Fidelity Investment Grade Securitized ETF

Fund Profile

Fund profile

Tickers

FSEC

Fund manager

Fidelity Merrimack Street Trust

Total assets

$184.18 mm

Liabilities

$95.79 mm

Net assets

$88.40 mm

Number of holdings

202.00

FSEC stock data

1M 3M 6M 1Y

Top 200 of 202 Holdings

As of Aug 2024

Security	$Holding	Balance	% of Fund	Category	Position	Country
Fidelity Cash Central Fund	63.68 mm	63.66 mm shares	72.04	Short-term investment vehicle	Long	USA
UMBS 30YR 2% 09/01/2054 #TBA	12.23 mm	14.95 mm principal	13.83	ABS-mortgage backed security	Long	USA
UMBS 30YR 6% 09/01/2054 #TBA	8.55 mm	8.40 mm principal	9.68	ABS-mortgage backed security	Long	USA
UMBS 30YR 2.5% 09/01/2054 #TBA	7.97 mm	9.35 mm principal	9.02	ABS-mortgage backed security	Long	USA
GNII II 2% 09/01/2054 #TBA	6.06 mm	7.20 mm principal	6.86	ABS-mortgage backed security	Long	USA
UMBS 30YR 5.5% 09/01/2054 #TBA	5.86 mm	5.83 mm principal	6.63	ABS-mortgage backed security	Long	USA
UMBS 30YR 3% 09/01/2054 #TBA	4.81 mm	5.43 mm principal	5.44	ABS-mortgage backed security	Long	USA
GNII II 5.5% 09/01/2054 #TBA	4.10 mm	4.08 mm principal	4.64	ABS-mortgage backed security	Long	USA
GNII II 3.5% 09/01/2054 #TBA	3.70 mm	3.98 mm principal	4.18	ABS-mortgage backed security	Long	USA
UMBS 30YR 4% 09/01/2054 #TBA	3.51 mm	3.70 mm principal	3.97	ABS-mortgage backed security	Long	USA
GNII II 2.5% 09/01/2054 #TBA	3.41 mm	3.90 mm principal	3.86	ABS-mortgage backed security	Long	USA
FNMA 15YR 2.5% 07/01/2036#CB1216	3.12 mm	3.36 mm principal	3.53	ABS-mortgage backed security	Long	USA
UMBS 30YR 3.5% 09/01/2054 #TBA	2.85 mm	3.10 mm principal	3.23	ABS-mortgage backed security	Long	USA
GNII II 6.5% 09/01/2054 #TBA	2.50 mm	2.45 mm principal	2.83	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 01/01/2052#CB2629	2.43 mm	2.82 mm principal	2.75	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027	2.34 mm	2.40 mm principal	2.65	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 02/01/2052#FS0898	2.30 mm	2.58 mm principal	2.60	ABS-mortgage backed security	Long	USA
FNMA 20YR 2% 08/01/2042#FS8799	2.24 mm	2.60 mm principal	2.54	ABS-mortgage backed security	Long	USA
UMBS 30YR 5% 09/01/2054 #TBA	2.18 mm	2.20 mm principal	2.47	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 05/51#RA5117	2.01 mm	2.42 mm principal	2.27	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 2.26% 01/25/2029	1.87 mm	2.03 mm principal	2.12	ABS-mortgage backed security	Long	USA
FNMA 20YR 2% 02/01/2042#MA4540	1.72 mm	2.00 mm principal	1.95	ABS-mortgage backed security	Long	USA
UMBS 15YR 5% 09/01/2039 #TBA	1.41 mm	1.40 mm principal	1.59	ABS-mortgage backed security	Long	USA
FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A	1.33 mm	1.30 mm principal	1.50	ABS-collateralized bond/debt obligation	Long	USA
GNII II 4.5% 09/01/2054 #TBA	1.17 mm	1.20 mm principal	1.33	ABS-mortgage backed security	Long	USA
GNII II 3% 09/01/2054 #TBA	1.11 mm	1.23 mm principal	1.25	ABS-mortgage backed security	Long	USA
UST NOTES 4.375% 05/15/2034	1.10 mm	1.06 mm principal	1.24	Debt	Long	USA
BMO 24-5C5 A3 MTG TR 5.8574% 02/15/2057	1.04 mm	1.00 mm principal	1.18	ABS-mortgage backed security	Long	USA
BENCHMARK 2018-B7 A4 4.51% 05/15/2053	983.77 k	1.00 mm principal	1.11	ABS-mortgage backed security	Long	USA
GNII II 2% 10/01/2054 #TBA	885.03 k	1.05 mm principal	1.00	ABS-mortgage backed security	Long	USA
UMBS 15YR 2.5% 09/01/2039 #TBA	834.50 k	900.00 k principal	0.94	ABS-mortgage backed security	Long	USA
BX 2021-BXMF TSFR1M+75.041 10/15/2026 144A	829.92 k	841.23 k principal	0.94	ABS-mortgage backed security	Long	USA
UMBS 30YR 4.5% 09/01/2054 #TBA	778.53 k	800.00 k principal	0.88	ABS-mortgage backed security	Long	USA
UMBS 30YR 6.5% 09/01/2054 #TBA	720.75 k	700.00 k principal	0.82	ABS-mortgage backed security	Long	USA
FORD CR AUTO OWNER TR 2023-REV2 5.28% 02/15/2036 144A	720.64 k	700.00 k principal	0.82	ABS-collateralized bond/debt obligation	Long	USA
BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062	718.60 k	750.00 k principal	0.81	ABS-mortgage backed security	Long	USA
GNII II 6% 09/01/2054 #TBA	710.15 k	700.00 k principal	0.80	ABS-mortgage backed security	Long	USA
CITIBANK CR CARD ISSUANCE TR 2017-A6 A6 TSFR1M+88.448 05/14/2029	677.39 k	670.00 k principal	0.77	ABS-collateralized bond/debt obligation	Long	USA
BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A	649.60 k	650.82 k principal	0.73	ABS-mortgage backed security	Long	USA
BANK 2020-BNK26 2.313% 03/15/2063	580.29 k	620.00 k principal	0.66	ABS-mortgage backed security	Long	USA
WELLS FARGO COML MTG TR 2019-C54 ASB 3.063% 12/15/2052	480.86 k	500.00 k principal	0.54	ABS-mortgage backed security	Long	USA
ENTERPRISE FLEET FINANCING 2024-3 LLC 4.98% 08/21/2028 144A	419.40 k	414.00 k principal	0.47	ABS-collateralized bond/debt obligation	Long	USA
BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057	412.22 k	400.00 k principal	0.47	ABS-mortgage backed security	Long	USA
UNITED STATES TREASURY BOND 4.25% 08/15/2044	409.83 k	420.00 k principal	0.46	Debt	Long	USA
MARLETTE FUNDING TRUST 2024-1 5.95% 07/17/2034 144A	405.51 k	404.09 k principal	0.46	ABS-collateralized bond/debt obligation	Long	USA
GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051	386.64 k	400.00 k principal	0.44	ABS-mortgage backed security	Long	USA
GNII II 3% 10/01/2054 #TBA	362.01 k	400.00 k principal	0.41	ABS-mortgage backed security	Long	USA
BANK 2021-BN35 2.067% 06/15/2064	360.12 k	400.00 k principal	0.41	ABS-mortgage backed security	Long	USA
UNITED STATES TREASURY BOND 4.625% 05/15/2044	298.88 k	287.00 k principal	0.34	Debt	Long	USA
BENCHMARK 2023-V3 MTG TR 6.3629% 07/15/2056	262.61 k	250.00 k principal	0.30	ABS-mortgage backed security	Long	USA
BA CR CARD TR 4.93% 05/15/2029	247.41 k	243.00 k principal	0.28	ABS-collateralized bond/debt obligation	Long	USA
UST NOTES 4.25% 06/30/2031	236.04 k	230.00 k principal	0.27	Debt	Long	USA
GSCM SWAP PAY 3.455 08/29/2029	221.08 k	5.50 mm contracts	0.25	Interest rate derivative	N/A	USA
GSCM SWAP REC 3.455 08/29/2029	211.39 k	5.50 mm contracts	0.24	Interest rate derivative	N/A	USA
UMBS 30YR 2% 10/01/2054 #TBA	184.27 k	225.00 k principal	0.21	ABS-mortgage backed security	Long	USA
UST NOTES 3.75% 08/15/2027	149.84 k	150.00 k principal	0.17	Debt	Long	USA
WELLS FARGO COML MTG TR 2019-C51 ASB 3.16% 06/15/2052	138.57 k	143.26 k principal	0.16	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 3.65% 02/25/2028	118.01 k	120.00 k principal	0.13	ABS-mortgage backed security	Long	USA
FHLG 30YR 2.5% 10/01/2050#SD7525	117.62 k	135.45 k principal	0.13	ABS-mortgage backed security	Long	USA
MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A	101.28 k	100.00 k principal	0.11	ABS-collateralized bond/debt obligation	Long	USA
BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A	99.03 k	100.00 k principal	0.11	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 3.6% 01/25/2028	98.29 k	100.00 k principal	0.11	ABS-mortgage backed security	Long	USA
CFMT 2024-HB15 LLC VAR 08/25/2034 144A	98.09 k	100.00 k principal	0.11	ABS-collateralized bond/debt obligation	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027	97.62 k	100.00 k principal	0.11	ABS-mortgage backed security	Long	USA
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A	97.45 k	100.00 k principal	0.11	ABS-mortgage backed security	Long	USA
GS MTG SECS TR 2019-GSA1 A4 3.0479% 11/10/2052	92.66 k	100.00 k principal	0.10	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 1.47% 09/25/2027	92.34 k	100.00 k principal	0.10	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 10/01/2047#CA0607	90.67 k	97.05 k principal	0.10	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 2020-5000 MA 2% 06/25/2044	88.82 k	96.16 k principal	0.10	ABS-collateralized bond/debt obligation	Long	USA
FHLG 20YR 2% 03/01/2041#SC0136	78.84 k	90.23 k principal	0.09	ABS-mortgage backed security	Long	USA
FHLG 15YR 2% 06/01/2035#QN2431	75.99 k	83.46 k principal	0.09	ABS-mortgage backed security	Long	USA
UMBS 30YR 3% 10/01/2054 #TBA	66.56 k	75.00 k principal	0.08	ABS-mortgage backed security	Long	USA
GNII II 2.5% 07/20/2051#MA7472	64.44 k	73.74 k principal	0.07	ABS-mortgage backed security	Long	USA
AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A	58.77 k	67.30 k principal	0.07	ABS-collateralized bond/debt obligation	Long	USA
GNII II 6% 10/01/2054 #TBA	50.70 k	50.00 k principal	0.06	ABS-mortgage backed security	Long	USA
FNMA 30YR 6% 07/01/2054#CB8821	50.50 k	49.35 k principal	0.06	ABS-mortgage backed security	Long	USA
GNII II 5.5% 10/01/2054 #TBA	50.31 k	50.00 k principal	0.06	ABS-mortgage backed security	Long	USA
GNII II 5% 09/01/2054 #TBA	49.95 k	50.00 k principal	0.06	ABS-mortgage backed security	Long	USA
GNII II 5% 10/01/2054 #TBA	49.82 k	50.00 k principal	0.06	ABS-mortgage backed security	Long	USA
FNMA 15YR 2.5% 12/01/2032#FM1681	49.70 k	52.05 k principal	0.06	ABS-mortgage backed security	Long	USA
FHLG 30YR 2.5% 07/01/2043#ZS3792	49.58 k	55.21 k principal	0.06	ABS-mortgage backed security	Long	USA
FNMA 30YR 5.5% 04/01/2054#CB8330	48.27 k	47.90 k principal	0.05	ABS-mortgage backed security	Long	USA
FNMA 20YR 2% 11/01/2040#	48.02 k	55.23 k principal	0.05	ABS-mortgage backed security	Long	USA
GNII II 4% 09/01/2054 #TBA	47.78 k	50.00 k principal	0.05	ABS-mortgage backed security	Long	USA
FHLG 30YR 4% 03/01/2049#ZN6553	46.62 k	48.56 k principal	0.05	ABS-mortgage backed security	Long	USA
FNMA 30YR 4.5% 07/01/2047#FM3371	45.33 k	45.37 k principal	0.05	ABS-mortgage backed security	Long	USA
FHLG 30YR 5.5% 03/01/2053#SD7559	45.18 k	44.09 k principal	0.05	ABS-mortgage backed security	Long	USA
FNMA 30YR 5% 12/01/2052#MA4841	44.83 k	45.09 k principal	0.05	ABS-mortgage backed security	Long	USA
FNMA 30YR 5% 10/01/2052#CB4893	43.91 k	43.72 k principal	0.05	ABS-mortgage backed security	Long	USA
UST NOTES 4.5% 04/15/2027	40.66 k	40.00 k principal	0.05	Debt	Long	USA
FNMA 15YR 3% 11/01/2034#CA4460	39.18 k	40.94 k principal	0.04	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 01/01/2052#MA4512	38.38 k	44.96 k principal	0.04	ABS-mortgage backed security	Long	USA
FHLG 30YR 3.5% 08/01/2051#RA5746	36.37 k	39.14 k principal	0.04	ABS-mortgage backed security	Long	USA
FHLG 30YR 1.5% 04/01/2051#SD8139	35.98 k	45.99 k principal	0.04	ABS-mortgage backed security	Long	USA
FNMA 15YR 1.5% 01/01/2037#FS2747	35.79 k	40.42 k principal	0.04	ABS-mortgage backed security	Long	USA
FNMA 30YR 2.5% 06/01/2046#BM5168	35.50 k	39.55 k principal	0.04	ABS-mortgage backed security	Long	USA
FNMA 20YR 1.5% 12/01/2040#MA4202	34.90 k	41.71 k principal	0.04	ABS-mortgage backed security	Long	USA
FHLG 30YR 2% 11/01/2051#RA6302	33.80 k	40.92 k principal	0.04	ABS-mortgage backed security	Long	USA
UST NOTES 4.5% 05/15/2027	33.56 k	33.00 k principal	0.04	Debt	Long	USA
UNITED STATES TREASURY BOND 4.375% 08/15/2043	33.32 k	33.00 k principal	0.04	Debt	Long	USA
FHLG 30YR 2% 02/01/2051#SD7532	33.15 k	39.73 k principal	0.04	ABS-mortgage backed security	Long	USA
FHLG 30YR 2.5% 02/01/2051#SD7535	30.33 k	34.97 k principal	0.03	ABS-mortgage backed security	Long	USA
MORGAN STANLEY CAP I TR 2018-L1 4.139% 10/15/2051	29.52 k	30.00 k principal	0.03	ABS-mortgage backed security	Long	USA
FHLG 15YR 2.5% 07/01/2036#SB0535	28.79 k	30.80 k principal	0.03	ABS-mortgage backed security	Long	USA
FNMA 30YR 6.5% 07/01/2054#CB8867	26.02 k	24.84 k principal	0.03	ABS-mortgage backed security	Long	USA
FNMA 30YR 6% 05/01/2054#	25.36 k	24.87 k principal	0.03	ABS-mortgage backed security	Long	USA
FNMA 30YR 6.5% 09/01/2053#CB7134	24.66 k	23.60 k principal	0.03	ABS-mortgage backed security	Long	USA
FHLG 30YR 1.5% 02/01/2051#SD8127	24.42 k	31.21 k principal	0.03	ABS-mortgage backed security	Long	USA
FNMA 30YR 1.5% 01/01/2051#MA4236	24.29 k	31.05 k principal	0.03	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 2.653% 08/25/2026	24.22 k	25.00 k principal	0.03	ABS-mortgage backed security	Long	USA
FHLG 30YR 1.5% 01/01/2051#SD8120	24.11 k	30.81 k principal	0.03	ABS-mortgage backed security	Long	USA
FHLG 30YR 4.5% 08/01/2052#SD1505	24.02 k	24.60 k principal	0.03	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 3% 09/25/2029	23.77 k	25.00 k principal	0.03	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 03/01/2045#AY1306	23.62 k	25.12 k principal	0.03	ABS-mortgage backed security	Long	USA
GNMA II 4.5% 04/20/2053#MA8799	23.37 k	23.87 k principal	0.03	ABS-mortgage backed security	Long	USA
UNITED STATES TREASURY BOND 3.625% 05/15/2053	23.34 k	26.00 k principal	0.03	Debt	Long	USA
UNITED STATES TREASURY BOND 4.25% 02/15/2054	23.09 k	23.00 k principal	0.03	Debt	Long	USA
FNMA 30YR 6% 11/01/2052#CB5049	22.84 k	22.35 k principal	0.03	ABS-mortgage backed security	Long	USA
UNITED STATES TREASURY BOND 3.625% 02/15/2053	22.42 k	25.00 k principal	0.03	Debt	Long	USA
SBLOFI SWAP CY885802 12/15/56 B	22.01 k	200.00 k contracts	0.02	Credit derivative	N/A	UK
FNMA 30YR 4.5% 04/01/2048#FS3717	21.19 k	21.22 k principal	0.02	ABS-mortgage backed security	Long	USA
GNMA II 2.5% 12/20/2051#785805	20.73 k	24.01 k principal	0.02	ABS-mortgage backed security	Long	USA
FHLG 20YR 2.5% 11/01/2041#SC0210	20.53 k	22.86 k principal	0.02	ABS-mortgage backed security	Long	USA
FNMA 30YR 4% 06/01/2052#FS2065	20.38 k	21.32 k principal	0.02	ABS-mortgage backed security	Long	USA
FNMA 30YR 4% 05/01/2052#CB3508	20.37 k	21.22 k principal	0.02	ABS-mortgage backed security	Long	USA
FHLG 20YR 2.5% 07/01/2041#SC0157	20.31 k	22.76 k principal	0.02	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 06/01/2051#FM7510	19.70 k	22.02 k principal	0.02	ABS-mortgage backed security	Long	USA
FNMA 20YR 2% 11/01/2041#CB2110	19.62 k	22.65 k principal	0.02	ABS-mortgage backed security	Long	USA
BANK 2018-BNK14 4.231% 09/15/2060	19.62 k	20.00 k principal	0.02	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047	19.51 k	21.33 k principal	0.02	ABS-collateralized bond/debt obligation	Long	USA
FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047	19.31 k	21.57 k principal	0.02	ABS-collateralized bond/debt obligation	Long	USA
FHLG 20YR 2% 07/01/2041#SC0162	19.31 k	22.18 k principal	0.02	ABS-mortgage backed security	Long	USA
FHLG 30YR 3% 06/01/2052#SD1082	19.15 k	21.46 k principal	0.02	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 03/01/2052#FS0840	18.92 k	21.20 k principal	0.02	ABS-mortgage backed security	Long	USA
FNMA 30YR 3.5% 07/01/2051#CB1157	18.73 k	20.11 k principal	0.02	ABS-mortgage backed security	Long	USA
CSAIL 2015-C4 COML MTG TR 3.544% 11/15/2048	18.44 k	18.70 k principal	0.02	ABS-mortgage backed security	Long	USA
FHLG 15YR 3% 09/01/2034#SB0072	17.87 k	18.63 k principal	0.02	ABS-mortgage backed security	Long	USA
FNMA 15YR 2.5% 03/01/2036#CA9439	17.71 k	18.95 k principal	0.02	ABS-mortgage backed security	Long	USA
FNMA 20YR 4% 05/01/2040#FS0198	17.47 k	17.80 k principal	0.02	ABS-mortgage backed security	Long	USA
FNMA 30YR 3% 12/01/2051#FS0002	16.77 k	18.76 k principal	0.02	ABS-mortgage backed security	Long	USA
UST NOTES 4.125% 07/31/2031	15.28 k	15.00 k principal	0.02	Debt	Long	USA
UNITED STATES TREASURY BOND 4.625% 05/15/2054	14.96 k	14.00 k principal	0.02	Debt	Long	USA
CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7 3.102% 12/15/2072	14.45 k	15.63 k principal	0.02	ABS-mortgage backed security	Long	USA
MORGAN STANLEY CAPITAL I INC 3.587% 12/15/2050	14.40 k	15.00 k principal	0.02	ABS-mortgage backed security	Long	USA
UST NOTES 4% 02/15/2034	14.09 k	14.00 k principal	0.02	Debt	Long	USA
FNMA 30YR 4.5% 12/01/2048#CA2797	13.34 k	13.43 k principal	0.02	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 3.329% 05/25/2025	12.05 k	12.20 k principal	0.01	ABS-mortgage backed security	Long	USA
CAPITAL ONE MULTI-ASST EXEC TR 4.42% 05/15/2028	10.00 k	10.00 k principal	0.01	ABS-collateralized bond/debt obligation	Long	USA
DISCOVER CARD EXECUTION NT TR 4.31% 03/15/2028	9.97 k	10.00 k principal	0.01	ABS-collateralized bond/debt obligation	Long	USA
MORGAN STANLEY CAPITAL I 2.782% 08/15/2049	9.55 k	10.00 k principal	0.01	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG MLT CTF GT 2.745% 01/25/2026	7.38 k	7.56 k principal	0.01	ABS-mortgage backed security	Long	USA
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.023% 01/25/2025	6.84 k	6.91 k principal	0.01	ABS-mortgage backed security	Long	USA
US 5YR NOTE (CBT) FUT DEC24 FVZ4	5.46 k	-18.00 contracts	0.01	Interest rate derivative	N/A	USA
UST NOTES 4.25% 06/30/2029	5.11 k	5.00 k principal	0.01	Debt	Long	USA
UNITED STATES TREASURY BOND 4.25% 08/15/2054	5.03 k	5.00 k principal	0.01	Debt	Long	USA
US LONG BOND(CBT) FUT DEC24 USZ4	4.87 k	-2.00 contracts	0.01	Interest rate derivative	N/A	USA
CITI SWAP REC 3.755 03/19/2029	4.50 k	100.00 k contracts	0.01	Interest rate derivative	N/A	USA
CFMT 2021-EBO1 LLC 1.1581% 11/25/2050 144A	3.75 k	3.80 k principal	0.00	ABS-collateralized bond/debt obligation	Long	USA
CARMAX AUTO OWNER TR 2023-2 5.5% 06/15/2026	3.50 k	3.50 k principal	0.00	ABS-collateralized bond/debt obligation	Long	USA
CITI SWAP PAY 3.755 03/19/2029	3.38 k	100.00 k contracts	0.00	Interest rate derivative	N/A	USA
LCH OIS SOFRV3.5% MAC 09/18/27	2.71 k	-3.83 mm contracts	0.00	Interest rate derivative	N/A	UK
LCH OIS SOFRV3.5% MAC 09/18/31	2.23 k	-959.00 k contracts	0.00	Interest rate derivative	N/A	UK
CNH EQUIP TR 2023-A 5.34% 09/15/2026	2.18 k	2.18 k principal	0.00	ABS-collateralized bond/debt obligation	Long	USA
CITIZENS AUTO RECEIVABLES TRUST 2024-2 5.33% 08/15/2028 144A	2.02 k	2.00 k principal	0.00	ABS-collateralized bond/debt obligation	Long	USA
WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028	2.00 k	2.00 k principal	0.00	ABS-collateralized bond/debt obligation	Long	USA
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-2 4.47% 02/16/2028	1.99 k	2.00 k principal	0.00	ABS-collateralized bond/debt obligation	Long	USA
UST NOTES 4.25% 02/28/2031	1.03 k	1.00 k principal	0.00	Debt	Long	USA
VOLKSWAGEN AUTO LSE TRUST 5.21% 06/21/2027	1.01 k	1.00 k principal	0.00	ABS-collateralized bond/debt obligation	Long	USA
GSCOFI SWAP CY873248 04/17/65 B	738.06	5.00 k contracts	0.00	Credit derivative	N/A	USA
GSCOFI SWAP CY873248 04/17/65 B	590.45	4.00 k contracts	0.00	Credit derivative	N/A	USA
SBLOFI SWAP CY885802 12/15/56 B	550.27	5.00 k contracts	0.00	Credit derivative	N/A	UK
GSCM SWAP REC 3.865 05/15/2025	543.32	10.00 k contracts	0.00	Interest rate derivative	N/A	USA
GSCOFI SWAP CY873248 04/17/65 B	442.84	3.00 k contracts	0.00	Credit derivative	N/A	USA
GSCOFI SWAP CY873248 04/17/65 B	442.84	3.00 k contracts	0.00	Credit derivative	N/A	USA
WORLD OMNI AUTO RECEIVABLES TR 2023-B 5.25% 11/16/2026	330.75	330.86 principal	0.00	ABS-collateralized bond/debt obligation	Long	USA
GM FINANCIAL AUTOMOBILE LEASING TRUST 23-2 5.44% 10/20/2025	239.93	239.91 principal	0.00	ABS-collateralized bond/debt obligation	Long	USA
SBLOFI SWAP CY873248 04/17/65 B	147.61	1.00 k contracts	0.00	Credit derivative	N/A	UK
GSCM SWAP PAY 3.865 05/15/2025	143.14	10.00 k contracts	0.00	Interest rate derivative	N/A	USA
SBLOFI SWAP CY873245 04/17/65 S	-74.09	5.00 k contracts	-0.00	Credit derivative	N/A	UK
GSCOFI SWAP CY873245 04/17/65 S	-74.09	5.00 k contracts	-0.00	Credit derivative	N/A	USA
GSCOFI SWAP CY562346 11/18/64 S	-106.20	10.00 k contracts	-0.00	Credit derivative	N/A	USA
LCH OIS SOFRV3.75% MAC 09/18/44	-308.20	-10.00 k contracts	-0.00	Interest rate derivative	N/A	UK
GSCOFI SWAP CY885799 12/15/56 S	-498.79	25.00 k contracts	-0.00	Credit derivative	N/A	USA
SBLOFI SWAP CY562346 11/18/64 S	-530.99	50.00 k contracts	-0.00	Credit derivative	N/A	UK
US 2YR NOTE (CBT) FUT DEC24 TUZ4	-1.10 k	4.00 contracts	-0.00	Interest rate derivative	N/A	USA
LCH OIS SOFRV3.75% MAC 09/18/26	-1.43 k	-122.00 k contracts	-0.00	Interest rate derivative	N/A	UK
LCH OIS SOFRV3.5% MAC 09/18/29	-2.04 k	-101.00 k contracts	-0.00	Interest rate derivative	N/A	UK
SBLOFI SWAP CY885799 12/15/56 S	-5.99 k	300.00 k contracts	-0.01	Credit derivative	N/A	UK
SBLOFI SWAP CY873245 04/17/65 S	-7.41 k	500.00 k contracts	-0.01	Credit derivative	N/A	UK
US 10YR NOTE FUT (CBT)DEC24 TYZ4	-9.53 k	19.00 contracts	-0.01	Interest rate derivative	N/A	USA
SBLOFI SWAP CY885799 12/15/56 S	-9.98 k	500.00 k contracts	-0.01	Credit derivative	N/A	UK
UMBS 30YR 5% 09/01/2054 #TBA	-24.82 k	-25.00 k principal	-0.03	ABS-mortgage backed security	Short	USA
UMBS 30YR 3.5% 09/01/2054 #TBA	-46.02 k	-50.00 k principal	-0.05	ABS-mortgage backed security	Short	USA
GNII II 5% 09/01/2054 #TBA	-49.95 k	-50.00 k principal	-0.06	ABS-mortgage backed security	Short	USA
GNII II 5.5% 09/01/2054 #TBA	-50.32 k	-50.00 k principal	-0.06	ABS-mortgage backed security	Short	USA
GNII II 6% 09/01/2054 #TBA	-50.73 k	-50.00 k principal	-0.06	ABS-mortgage backed security	Short	USA
UMBS 30YR 6% 09/01/2054 #TBA	-50.92 k	-50.00 k principal	-0.06	ABS-mortgage backed security	Short	USA
GNII II 3% 09/01/2054 #TBA	-361.73 k	-400.00 k principal	-0.41	ABS-mortgage backed security	Short	USA
GNII II 2% 09/01/2054 #TBA	-884.04 k	-1.05 mm principal	-1.00	ABS-mortgage backed security	Short	USA
UMBS 30YR 3% 09/01/2054 #TBA	-2.04 mm	-2.30 mm principal	-2.31	ABS-mortgage backed security	Short	USA