.02% |
| FHLMC FR30 ZS0468 UMBS 07.5000 10/01/2029 | 0.02% |
| FNR 2005-83 QP 14.9328 11/25/2034 | 0.02% |
| GNMA GII30 AO8415 04.0000 10/20/2045 | 0.02% |
| GNMA GII30 BP7627 03.5000 11/20/2049 | 0.02% |
| SWPTN 11MX10Y R 2.764 USD 02/16/2021 MS | 0.02% |
| 0.7025 R ISWP FWD US0003M P 04/16/2050 | 0.02% |
| 2.5725 R ISWP FWD US0003M P 02/02/2024 | 0.02% |
| FNR 2011-123 KS IO 05.6534 10/25/2041 | 0.02% |
| FNR 2012-124 JI IO 03.5000 11/25/2042 | 0.02% |
| FNW 1998-W2 X IO 15.0458 06/25/2028 | 0.02% |
| GNMA GII30 BN1507 05.0000 05/20/2049 | 0.02% |
| GNMA GII30 BQ1550 04.0000 10/20/2049 | 0.02% |
| GNR 2014-141 CI IO 03.0000 03/20/2040 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.02% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML | 0.02% |
| FNMA FN30 AX2731 UMBS 04.5000 10/01/2044 | 0.02% |
| FNR 2013-30 IP IO 03.0000 10/25/2041 | 0.02% |
| GNMA GII30 BN1508 05.0000 05/20/2049 | 0.02% |
| STACR 2019-DNA2 B2 11.4466 03/25/2049 | 0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML | 0.02% |
| FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 | 0.02% |
| FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 | 0.02% |
| GNMA GII30 AO7326 04.6650 09/20/2065 | 0.02% |
| GNR 2015-99 TI IO 03.5000 04/20/2039 | 0.02% |
| GNR 2019-99 KS IO 05.2771 08/20/2049 | 0.02% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.02% |
| 1.03 R ISWP FWD US0003M P 03/17/2032 | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.02% |
| FNMA FN30 MA2242 UMBS 04.0000 04/01/2045 | 0.02% |
| FNR 2012-62 MI IO 04.0000 03/25/2041 | 0.02% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.02% |
| GNR 2015-24 IC IO 03.5000 11/20/2037 | 0.02% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BA | 0.02% |
| IOS.FN30.400.11 R USL1M P 01/12/42 CS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.02% |
| FNMA FN30 AX8877 UMBS 04.5000 12/01/2044 | 0.02% |
| FNMA FN30 AX8927 UMBS 04.5000 12/01/2044 | 0.02% |
| FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 | 0.02% |
| GNMA GII30 BN1510 05.5000 05/20/2049 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| MBX.GII30.450.10 R USL1M P 01/12/41 DE | 0.02% |
| STACR 2019-FTR3 B2 06.4268 09/25/2047 | 0.02% |
| SWPTN 3YX30Y P 2.983 USD 05/23/2022 GS | 0.02% |
| 0.717 R ISWP FWD US0003M P 03/11/2052 | 0.02% |
| CAS 2018-C03 1B1 04.6966 10/25/2030 | 0.02% |
| CAS 2020-R02 2B1 04.6609 01/25/2040 | 0.02% |
| GNMA GII30 BN1511 05.5000 05/20/2049 | 0.02% |
| GNMA GII30 BQ1549 04.0000 10/20/2049 | 0.02% |
| GNR 2019-78 SJ IO 05.2771 06/20/2049 | 0.02% |
| STACR 2017-HQA2 B1 05.6966 12/25/2029 | 0.02% |
| FHLMC FR30 ZS1312 UMBS 04.5000 01/01/2037 | 0.02% |
| FNR 2012-145 TI IO 03.0000 11/25/2042 | 0.02% |
| GNMA GII30 BP7740 03.5000 11/20/2049 | 0.02% |
| MBX.GII30.500.10 R USL1M P 01/12/41 CS | 0.02% |
| FNMA FN30 BA1056 UMBS 04.5000 11/01/2045 | 0.01% |
| FNMA FN30 BN3050 UMBS 05.0000 01/01/2049 | 0.01% |
| IOS.FN30.350.12 R USL1M P 01/12/43 BC | 0.01% |
| SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.01% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.01% |
| GNMA GII30 BM2417 03.5000 08/20/2049 | 0.01% |
| GNMA GII30 BP7324 03.5000 10/20/2049 | 0.01% |
| GNMA GII30 BP7505 03.5000 10/20/2049 | 0.01% |
| GNMA GII30 BP8086 03.5000 02/20/2050 | 0.01% |
| GNMA GII30 BP8087 03.5000 02/20/2050 | 0.01% |
| FHLMC FR30 ZN5756 UMBS 05.0000 04/01/2049 | 0.01% |
| FNMA FN30 BO3442 UMBS 05.0000 08/01/2049 | 0.01% |
| GNMA GII30 BT5534 05.0000 03/20/2050 | 0.01% |
| GNR 2014-4 IK IO 04.0000 07/20/2039 | 0.01% |
| IOS.FN30.350.13 R USL1M P 01/12/44 CS | 0.01% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.01% |
| 1.101 R ISWP FWD US0003M P 03/04/2031 | 0.01% |
| 1.977 R ISWP FWD US0003M P 01/24/2055 | 0.01% |
| FHS 304 C37 IO 03.5000 12/15/2027 | 0.01% |
| FNR 2007-44 CO PO 00.0000 05/25/2037 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.01% |
| CAS 2018-C04 2M2 03.4966 12/25/2030 | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS | 0.01% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | 0.01% |
| FNMA FN30 AA2892 UMBS 04.5000 03/01/2039 | 0.01% |
| FNR 2013-23 LI IO 03.0000 06/25/2041 | 0.01% |
| SWPTN 1YX5Y P 1.996 USD 01/14/2021 CI | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BA | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.01% |
| STACR 2019-HQA3 B1 03.9466 09/25/2049 | 0.01% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.01% |
| FNMA FN30 MA2216 UMBS 04.0000 03/01/2045 | 0.01% |
| GNMA GII30 BR7370 04.0000 01/20/2050 | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.01% |
| FHR 3996 IK IO 04.0000 03/15/2039 | 0.01% |
| FHR 4199 CI IO 03.5000 12/15/2037 | 0.01% |
| FNR 2003-34 P1 PO 00.0000 04/25/2043 | 0.01% |
| GNR 2011-71 IK IO 04.0000 04/16/2039 | 0.01% |
| IOS.FN30.400.09 R USL1M P 01/12/40 GS | 0.01% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.01% |
| 0.8725 R ISWP FWD US0003M P 03/10/2052 | 0.01% |
| FHR 3300 PO PO 00.0000 02/15/2037 | 0.01% |
| FHR 3391 PO PO 00.0000 04/15/2037 | 0.01% |
| FNW 1998-W5 X IO 00.7177 07/25/2028 | 0.01% |
| GNR 2010-114 MI IO 04.0000 03/20/2039 | 0.01% |
| 0.73705 R ISWP US0003M P 03/27/2030 | 0.00% |
| 0.8625 R ISWP US0003M P 03/16/2050 | 0.00% |
| FNMA FN30 AS5038 UMBS 04.0000 05/01/2045 | 0.00% |
| FNMA FN30 BC0390 UMBS 04.5000 12/01/2045 | 0.00% |
| GNMA GII30 2987 07.5000 10/20/2030 | 0.00% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | 0.00% |
| FNW 2003-W3 1A4 04.0183 08/25/2042 | 0.00% |
| FSPC T-48 AIO2 IO 00.2120 07/25/2033 | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.00% |
| SWPTN 1MX10Y P 0.895 USD 04/20/2020 UB | 0.00% |
| SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS | 0.00% |
| FHLMC FR30 ZS1526 UMBS 04.5000 06/01/2037 | 0.00% |
| FHR 3175 MO PO 00.0000 06/15/2036 | 0.00% |
| FHR 3326 WF 00.0000 10/15/2035 | 0.00% |
| FNMA FN15 888594 06.0000 08/01/2022 | 0.00% |
| FNMA FN30 AY3392 UMBS 04.0000 04/01/2045 | 0.00% |
| FNR 2007-64 LO PO 00.0000 07/25/2037 | 0.00% |
| FNR 2008-36 OV PO 00.0000 01/25/2036 | 0.00% |
| FSPC T-59 1AX IO 00.2796 10/25/2043 | 0.00% |
| GNR 2011-81 SB IO 06.0004 11/16/2036 | 0.00% |
| GNR 2018-127 ID IO 05.0000 07/20/2045 | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| SWPTN 2YX30Y P 2.904 USD 05/24/2021 MS | 0.00% |
| 0.4921 R ISWP US0003M P 04/01/2022 | 0.00% |
| 0.495 R ISWP US0003M P 04/01/2022 | 0.00% |
| FHR 3117 AF 00.0000 02/15/2036 | 0.00% |
| FNMA FN15 891706 06.0000 07/01/2021 | 0.00% |
| FNMA FN30 AY1318 UMBS 04.0000 03/01/2045 | 0.00% |
| FNR 2001-50 BI IO 00.3770 10/25/2041 | 0.00% |
| FNW 2003-W14 2A 04.3942 01/25/2043 | 0.00% |
| FSPC T-57 2A1 04.0213 07/25/2043 | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| SWPTN 1YX5Y P 1.629 USD 01/14/2021 CI | 0.00% |
| SWPTN 8WX10Y P 1.12625 USD 04/27/2020 TD | 0.00% |
| 1.07 R ISWP FWD US0003M P 03/24/2032 | 0.00% |
| FHR 3210 PO PO 00.0000 05/15/2036 | 0.00% |
| FNMA FN15 893456 06.0000 09/01/2021 | 0.00% |
| FNR 2001-79 BI IO 00.2731 03/25/2045 | 0.00% |
| FNR 2007-14 KO PO 00.0000 03/25/2037 | 0.00% |
| FNW 2004-W2 4A 04.1388 02/25/2044 | 0.00% |
| FNW 2004-W7 A2 04.6715 03/25/2034 | 0.00% |
| FSPC T-59 2A1 03.8902 10/25/2043 | 0.00% |
| FSPC T-8 A9 IO 00.4208 11/15/2028 | 0.00% |
| GNMA GIIARM 8913 03.2500 07/20/2026 | 0.00% |
| GNR 2006-36 OD PO 00.0000 07/16/2036 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.400.09 R USL1M P 01/12/40 DE | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.00% |
| IOS.FN30.450.09 R USL1M P 01/12/40 BC | 0.00% |
| IOS.FN30.500.09 R USL1M P 01/12/40 BC | 0.00% |
| IOS.FN30.500.09 R USL1M P 01/12/40 DE | 0.00% |
| 0.70792 R ISWP US0003M P 03/11/2030 | 0.00% |
| 0.7178 R ISWP US0003M P 03/27/2030 | 0.00% |
| 0.968 R ISWP FWD US0003M P 03/24/2035 | 0.00% |
| FHLMC FR15 ZS5132 UMBS 06.0000 09/01/2021 | 0.00% |
| FHR 3206 EO PO 00.0000 08/15/2036 | 0.00% |
| FHR 3314 PO PO 00.0000 11/15/2036 | 0.00% |
| FHR 3369 BO PO 00.0000 09/15/2037 | 0.00% |
| FNMA FN15 745502 06.0000 04/01/2021 | 0.00% |
| FNMA FN15 746111 06.0000 09/01/2021 | 0.00% |
| FNMA FN15 823534 05.5000 07/01/2020 | 0.00% |
| FNMA FN15 829041 05.5000 07/01/2020 | 0.00% |
| FNMA FN15 829091 04.0000 09/01/2020 | 0.00% |
| FNMA FN15 831317 05.0000 03/01/2021 | 0.00% |
| FNMA FN15 831496 06.0000 05/01/2021 | 0.00% |
| FNMA FN15 833587 05.5000 09/01/2020 | 0.00% |
| FNMA FN15 836615 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 840106 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 843104 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 847073 05.5000 08/01/2020 | 0.00% |
| FNMA FN15 849103 05.5000 01/01/2021 | 0.00% |
| FNMA FN15 852535 05.5000 01/01/2021 | 0.00% |
| FNMA FN15 872585 06.0000 04/01/2021 | 0.00% |
| FNMA FN15 879632 06.0000 06/01/2021 | 0.00% |
| FNMA FN15 880974 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 880975 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 887261 06.0000 07/01/2021 | 0.00% |
| FNMA FN15 894310 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 894829 06.0000 09/01/2021 | 0.00% |
| FNMA FN15 896560 06.0000 07/01/2021 | 0.00% |
| FNMA FN15 917693 06.0000 04/01/2022 | 0.00% |
| FNR 2006-125 OX PO 00.0000 01/25/2037 | 0.00% |
| FNR 2006-46 OC PO 00.0000 06/25/2036 | 0.00% |
| FNR 2006-84 OT PO 00.0000 09/25/2036 | 0.00% |
| FNW 2003-W11 A1 04.7244 06/25/2033 | 0.00% |
| GNMA GN30 497455 06.0000 01/15/2029 | 0.00% |
| GNMA GN30 645703 05.5000 08/15/2035 | 0.00% |
| GSMPS 1999-2 IO IO 00.8396 09/19/2027 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | 0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 GS | 0.00% |
| OPTN FN30 3.0 04/08/20 PUT 101.90625 JPMC | 0.00% |
| OPTN FN30 3.0 04/08/20 PUT 103.0 JPMC | 0.00% |
| OPTN FN30 3.5 04/08/20 PUT 104.03125 JPMC | 0.00% |
| OPTN FN30 4.0 04/08/20 PUT 105.625 JPMC | 0.00% |
| OPTN GII30 3.5 04/08/20 PUT 103.71875 JPMC | 0.00% |
| OPTN GII30 4.0 04/08/20 PUT 102.8125 JPMC | 0.00% |
| STACR 2016-HQA1 M3 07.2966 09/25/2028 | 0.00% |
| SWPTN 11MX3Y P 2.975 USD 11/30/2020 JP | 0.00% |
| SWPTN 12MX1Y P 1.316 USD 10/13/2020 CI | 0.00% |
| SWPTN 1YX1Y P 1.5025 USD 10/19/2020 UB | 0.00% |
| SWPTN 5WX10Y P 1.123 USD 03/31/2020 GS | 0.00% |
| SWPTN 5WX2Y P 0.956 USD 03/31/2020 GS | 0.00% |
| SWPTN 6WX30Y P 1.465 USD 04/08/2020 BA | 0.00% |
| SWPTN 6WX5Y P 1.17 USD 04/08/2020 BA | 0.00% |
| SWPTN 8WX2Y P 0.92 USD 04/27/2020 TD | 0.00% |
| 0.71439 R ISWP US0003M P 03/27/2030 | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| IOS.FN30.450.09 P USL1M R 01/12/40 DE | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 CI | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 CS | -0.00% |
| SWPTN 2YX5Y P 2.664 USD 05/24/2021 MS | -0.00% |
| 0.7165 R ISWP US0003M P 03/11/2030 | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| OPTN GII30 3.0 05/06/20 PUT 104.5625 JPMC | -0.00% |
| SWPTN 3YX1Y P 1.333 USD 01/30/2023 JP | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| IOS.FN30.350.12 P USL1M R 01/12/43 JP | -0.00% |
| SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| 0.4825 R ISWP US0003M P 04/01/2025 | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| SWPTN 11MX13Y P 3.162 USD 11/30/2020 JP | -0.00% |
| 0.6045 R ISWP US0003M P 03/18/2025 | -0.01% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS | -0.01% |
| 2.25 R ISWP FWD US0003M P 07/05/2052 | -0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.01% |
| SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA | -0.01% |
| 0.745 R ISWP US0003M P 03/17/2025 | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| SWPTN 3YX5Y P 2.823 USD 05/23/2022 GS | -0.01% |
| 0.98 R ISWP US0003M P 03/23/2030 | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | -0.01% |
| SWPTN 11MX10Y P 2.764 USD 02/16/2021 MS | -0.01% |
| SWPTN 1YX10Y P 1.805 USD 01/14/2021 CI | -0.01% |
| 0.655 R ISWP US0003M P 03/31/2030 | -0.01% |
| 1.00 R ISWP US0003M P 03/23/2030 | -0.01% |
| 1.275 R ISWP FWD US0003M P 03/07/2050 | -0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | -0.01% |
| 1.02 R ISWP US0003M P 03/23/2030 | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.01% |
| IOS.FN30.350.13 P US0001M R 01/12/44 JP | -0.01% |
| 0.8225 R ISWP US0003M P 03/19/2050 | -0.01% |
| 0.8385 R ISWP US0003M P 03/30/2050 | -0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.01% |
| 2.035 R ISWP FWD US0003M P 01/22/2031 | -0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | -0.01% |
| 0.744 R ISWP US0003M P 03/17/2025 | -0.02% |
| 0.747 R ISWP US0003M P 03/19/2025 | -0.02% |
| 0.7495 R ISWP US0003M P 03/17/2025 | -0.02% |
| 0.761 R ISWP US0003M P 03/17/2025 | -0.02% |
| 0.7615 R ISWP US0003M P 03/17/2025 | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| 0.774 R ISWP US0003M P 03/17/2025 | -0.02% |
| SWPTN 1YX10Y P 2.13 USD 12/17/2020 GS | -0.02% |
| SWPTN 5YX30Y R 1.17 USD 03/13/2025 TD | -0.02% |
| 0.62658 R ISWP US0003M P 04/01/2030 | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| SWPTN 3YX1Y R 1.333 USD 01/30/2023 JP | -0.02% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.02% |
| 0.775 R ISWP US0003M P 03/19/2050 | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.02% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | -0.02% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 JP | -0.02% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| 0.7575 R ISWP US0003M P 03/19/2050 | -0.02% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| SWPTN 5YX30Y P 1.17 USD 03/13/2025 TD | -0.02% |
| 2.032 R ISWP US0003M P 01/16/2055 | -0.02% |
| SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS | -0.02% |
| SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS | -0.02% |
| 1.5095 R ISWP FWD US0003M P 08/28/2030 | -0.02% |
| 2.0625 R ISWP FWD US0003M P 06/22/2030 | -0.02% |
| 0.876 R ISWP US0003M P 03/17/2030 | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.03% |
| SWPTN 4YX10Y P 2.9425 USD 02/13/2024 GS | -0.03% |
| 0.8775 R ISWP US0003M P 03/17/2030 | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.03% |
| SWPTN 1MX10Y R 0.895 USD 04/20/2020 UB | -0.03% |
| IOS.FN30.550.08 P USL1M R 01/12/39 GS | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.03% |
| 0.7905 R ISWP US0003M P 03/20/2025 | -0.03% |
| SWPTN 1MX10Y R 0.7275 USD 04/20/2020 UB | -0.03% |
| SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA | -0.03% |
| 1.265 R ISWP FWD US0003M P 03/04/2052 | -0.04% |
| SWPTN 5YX10Y P 0.968 USD 03/20/2025 JP | -0.04% |
| SWPTN 5YX10Y R 0.968 USD 03/20/2025 JP | -0.04% |
| SWPTN 5YX2Y P 1.05 USD 03/20/2025 TD | -0.04% |
| SWPTN 7YX5Y P 1.07 USD 03/22/2027 JP | -0.04% |
| 1.09 R ISWP FWD US0003M P 03/27/2030 | -0.04% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS | -0.04% |
| OPTN FN30 2.5 05/06/20 PUT 102.8125 JPMC | -0.04% |
| SWPTN 7YX5Y R 1.07 USD 03/22/2027 JP | -0.04% |
| SWPTN 3YX10Y P 1.512 USD 08/30/2022 MS | -0.04% |
| 0.86 R ISWP US0003M P 03/16/2030 | -0.04% |
| 0.7525 R ISWP US0003M P 03/23/2025 | -0.04% |
| 0.771 R ISWP US0003M P 03/23/2025 | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.05% |
| SWPTN 1YX2Y P 1.5775 USD 09/14/2020 MS | -0.05% |
| 2.3075 R ISWP FWD US0003M P 06/22/2052 | -0.05% |
| SWPTN 5YX30Y P 2.032 USD 01/14/2025 JP | -0.05% |
| SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP | -0.05% |
| 2.528 R ISWP FWD US0003M P 02/02/2024 | -0.05% |
| 1.9665 R ISWP FWD US0003M P 07/06/2030 | -0.05% |
| IOS.FN30.500.10 P USL1M R 01/12/41 BC | -0.05% |
| IOS.FN30.500.10 P USL1M R 01/12/41 CS | -0.05% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.06% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.06% |
| SWPTN 5YX30Y P 1.727 USD 01/22/2025 GS | -0.06% |
| IOS.FN30.500.10 P USL1M R 01/12/41 GS | -0.06% |
| IOS.FN30.500.10 P USL1M R 01/12/41 JP | -0.06% |
| SWPTN 7YX10Y P 1.9875 USD 10/19/2026 UB | -0.06% |
| SWPTN 3YX2Y R 1.245 USD 08/26/2022 CI | -0.06% |
| 0.68 R ISWP FWD US0003M P 09/08/2021 | -0.06% |
| SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI | -0.06% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | -0.06% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS | -0.07% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | -0.07% |
| SWPTN 10YX10Y P 1.865 USD 10/10/2029 CI | -0.07% |
| IOS.FN30.650.67 P USL1M R 01/12/38 BC | -0.07% |
| SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP | -0.07% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.07% |
| SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS | -0.07% |
| SWPTN 9MX1Y R 0.83 USD 10/30/2020 JP | -0.07% |
| SWPTN 6YX30Y P 2.8025 USD 04/24/2026 MS | -0.08% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.09% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS | -0.09% |
| SWPTN 6MX30Y R 0.442 USD 09/23/2020 JP | -0.09% |
| SWPTN 9YX10Y P 3.312 USD 11/27/2028 BA | -0.09% |
| 0.571 R ISWP FWD US0003M P 10/15/2021 | -0.10% |
| SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA | -0.10% |
| SWPTN 5YX10Y P 1.6125 USD 08/27/2024 UB | -0.10% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.10% |
| 1.771 R ISWP US0003M P 01/16/2030 | -0.10% |
| 1.733 R ISWP FWD US0003M P 02/07/2024 | -0.10% |
| SWPTN 3YX2Y P 2.2275 USD 05/16/2022 BA | -0.11% |
| 2.6785 R ISWP US0003M P 02/13/2029 | -0.11% |
| 1.744 R ISWP US0003M P 01/08/2030 | -0.12% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 ML | -0.13% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.13% |
| 1.4765 R ISWP US0003M P 02/18/2030 | -0.13% |
| 1.626 R ISWP FWD US0003M P 09/12/2052 | -0.14% |
| 1.58 R ISWP FWD US0003M P 03/18/2025 | -0.14% |
| 1.748 R ISWP FWD US0003M P 01/31/2030 | -0.14% |
| SWPTN 20MX5Y R 1.3 USD 08/27/2021 UB | -0.14% |
| SWPTN 1YX10Y R 0.7785 USD 03/02/2021 JP | -0.15% |
| SWPTN 1YX5Y P 1.765 USD 06/26/2020 CI | -0.15% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.15% |
| SWPTN 1YX5Y P 1.755 USD 06/29/2020 GS | -0.15% |
| 1.7025 R ISWP US0003M P 12/23/2021 | -0.17% |
| SWPTN 11MX3Y R 2.975 USD 11/30/2020 JP | -0.17% |
| SWPTN 3YX10Y R 1.512 USD 08/30/2022 MS | -0.18% |
| 1.7505 R ISWP FWD US0003M P 01/31/2030 | -0.18% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.21% |
| SWPTN 10YX10Y R 1.865 USD 10/10/2029 CI | -0.21% |
| 2.184 R ISWP FWD US0003M P 12/07/2030 | -0.22% |
| 1.755 R ISWP US0003M P 01/23/2030 | -0.22% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | -0.22% |
| 1.73 R ISWP FWD US0003M P 03/18/2030 | -0.23% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 DE | -0.24% |
| SWPTN 7YX10Y R 1.9875 USD 10/19/2026 UB | -0.25% |
| 2.2685 R ISWP FWD US0003M P 07/22/2052 | -0.28% |
| 1.9185 R ISWP FWD US0003M P 08/08/2052 | -0.29% |
| 2.67 R ISWP FWD US0003M P 03/28/2052 | -0.30% |
| 2.44 R ISWP FWD US0003M P 03/26/2030 | -0.30% |
| 2.098 R ISWP FWD US0003M P 03/04/2030 | -0.32% |
| IOS.FN30.400.11 P USL1M R 01/12/42 JP | -0.34% |
| 1.98 R ISWP FWD US0003M P 03/18/2050 | -0.34% |
| 1.525 R ISWP US0003M P 02/13/2030 | -0.34% |
| 2.647 R ISWP FWD US0003M P 03/16/2030 | -0.36% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | -0.36% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.37% |
| SWPTN 1YX10Y R 1.805 USD 01/14/2021 CI | -0.37% |
| GNMA GII30 TBA 03.5000 04/01/2050 | -0.39% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.40% |
| 2.1935 R ISWP FWD US0003M P 12/14/2030 | -0.41% |
| SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS | -0.45% |
| SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS | -0.46% |
| 2.4105 R ISWP FWD US0003M P 06/14/2052 | -0.48% |
| SWPTN 4YX10Y R 3.229 USD 11/30/2023 JP | -0.49% |
| 1.8252 R ISWP US0003M P 12/17/2029 | -0.50% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | -0.50% |
| 1.50 R ISWP US0003M P 09/30/2024 | -0.51% |
| 1.53 R ISWP US0003M P 10/01/2024 | -0.52% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.54% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.55% |
| SWPTN 9YX30Y R 2.7875 USD 04/24/2029 MS | -0.83% |
| SWPTN 4YX10Y R 2.9425 USD 02/13/2024 GS | -0.89% |
| 3.065 R ISWP FWD US0003M P 01/03/2029 | -0.91% |
| 2.7225 R ISWP US0003M P 02/20/2030 | -1.17% |
| 2.715 R ISWP US0003M P 03/02/2030 | -1.18% |
| SWPTN 6YX30Y R 3.195 USD 11/28/2025 BA | -1.47% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -1.50% |
| 1.625 R ISWP FWD US0003M P 03/18/2025 | -2.05% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -2.40% |
| 1.60 R ISWP FWD US0003M P 03/18/2022 | -3.45% |
| US 5YR NOTE (CBT) JUN20 FVM0 | -3.68% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -4.38% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -5.86% |
| GNMA GII30 TBA 04.0000 03/01/2050 | 11.11% |
|---|---|
| FNMA FN30 TBA UMBS 03.0000 03/01/2050 | 8.57% |
| FNMA FN30 TBA UMBS 04.5000 03/01/2050 | 8.54% |
| REPO TRIPA MORTG 1.6 03/02/2020 | 8.05% |
| FNMA FN30 TBA UMBS 05.5000 03/01/2050 | 6.05% |
| FNMA FN30 AB8804 UMBS 02.5000 03/01/2043 | 5.58% |
| FNMA FN30 TBA UMBS 03.0000 04/01/2050 | 5.27% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 3.95% |
| GNMA GII30 TBA 04.5000 03/01/2050 | 3.59% |
| REPO TRIPA MORTG 1.61 03/02/2020 | 3.56% |
| FNR 2007-95 A3 01.9109 08/27/2036 | 2.58% |
| US 2YR NOTE (CBT) JUN20 TUM0 | 2.54% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 1.86% |
| MBX.GII30.500.10 R USL1M P 01/12/41 BC | 1.69% |
| TREASURY BILL 00.0000 06/11/2020 | 1.58% |
| FHS 315 PO PO 00.0000 09/15/2043 | 1.40% |
| FNMA FN30 TBA UMBS 06.0000 03/01/2049 | 1.35% |
| 1.75 R ISWP FWD US0003M P 03/18/2030 | 1.25% |
| SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS | 1.14% |
| SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS | 1.13% |
| 2.00 R ISWP FWD US0003M P 03/18/2050 | 1.08% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 0.98% |
| BAYV 2006-C 1A3 06.0280 11/28/2036 | 0.88% |
| CARR 2006-NC2 A4 01.8668 06/25/2036 | 0.88% |
| MSC 2011-C3 E P/P 144A 05.2445 07/15/2049 | 0.86% |
| CAS 2017-C05 1B1 05.2268 01/25/2030 | 0.86% |
| STACR 2018-DNA1 B1 04.7768 07/25/2030 | 0.83% |
| FNR 2016-85 SL IO 04.4733 11/25/2046 | 0.76% |
| STACR 2016-DNA3 M3 06.6268 12/25/2028 | 0.75% |
| STACR 2018-DNA2 B1 05.3268 12/25/2030 | 0.73% |
| CWL 2007-10 1A1 01.8068 06/25/2047 | 0.72% |
| TREASURY BILL 00.0000 03/12/2020 | 0.71% |
| MCAS 2019-01 M10 P/P 144A 04.8768 10/15/2049 | 0.70% |
| CAS 2018 - C01 1B1 05.1768 07/25/2030 | 0.67% |
| DBUBS 2011-LC3A D P/P 144A 05.3344 08/10/2044 | 0.66% |
| STACR 2019-DNA1 B2 12.3768 01/25/2049 | 0.65% |
| SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA | 0.62% |
| TREASURY BILL 00.0000 05/07/2020 | 0.62% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.61% |
| FNR 2016-83 BS IO 04.4733 11/25/2046 | 0.60% |
| 3.096 R ISWP US0003M P 12/03/2029 | 0.57% |
| TREASURY BILL 00.0000 04/16/2020 | 0.57% |
| WFRBS 2012-C9 D P/P 144A 04.8108 11/15/2045 | 0.57% |
| US ULTRA BOND CBT JUN20 WNM0 | 0.55% |
| WAMU 2005-AR14 1A2 03.8382 12/25/2035 | 0.53% |
| CAS 2018-C02 2M2 03.8268 08/25/2030 | 0.53% |
| 3.312 R ISWP US0003M P 11/08/2048 | 0.52% |
| FNR 2018-36 SD IO 04.6233 06/25/2048 | 0.52% |
| SWPTN 9YX10Y R 3.312 USD 11/27/2028 BA | 0.52% |
| FNR 2016-81 SA IO 04.5233 11/25/2046 | 0.52% |
| UBSCM 2012-C1 D P/P 144A 05.5702 05/10/2045 | 0.50% |
| GSMS 2014-GC24 D P/P 144A 04.5323 09/10/2047 | 0.50% |
| BF0101 03.5000 06/01/2056 | 0.49% |
| SPST 2019-3 A 02.3289 06/24/2020 | 0.49% |
| GNR 2016-H11 HI IO 02.0996 01/20/2066 | 0.49% |
| AHM 2007-1 GA1C 01.8168 05/25/2047 | 0.48% |
| CAS 2018-C04 2M2 04.1768 12/25/2030 | 0.48% |
| SPST 2019-7 A 02.3289 09/24/2020 | 0.48% |
| SWPTN 6YX30Y R 2.8025 USD 04/24/2026 MS | 0.46% |
| CAS 2017-C06 2B1 06.0768 02/25/2030 | 0.46% |
| GSMS 2014-GC18 C 04.9889 01/10/2047 | 0.45% |
| SPST 2020-2 A 00.0000 03/26/2021 | 0.45% |
| GNR 2016-H23 NI IO 02.5513 10/20/2066 | 0.45% |
| CAS 2017-C07 1B1 05.6268 05/25/2030 | 0.44% |
| GNMA GII30 TBA 03.0000 03/01/2050 | 0.44% |
| JPMBB 2013-C14 D P/P 144A 04.7019 08/15/2046 | 0.44% |
| CAS 2017-C06 1B1 05.7768 02/25/2030 | 0.43% |
| TREASURY BILL 00.0000 04/02/2020 | 0.43% |
| CAS 2016-C03 1B 13.3768 10/25/2028 | 0.43% |
| GNR 2017-H20 AI IO 02.3543 10/20/2067 | 0.43% |
| MRAIT 2020-2 A 01.1500 10/22/2020 | 0.42% |
| GNR 2016-H07 PI IO 02.2782 03/20/2066 | 0.42% |
| BMIR 2017-1 M2 P/P 144A 04.9768 10/25/2027 | 0.41% |
| CAS 2017-C01 1M2 05.1768 07/25/2029 | 0.41% |
| FN BF0091 | 0.41% |
| GNR 2019-125 SG IO 04.4030 10/20/2049 | 0.41% |
| STACR 2019-HQA1 M2 03.9768 02/25/2049 | 0.40% |
| FNR 2016-8 SA IO 04.4233 03/25/2046 | 0.40% |
| OPTN FN30 3.0 03/05/20 CALL 101.96875 JPMC | 0.40% |
| MWST 2018-W1 A 02.4768 11/25/2051 | 0.39% |
| STACR 2018-HQA1 M2 03.9268 09/25/2030 | 0.39% |
| SWPTN 11MX13Y R 3.162 USD 11/30/2020 JP | 0.39% |
| FNR 2016-50 SM IO 04.4733 08/25/2046 | 0.38% |
| GNR 2016-H27 GI IO 02.3852 12/20/2066 | 0.37% |
| 1.57 R ISWP US0003M P 02/18/2030 | 0.37% |
| 3.073 R ISWP FWD US0003M P 03/04/2029 | 0.37% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.37% |
| GNR 2013-87 SA IO 04.5530 06/20/2043 | 0.36% |
| GNR 2017-H03 KI IO 02.2781 01/20/2067 | 0.36% |
| COMM 2014-CR17 D P/P 144A 04.8476 05/10/2047 | 0.36% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.36% |
| GNR 2017-H25 CI IO 02.3738 12/20/2067 | 0.36% |
| FHR 3065 DC 14.8845 03/15/2035 | 0.36% |
| GNR 2019-121 SD IO 04.3530 10/20/2049 | 0.36% |
| STACR 2015-HQA1 B 10.4268 03/25/2028 | 0.36% |
| UBSC 2011-C1 D P/P 144A 06.0504 01/10/2045 | 0.35% |
| STRU BC-6764 IO IO 04.0000 07/20/2045 | 0.35% |
| GNR 2017-H06 MI IO 01.6776 02/20/2067 | 0.34% |
| FNR 2017-104 SL IO 04.5233 01/25/2048 | 0.34% |
| STACR 2019-DNA4 B2 07.8768 10/25/2049 | 0.34% |
| GNMA GII30 BS2396 04.5000 12/20/2049 | 0.34% |
| CAS 2017-C07 2B1 06.0768 05/25/2030 | 0.33% |
| GNR 2015-H22 AI IO 02.1517 09/20/2065 | 0.33% |
| FNR 2010-109 IM IO 05.5000 09/25/2040 | 0.33% |
| STACR 2017-HQA2 M2 04.2768 12/25/2029 | 0.33% |
| OMIR 2018-1A M2 04.4768 07/25/2028 | 0.32% |
| GNR 2013-6 OI IO 05.0000 01/20/2043 | 0.32% |
| CAS 2016-C03 1M2 06.9268 10/25/2028 | 0.31% |
| GNR 2018-H01 XI IO 02.3356 01/20/2068 | 0.30% |
| TREASURY BILL 00.0000 06/04/2020 | 0.30% |
| CAS 2018-C06 1B1 05.3768 03/25/2031 | 0.30% |
| MWST 2019-1 A 02.4268 06/25/2052 | 0.30% |
| CAS 2018-C04 2B1 06.1268 12/25/2030 | 0.30% |
| GNR 2016-H13 IK IO 02.6233 06/20/2066 | 0.30% |
| MSBAM 2013-C12 E P/P 144A 04.7657 10/15/2046 | 0.30% |
| CAS 2018-C03 1M2 03.7768 10/25/2030 | 0.29% |
| GNR 2015-H20 CI IO 02.4139 08/20/2065 | 0.29% |
| GNR 2019-158 AS IO 04.4915 09/16/2043 | 0.29% |
| FNR 2019-58 SA IO 04.4233 10/25/2049 | 0.29% |
| JPMCC 2013-LC11 D 04.1676 04/15/2046 | 0.29% |
| GNR 2016-H18 QI IO 03.1041 06/20/2066 | 0.28% |
| GNR 2017-H08 GI IO 02.2071 02/20/2067 | 0.28% |
| JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 | 0.28% |
| GNR 2018-H04 JI IO 01.9287 03/20/2068 | 0.28% |
| SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA | 0.28% |
| FNMA FN30 AV7052 UMBS 03.5000 03/01/2045 | 0.27% |
| SWPTN 1YX5Y R 1.765 USD 06/26/2020 CI | 0.27% |
| CWALT 2006-OA19 A1 01.8270 02/20/2047 | 0.27% |
| SWPTN 1YX5Y R 1.755 USD 06/29/2020 GS | 0.27% |
| FNR 2008-24 SP 17.3186 02/25/2038 | 0.26% |
| GNMA GII30 AI6258 04.5000 05/20/2044 | 0.26% |
| OPTN FN30 3.5 03/05/20 CALL 103.140625 JPMC | 0.26% |
| COMM 2013-LC13 D P/P 144A 05.2874 08/10/2046 | 0.26% |
| COMM 2012-CR4 B P/P 144A 03.7030 10/15/2045 | 0.26% |
| GNR 2017-H08 EI IO 01.6145 02/20/2067 | 0.26% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.25% |
| GNR 2012-38 MI IO 04.0000 03/20/2042 | 0.25% |
| GNR 2019-83 SL IO 04.4530 07/20/2049 | 0.25% |
| FHR 3835 FO PO 00.0000 04/15/2041 | 0.25% |
| GNR 2017-H04 BI IO 01.6842 02/20/2067 | 0.25% |
| FNR 2018-20 SB IO 04.6233 03/25/2048 | 0.25% |
| GNR 2015-H10 HI IO 02.7658 04/20/2065 | 0.25% |
| GNR 2016-H17 DI IO 02.5351 07/20/2066 | 0.24% |
| CAS 2017-C02 2B1 07.1268 09/25/2029 | 0.24% |
| GNMA GN30 AM4380 04.0000 05/15/2045 | 0.24% |
| BMIR 2018-2A M1C P/P 144A 03.2268 08/25/2028 | 0.24% |
| GNR 2015-H22 GI IO 02.5841 09/20/2065 | 0.24% |
| TREASURY BILL 00.0000 04/09/2020 | 0.24% |
| FHR 4621 QI IO 03.5000 10/15/2046 | 0.24% |
| FNR 2016-70 QI IO 03.5000 10/25/2046 | 0.23% |
| FNR 2019-45 SD IO 04.4233 08/25/2049 | 0.23% |
| SPST 2019-11 A 02.3789 10/24/2020 | 0.23% |
| FNR 2017-32 IP IO 04.5000 05/25/2047 | 0.23% |
| FNMA FN30 AV7059 UMBS 03.5000 04/01/2045 | 0.23% |
| JPALT 2006-A6 1A1 01.7868 11/25/2036 | 0.23% |
| MBX.FN30.500.10 R USL1M P 01/12/41 GS | 0.23% |
| FNMA FN30 AX5555 UMBS 03.5000 10/01/2046 | 0.23% |
| GNR 2013-39 IJ IO 04.5000 03/20/2043 | 0.22% |
| GNR 2016-H24 IO IO 02.1344 09/20/2066 | 0.22% |
| FHR 4953 AI IO 04.0000 02/25/2050 | 0.22% |
| GNR 2010-35 DI IO 04.5000 03/20/2040 | 0.22% |
| FNR 2015-58 KI IO 06.0000 03/25/2037 | 0.22% |
| GNR 2011-156 SK IO 04.9530 04/20/2038 | 0.22% |
| NHLT 2019-2A M4 P/P 144A 05.6822 11/26/2029 | 0.22% |
| 1.7945 R ISWP US0003M P 12/18/2029 | 0.22% |
| MSC 2012-C4 E P/P 144A 05.4192 03/15/2045 | 0.22% |
| STACR 2014-DN4 M3 06.1768 10/25/2024 | 0.22% |
| MSBAM 2013-C10 F P/P 144A 04.0827 07/15/2046 | 0.22% |
| GNR 2016-H10 AI IO 01.9442 04/20/2066 | 0.22% |
| JPMCC 2011-C3 D P/P 144A 05.6640 02/15/2046 | 0.21% |
| STACR 2018-HQA2 B2 12.6268 10/25/2048 | 0.21% |
| GNR 2018-H02 IM IO 01.3944 02/20/2068 | 0.21% |
| GNR 2019-35 SE IO 04.4915 01/16/2044 | 0.21% |
| JPMCC 2010-C2 D P/P 144A 05.6352 11/15/2043 | 0.21% |
| GNR 2015-H13 AI IO 02.6853 06/20/2065 | 0.21% |
| UBSCM 2012-C1 E P/P 144A 05.0000 05/10/2045 | 0.21% |
| GNMA GII30 AH8784 04.5000 06/20/2034 | 0.21% |
| GNR 2015-H23 TI IO 01.9110 09/20/2065 | 0.20% |
| GNR 2017-H08 NI IO 02.0575 03/20/2067 | 0.20% |
| GNR 2019-100 JS IO 04.4530 08/20/2049 | 0.20% |
| WFRBS 2012-C9 E P/P 144A 04.8108 11/15/2045 | 0.20% |
| GNR 2015-H04 AI IO 01.6731 12/20/2064 | 0.20% |
| FNR 2017-19 IH IO 05.0000 03/25/2047 | 0.20% |
| MLCFC 2006-4 C 05.3240 12/12/2049 | 0.20% |
| JPMBB 2014-C19 D P/P 144A 04.6786 04/15/2047 | 0.19% |
| STACR 2017-DNA2 M2 05.0768 10/25/2029 | 0.19% |
| FNR 2018-51 BI IO 05.5000 07/25/2038 | 0.19% |
| GNR 2017-H10 MI IO 01.7602 04/20/2067 | 0.19% |
| GNR 2014-H21 AI IO 01.7523 10/20/2064 | 0.19% |
| FNR 2018-47 SA IO 04.6233 07/25/2048 | 0.18% |
| GNR 2015-89 LI IO 05.0000 12/20/2044 | 0.18% |
| FNR 2015-86 MI IO 05.5000 11/25/2045 | 0.18% |
| GNR 2013-67 IP IO 04.0000 04/16/2043 | 0.18% |
| GSMS 2014-GC22 C 04.6906 06/10/2047 | 0.18% |
| BMIR 2019-4A B1 P/P 144A 05.4768 10/25/2029 | 0.18% |
| GNR 2016-H03 AI IO 01.8206 01/20/2066 | 0.18% |
| GNR 2016-H14 AI IO 02.8372 06/20/2066 | 0.18% |
| GNR 2017-H03 CI IO 02.8747 12/20/2066 | 0.18% |
| SWPTN 3YX2Y R 2.2275 USD 05/16/2022 BA | 0.18% |
| WFRBS 2011-C4 E P/P 144A 05.2297 06/15/2044 | 0.18% |
| CAS 2019-R05 1B1 05.7268 07/25/2039 | 0.18% |
| FNR 2017-66 IO IO 04.5000 09/25/2047 | 0.18% |
| GNR 2018-89 LS IO 04.1536 06/20/2048 | 0.18% |
| FHR 2976 LC 18.3388 05/15/2035 | 0.18% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.17% |
| CAS 2018-C05 1M2 03.9768 01/25/2031 | 0.17% |
| FASST 2019-HB1 M5 06.0000 04/25/2029 | 0.17% |
| JPMCC 2011-C3 E P/P 144A 05.6640 02/15/2046 | 0.17% |
| UBSBB 2012-C4 D P/P 144A 04.4760 12/10/2045 | 0.17% |
| GNR 2016-H06 DI IO 02.3808 07/20/2065 | 0.17% |
| GNR 2017-H25 IO IO 02.2629 11/20/2067 | 0.17% |
| FHR 4436 SC IO 04.4915 02/15/2045 | 0.17% |
| GNR 2013-34 HI IO 04.5000 03/20/2043 | 0.17% |
| GNR 2016-80 SD IO 04.4530 06/20/2046 | 0.16% |
| SPST 2019-WL1 A 02.2768 08/25/2052 | 0.16% |
| 1.608 R ISWP US0003M P 02/07/2030 | 0.16% |
| GNR 2017-H09 IO IO 01.8580 04/20/2067 | 0.16% |
| GNR 2012-136 IO IO 03.5000 11/20/2042 | 0.16% |
| GNMA GII30 635075 04.5000 04/20/2046 | 0.16% |
| 1.688 R ISWP US0003M P 01/31/2030 | 0.16% |
| GNR 2013-182 SP IO 05.0530 12/20/2043 | 0.16% |
| GNR 2016-H04 KI IO 02.1367 02/20/2066 | 0.16% |
| STACR 2018-HQA2 B1 05.8768 10/25/2048 | 0.16% |
| GNR 2009-121 CI IO 04.5000 12/16/2039 | 0.16% |
| GNR 2018-1 IO IO 04.5000 01/20/2048 | 0.16% |
| GNR 2016-H06 HI IO 02.0794 02/20/2066 | 0.16% |
| FHR 4546 PI IO 04.0000 12/15/2045 | 0.16% |
| GNR 2016-H24 KI IO 02.9912 11/20/2066 | 0.16% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.16% |
| GNR 2014-119 SA IO 03.9530 08/20/2044 | 0.15% |
| GNR 2015-H24 HI IO 02.0390 09/20/2065 | 0.15% |
| GNR 2018-127 IA IO 03.5000 04/20/2042 | 0.15% |
| MCAS 2019-01 M7 P/P 144A 03.3268 10/15/2049 | 0.15% |
| CAS 2018-C06 2B1 05.7268 03/25/2031 | 0.15% |
| FNR 2016-3 MI IO 05.5000 02/25/2046 | 0.15% |
| WFHET 2007-2 A3 01.8568 04/25/2037 | 0.15% |
| COMM 2014-CR19 D P/P 144A 04.7303 08/10/2047 | 0.15% |
| GNR 2011-H07 FI IO 01.2417 02/20/2061 | 0.15% |
| GNR 2016-75 LI IO 06.0000 01/20/2040 | 0.15% |
| GNR 2014-H25 BI IO 01.6941 12/20/2064 | 0.15% |
| FNMA FN30 AX5472 UMBS 03.5000 08/01/2045 | 0.15% |
| FNR 2011-4 CS 09.6465 05/25/2040 | 0.15% |
| GNR 2015-H25 BI IO 02.0803 10/20/2065 | 0.15% |
| TREASURY BILL 00.0000 05/21/2020 | 0.15% |
| FNMA FN30 AX5489 UMBS 03.5000 10/01/2045 | 0.14% |
| GNR 2014-137 ID IO 05.5000 09/16/2044 | 0.14% |
| GNR 2016-H04 HI IO 02.3793 07/20/2065 | 0.14% |
| GNR 2017-H14 LI IO 02.2620 06/20/2067 | 0.14% |
| GNR 2015-H16 XI IO 02.7204 07/20/2065 | 0.14% |
| FNR 2012-151 IM IO 05.0000 04/25/2042 | 0.14% |
| GNR 2014-182 BI IO 04.0000 01/20/2039 | 0.14% |
| GNR 2014-104 IO IO 04.0000 03/20/2042 | 0.14% |
| FNMA FN30 AX5560 UMBS 03.5000 11/01/2046 | 0.14% |
| GNR 2017-H23 BI IO 01.8913 11/20/2067 | 0.14% |
| GNR 2018-H05 ID 02.0570 03/20/2068 | 0.14% |
| FNMA FN30 AX5565 UMBS 03.5000 12/01/2046 | 0.13% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.13% |
| GNR 2018-H02 IO IO 01.7816 01/20/2068 | 0.13% |
| LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 | 0.13% |
| GNR 2012-56 IB IO 04.0000 04/20/2042 | 0.13% |
| GNR 2016-H06 AI IO 02.2127 02/20/2066 | 0.13% |
| SCRT 2019-2 M 04.7500 08/25/2058 | 0.13% |
| GNR 2017-H16 HI IO 01.4953 08/20/2067 | 0.13% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.13% |
| GNMA GII30 AD8811 03.0000 03/20/2043 | 0.13% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.13% |
| JPMBB 2014-C23 D P/P 144A 03.9729 09/15/2047 | 0.13% |
| FHR 4452 QI IO 04.0000 11/15/2044 | 0.12% |
| GNR 2017-H14 JI IO 02.1897 06/20/2067 | 0.12% |
| JPMBB 2013-C12 E P/P 144A 04.1000 07/15/2045 | 0.12% |
| SWPTN 5YX10Y R 1.613 USD 08/27/2024 MS | 0.12% |
| 1.698 R ISWP US0003M P 01/28/2030 | 0.12% |
| BSCMS 2007-T26 AJ 05.4496 01/12/2045 | 0.12% |
| FNR 2019-71 CS 03.9500 11/25/2049 | 0.12% |
| GNMA GII30 609146 04.5000 05/20/2044 | 0.12% |
| GNR 2014-H18 CI IO 01.5938 09/20/2064 | 0.12% |
| OMIR 2017-1A M2 P/P 144A 05.6268 04/25/2027 | 0.12% |
| OPTN FN30 4.0 03/05/20 CALL 104.40625 JPMC | 0.12% |
| GNR 2014-133 IP IO 05.0000 09/16/2044 | 0.12% |
| 1.547 R ISWP US0003M P 02/11/2030 | 0.11% |
| 2.536 R ISWP FWD US0003M P 12/02/2023 | 0.11% |
| STACR 2018-DNA2 M2 03.7768 12/25/2030 | 0.11% |
| CAS 2016-C04 1B 11.8768 01/25/2029 | 0.11% |
| GNR 2016-27 IB IO 04.0000 11/20/2045 | 0.11% |
| MSBAM 2013-C12 D P/P 144A 04.7657 10/15/2046 | 0.11% |
| FNR 2005-74 NK 19.3663 05/25/2035 | 0.11% |
| SWPTN 1YX5Y R 1.996 USD 01/14/2021 CI | 0.11% |
| FNR 2012-114 NI IO 03.5000 10/25/2041 | 0.11% |
| FHR 4213 GI IO 04.0000 11/15/2041 | 0.11% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.11% |
| STACR 2016-HQA1 M3 07.9768 09/25/2028 | 0.11% |
| SWPTN 1YX1Y R 1.5025 USD 10/19/2020 UB | 0.11% |
| SWPTN 1YX5Y R 1.629 USD 01/14/2021 CI | 0.11% |
| FHR 4425 EI IO 04.0000 01/15/2045 | 0.11% |
| GNR 2012-H11 FI IO 01.2233 02/20/2062 | 0.11% |
| GNR 2013-79 PI IO 03.5000 04/20/2043 | 0.11% |
| COMM 2013-LC6 E P/P 144A 03.5000 01/10/2046 | 0.11% |
| GNR 2013-51 QI IO 05.0000 02/20/2043 | 0.11% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.11% |
| GNR 2016-H01 HI IO 02.0862 10/20/2065 | 0.11% |
| MSAC 2004-HE9 M2 02.5568 11/25/2034 | 0.11% |
| FHR 2990 LB 12.7067 06/15/2034 | 0.10% |
| GNR 2017-H25 AI IO 02.7978 12/20/2067 | 0.10% |
| STAR 2019-1 M1 03.7640 06/25/2049 | 0.10% |
| 1.4335 R ISWP US0003M P 02/12/2022 | 0.10% |
| FHR 4165 TI IO 03.0000 12/15/2042 | 0.10% |
| GNR 2014-100 NI IO 04.0000 06/20/2043 | 0.10% |
| SCRT 2018-3 M 04.7500 08/25/2057 | 0.10% |
| FHR 3072 SM 04.2533 11/15/2035 | 0.10% |
| GNR 2012-129 IO IO 04.5000 11/16/2042 | 0.10% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML | 0.10% |
| WAMU 2005-AR8 2AC2 02.5468 07/25/2045 | 0.10% |
| 2.806 R ISWP FWD US0003M P 03/05/2030 | 0.10% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.10% |
| FNR 2005-106 JC 15.0798 12/25/2035 | 0.10% |
| STACR 2019-DNA1 M2 04.2768 01/25/2049 | 0.10% |
| STACR 2019-HQA2 B2 12.8768 04/25/2049 | 0.10% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.09% |
| SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP | 0.09% |
| FNR 2013-6 JI IO 03.0000 02/25/2043 | 0.09% |
| GNR 2011-H16 FI IO 01.0293 07/20/2061 | 0.09% |
| FNR 2007-53 SP 18.2353 06/25/2037 | 0.09% |
| GNR 2015-168 IG IO 03.5000 03/20/2043 | 0.09% |
| GNR 2018-127 IE IO 03.5000 01/20/2046 | 0.09% |
| IOS.FN30.400.13 R USL1M P 01/12/44 CS | 0.09% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.09% |
| GNR 2017-H06 EI IO 01.5876 02/20/2067 | 0.09% |
| FHR 4601 IC IO 04.0000 12/15/2045 | 0.09% |
| FNR 2013-22 PI IO 03.5000 10/25/2042 | 0.09% |
| GNMA GII30 627009 04.5000 10/20/2045 | 0.09% |
| GNMA GII30 AJ8849 03.0000 10/20/2044 | 0.09% |
| GNMA GII30 BA7681 04.6250 06/20/2067 | 0.09% |
| SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI | 0.09% |
| FNMA FN30 BD9021 UMBS 03.5000 01/01/2047 | 0.08% |
| GNR 2016-H08 GI IO 01.4319 04/20/2066 | 0.08% |
| FHR 4136 IQ IO 03.5000 11/15/2042 | 0.08% |
| FHR 4425 IO IO 04.0000 01/15/2045 | 0.08% |
| FNR 2015-10 AI IO 03.5000 08/25/2043 | 0.08% |
| STACR 2014-HQ3 M3 06.3768 10/25/2024 | 0.08% |
| EMIR 2020-1 B1 04.9260 01/25/2030 | 0.08% |
| OPTN GII30 3.0 03/05/20 CALL 102.4375 JPMC | 0.08% |
| ARRW 2019-3 M1 04.2040 10/25/2048 | 0.08% |
| HVMLT 2005-2 1A 02.1668 05/19/2035 | 0.08% |
| SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS | 0.08% |
| BALTA 2005-8 21A1 03.8289 10/25/2035 | 0.08% |
| SWPTN 20MX5Y P 1.3 USD 08/27/2021 UB | 0.08% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.08% |
| GNR 2016-H24 JI IO 02.3409 11/20/2066 | 0.08% |
| SWPTN 12MX1Y R 1.316 USD 10/13/2020 CI | 0.08% |
| FNR 2006-8 HP 18.6019 03/25/2036 | 0.08% |
| SWPTN 5YX30Y R 2.032 USD 01/14/2025 JP | 0.08% |
| FHR 4530 HI IO 04.0000 11/15/2045 | 0.08% |
| FNMA FN30 AV7026 UMBS 03.5000 11/01/2044 | 0.08% |
| CAS 2019-R01 2B1 05.9768 07/25/2031 | 0.08% |
| OPTN GII30 3.5 03/05/20 CALL 103.0 JPMC | 0.08% |
| CAS 2015-C04 1M2 07.3268 04/25/2028 | 0.07% |
| CAS 2019-R02 1M2 03.9268 08/25/2031 | 0.07% |
| OMIR 2019-1A B1B 05.9768 07/25/2029 | 0.07% |
| FHR 4500 GI IO 04.0000 08/15/2045 | 0.07% |
| GNMA GII30 AY4779 04.5100 03/20/2067 | 0.07% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.07% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.07% |
| SWPTN 5YX10Y R 1.6125 USD 08/27/2024 UB | 0.07% |
| GNR 2015-52 KI IO 03.5000 11/20/2040 | 0.07% |
| CAS 2016-C03 2B 14.3768 10/25/2028 | 0.07% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.07% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.07% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.07% |
| SWPTN 1YX2Y R 1.5775 USD 09/14/2020 MS | 0.07% |
| SWPTN 5YX10Y P 1.613 USD 08/27/2024 MS | 0.07% |
| TREASURY BILL 00.0000 04/21/2020 | 0.07% |
| FHR 4171 NI IO 03.0000 06/15/2042 | 0.07% |
| FNR 12-118 PI IO 04.0000 06/25/2042 | 0.07% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.07% |
| GNR 2020-15 CS IO 04.3920 12/02/2021 | 0.07% |
| SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA | 0.07% |
| 2.2225 R ISWP FWD US0003M P 06/05/2029 | 0.06% |
| FHR 4141 PI IO 03.0000 12/15/2042 | 0.06% |
| FNMA FN30 AX5483 UMBS 03.5000 10/01/2045 | 0.06% |
| FNR 2006-62 PS 30.1395 07/25/2036 | 0.06% |
| FNR 2015-83 IO IO 04.0000 10/25/2043 | 0.06% |
| OMIR 2019-1A B1A 05.1268 07/25/2029 | 0.06% |
| SWPTN 9MX1Y R 1.33 USD 10/30/2020 JP | 0.06% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.06% |
| 2.32 R ISWP FWD US0003M P 02/09/2024 | 0.06% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.06% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.06% |
| STACR 2015-HQ1 M3 05.4268 03/25/2025 | 0.06% |
| BALTA 2005-10 11A1 02.1268 01/25/2036 | 0.06% |
| GNMA GII30 BQ7313 04.5000 10/20/2049 | 0.06% |
| GNR 2010-151 KO PO 00.0000 06/16/2037 | 0.06% |
| FNR 2012-104 HI IO 04.0000 09/25/2027 | 0.06% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.06% |
| CAS 2016-C05 2M2 06.0768 01/25/2029 | 0.06% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.06% |
| GNMA GII30 609117 04.5000 02/20/2044 | 0.06% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.06% |
| GNR 2015-H23 DI IO 01.8680 09/20/2065 | 0.06% |
| SWPTN 9YX30Y P 2.7875 USD 04/24/2029 MS | 0.06% |
| FNMA FN30 BC0960 UMBS 04.0000 06/01/2046 | 0.06% |
| GNMA GII30 AJ4184 04.5000 09/20/2044 | 0.06% |
| SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP | 0.06% |
| FHR 4019 JI IO 04.0000 05/15/2041 | 0.05% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.05% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.05% |
| SCRT 2019-4 M 04.5000 02/25/2059 | 0.05% |
| SWPTN 5YX30Y R 1.727 USD 01/22/2025 GS | 0.05% |
| SWPTN 6YX30Y P 3.195 USD 11/28/2025 BA | 0.05% |
| FHR 4165 AI IO 03.5000 02/15/2043 | 0.05% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.05% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.05% |
| FHR 3408 EK 19.1195 04/15/2037 | 0.05% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.05% |
| GNR 2015-24 AI IO 03.5000 12/20/2037 | 0.05% |
| SAMI 2006-AR7 A1BG 01.7468 08/25/2036 | 0.05% |
| GNMA GII30 BP7884 04.5000 01/20/2050 | 0.05% |
| GNR 2016-69 IO IO 04.0000 05/20/2046 | 0.05% |
| STACR 2019-DNA3 B2 09.7768 07/25/2049 | 0.05% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.05% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS | 0.05% |
| FNR 2005-122 SE 17.4064 11/25/2035 | 0.05% |
| GNMA GN30 AE8022 04.5000 12/15/2043 | 0.05% |
| GNR 2012-91 IN IO 04.5000 05/20/2042 | 0.05% |
| STACR 2019-DNA2 M2 04.0768 03/25/2049 | 0.05% |
| CAS 2018-C01 1M2 03.8768 07/25/2030 | 0.05% |
| FHR 4136 ES IO 04.5915 11/15/2042 | 0.05% |
| FNR 2012-151 PI IO 03.0000 01/25/2043 | 0.05% |
| FNR 2013-55 KI IO 03.0000 04/25/2043 | 0.05% |
| FNR 2014-28 AI IO 03.0000 03/25/2040 | 0.05% |
| 2.55 R ISWP FWD US0003M P 11/20/2039 | 0.05% |
| FNR 2013-53 JI IO 03.0000 12/25/2041 | 0.05% |
| GNMA GII30 AJ6287 04.0000 09/20/2044 | 0.05% |
| GNR 2013-165 IL IO 04.0000 03/20/2043 | 0.05% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.05% |
| RMIR 2020-1 B1 05.1690 02/25/2030 | 0.05% |
| GNMA GII30 AJ4182 04.5000 09/20/2044 | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.04% |
| STACR 2015-DNA3 B 10.9768 04/25/2028 | 0.04% |
| GNR 2016-156 PI IO 03.5000 11/20/2046 | 0.04% |
| STACR 2019-FTR3 B2 06.4609 09/25/2047 | 0.04% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.04% |
| 2.3075 R ISWP FWD US0003M P 02/02/2024 | 0.04% |
| GNR 2014-174 AI IO 03.0000 11/16/2029 | 0.04% |
| STACR 2017-DNA1 M2 04.8768 07/25/2029 | 0.04% |
| STACR 2019-DNA2 B2 12.1268 03/25/2049 | 0.04% |
| GNMA GII30 AQ6653 04.5000 09/20/2045 | 0.04% |
| GNMA GII30 AY2298 04.7000 05/20/2067 | 0.04% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.04% |
| CAS 2020-R01 1B1 04.8768 01/25/2040 | 0.04% |
| FHR 4201 JI IO 03.0000 12/15/2041 | 0.04% |
| GNMA GII30 BR2728 04.0000 12/20/2049 | 0.04% |
| GNMA GN30 AG8989 04.5000 05/15/2044 | 0.04% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.04% |
| FNMA FN30 BD9219 UMBS 04.5000 10/01/2046 | 0.04% |
| GNMA GII30 BB0107 04.7000 08/20/2067 | 0.04% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.04% |
| FNR 2005-75 GS 15.3698 08/25/2035 | 0.04% |
| GNMA GII30 BN1509 05.0000 05/20/2049 | 0.04% |
| GNMA GII30 BO8117 04.0000 08/20/2049 | 0.03% |
| GNMA GII30 BP5514 03.5000 09/20/2049 | 0.03% |
| GNR 2014-160 IB IO 03.0000 11/20/2040 | 0.03% |
| IOS.FN30.550.08 R USL1M P 01/12/39 BC | 0.03% |
| CAS 2020-R02 2B1 04.6609 01/25/2040 | 0.03% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.03% |
| FNR 2013-55 PI IO 03.0000 05/25/2042 | 0.03% |
| GNMA GII30 BP7527 03.5000 10/20/2049 | 0.03% |
| FHR 3249 PS 16.8020 12/15/2036 | 0.03% |
| GNMA GII30 635065 04.5000 03/20/2046 | 0.03% |
| GNMA GII30 AL8543 04.0000 02/20/2045 | 0.03% |
| GNMA GN30 AG8984 04.5000 05/15/2044 | 0.03% |
| CAS 2018-C03 1B1 05.3768 10/25/2030 | 0.03% |
| FNMA FN30 AV7020 UMBS 03.5000 10/01/2044 | 0.03% |
| GNMA GN30 704478 04.5000 04/15/2039 | 0.03% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.03% |
| STACR 2017-HQA2 B1 06.3768 12/25/2029 | 0.03% |
| GNMA GII30 609118 04.5000 02/20/2034 | 0.03% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.03% |
| IOS.FN30.400.11 R USL1M P 01/12/42 BC | 0.03% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.03% |
| SWPTN 3YX2Y P 1.245 USD 08/26/2022 CI | 0.03% |
| FHR 4018 DI IO 04.5000 07/15/2041 | 0.03% |
| FNMA FN30 MA2180 UMBS 04.0000 02/01/2045 | 0.03% |
| MBX.GII30.500.10 R USL1M P 01/12/41 BC | 0.03% |
| 2.57 R ISWP FWD US0003M P 02/02/2024 | 0.03% |
| GNMA GII30 AW8447 04.3240 05/20/2067 | 0.03% |
| GNR 2018-127 IB IO 04.5000 06/20/2045 | 0.03% |
| IOS.FN30.400.13 R USL1M P 01/12/44 CS | 0.03% |
| SWPTN 4YX10Y P 3.229 USD 11/30/2023 JP | 0.03% |
| TREASURY BILL 00.0000 07/16/2020 | 0.03% |
| 1.88 R ISWP FWD US0003M P 12/21/2030 | 0.02% |
| CAS 2016-C07 2M2 05.9768 05/25/2029 | 0.02% |
| FHR 4015 GI IO 04.0000 03/15/2027 | 0.02% |
| FHR 4024 PI IO 04.5000 12/15/2041 | 0.02% |
| GNMA GII30 BQ1446 04.0000 09/20/2049 | 0.02% |
| GNR 2014-2 IL IO 04.0000 01/16/2044 | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| GNR 2010-20 SC IO 04.5030 02/20/2040 | 0.02% |
| GNR 2012-48 AI IO 03.5000 02/20/2036 | 0.02% |
| GNMA GII30 AO8363 04.0000 09/20/2045 | 0.02% |
| GNR 2014-102 IG IO 03.5000 03/16/2041 | 0.02% |
| GNR 2015-99 TI IO 03.5000 04/20/2039 | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.02% |
| FNR 2012-124 JI IO 03.5000 11/25/2042 | 0.02% |
| FNR 2012-62 MI IO 04.0000 03/25/2041 | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| FNR 2008-53 DO PO 00.0000 07/25/2038 | 0.02% |
| GNMA GII30 AK1223 04.0000 02/20/2045 | 0.02% |
| GNMA GII30 AO8415 04.0000 10/20/2045 | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| FHLMC FR30 ZS0468 UMBS 07.5000 10/01/2029 | 0.02% |
| FNR 2005-83 QP 13.1645 11/25/2034 | 0.02% |
| FNR 2011-123 KS IO 04.9733 10/25/2041 | 0.02% |
| FNW 1998-W2 X IO 00.6736 06/25/2028 | 0.02% |
| GNMA GII30 BP7627 03.5000 11/20/2049 | 0.02% |
| GNR 2014-141 CI IO 03.0000 03/20/2040 | 0.02% |
| GNR 2015-24 IC IO 03.5000 11/20/2037 | 0.02% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.02% |
| STACR 2019-HQA3 B1 04.6268 09/25/2049 | 0.02% |
| SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA | 0.02% |
| FNR 2013-30 IP IO 03.0000 10/25/2041 | 0.02% |
| GNMA GII30 BN1507 05.0000 05/20/2049 | 0.02% |
| GNMA GII30 BQ1550 04.0000 10/20/2049 | 0.02% |
| IOS.FN30.400.11 R USL1M P 01/12/42 CS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| FNMA FN30 AX2731 UMBS 04.5000 10/01/2044 | 0.02% |
| FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 | 0.02% |
| FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 | 0.02% |
| GNMA GII30 AO7326 04.6650 09/20/2065 | 0.02% |
| GNMA GII30 BN1508 05.0000 05/20/2049 | 0.02% |
| GNR 2019-78 SJ IO 04.4030 06/20/2049 | 0.02% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BA | 0.02% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.02% |
| FNMA FN30 MA2242 UMBS 04.0000 04/01/2045 | 0.02% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.02% |
| GNMA GII30 BN1510 05.5000 05/20/2049 | 0.02% |
| GNR 2019-99 KS IO 04.4030 08/20/2049 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| FNMA FN30 AX8927 UMBS 04.5000 12/01/2044 | 0.02% |
| FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 | 0.02% |
| MBX.GII30.450.10 R USL1M P 01/12/41 DE | 0.02% |
| 2.5725 R ISWP FWD US0003M P 02/02/2024 | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.01% |
| FNMA FN30 AX8877 UMBS 04.5000 12/01/2044 | 0.01% |
| GNMA GII30 BN1511 05.5000 05/20/2049 | 0.01% |
| GNMA GII30 BQ1549 04.0000 10/20/2049 | 0.01% |
| IOS.FN30.350.12 R USL1M P 01/12/43 BC | 0.01% |
| FHLMC FR30 ZS1312 UMBS 04.5000 01/01/2037 | 0.01% |
| FNMA FN30 BA1056 UMBS 04.5000 11/01/2045 | 0.01% |
| FNR 2012-145 TI IO 03.0000 11/25/2042 | 0.01% |
| GNMA GII30 BP7740 03.5000 11/20/2049 | 0.01% |
| GNR 2014-4 IK IO 04.0000 07/20/2039 | 0.01% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.01% |
| MBX.GII30.500.10 R USL1M P 01/12/41 CS | 0.01% |
| SWPTN 2MX10Y P 1.315 USD 04/27/2020 TD | 0.01% |
| SWPTN 6WX30Y P 1.465 USD 04/08/2020 BA | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| FNMA FN30 BN3050 UMBS 05.0000 01/01/2049 | 0.01% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.01% |
| IOS.FN30.350.13 R USL1M P 01/12/44 CS | 0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.01% |
| FHS 304 C37 IO 03.5000 12/15/2027 | 0.01% |
| FNMA FN30 BO3442 UMBS 05.0000 08/01/2049 | 0.01% |
| GNMA GII30 BM2417 03.5000 08/20/2049 | 0.01% |
| GNMA GII30 BP7324 03.5000 10/20/2049 | 0.01% |
| GNMA GII30 BP7505 03.5000 10/20/2049 | 0.01% |
| SWPTN 3YX30Y P 2.983 USD 05/23/2022 GS | 0.01% |
| SWPTN 5WX10Y P 1.265 USD 03/31/2020 GS | 0.01% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS | 0.01% |
| FHLMC FR30 ZN5756 UMBS 05.0000 04/01/2049 | 0.01% |
| FNR 2007-44 CO PO 00.0000 05/25/2037 | 0.01% |
| FNR 2013-23 LI IO 03.0000 06/25/2041 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| FHR 3996 IK IO 04.0000 03/15/2039 | 0.01% |
| FHR 4199 CI IO 03.5000 12/15/2037 | 0.01% |
| FNMA FN30 AA2892 UMBS 04.5000 03/01/2039 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BA | 0.01% |
| SWPTN 4WX10Y P 1.275 USD 03/25/2020 BC | 0.01% |
| SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS | 0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.01% |
| SWPTN 1YX5Y P 1.996 USD 01/14/2021 CI | 0.01% |
| FNMA FN30 MA2216 UMBS 04.0000 03/01/2045 | 0.01% |
| GNMA GII30 BR7370 04.0000 01/20/2050 | 0.01% |
| GNR 2010-114 MI IO 04.0000 03/20/2039 | 0.01% |
| IOS.FN30.400.09 R USL1M P 01/12/40 GS | 0.01% |
| SWPTN 12MX1Y P 1.316 USD 10/13/2020 CI | 0.01% |
| SWPTN 1YX5Y P 1.629 USD 01/14/2021 CI | 0.01% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG | 0.01% |
| FNR 2003-34 P1 PO 00.0000 04/25/2043 | 0.01% |
| GNR 2011-71 IK IO 04.0000 04/16/2039 | 0.01% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.01% |
| 1.977 R ISWP FWD US0003M P 01/24/2055 | 0.00% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 GS | 0.00% |
| FHR 3300 PO PO 00.0000 02/15/2037 | 0.00% |
| FHR 3391 PO PO 00.0000 04/15/2037 | 0.00% |
| FNW 1998-W5 X IO 00.8018 07/25/2028 | 0.00% |
| GNMA GII30 2987 07.5000 10/20/2030 | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.00% |
| FNMA FN30 AS5038 UMBS 04.0000 05/01/2045 | 0.00% |
| FNMA FN30 BC0390 UMBS 04.5000 12/01/2045 | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.00% |
| SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS | 0.00% |
| SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML | 0.00% |
| CMB CMBX.NA.BB.12 2061-08-17 500.0 08/17/2061 JP | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CG | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.00% |
| FHLMC FR30 ZS1526 UMBS 04.5000 06/01/2037 | 0.00% |
| FHR 3175 MO PO 00.0000 06/15/2036 | 0.00% |
| FHR 3326 WF 00.0000 10/15/2035 | 0.00% |
| FNMA FN15 888594 06.0000 08/01/2022 | 0.00% |
| FNMA FN30 AY3392 UMBS 04.0000 04/01/2045 | 0.00% |
| FNR 2007-64 LO PO 00.0000 07/25/2037 | 0.00% |
| FNR 2008-36 OV PO 00.0000 01/25/2036 | 0.00% |
| FNW 2003-W3 1A4 04.0182 08/25/2042 | 0.00% |
| FSPC T-48 AIO2 IO 00.2120 07/25/2033 | 0.00% |
| FSPC T-59 1AX IO 00.2812 10/25/2043 | 0.00% |
| GNR 2018-127 ID IO 05.0000 07/20/2045 | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| SWPTN 1YX1Y P 1.5025 USD 10/19/2020 UB | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.00% |
| FHR 3117 AF 00.0000 02/15/2036 | 0.00% |
| FNMA FN15 891706 06.0000 07/01/2021 | 0.00% |
| FNMA FN30 AY1318 UMBS 04.0000 03/01/2045 | 0.00% |
| FNR 2001-79 BI IO 00.2762 03/25/2045 | 0.00% |
| FSPC T-57 2A1 04.0395 07/25/2043 | 0.00% |
| GNR 2011-81 SB IO 05.0465 11/16/2036 | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| SWPTN 2YX30Y P 2.904 USD 05/24/2021 MS | 0.00% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.00% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.00% |
| FHR 3210 PO PO 00.0000 05/15/2036 | 0.00% |
| FNMA FN15 893456 06.0000 09/01/2021 | 0.00% |
| FNR 2001-50 BI IO 00.3782 10/25/2041 | 0.00% |
| FNR 2007-14 KO PO 00.0000 03/25/2037 | 0.00% |
| FNW 2003-W14 2A 04.4183 01/25/2043 | 0.00% |
| FNW 2004-W2 4A 04.1385 02/25/2044 | 0.00% |
| FNW 2004-W7 A2 04.6949 03/25/2034 | 0.00% |
| FSPC T-59 2A1 03.8903 10/25/2043 | 0.00% |
| FSPC T-8 A9 IO 00.4187 11/15/2028 | 0.00% |
| GNMA GIIARM 8913 03.2500 07/20/2026 | 0.00% |
| GNR 2006-36 OD PO 00.0000 07/16/2036 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.400.09 R USL1M P 01/12/40 DE | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.00% |
| IOS.FN30.450.09 R USL1M P 01/12/40 BC | 0.00% |
| IOS.FN30.500.09 R USL1M P 01/12/40 BC | 0.00% |
| IOS.FN30.500.09 R USL1M P 01/12/40 DE | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | 0.00% |
| FHLMC FR15 ZS5132 UMBS 06.0000 09/01/2021 | 0.00% |
| FHR 3206 EO PO 00.0000 08/15/2036 | 0.00% |
| FHR 3314 PO PO 00.0000 11/15/2036 | 0.00% |
| FHR 3369 BO PO 00.0000 09/15/2037 | 0.00% |
| FNMA FN15 745502 06.0000 04/01/2021 | 0.00% |
| FNMA FN15 746111 06.0000 09/01/2021 | 0.00% |
| FNMA FN15 823534 05.5000 07/01/2020 | 0.00% |
| FNMA FN15 829041 05.5000 07/01/2020 | 0.00% |
| FNMA FN15 829091 04.0000 09/01/2020 | 0.00% |
| FNMA FN15 831317 05.0000 03/01/2021 | 0.00% |
| FNMA FN15 831496 06.0000 05/01/2021 | 0.00% |
| FNMA FN15 833587 05.5000 09/01/2020 | 0.00% |
| FNMA FN15 836615 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 840106 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 843104 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 847073 05.5000 08/01/2020 | 0.00% |
| FNMA FN15 849103 05.5000 01/01/2021 | 0.00% |
| FNMA FN15 852535 05.5000 01/01/2021 | 0.00% |
| FNMA FN15 872585 06.0000 04/01/2021 | 0.00% |
| FNMA FN15 879632 06.0000 06/01/2021 | 0.00% |
| FNMA FN15 880974 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 880975 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 887261 06.0000 07/01/2021 | 0.00% |
| FNMA FN15 894310 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 894829 06.0000 09/01/2021 | 0.00% |
| FNMA FN15 896560 06.0000 07/01/2021 | 0.00% |
| FNMA FN15 917693 06.0000 04/01/2022 | 0.00% |
| FNR 2006-125 OX PO 00.0000 01/25/2037 | 0.00% |
| FNR 2006-46 OC PO 00.0000 06/25/2036 | 0.00% |
| FNR 2006-84 OT PO 00.0000 09/25/2036 | 0.00% |
| FNW 2003-W11 A1 04.7896 06/25/2033 | 0.00% |
| GNMA GN30 497455 06.0000 01/15/2029 | 0.00% |
| GNMA GN30 645703 05.5000 08/15/2035 | 0.00% |
| GSMPS 1999-2 IO IO 00.8396 09/19/2027 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | 0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 GS | 0.00% |
| OPTN FN30 3.0 03/05/20 PUT 101.96875 JPMC | 0.00% |
| OPTN FN30 3.5 03/05/20 PUT 103.140625 JPMC | 0.00% |
| OPTN FN30 4.0 03/05/20 PUT 104.40625 JPMC | 0.00% |
| OPTN GII30 3.0 03/05/20 PUT 102.4375 JPMC | 0.00% |
| OPTN GII30 3.5 03/05/20 PUT 103.0 JPMC | 0.00% |
| SWPTN 11MX3Y P 2.975 USD 11/30/2020 JP | 0.00% |
| SWPTN 3MX5Y P 1.999 USD 03/17/2020 CI | 0.00% |
| SWPTN 3MX5Y P 2.18775 USD 03/17/2020 CI | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| IOS.FN30.450.09 P USL1M R 01/12/40 DE | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 CI | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 CS | -0.00% |
| SWPTN 2YX5Y P 2.664 USD 05/24/2021 MS | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | -0.00% |
| SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS | -0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 JP | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| IOS.FN30.350.12 P USL1M R 01/12/43 JP | -0.00% |
| 2.25 R ISWP FWD US0003M P 07/05/2052 | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| SWPTN 11MX13Y P 3.162 USD 11/30/2020 JP | -0.00% |
| SWPTN 3YX1Y P 1.333 USD 01/30/2023 JP | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| SWPTN 4WX2Y P 1.195 USD 03/25/2020 BC | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| SWPTN 5WX2Y P 1.178 USD 03/31/2020 GS | -0.01% |
| 2.035 R ISWP FWD US0003M P 01/22/2031 | -0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.01% |
| SWPTN 3YX5Y P 2.823 USD 05/23/2022 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.01% |
| SWPTN 2MX2Y P 1.19 USD 04/27/2020 TD | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | -0.01% |
| 1.5095 R ISWP FWD US0003M P 08/28/2030 | -0.01% |
| SWPTN 3YX1Y R 1.333 USD 01/30/2023 JP | -0.01% |
| SWPTN 6WX5Y P 1.17 USD 04/08/2020 BA | -0.01% |
| 2.032 R ISWP US0003M P 01/16/2055 | -0.01% |
| IOS.FN30.350.13 P US0001M R 01/12/44 JP | -0.01% |
| SWPTN 1YX10Y P 2.13 USD 12/17/2020 GS | -0.01% |
| 2.0625 R ISWP FWD US0003M P 06/22/2030 | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.02% |
| SWPTN 1YX10Y P 1.805 USD 01/14/2021 CI | -0.02% |
| SWPTN 3YX2Y R 1.245 USD 08/26/2022 CI | -0.02% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.02% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG | -0.02% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | -0.02% |
| SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS | -0.02% |
| SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS | -0.02% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS | -0.02% |
| SWPTN 4YX10Y P 2.9425 USD 02/13/2024 GS | -0.02% |
| SWPTN 9MX1Y R 0.83 USD 10/30/2020 JP | -0.03% |
| 2.3075 R ISWP FWD US0003M P 06/22/2052 | -0.03% |
| IOS.FN30.550.08 P USL1M R 01/12/39 GS | -0.03% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.03% |
| 1.9665 R ISWP FWD US0003M P 07/06/2030 | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS | -0.03% |
| SWPTN 5YX30Y P 2.032 USD 01/14/2025 JP | -0.03% |
| SWPTN 5YX30Y P 1.727 USD 01/22/2025 GS | -0.04% |
| 2.528 R ISWP FWD US0003M P 02/02/2024 | -0.04% |
| SWPTN 1YX2Y P 1.5775 USD 09/14/2020 MS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.04% |
| SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP | -0.04% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.04% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 ML | -0.05% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.05% |
| SWPTN 3YX10Y P 1.512 USD 08/30/2022 MS | -0.05% |
| 1.626 R ISWP FWD US0003M P 09/12/2052 | -0.05% |
| SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI | -0.05% |
| IOS.FN30.500.10 P USL1M R 01/12/41 BC | -0.05% |
| IOS.FN30.500.10 P USL1M R 01/12/41 CS | -0.05% |
| SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP | -0.05% |
| 1.771 R ISWP US0003M P 01/16/2030 | -0.06% |
| IOS.FN30.500.10 P USL1M R 01/12/41 GS | -0.06% |
| IOS.FN30.500.10 P USL1M R 01/12/41 JP | -0.06% |
| SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS | -0.06% |
| 1.733 R ISWP FWD US0003M P 02/07/2024 | -0.06% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | -0.06% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.06% |
| SWPTN 7YX10Y P 1.9875 USD 10/19/2026 UB | -0.06% |
| SWPTN 6YX30Y P 2.8025 USD 04/24/2026 MS | -0.06% |
| 1.744 R ISWP US0003M P 01/08/2030 | -0.06% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.07% |
| SWPTN 9YX10Y P 3.312 USD 11/27/2028 BA | -0.07% |
| IOS.FN30.650.67 P USL1M R 01/12/38 BC | -0.07% |
| SWPTN 5YX10Y P 1.6125 USD 08/27/2024 UB | -0.07% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | -0.07% |
| SWPTN 20MX5Y R 1.3 USD 08/27/2021 UB | -0.07% |
| 1.58 R ISWP FWD US0003M P 03/18/2025 | -0.07% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.07% |
| 2.6785 R ISWP US0003M P 02/13/2029 | -0.08% |
| SWPTN 10YX10Y P 1.865 USD 10/10/2029 CI | -0.08% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 DE | -0.08% |
| 1.4765 R ISWP US0003M P 02/18/2030 | -0.08% |
| 1.748 R ISWP FWD US0003M P 01/31/2030 | -0.08% |
| SWPTN 3YX2Y P 2.2275 USD 05/16/2022 BA | -0.09% |
| 1.7025 R ISWP US0003M P 12/23/2021 | -0.09% |
| SWPTN 11MX3Y R 2.975 USD 11/30/2020 JP | -0.09% |
| 1.7505 R ISWP FWD US0003M P 01/31/2030 | -0.10% |
| SWPTN 3YX10Y R 1.512 USD 08/30/2022 MS | -0.10% |
| 1.755 R ISWP US0003M P 01/23/2030 | -0.12% |
| 1.73 R ISWP FWD US0003M P 03/18/2030 | -0.12% |
| SWPTN 1YX5Y P 1.765 USD 06/26/2020 CI | -0.13% |
| SWPTN 1YX5Y P 1.755 USD 06/29/2020 GS | -0.13% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.13% |
| SWPTN 10YX10Y R 1.865 USD 10/10/2029 CI | -0.13% |
| 2.184 R ISWP FWD US0003M P 12/07/2030 | -0.14% |
| 1.9185 R ISWP FWD US0003M P 08/08/2052 | -0.14% |
| 1.525 R ISWP US0003M P 02/13/2030 | -0.16% |
| SWPTN 7YX10Y R 1.9875 USD 10/19/2026 UB | -0.16% |
| 2.2685 R ISWP FWD US0003M P 07/22/2052 | -0.16% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.17% |
| 1.98 R ISWP FWD US0003M P 03/18/2050 | -0.18% |
| 2.67 R ISWP FWD US0003M P 03/28/2052 | -0.19% |
| 2.44 R ISWP FWD US0003M P 03/26/2030 | -0.20% |
| 2.098 R ISWP FWD US0003M P 03/04/2030 | -0.20% |
| SWPTN 1YX10Y R 1.805 USD 01/14/2021 CI | -0.22% |
| GNMA GII30 TBA 03.5000 03/01/2050 | -0.22% |
| 2.647 R ISWP FWD US0003M P 03/16/2030 | -0.24% |
| 1.50 R ISWP US0003M P 09/30/2024 | -0.25% |
| 2.1935 R ISWP FWD US0003M P 12/14/2030 | -0.26% |
| 1.53 R ISWP US0003M P 10/01/2024 | -0.26% |
| SWPTN 4YX10Y R 3.229 USD 11/30/2023 JP | -0.28% |
| 1.8252 R ISWP US0003M P 12/17/2029 | -0.28% |
| 2.4105 R ISWP FWD US0003M P 06/14/2052 | -0.29% |
| SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS | -0.31% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | -0.31% |
| SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS | -0.31% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.32% |
| IOS.FN30.400.11 P USL1M R 01/12/42 JP | -0.32% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.35% |
| SWPTN 9YX30Y R 2.7875 USD 04/24/2029 MS | -0.41% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.48% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.48% |
| SWPTN 4YX10Y R 2.9425 USD 02/13/2024 GS | -0.62% |
| 3.065 R ISWP FWD US0003M P 01/03/2029 | -0.65% |
| SWPTN 6YX30Y R 3.195 USD 11/28/2025 BA | -0.75% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.77% |
| 2.715 R ISWP US0003M P 03/02/2030 | -0.81% |
| 2.7225 R ISWP US0003M P 02/20/2030 | -0.81% |
| 1.625 R ISWP FWD US0003M P 03/18/2025 | -1.06% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -1.40% |
| 1.60 R ISWP FWD US0003M P 03/18/2022 | -1.67% |
| US 5YR NOTE (CBT) JUN20 FVM0 | -3.10% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -5.04% |
| FNMA FN30 TBA UMBS 03.0000 02/01/2050 | 13.69% |
|---|---|
| GNMA GII30 TBA 04.0000 02/01/2050 | 11.02% |
| FNMA FN30 TBA UMBS 04.5000 02/01/2050 | 8.43% |
| REPO TRIPA MORTG 1.59 02/03/2020 | 8.38% |
| FNMA FN30 TBA UMBS 05.5000 02/01/2050 | 5.96% |
| FNMA FN30 AB8804 UMBS 02.5000 03/01/2043 | 5.51% |
| REPO TRIPA MORTG 1.59 02/03/2020 | 4.54% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 3.96% |
| GNMA GII30 TBA 04.5000 02/01/2050 | 3.57% |
| US 2YR NOTE (CBT) MAR20 TUH0 | 2.85% |
| FNR 2007-95 A3 02.0420 08/27/2036 | 2.57% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 1.87% |
| MBX.GII30.500.10 R USL1M P 01/12/41 BC | 1.70% |
| TREASURY BILL 00.0000 06/11/2020 | 1.57% |
| FHS 315 PO PO 00.0000 09/15/2043 | 1.36% |
| FNMA FN30 TBA UMBS 06.0000 02/01/2050 | 1.33% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 0.98% |
| CARR 2006-NC2 A4 01.9009 06/25/2036 | 0.88% |
| BAYV 2006-C 1A3 06.0280 11/28/2036 | 0.88% |
| SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS | 0.86% |
| SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS | 0.86% |
| MSC 2011-C3 E P/P 144A 05.4193 07/15/2049 | 0.85% |
| CAS 2017-C05 1B1 05.2609 01/25/2030 | 0.84% |
| STACR 2018-DNA1 B1 04.8109 07/25/2030 | 0.83% |
| STACR 2016-DNA3 M3 06.6609 12/25/2028 | 0.76% |
| STACR 2018-DNA2 B1 05.3609 12/25/2030 | 0.73% |
| FNR 2016-85 SL IO 04.4391 11/25/2046 | 0.72% |
| CWL 2007-10 1A1 01.8409 06/25/2047 | 0.72% |
| TREASURY BILL 00.0000 03/12/2020 | 0.70% |
| MCAS 2019-01 M10 P/P 144A 04.9109 10/15/2049 | 0.69% |
| CAS 2018 - C01 1B1 05.2109 07/25/2030 | 0.67% |
| STACR 2019-DNA1 B2 12.4109 01/25/2049 | 0.66% |
| DBUBS 2011-LC3A D P/P 144A 05.5121 08/10/2044 | 0.65% |
| TREASURY BILL 00.0000 05/07/2020 | 0.61% |
| 1.75 R ISWP FWD US0003M P 03/18/2030 | 0.58% |
| FNR 2016-83 BS IO 04.4391 11/25/2046 | 0.58% |
| TREASURY BILL 00.0000 04/16/2020 | 0.57% |
| WFRBS 2012-C9 D P/P 144A 04.9712 11/15/2045 | 0.56% |
| CAS 2018-C02 2M2 03.8609 08/25/2030 | 0.54% |
| WAMU 2005-AR14 1A2 03.8409 12/25/2035 | 0.53% |
| US ULTRA BOND CBT MAR20 WNH0 | 0.51% |
| FNR 2016-81 SA IO 04.4891 11/25/2046 | 0.50% |
| FNR 2018-36 SD IO 04.5891 06/25/2048 | 0.50% |
| UBSCM 2012-C1 D P/P 144A 05.7559 05/10/2045 | 0.50% |
| AHM 2007-1 GA1C 01.9820 05/25/2047 | 0.49% |
| GNR 2016-H11 HI IO 02.0999 01/20/2066 | 0.49% |
| SPST 2019-3 A 02.3594 06/24/2020 | 0.49% |
| GSMS 2014-GC24 D P/P 144A 04.6652 09/10/2047 | 0.49% |
| BF0101 03.5000 06/01/2056 | 0.48% |
| CAS 2018-C04 2M2 04.2109 12/25/2030 | 0.48% |
| SPST 2019-7 A 02.3594 09/24/2020 | 0.47% |
| CAS 2017-C06 2B1 06.1109 02/25/2030 | 0.46% |
| SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA | 0.46% |
| 3.096 R ISWP US0003M P 12/03/2029 | 0.46% |
| 2.00 R ISWP FWD US0003M P 03/18/2050 | 0.45% |
| GNR 2016-H23 NI IO 02.4688 10/20/2066 | 0.44% |
| CAS 2017-C07 1B1 05.6609 05/25/2030 | 0.44% |
| GSMS 2014-GC18 C 05.1564 01/10/2047 | 0.44% |
| GNMA GII30 TBA 03.0000 02/01/2050 | 0.44% |
| JPMBB 2013-C14 D P/P 144A 04.8586 08/15/2046 | 0.43% |
| GNR 2017-H20 AI IO 02.3533 10/20/2067 | 0.43% |
| TREASURY BILL 00.0000 04/02/2020 | 0.43% |
| CAS 2016-C03 1B 13.4109 10/25/2028 | 0.43% |
| CAS 2017-C06 1B1 05.8109 02/25/2030 | 0.43% |
| GNR 2016-H07 PI IO 02.2809 03/20/2066 | 0.42% |
| CAS 2017-C01 1M2 05.2109 07/25/2029 | 0.41% |
| BMIR 2017-1 M2 P/P 144A 05.0109 10/25/2027 | 0.41% |
| FN BF0091 | 0.41% |
| STACR 2019-HQA1 M2 04.0109 02/25/2049 | 0.40% |
| 3.312 R ISWP US0003M P 11/08/2048 | 0.40% |
| FNR 2016-8 SA IO 04.3891 03/25/2046 | 0.40% |
| GNR 2019-125 SG IO 04.3923 10/20/2049 | 0.39% |
| STACR 2018-HQA1 M2 03.9609 09/25/2030 | 0.39% |
| MWST 2018-W1 A 02.5109 11/25/2051 | 0.39% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.37% |
| GNR 2016-H27 GI IO 02.3862 12/20/2066 | 0.37% |
| GNR 2017-H03 KI IO 02.6985 01/20/2067 | 0.37% |
| COMM 2014-CR17 D P/P 144A 05.0093 05/10/2047 | 0.36% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.36% |
| STRU BC-6764 IO IO 04.0000 07/20/2045 | 0.36% |
| FNR 2016-50 SM IO 04.4391 08/25/2046 | 0.36% |
| FHR 3065 DC 14.8313 03/15/2035 | 0.35% |
| GNR 2017-H25 CI IO 02.3717 12/20/2067 | 0.35% |
| STACR 2015-HQA1 B 10.4609 03/25/2028 | 0.35% |
| GNR 2013-87 SA IO 04.5423 06/20/2043 | 0.35% |
| GNR 2019-121 SD IO 04.3423 10/20/2049 | 0.35% |
| UBSC 2011-C1 D P/P 144A 06.2521 01/10/2045 | 0.35% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.34% |
| FNR 2017-104 SL IO 04.4891 01/25/2048 | 0.34% |
| GNR 2017-H06 MI IO 02.0659 02/20/2067 | 0.34% |
| FNR 2010-109 IM IO 05.5000 09/25/2040 | 0.34% |
| STACR 2019-DNA4 B2 07.9109 10/25/2049 | 0.34% |
| GNMA GII30 BS2396 04.5000 12/20/2049 | 0.33% |
| STACR 2017-HQA2 M2 04.3109 12/25/2029 | 0.33% |
| CAS 2017-C07 2B1 06.1109 05/25/2030 | 0.33% |
| GNR 2013-6 OI IO 05.0000 01/20/2043 | 0.32% |
| GNR 2015-H22 AI IO 02.0715 09/20/2065 | 0.32% |
| OMIR 2018-1A M2 04.5109 07/25/2028 | 0.32% |
| CAS 2016-C03 1M2 06.9609 10/25/2028 | 0.31% |
| CAS 2018-C06 1B1 05.4109 03/25/2031 | 0.31% |
| COMM 2014-CR19 D P/P 144A 04.9054 08/10/2047 | 0.31% |
| CAS 2018-C04 2B1 06.1609 12/25/2030 | 0.30% |
| MWST 2019-1 A 02.4609 06/25/2052 | 0.30% |
| TREASURY BILL 00.0000 06/04/2020 | 0.30% |
| GNR 2016-H13 IK IO 02.6217 06/20/2066 | 0.30% |
| GNR 2018-H01 XI IO 01.4636 01/20/2068 | 0.30% |
| GNR 2015-H20 CI IO 02.3402 08/20/2065 | 0.30% |
| SWPTN 7WX10Y R 2.7475 USD 02/13/2020 GS | 0.30% |
| CAS 2018-C03 1M2 03.8109 10/25/2030 | 0.30% |
| 3.073 R ISWP FWD US0003M P 03/04/2029 | 0.29% |
| MSBAM 2013-C12 E P/P 144A 04.9246 10/15/2046 | 0.29% |
| FNR 2019-58 SA IO 04.3891 10/25/2049 | 0.29% |
| GNMA GII30 BQ7315 05.0000 10/20/2049 | 0.28% |
| GNR 2016-H18 QI IO 03.1371 06/20/2066 | 0.28% |
| GNR 2017-H08 GI IO 02.4189 02/20/2067 | 0.28% |
| JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 | 0.28% |
| JPMCC 2013-LC11 D 04.3066 04/15/2046 | 0.28% |
| FNR 2016-70 QI IO 03.5000 10/25/2046 | 0.28% |
| COMM 2013-LC13 D P/P 144A 05.4637 08/10/2046 | 0.28% |
| GNR 2019-158 AS IO 04.4804 09/16/2043 | 0.28% |
| GNR 2018-H04 JI IO 02.0621 03/20/2068 | 0.28% |
| CWALT 2006-OA19 A1 01.8344 02/20/2047 | 0.28% |
| FHR 4621 QI IO 03.5000 10/15/2046 | 0.27% |
| FNMA FN30 AV7052 UMBS 03.5000 03/01/2045 | 0.27% |
| GNR 2019-83 SL IO 04.4423 07/20/2049 | 0.27% |
| FNR 2008-24 SP 17.1934 02/25/2038 | 0.26% |
| GNMA GII30 AI6258 04.5000 05/20/2044 | 0.26% |
| GNR 2012-38 MI IO 04.0000 03/20/2042 | 0.26% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.25% |
| SPST 2018-8 A 02.3594 02/24/2020 | 0.25% |
| COMM 2012-CR4 B P/P 144A 03.7030 10/15/2045 | 0.25% |
| GNR 2017-H08 EI IO 02.2245 02/20/2067 | 0.25% |
| GNMA GN30 AM4380 04.0000 05/15/2045 | 0.25% |
| JPMBB 2014-C19 D P/P 144A 04.8348 04/15/2047 | 0.25% |
| FHR 3835 FO PO 00.0000 04/15/2041 | 0.25% |
| SPST 2019-WL1 A 02.3109 08/25/2052 | 0.25% |
| GNR 2015-H10 HI IO 02.7285 04/20/2065 | 0.24% |
| GNR 2015-H22 GI IO 02.5834 09/20/2065 | 0.24% |
| GNR 2017-H04 BI IO 02.3748 02/20/2067 | 0.24% |
| GNR 2016-H17 DI IO 02.5632 07/20/2066 | 0.24% |
| CAS 2017-C02 2B1 07.1609 09/25/2029 | 0.24% |
| BMIR 2018-2A M1C P/P 144A 03.2609 08/25/2028 | 0.24% |
| FNR 2017-32 IP IO 04.5000 05/25/2047 | 0.24% |
| FNMA FN30 AV7059 UMBS 03.5000 04/01/2045 | 0.24% |
| GNR 2013-39 IJ IO 04.5000 03/20/2043 | 0.24% |
| TREASURY BILL 00.0000 04/09/2020 | 0.24% |
| FNR 2018-20 SB IO 04.5891 03/25/2048 | 0.24% |
| GNR 2010-35 DI IO 04.5000 03/20/2040 | 0.23% |
| FNR 2019-45 SD IO 04.3891 08/25/2049 | 0.23% |
| SPST 2019-11 A 02.4094 10/24/2020 | 0.23% |
| JPALT 2006-A6 1A1 01.8209 11/25/2036 | 0.23% |
| MBX.FN30.500.10 R USL1M P 01/12/41 GS | 0.23% |
| OPTN FN30 3.0 02/05/20 CALL 101.703125 JPMC | 0.23% |
| FNR 2015-58 KI IO 06.0000 03/25/2037 | 0.22% |
| GNR 2016-H24 IO IO 02.1352 09/20/2066 | 0.22% |
| SWPTN 9YX10Y R 3.312 USD 11/27/2028 BA | 0.22% |
| STACR 2014-DN4 M3 06.2109 10/25/2024 | 0.22% |
| FNMA FN30 AX5555 UMBS 03.5000 10/01/2046 | 0.22% |
| NHLT 2019-2A M4 05.6822 11/26/2029 | 0.22% |
| MSC 2012-C4 E P/P 144A 05.5999 03/15/2045 | 0.22% |
| GNR 2011-156 SK IO 04.9423 04/20/2038 | 0.21% |
| MSBAM 2013-C10 F P/P 144A 04.2172 07/15/2046 | 0.21% |
| JPMCC 2011-C3 D P/P 144A 05.8528 02/15/2046 | 0.21% |
| GNR 2016-H10 AI IO 02.1886 04/20/2066 | 0.21% |
| JPMCC 2010-C2 D P/P 144A 05.7862 11/15/2043 | 0.21% |
| GNR 2018-H02 IM IO 01.6784 02/20/2068 | 0.21% |
| STACR 2018-HQA2 B2 12.6609 10/25/2048 | 0.21% |
| GNMA GII30 AH8784 04.5000 06/20/2034 | 0.21% |
| GNR 2015-H13 AI IO 02.6293 06/20/2065 | 0.21% |
| UBSCM 2012-C1 E P/P 144A 05.0000 05/10/2045 | 0.21% |
| FNR 2017-19 IH IO 05.0000 03/25/2047 | 0.20% |
| GNR 2015-H23 TI IO 01.9391 09/20/2065 | 0.20% |
| GNR 2017-H08 NI IO 02.1671 03/20/2067 | 0.20% |
| GNR 2019-35 SE IO 04.4804 01/16/2044 | 0.20% |
| WFRBS 2012-C9 E P/P 144A 04.9712 11/15/2045 | 0.20% |
| FNR 2018-51 BI IO 05.5000 07/25/2038 | 0.20% |
| MLCFC 2006-4 C 05.3240 12/12/2049 | 0.20% |
| STACR 2017-DNA2 M2 05.1109 10/25/2029 | 0.20% |
| GNR 2015-H04 AI IO 01.5939 12/20/2064 | 0.19% |
| SWPTN 6YX30Y R 2.8025 USD 04/24/2026 MS | 0.19% |
| GNR 2019-100 JS IO 04.4423 08/20/2049 | 0.19% |
| GNR 2015-89 LI IO 05.0000 12/20/2044 | 0.19% |
| SWPTN 11MX13Y R 3.162 USD 11/30/2020 JP | 0.19% |
| FNR 2017-66 IO IO 04.5000 09/25/2047 | 0.19% |
| GNR 2013-67 IP IO 04.0000 04/16/2043 | 0.19% |
| GNR 2014-H21 AI IO 01.6686 10/20/2064 | 0.19% |
| FNR 2015-86 MI IO 05.5000 11/25/2045 | 0.19% |
| GNR 2017-H10 MI IO 01.7981 04/20/2067 | 0.18% |
| SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA | 0.18% |
| BMIR 2019-4A B1 P/P 144A 05.5109 10/25/2029 | 0.18% |
| CAS 2019-R05 1B1 05.7609 07/25/2039 | 0.18% |
| GSMS 2014-GC22 C 04.8471 06/10/2047 | 0.18% |
| GNR 2016-H14 AI IO 02.7595 06/20/2066 | 0.18% |
| FNR 2018-47 SA IO 04.5891 07/25/2048 | 0.18% |
| WFRBS 2011-C4 E P/P 144A 05.3962 06/15/2044 | 0.18% |
| GNR 2017-H03 CI IO 01.7229 12/20/2066 | 0.18% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.18% |
| GNR 2013-34 HI IO 04.5000 03/20/2043 | 0.17% |
| GNR 2018-89 LS IO 04.1536 06/20/2048 | 0.17% |
| CAS 2018-C05 1M2 04.0109 01/25/2031 | 0.17% |
| FASST 2019-HB1 M5 06.0000 04/25/2029 | 0.17% |
| GNR 2016-H03 AI IO 02.2731 01/20/2066 | 0.17% |
| GNR 2017-H25 IO IO 02.2642 11/20/2067 | 0.17% |
| GNR 2016-H06 DI IO 02.3040 07/20/2065 | 0.17% |
| JPMCC 2011-C3 E P/P 144A 05.8528 02/15/2046 | 0.17% |
| FHR 2976 LC 18.2738 05/15/2035 | 0.17% |
| UBSBB 2012-C4 D P/P 144A 04.6255 12/10/2045 | 0.17% |
| FHR 4436 SC IO 04.4738 02/15/2045 | 0.17% |
| FHR 4546 PI IO 04.0000 12/15/2045 | 0.17% |
| GNR 2012-136 IO IO 03.5000 11/20/2042 | 0.17% |
| GNR 2018-1 IO IO 04.5000 01/20/2048 | 0.17% |
| GNR 2009-121 CI IO 04.5000 12/16/2039 | 0.16% |
| GNR 2018-127 IA IO 03.5000 04/20/2042 | 0.16% |
| GNMA GII30 635075 04.5000 04/20/2046 | 0.16% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.16% |
| GNR 2016-80 SD IO 04.4423 06/20/2046 | 0.16% |
| GNR 2016-H06 HI IO 02.0755 02/20/2066 | 0.16% |
| STACR 2018-HQA2 B1 05.9109 10/25/2048 | 0.16% |
| GNR 2017-H09 IO IO 01.8606 04/20/2067 | 0.16% |
| GNR 2015-H24 HI IO 02.0388 09/20/2065 | 0.16% |
| GNR 2013-182 SP IO 05.0423 12/20/2043 | 0.16% |
| GNR 2016-H04 KI IO 02.3377 02/20/2066 | 0.16% |
| FNR 2016-3 MI IO 05.5000 02/25/2046 | 0.15% |
| MCAS 2019-01 M7 P/P 144A 03.3609 10/15/2049 | 0.15% |
| WFHET 2007-2 A3 01.8909 04/25/2037 | 0.15% |
| GNR 2016-75 LI IO 06.0000 01/20/2040 | 0.15% |
| GNR 2016-H24 KI IO 02.9906 11/20/2066 | 0.15% |
| CAS 2018-C06 2B1 05.7609 03/25/2031 | 0.15% |
| GNR 2014-119 SA IO 03.9423 08/20/2044 | 0.15% |
| GNR 2014-182 BI IO 04.0000 01/20/2039 | 0.15% |
| FNR 2011-4 CS 09.5782 05/25/2040 | 0.15% |
| GNR 2011-H07 FI IO 01.2691 02/20/2061 | 0.15% |
| FNR 2012-151 IM IO 05.0000 04/25/2042 | 0.15% |
| GNR 2014-H25 BI IO 01.7203 12/20/2064 | 0.14% |
| GNR 2015-H25 BI IO 02.0015 10/20/2065 | 0.14% |
| TREASURY BILL 00.0000 05/21/2020 | 0.14% |
| FNMA FN30 AX5472 UMBS 03.5000 08/01/2045 | 0.14% |
| GNR 2014-137 ID IO 05.5000 09/16/2044 | 0.14% |
| GNR 2016-H04 HI IO 02.3795 07/20/2065 | 0.14% |
| FNMA FN30 AX5489 UMBS 03.5000 10/01/2045 | 0.14% |
| GNR 2014-104 IO IO 04.0000 03/20/2042 | 0.14% |
| GNR 2015-H16 XI IO 02.6425 07/20/2065 | 0.14% |
| GNR 2017-H14 LI IO 02.2752 06/20/2067 | 0.14% |
| GNR 2012-56 IB IO 04.0000 04/20/2042 | 0.14% |
| GNR 2017-H23 BI IO 01.9191 11/20/2067 | 0.14% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.13% |
| FHR 4452 QI IO 04.0000 11/15/2044 | 0.13% |
| FNMA FN30 AX5560 UMBS 03.5000 11/01/2046 | 0.13% |
| GNR 2018-H05 ID 02.0570 03/20/2068 | 0.13% |
| OMIR 2017-1A M2 P/P 144A 05.6609 04/25/2027 | 0.13% |
| STACR 2017-DNA3 M2 04.1609 03/25/2030 | 0.13% |
| FNMA FN30 AX5565 UMBS 03.5000 12/01/2046 | 0.13% |
| GNR 2018-H02 IO IO 01.9093 01/20/2068 | 0.13% |
| LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 | 0.13% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.13% |
| SCRT 2019-2 M 04.7500 08/25/2058 | 0.13% |
| TREASURY BILL 00.0000 02/20/2020 | 0.13% |
| GNR 2017-H16 HI IO 01.4953 08/20/2067 | 0.13% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.13% |
| GNR 2016-H06 AI IO 02.6899 02/20/2066 | 0.13% |
| GNMA GII30 AD8811 03.0000 03/20/2043 | 0.12% |
| JPMBB 2014-C23 D P/P 144A 04.1177 09/15/2047 | 0.12% |
| FHR 4425 EI IO 04.0000 01/15/2045 | 0.12% |
| GNR 2016-27 IB IO 04.0000 11/20/2045 | 0.12% |
| GNR 2017-H14 JI IO 02.1977 06/20/2067 | 0.12% |
| BSCMS 2007-T26 AJ 05.5613 01/12/2045 | 0.12% |
| GNR 2014-133 IP IO 05.0000 09/16/2044 | 0.12% |
| JPMBB 2013-C12 E P/P 144A 04.2367 07/15/2045 | 0.12% |
| GNMA GII30 609146 04.5000 05/20/2044 | 0.12% |
| GNR 2014-H18 CI IO 01.6221 09/20/2064 | 0.12% |
| FHR 4213 GI IO 04.0000 11/15/2041 | 0.12% |
| FNR 2012-114 NI IO 03.5000 10/25/2041 | 0.12% |
| FNR 2019-71 CS 03.9500 11/25/2049 | 0.12% |
| GNR 2013-79 PI IO 03.5000 04/20/2043 | 0.12% |
| SWPTN 3YX2Y R 2.2275 USD 05/16/2022 BA | 0.12% |
| GNR 2014-100 NI IO 04.0000 06/20/2043 | 0.12% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.12% |
| STACR 2018-DNA2 M2 03.8109 12/25/2030 | 0.12% |
| FNR 2013-22 PI IO 03.5000 10/25/2042 | 0.11% |
| CAS 2016-C04 1B 11.9109 01/25/2029 | 0.11% |
| STACR 2016-HQA1 M3 08.0109 09/25/2028 | 0.11% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.11% |
| FNR 2005-74 NK 19.1956 05/25/2035 | 0.11% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.11% |
| GNR 2012-H11 FI IO 01.2482 02/20/2062 | 0.11% |
| GNR 2016-H01 HI IO 02.0872 10/20/2065 | 0.11% |
| GNR 2013-51 QI IO 05.0000 02/20/2043 | 0.11% |
| MSAC 2004-HE9 M2 02.5909 11/25/2034 | 0.11% |
| FHR 4165 TI IO 03.0000 12/15/2042 | 0.11% |
| GNR 2015-168 IG IO 03.5000 03/20/2043 | 0.11% |
| GNR 2017-H25 AI IO 02.8426 12/20/2067 | 0.11% |
| GNR 2012-129 IO IO 04.5000 11/16/2042 | 0.10% |
| FHR 2990 LB 12.6613 06/15/2034 | 0.10% |
| STAR 2019-1 M1 03.7640 06/25/2049 | 0.10% |
| SWPTN 1YX5Y R 1.765 USD 06/26/2020 CI | 0.10% |
| 1.7945 R ISWP US0003M P 12/18/2029 | 0.10% |
| SWPTN 5YX10Y P 1.613 USD 08/27/2024 MS | 0.10% |
| FHR 3072 SM 04.2533 11/15/2035 | 0.10% |
| SCRT 2018-3 M 04.7500 08/25/2057 | 0.10% |
| SWPTN 1YX5Y R 1.755 USD 06/29/2020 GS | 0.10% |
| WAMU 2005-AR8 2AC2 02.5809 07/25/2045 | 0.10% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.10% |
| GNR 2018-127 IE IO 03.5000 01/20/2046 | 0.10% |
| IOS.FN30.400.13 R USL1M P 01/12/44 CS | 0.10% |
| FNR 2013-6 JI IO 03.0000 02/25/2043 | 0.10% |
| STACR 2019-DNA1 M2 04.3109 01/25/2049 | 0.10% |
| FHR 4425 IO IO 04.0000 01/15/2045 | 0.09% |
| FNR 2005-106 JC 14.9740 12/25/2035 | 0.09% |
| FNR 2015-10 AI IO 03.5000 08/25/2043 | 0.09% |
| OPTN FN30 3.5 02/05/20 CALL 103.0 JPMC | 0.09% |
| SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA | 0.09% |
| GNMA GII30 AJ8849 03.0000 10/20/2044 | 0.09% |
| FHR 4601 IC IO 04.0000 12/15/2045 | 0.09% |
| GNR 2011-H16 FI IO 01.0583 07/20/2061 | 0.09% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.09% |
| GNR 2017-H06 EI IO 01.6125 02/20/2067 | 0.09% |
| FNR 2007-53 SP 18.1101 06/25/2037 | 0.09% |
| GNMA GII30 627009 04.5000 10/20/2045 | 0.09% |
| SWPTN 5YX10Y R 1.613 USD 08/27/2024 MS | 0.09% |
| 2.536 R ISWP FWD US0003M P 12/02/2023 | 0.08% |
| FHR 4136 IQ IO 03.5000 11/15/2042 | 0.08% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.08% |
| STACR 2014-HQ3 M3 06.4109 10/25/2024 | 0.08% |
| GNMA GII30 BA7681 04.6250 06/20/2067 | 0.08% |
| GNR 2016-H08 GI IO 01.4589 04/20/2066 | 0.08% |
| FHR 4500 GI IO 04.0000 08/15/2045 | 0.08% |
| FNMA FN30 BD9021 UMBS 03.5000 01/01/2047 | 0.08% |
| FHR 4530 HI IO 04.0000 11/15/2045 | 0.08% |
| HVMLT 2005-2 1A 02.1744 05/19/2035 | 0.08% |
| ARRW 2019-3 M1 04.2040 10/25/2048 | 0.08% |
| EMIR 2020-1 B1 04.9260 01/25/2030 | 0.08% |
| BALTA 2005-8 21A1 04.0553 10/25/2035 | 0.08% |
| GNMA GII30 BP3708 05.0000 08/20/2049 | 0.08% |
| CAS 2019-R02 1M2 03.9609 08/25/2031 | 0.08% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.08% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.08% |
| GNR 2016-H24 JI IO 02.2624 11/20/2066 | 0.08% |
| CAS 2015-C04 1M2 07.3609 04/25/2028 | 0.08% |
| CAS 2019-R01 2B1 06.0109 07/25/2031 | 0.08% |
| FNR 2006-8 HP 18.4768 03/25/2036 | 0.08% |
| FNMA FN30 AV7026 UMBS 03.5000 11/01/2044 | 0.08% |
| 2.806 R ISWP FWD US0003M P 03/05/2030 | 0.07% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.07% |
| FNR 12-118 PI IO 04.0000 06/25/2042 | 0.07% |
| OMIR 2019-1A B1B 06.0109 07/25/2029 | 0.07% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML | 0.07% |
| GNR 2015-52 KI IO 03.5000 11/20/2040 | 0.07% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.07% |
| GNMA GII30 AY4779 04.5090 03/20/2067 | 0.07% |
| CAS 2016-C03 2B 14.4109 10/25/2028 | 0.07% |
| FHR 4171 NI IO 03.0000 06/15/2042 | 0.07% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.07% |
| CAS 2016-C05 2M2 06.1109 01/25/2029 | 0.07% |
| FNR 2015-83 IO IO 04.0000 10/25/2043 | 0.07% |
| FHR 4141 PI IO 03.0000 12/15/2042 | 0.07% |
| SWPTN 1YX5Y R 1.629 USD 01/14/2021 CI | 0.06% |
| FNMA FN30 AX5483 UMBS 03.5000 10/01/2045 | 0.06% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.06% |
| STACR 2015-HQ1 M3 05.4609 03/25/2025 | 0.06% |
| SWPTN 1YX5Y R 1.996 USD 01/14/2021 CI | 0.06% |
| FNR 2006-62 PS 29.9347 07/25/2036 | 0.06% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.06% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.06% |
| OMIR 2019-1A B1A 05.1609 07/25/2029 | 0.06% |
| GNMA GII30 BP6877 05.0000 08/20/2049 | 0.06% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.06% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.06% |
| 1.688 R ISWP US0003M P 01/31/2030 | 0.06% |
| FNR 2012-104 HI IO 04.0000 09/25/2027 | 0.06% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.06% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.06% |
| GNMA GII30 BQ7313 04.5000 10/20/2049 | 0.06% |
| GNR 2010-151 KO PO 00.0000 06/16/2037 | 0.06% |
| GNR 2015-24 AI IO 03.5000 12/20/2037 | 0.06% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.06% |
| FHR 4019 JI IO 04.0000 05/15/2041 | 0.06% |
| FHR 4165 AI IO 03.5000 02/15/2043 | 0.06% |
| FNMA FN30 BC0960 UMBS 04.0000 06/01/2046 | 0.06% |
| GNMA GII30 609117 04.5000 02/20/2044 | 0.06% |
| GNR 2015-H23 DI IO 01.8928 09/20/2065 | 0.06% |
| GNMA GII30 AJ4184 04.5000 09/20/2044 | 0.06% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.05% |
| GNR 2016-69 IO IO 04.0000 05/20/2046 | 0.05% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.05% |
| GNR 2016-156 PI IO 03.5000 11/20/2046 | 0.05% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.05% |
| SCRT 2019-4 M 04.5000 02/25/2059 | 0.05% |
| FNR 2014-28 AI IO 03.0000 03/25/2040 | 0.05% |
| SAMI 2006-AR7 A1BG 01.7809 08/25/2036 | 0.05% |
| STACR 2019-DNA2 M2 04.1109 03/25/2049 | 0.05% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.05% |
| SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP | 0.05% |
| FHR 3408 EK 19.0481 04/15/2037 | 0.05% |
| GNMA GII30 BP7884 04.5000 01/20/2050 | 0.05% |
| GNR 2012-91 IN IO 04.5000 05/20/2042 | 0.05% |
| FNR 2012-151 PI IO 03.0000 01/25/2043 | 0.05% |
| FNR 2013-53 JI IO 03.0000 12/25/2041 | 0.05% |
| FNR 2013-55 KI IO 03.0000 04/25/2043 | 0.05% |
| GNMA GN30 AE8022 04.5000 12/15/2043 | 0.05% |
| GNR 2013-165 IL IO 04.0000 03/20/2043 | 0.05% |
| SWPTN 20MX5Y P 1.3 USD 08/27/2021 UB | 0.05% |
| 1.58 R ISWP FWD US0003M P 03/18/2025 | 0.05% |
| CAS 2018-C01 1M2 03.9109 07/25/2030 | 0.05% |
| FNR 2005-122 SE 17.2869 11/25/2035 | 0.05% |
| GNMA GII30 BO3369 05.0000 06/20/2049 | 0.05% |
| GNMA GII30 BP2045 05.0000 07/20/2049 | 0.05% |
| SWPTN 1YX1Y R 1.5025 USD 10/19/2020 UB | 0.05% |
| FHR 4136 ES IO 04.5738 11/15/2042 | 0.05% |
| SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI | 0.05% |
| 1.698 R ISWP US0003M P 01/28/2030 | 0.05% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.05% |
| RMIR 2020-1 B1 05.1690 02/25/2030 | 0.05% |
| GNMA GII30 AJ4182 04.5000 09/20/2044 | 0.04% |
| GNMA GII30 AJ6287 04.0000 09/20/2044 | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.04% |
| SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS | 0.04% |
| 2.32 R ISWP FWD US0003M P 02/09/2024 | 0.04% |
| STACR 2019-FTR3 B2 06.5356 09/25/2047 | 0.04% |
| 2.2225 R ISWP FWD US0003M P 06/05/2029 | 0.04% |
| GNR 2014-174 AI IO 03.0000 11/16/2029 | 0.04% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.04% |
| OPTN FN30 4.0 02/05/20 CALL 104.15625 JPMC | 0.04% |
| STACR 2019-DNA2 B2 12.1609 03/25/2049 | 0.04% |
| STACR 2017-DNA1 M2 04.9109 07/25/2029 | 0.04% |
| FHR 4201 JI IO 03.0000 12/15/2041 | 0.04% |
| FNMA FN30 BD9219 UMBS 04.5000 10/01/2046 | 0.04% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.04% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.04% |
| GNMA GII30 AQ6653 04.5000 09/20/2045 | 0.04% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.04% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.04% |
| CAS 2020-R01 1B1 04.9421 01/25/2040 | 0.04% |
| GNMA GII30 AY2298 04.7000 05/20/2067 | 0.04% |
| GNMA GII30 BB0107 04.7000 08/20/2067 | 0.04% |
| GNMA GII30 BO4634 05.0000 06/20/2049 | 0.04% |
| GNR 2014-160 IB IO 03.0000 11/20/2040 | 0.04% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS | 0.04% |
| GNMA GII30 BR2728 04.0000 12/20/2049 | 0.04% |
| GNMA GN30 AG8989 04.5000 05/15/2044 | 0.04% |
| SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA | 0.04% |
| FNR 2013-55 PI IO 03.0000 05/25/2042 | 0.04% |
| GNMA GII30 BP3611 05.0000 07/20/2049 | 0.04% |
| GNMA GII30 BP3623 05.0000 08/20/2049 | 0.04% |
| SWPTN 5YX10Y R 1.6125 USD 08/27/2024 UB | 0.04% |
| FNR 2005-75 GS 15.2674 08/25/2035 | 0.03% |
| GNMA GII30 BN1509 05.0000 05/20/2049 | 0.03% |
| GNMA GII30 BO8117 04.0000 08/20/2049 | 0.03% |
| IOS.FN30.550.08 R USL1M P 01/12/39 BC | 0.03% |
| GNMA GII30 BP5514 03.5000 09/20/2049 | 0.03% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.03% |
| SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP | 0.03% |
| GNMA GII30 BP7527 03.5000 10/20/2049 | 0.03% |
| IOS.FN30.400.11 R USL1M P 01/12/42 BC | 0.03% |
| FHR 3249 PS 16.7434 12/15/2036 | 0.03% |
| GNMA GII30 635065 04.5000 03/20/2046 | 0.03% |
| STACR 2017-HQA2 B1 06.4109 12/25/2029 | 0.03% |
| CAS 2018-C03 1B1 05.4109 10/25/2030 | 0.03% |
| FNR 2012-62 MI IO 04.0000 03/25/2041 | 0.03% |
| GNMA GII30 AL8543 04.0000 02/20/2045 | 0.03% |
| GNMA GII30 BL2894 05.0000 04/20/2049 | 0.03% |
| GNMA GN30 AG8984 04.5000 05/15/2044 | 0.03% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.03% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.03% |
| SWPTN 12MX1Y R 1.316 USD 10/13/2020 CI | 0.03% |
| SWPTN 5YX30Y R 2.032 USD 01/14/2025 JP | 0.03% |
| FHR 4018 DI IO 04.5000 07/15/2041 | 0.03% |
| FNMA FN30 AV7020 UMBS 03.5000 10/01/2044 | 0.03% |
| GNMA GII30 609118 04.5000 02/20/2034 | 0.03% |
| GNMA GN30 704478 04.5000 04/15/2039 | 0.03% |
| 2.3075 R ISWP FWD US0003M P 02/02/2024 | 0.03% |
| FHR 4024 PI IO 04.5000 12/15/2041 | 0.03% |
| GNR 2012-48 AI IO 03.5000 02/20/2036 | 0.03% |
| GNR 2018-127 IB IO 04.5000 06/20/2045 | 0.03% |
| MBX.GII30.500.10 R USL1M P 01/12/41 BC | 0.03% |
| FNMA FN30 MA2180 UMBS 04.0000 02/01/2045 | 0.03% |
| IOS.FN30.400.13 R USL1M P 01/12/44 CS | 0.03% |
| 2.55 R ISWP FWD US0003M P 11/20/2039 | 0.03% |
| CAS 2016-C07 2M2 06.0109 05/25/2029 | 0.03% |
| GNMA GII30 AW8447 04.3240 05/20/2067 | 0.03% |
| GNR 2014-2 IL IO 04.0000 01/16/2044 | 0.03% |
| GNR 2015-99 TI IO 03.5000 04/20/2039 | 0.03% |
| FHR 4015 GI IO 04.0000 03/15/2027 | 0.02% |
| GNMA GII30 BQ1446 04.0000 09/20/2049 | 0.02% |
| GNR 2014-102 IG IO 03.5000 03/16/2041 | 0.02% |
| SWPTN 12MX1Y P 1.316 USD 10/13/2020 CI | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.02% |
| GNMA GII30 AO8363 04.0000 09/20/2045 | 0.02% |
| CAS 2017-C02 2M2 05.3109 09/25/2029 | 0.02% |
| FNR 2012-124 JI IO 03.5000 11/25/2042 | 0.02% |
| GNMA GII30 BO2715 05.0000 07/20/2049 | 0.02% |
| GNMA GII30 BO4614 05.0000 06/20/2049 | 0.02% |
| GNR 2010-20 SC IO 04.4923 02/20/2040 | 0.02% |
| SWPTN 3YX30Y P 2.983 USD 05/23/2022 GS | 0.02% |
| SWPTN 6YX30Y P 3.195 USD 11/28/2025 BA | 0.02% |
| GNMA GII30 BO6603 05.0000 07/20/2049 | 0.02% |
| SWPTN 4YX10Y P 2.9425 USD 02/13/2024 GS | 0.02% |
| 2.57 R ISWP FWD US0003M P 02/02/2024 | 0.02% |
| FHLMC FR30 ZS0468 UMBS 07.5000 10/01/2029 | 0.02% |
| FNR 2008-53 DO PO 00.0000 07/25/2038 | 0.02% |
| FNR 2011-123 KS IO 04.9391 10/25/2041 | 0.02% |
| GNMA GII30 AK1223 04.0000 02/20/2045 | 0.02% |
| GNR 2014-141 CI IO 03.0000 03/20/2040 | 0.02% |
| GNR 2015-24 IC IO 03.5000 11/20/2037 | 0.02% |
| SWPTN 1YX5Y P 1.996 USD 01/14/2021 CI | 0.02% |
| SWPTN 9YX30Y P 2.7875 USD 04/24/2029 MS | 0.02% |
| FNW 1998-W2 X IO 00.3837 06/25/2028 | 0.02% |
| GNMA GII30 AO8415 04.0000 10/20/2045 | 0.02% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BA | 0.02% |
| IOS.FN30.400.11 R USL1M P 01/12/42 CS | 0.02% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.02% |
| SWPTN 5YX30Y R 1.727 USD 01/22/2025 GS | 0.02% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| FNR 2005-83 QP 13.0757 11/25/2034 | 0.02% |
| FNR 2013-30 IP IO 03.0000 10/25/2041 | 0.02% |
| GNMA GII30 BN1507 05.0000 05/20/2049 | 0.02% |
| GNMA GII30 BP3716 05.0000 08/20/2049 | 0.02% |
| GNMA GII30 BP7627 03.5000 11/20/2049 | 0.02% |
| GNMA GII30 BQ1550 04.0000 10/20/2049 | 0.02% |
| SWPTN 1YX5Y P 1.629 USD 01/14/2021 CI | 0.02% |
| FNMA FN30 AX2731 UMBS 04.5000 10/01/2044 | 0.02% |
| FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 | 0.02% |
| FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 | 0.02% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.02% |
| GNMA GII30 AO7326 04.6670 09/20/2065 | 0.02% |
| GNMA GII30 BN1508 05.0000 05/20/2049 | 0.02% |
| GNMA GII30 BO8266 05.0000 07/20/2049 | 0.02% |
| GNR 2019-78 SJ IO 04.3923 06/20/2049 | 0.02% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.02% |
| FNMA FN30 MA2242 UMBS 04.0000 04/01/2045 | 0.02% |
| GNMA GII30 BN1510 05.5000 05/20/2049 | 0.02% |
| GNR 2019-99 KS IO 04.3923 08/20/2049 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| SWPTN 1YX2Y R 1.5775 USD 09/14/2020 MS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.02% |
| FNMA FN30 AX8927 UMBS 04.5000 12/01/2044 | 0.02% |
| GNR 2014-4 IK IO 04.0000 07/20/2039 | 0.02% |
| IOS.FN30.350.12 R USL1M P 01/12/43 BC | 0.02% |
| MBX.GII30.450.10 R USL1M P 01/12/41 DE | 0.02% |
| 1.626 R ISWP FWD US0003M P 09/12/2052 | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| FNMA FN30 AX8877 UMBS 04.5000 12/01/2044 | 0.01% |
| FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 | 0.01% |
| GNMA GII30 BN1511 05.5000 05/20/2049 | 0.01% |
| GNMA GII30 BQ1549 04.0000 10/20/2049 | 0.01% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.01% |
| SWPTN 4YX10Y P 3.229 USD 11/30/2023 JP | 0.01% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| FHLMC FR30 ZS1312 UMBS 04.5000 01/01/2037 | 0.01% |
| FNR 2012-145 TI IO 03.0000 11/25/2042 | 0.01% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.01% |
| IOS.FN30.350.13 R USL1M P 01/12/44 CS | 0.01% |
| MBX.GII30.500.10 R USL1M P 01/12/41 CS | 0.01% |
| SWPTN 1YX1Y P 1.5025 USD 10/19/2020 UB | 0.01% |
| 1.88 R ISWP FWD US0003M P 12/21/2030 | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.01% |
| FHR 3996 IK IO 04.0000 03/15/2039 | 0.01% |
| FNMA FN30 BA1056 UMBS 04.5000 11/01/2045 | 0.01% |
| FNMA FN30 BN3050 UMBS 05.0000 01/01/2049 | 0.01% |
| GNMA GII30 BL4980 05.0000 08/20/2049 | 0.01% |
| GNMA GII30 BL4992 05.0000 08/20/2049 | 0.01% |
| GNMA GII30 BM2243 05.0000 07/20/2049 | 0.01% |
| GNMA GII30 BP7740 03.5000 11/20/2049 | 0.01% |
| OPTN GII30 3.0 02/05/20 CALL 102.78125 JPMC | 0.01% |
| 2.5725 R ISWP FWD US0003M P 02/02/2024 | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| FHR 4199 CI IO 03.5000 12/15/2037 | 0.01% |
| FHS 304 C37 IO 03.5000 12/15/2027 | 0.01% |
| FNMA FN30 BO3442 UMBS 05.0000 08/01/2049 | 0.01% |
| FNR 2013-23 LI IO 03.0000 06/25/2041 | 0.01% |
| GNMA GII30 BM2417 03.5000 08/20/2049 | 0.01% |
| GNMA GII30 BP7324 03.5000 10/20/2049 | 0.01% |
| GNMA GII30 BP7505 03.5000 10/20/2049 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.01% |
| SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS | 0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.01% |
| FHLMC FR30 ZN5756 UMBS 05.0000 04/01/2049 | 0.01% |
| FNR 2007-44 CO PO 00.0000 05/25/2037 | 0.01% |
| SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.01% |
| FNMA FN30 AA2892 UMBS 04.5000 03/01/2039 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BA | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.01% |
| OPTN GII30 3.5 02/05/20 CALL 103.1484375 JPMC | 0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.01% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG | 0.01% |
| GNR 2010-114 MI IO 04.0000 03/20/2039 | 0.01% |
| IOS.FN30.400.09 R USL1M P 01/12/40 GS | 0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.01% |
| FNMA FN30 MA2216 UMBS 04.0000 03/01/2045 | 0.01% |
| GNMA GII30 BR7370 04.0000 01/20/2050 | 0.01% |
| GNR 2011-71 IK IO 04.0000 04/16/2039 | 0.01% |
| SWPTN 3YX2Y R 1.245 USD 08/26/2022 CI | 0.01% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 GS | 0.01% |
| FNR 2003-34 P1 PO 00.0000 04/25/2043 | 0.01% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.01% |
| SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS | 0.01% |
| FHR 3300 PO PO 00.0000 02/15/2037 | 0.00% |
| FHR 3391 PO PO 00.0000 04/15/2037 | 0.00% |
| FNW 1998-W5 X IO 00.7421 07/25/2028 | 0.00% |
| GNMA GII30 2987 07.5000 10/20/2030 | 0.00% |
| SWPTN 2YX30Y P 2.904 USD 05/24/2021 MS | 0.00% |
| FNMA FN30 AS5038 UMBS 04.0000 05/01/2045 | 0.00% |
| FNMA FN30 BC0390 UMBS 04.5000 12/01/2045 | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.00% |
| SWPTN 9MX1Y R 1.33 USD 10/30/2020 JP | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.00% |
| FHLMC FR30 ZS1526 UMBS 04.5000 06/01/2037 | 0.00% |
| FHR 3175 MO PO 00.0000 06/15/2036 | 0.00% |
| FHR 3326 WF 00.0000 10/15/2035 | 0.00% |
| FNMA FN15 888594 06.0000 08/01/2022 | 0.00% |
| FNMA FN30 AY3392 UMBS 04.0000 04/01/2045 | 0.00% |
| FNR 2007-64 LO PO 00.0000 07/25/2037 | 0.00% |
| FNR 2008-36 OV PO 00.0000 01/25/2036 | 0.00% |
| FNW 2003-W3 1A4 04.0826 08/25/2042 | 0.00% |
| FSPC T-48 AIO2 IO 00.2120 07/25/2033 | 0.00% |
| FSPC T-59 1AX IO 00.2814 10/25/2043 | 0.00% |
| GNR 2011-81 SB IO 05.0354 11/16/2036 | 0.00% |
| GNR 2018-127 ID IO 05.0000 07/20/2045 | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| 1.977 R ISWP FWD US0003M P 01/24/2055 | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.00% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML | 0.00% |
| CMB CMBX.NA.BB.12 2061-08-17 500.0 08/17/2061 JP | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.00% |
| FHR 3117 AF 00.0000 02/15/2036 | 0.00% |
| FNMA FN15 891706 06.0000 07/01/2021 | 0.00% |
| FNMA FN30 AY1318 UMBS 04.0000 03/01/2045 | 0.00% |
| FSPC T-57 2A1 04.1208 07/25/2043 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| SWPTN 3MX5Y P 2.18775 USD 03/17/2020 CI | 0.00% |
| SWPTN 3YX2Y P 1.245 USD 08/26/2022 CI | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.00% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CG | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.00% |
| FHR 3210 PO PO 00.0000 05/15/2036 | 0.00% |
| FNMA FN15 893456 06.0000 09/01/2021 | 0.00% |
| FNR 2001-50 BI IO 00.3761 10/25/2041 | 0.00% |
| FNR 2001-79 BI IO 00.2763 03/25/2045 | 0.00% |
| FNR 2007-14 KO PO 00.0000 03/25/2037 | 0.00% |
| FNW 2003-W14 2A 04.4880 01/25/2043 | 0.00% |
| FNW 2004-W2 4A 04.2666 02/25/2044 | 0.00% |
| FNW 2004-W7 A2 04.9824 03/25/2034 | 0.00% |
| FSPC T-59 2A1 03.9914 10/25/2043 | 0.00% |
| FSPC T-8 A9 IO 00.4173 11/15/2028 | 0.00% |
| GNMA GIIARM 8913 03.2500 07/20/2026 | 0.00% |
| GNR 2006-36 OD PO 00.0000 07/16/2036 | 0.00% |
| IOS.FN30.400.09 R USL1M P 01/12/40 DE | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.00% |
| IOS.FN30.450.09 R USL1M P 01/12/40 BC | 0.00% |
| IOS.FN30.500.09 R USL1M P 01/12/40 BC | 0.00% |
| IOS.FN30.500.09 R USL1M P 01/12/40 DE | 0.00% |
| SWPTN 3YX1Y P 1.333 USD 01/30/2023 JP | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.00% |
| FHLMC FR15 ZS5132 UMBS 06.0000 09/01/2021 | 0.00% |
| FHR 3206 EO PO 00.0000 08/15/2036 | 0.00% |
| FHR 3314 PO PO 00.0000 11/15/2036 | 0.00% |
| FHR 3369 BO PO 00.0000 09/15/2037 | 0.00% |
| FNMA FN15 745502 06.0000 04/01/2021 | 0.00% |
| FNMA FN15 746111 06.0000 09/01/2021 | 0.00% |
| FNMA FN15 823534 05.5000 07/01/2020 | 0.00% |
| FNMA FN15 829041 05.5000 07/01/2020 | 0.00% |
| FNMA FN15 829091 04.0000 09/01/2020 | 0.00% |
| FNMA FN15 831317 05.0000 03/01/2021 | 0.00% |
| FNMA FN15 831496 06.0000 05/01/2021 | 0.00% |
| FNMA FN15 833587 05.5000 09/01/2020 | 0.00% |
| FNMA FN15 836615 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 840106 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 843104 05.5000 10/01/2020 | 0.00% |
| FNMA FN15 847073 05.5000 08/01/2020 | 0.00% |
| FNMA FN15 849103 05.5000 01/01/2021 | 0.00% |
| FNMA FN15 852535 05.5000 01/01/2021 | 0.00% |
| FNMA FN15 872585 06.0000 04/01/2021 | 0.00% |
| FNMA FN15 879632 06.0000 06/01/2021 | 0.00% |
| FNMA FN15 880974 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 880975 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 887261 06.0000 07/01/2021 | 0.00% |
| FNMA FN15 894310 06.0000 10/01/2021 | 0.00% |
| FNMA FN15 894829 06.0000 09/01/2021 | 0.00% |
| FNMA FN15 896560 06.0000 07/01/2021 | 0.00% |
| FNMA FN15 917693 06.0000 04/01/2022 | 0.00% |
| FNR 2006-125 OX PO 00.0000 01/25/2037 | 0.00% |
| FNR 2006-46 OC PO 00.0000 06/25/2036 | 0.00% |
| FNR 2006-84 OT PO 00.0000 09/25/2036 | 0.00% |
| FNW 2003-W11 A1 04.7896 06/25/2033 | 0.00% |
| GNMA GN30 497455 06.0000 01/15/2029 | 0.00% |
| GNMA GN30 645703 05.5000 08/15/2035 | 0.00% |
| GSMPS 1998-2 IO IO 01.0041 05/19/2027 | 0.00% |
| GSMPS 1998-3 IO IO 00.0000 09/19/2027 | 0.00% |
| GSMPS 1998-4 IO IO 00.0000 12/19/2026 | 0.00% |
| GSMPS 1999-2 IO IO 00.8396 09/19/2027 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | 0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 GS | 0.00% |
| OPTN FN30 4.0 02/05/20 PUT 104.15625 JPMC | 0.00% |
| SWPTN 11MX3Y P 2.975 USD 11/30/2020 JP | 0.00% |
| SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS | 0.00% |
| SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS | 0.00% |
| SWPTN 3YX1Y R 1.333 USD 01/30/2023 JP | 0.00% |
| SWPTN 7WX10Y P 2.7475 USD 02/13/2020 GS | 0.00% |
| 1.5095 R ISWP FWD US0003M P 08/28/2030 | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| IOS.FN30.450.09 P USL1M R 01/12/40 DE | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 BC | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 CI | -0.00% |
| IOS.FN30.550.08 P USL1M R 01/12/39 CS | -0.00% |
| 2.25 R ISWP FWD US0003M P 07/05/2052 | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| SWPTN 3MX5Y P 1.999 USD 03/17/2020 CI | -0.00% |
| SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS | -0.00% |
| SWPTN 9MX1Y R 0.83 USD 10/30/2020 JP | -0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 JP | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| OPTN FN30 3.0 02/05/20 PUT 101.703125 JPMC | -0.00% |
| SWPTN 11MX13Y P 3.162 USD 11/30/2020 JP | -0.00% |
| SWPTN 2YX5Y P 2.664 USD 05/24/2021 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | -0.00% |
| FEDL01 P ISWP SOFRRATE R 12/05/2020 | -0.00% |
| IOS.FN30.350.12 P USL1M R 01/12/43 JP | -0.00% |
| OPTN FN30 3.5 02/05/20 PUT 103.0 JPMC | -0.00% |
| 2.032 R ISWP US0003M P 01/16/2055 | -0.00% |
| 2.035 R ISWP FWD US0003M P 01/22/2031 | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.00% |
| FEDL01 P ISWP SOFRRATE R 11/29/2020 | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| OPTN GII30 3.0 02/05/20 PUT 102.78125 JPMC | -0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| OPTN GII30 3.5 02/05/20 PUT 103.1484375 JPMC | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| 2.0625 R ISWP FWD US0003M P 06/22/2030 | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| SWPTN 1YX10Y P 2.13 USD 12/17/2020 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| SWPTN 5YX30Y P 1.727 USD 01/22/2025 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.01% |
| IOS.FN30.350.13 P US0001M R 01/12/44 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| SWPTN 5YX30Y P 2.032 USD 01/14/2025 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.02% |
| 2.3075 R ISWP FWD US0003M P 06/22/2052 | -0.02% |
| 1.9665 R ISWP FWD US0003M P 07/06/2030 | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.02% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.02% |
| SWPTN 3YX5Y P 2.823 USD 05/23/2022 GS | -0.02% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.02% |
| 1.771 R ISWP US0003M P 01/16/2030 | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.02% |
| SWPTN 9YX10Y P 3.312 USD 11/27/2028 BA | -0.02% |
| 2.528 R ISWP FWD US0003M P 02/02/2024 | -0.03% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.03% |
| 1.744 R ISWP US0003M P 01/08/2030 | -0.03% |
| SWPTN 6YX30Y P 2.8025 USD 04/24/2026 MS | -0.03% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.03% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS | -0.03% |
| IOS.FN30.550.08 P USL1M R 01/12/39 GS | -0.03% |
| 1.733 R ISWP FWD US0003M P 02/07/2024 | -0.03% |
| SWPTN 1YX2Y P 1.5775 USD 09/14/2020 MS | -0.03% |
| SWPTN 20MX5Y R 1.3 USD 08/27/2021 UB | -0.03% |
| 1.748 R ISWP FWD US0003M P 01/31/2030 | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.03% |
| SWPTN 5YX10Y P 1.6125 USD 08/27/2024 UB | -0.03% |
| SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS | -0.03% |
| SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.04% |
| SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP | -0.04% |
| 1.7025 R ISWP US0003M P 12/23/2021 | -0.04% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.04% |
| SWPTN 1YX10Y P 1.805 USD 01/14/2021 CI | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.04% |
| 1.7505 R ISWP FWD US0003M P 01/31/2030 | -0.04% |
| SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP | -0.04% |
| SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI | -0.04% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 ML | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.04% |
| 1.73 R ISWP FWD US0003M P 03/18/2030 | -0.04% |
| 1.9185 R ISWP FWD US0003M P 08/08/2052 | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.05% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.05% |
| SWPTN 11MX3Y R 2.975 USD 11/30/2020 JP | -0.05% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.05% |
| SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS | -0.05% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.05% |
| 1.755 R ISWP US0003M P 01/23/2030 | -0.05% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.05% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.05% |
| IOS.FN30.500.10 P USL1M R 01/12/41 BC | -0.06% |
| IOS.FN30.500.10 P USL1M R 01/12/41 CS | -0.06% |
| 2.6785 R ISWP US0003M P 02/13/2029 | -0.06% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 DE | -0.06% |
| IOS.FN30.500.10 P USL1M R 01/12/41 GS | -0.06% |
| IOS.FN30.500.10 P USL1M R 01/12/41 JP | -0.06% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.06% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | -0.07% |
| IOS.FN30.650.67 P USL1M R 01/12/38 BC | -0.07% |
| SWPTN 3YX10Y R 1.512 USD 08/30/2022 MS | -0.07% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.07% |
| 1.98 R ISWP FWD US0003M P 03/18/2050 | -0.07% |
| 1.50 R ISWP US0003M P 09/30/2024 | -0.07% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.07% |
| SWPTN 3YX2Y P 2.2275 USD 05/16/2022 BA | -0.07% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | -0.08% |
| SWPTN 3YX10Y P 1.512 USD 08/30/2022 MS | -0.08% |
| 1.53 R ISWP US0003M P 10/01/2024 | -0.09% |
| 2.184 R ISWP FWD US0003M P 12/07/2030 | -0.09% |
| 2.2685 R ISWP FWD US0003M P 07/22/2052 | -0.09% |
| SWPTN 7YX10Y P 1.9875 USD 10/19/2026 UB | -0.09% |
| SWPTN 10YX10Y P 1.865 USD 10/10/2029 CI | -0.10% |
| SWPTN 10YX10Y R 1.865 USD 10/10/2029 CI | -0.10% |
| SWPTN 1YX5Y P 1.755 USD 06/29/2020 GS | -0.11% |
| SWPTN 1YX5Y P 1.765 USD 06/26/2020 CI | -0.11% |
| SWPTN 7YX10Y R 1.9875 USD 10/19/2026 UB | -0.12% |
| SWPTN 4YX10Y R 2.9425 USD 02/13/2024 GS | -0.12% |
| 2.098 R ISWP FWD US0003M P 03/04/2030 | -0.12% |
| 2.67 R ISWP FWD US0003M P 03/28/2052 | -0.12% |
| SWPTN 1YX10Y R 1.805 USD 01/14/2021 CI | -0.13% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.13% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.13% |
| 1.8252 R ISWP US0003M P 12/17/2029 | -0.13% |
| SWPTN 4YX10Y R 3.229 USD 11/30/2023 JP | -0.13% |
| 2.44 R ISWP FWD US0003M P 03/26/2030 | -0.14% |
| 2.1935 R ISWP FWD US0003M P 12/14/2030 | -0.16% |
| 2.4105 R ISWP FWD US0003M P 06/14/2052 | -0.17% |
| SWPTN 9YX30Y R 2.7875 USD 04/24/2029 MS | -0.17% |
| 2.647 R ISWP FWD US0003M P 03/16/2030 | -0.18% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.21% |
| GNMA GII30 TBA 03.5000 02/01/2050 | -0.22% |
| SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS | -0.24% |
| SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS | -0.24% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.29% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.30% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.30% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | -0.31% |
| SWPTN 6YX30Y R 3.195 USD 11/28/2025 BA | -0.32% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.35% |
| IOS.FN30.400.11 P USL1M R 01/12/42 JP | -0.35% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.36% |
| 1.625 R ISWP FWD US0003M P 03/18/2025 | -0.46% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.48% |
| 3.065 R ISWP FWD US0003M P 01/03/2029 | -0.52% |
| SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS | -0.61% |
| SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS | -0.62% |
| 1.60 R ISWP FWD US0003M P 03/18/2022 | -0.62% |
| US 5YR NOTE (CBT) MAR20 FVH0 | -3.25% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -5.03% |
Fixed income statistics as of 04/30/20
| Average effective maturity | 1.38 yrs. |
|---|---|
| Average effective duration | 1.57 yrs. |
| Average yield to maturity | 10.20% |
| Average coupon | 5.32% |
Sector weightings as of 04/30/20
| Cash investments | Non-cash investments | Total portfolio | ||||
|---|---|---|---|---|---|---|
| Weight | Spread duration | Weight | Spread duration | Weight | Spread duration | |
| Agency CMO | 42.46% | 1.45 | 0.68% | 0.03 | 43.14% | 1.48 |
| Commercial MBS | 10.28% | 0.26 | 30.39% | 0.45 | 40.67% | 0.71 |
| Agency pass-through | 10.11% | 0.50 | 26.85% | 0.70 | 36.96% | 1.20 |
| Residential MBS (non-agency) | 17.91% | 0.78 | 0.00% | 0.00 | 17.91% | 0.78 |
| Asset-backed securities (ABS) | 3.87% | 0.04 | 0.00% | 0.00 | 3.87% | 0.04 |
| Interest rate swaps | 0.00% | 0.00 | 0.00% | -1.82 | 0.00% | -1.82 |
| U.S. Treasury/agency | 0.00% | 0.00 | 0.00% | -3.03 | 0.00% | -3.03 |
| Net cash | 15.37% | 0.00 | 0.00% | 0.00 | 15.37% | 0.00 |
Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest-rate swap sectors where effective duration is displayed. Spread duration estimates the price sensitivity of a specific sector or asset class to a 100 basis-point movement, 1%, (either widening or narrowing) in its yield spread relative to Treasuries. Effective duration provides a measure of a portfolio's interest-rate sensitivity. The longer a portfolio's duration, the more sensitive the portfolio is to shifts in the interest rates. Allocations may not total 100% of net assets because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.
Maturity detail as of 04/30/20
| 0 - 1 yr. | -6.30% |
|---|---|
| 1 - 5 yrs. | 78.69% |
| 5 - 10 yrs. | 26.67% |
| 10 - 15 yrs. | 0.94% |
Quality rating as of 04/30/20
| AAA | 87.03% |
|---|---|
| AA | 5.37% |
| A | 10.56% |
| BBB | 10.12% |
| BB | 4.27% |
| B | 3.58% |
| CCC and Below | 2.16% |
| Not Rated | -23.09% |
Fund characteristics will vary over time.
Due to rounding, percentages may not equal 100%.
Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage- and asset-backed securities are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. The fund's investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund's exposure to privately issued mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund's net asset value more susceptible to economic, market, political and other developments affecting the housing or real estate markets. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Default risk is generally higher for non-qualified mortgages. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. The value of investments in the fund's portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, geography (such as a region of the United States), industry or sector, such as the housing or real estate markets. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings or in relevant markets. You can lose money by investing in the fund.
Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.
Expenses
Expense ratio |
Class A | Class B | Class C | Class R | Class R6 | Class Y |
|---|---|---|---|---|---|---|
| Total expense ratio | 0.90% | 1.65% | 1.65% | 1.15% | 0.52% | 0.65% |
| What you pay† | 0.75% | 1.50% | 1.50% | 1.00% | 0.37% | 0.50% |
† The fund's expense ratio is taken from the most recent prospectus and is subject to change. What you pay reflects Putnam Management's decision to contractually limit expenses through 01/30/21
Sales charge
| Investment Breakpoint | Class A | Class B | Class C | Class R | Class R6 | Class Y |
|---|---|---|---|---|---|---|
| $0-$49,999 | 4.00% | 0.00% | 0.00% | -- | -- | -- |
| $50,000-$99,999 | 4.00% | 0.00% | 0.00% | -- | -- | -- |
| $100,000-$249,999 | 3.25% | -- | 0.00% | -- | -- | -- |
| $250,000-$499,999 | 2.50% | -- | 0.00% | -- | -- | -- |
| $500,000-$999,999 | 0.00% | -- | -- | -- | -- | -- |
| $1M-$4M | 0.00% | -- | -- | -- | -- | -- |
| $4M-$50M | 0.00% | -- | -- | -- | -- | -- |
| $50M+ | 0.00% | -- | -- | -- | -- | -- |
CDSC
| Class A (sales for $500,000+) | Class B | Class C | Class R | Class R6 | Class Y | |
|---|---|---|---|---|---|---|
| 0 to 9 mts. | 1.00% | 5.00% | 1.00% | -- | -- | -- |
| 9 to 12 mts. | 1.00% | 5.00% | 1.00% | -- | -- | -- |
| 2 yrs. | 0.00% | 4.00% | 0.00% | -- | -- | -- |
| 3 yrs. | 0.00% | 3.00% | 0.00% | -- | -- | -- |
| 4 yrs. | 0.00% | 3.00% | 0.00% | -- | -- | -- |
| 5 yrs. | 0.00% | 2.00% | 0.00% | -- | -- | -- |
| 6 yrs. | 0.00% | 1.00% | 0.00% | -- | -- | -- |
| 7+ yrs. | 0.00% | 0.00% | 0.00% | -- | -- | -- |
The Bloomberg Barclays U.S. MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The Bloomberg Barclays GNMA Index is an unmanaged index of Government National Mortgage Association bonds. The Bloomberg Barclays GNMA - Bloomberg Barclays U.S. MBS Linked Benchmark represents performance of the Bloomberg Barclays GNMA Index through April 18, 2018 and performance of the Bloomberg Barclays U.S. MBS Index thereafter. You cannot invest directly in an index.
Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage- and asset-backed securities are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. The fund's investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund's exposure to privately issued mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund's net asset value more susceptible to economic, market, political and other developments affecting the housing or real estate markets. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Default risk is generally higher for non-qualified mortgages. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. The value of investments in the fund's portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, geography (such as a region of the United States), industry or sector, such as the housing or real estate markets. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings or in relevant markets. You can lose money by investing in the fund.
Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.