0001752724-22-075490.txt : 20220329
0001752724-22-075490.hdr.sgml : 20220329
20220329101813
ACCESSION NUMBER: 0001752724-22-075490
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220131
FILED AS OF DATE: 20220329
PERIOD START: 20220131
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI DAILY INCOME TRUST /MA/
CENTRAL INDEX KEY: 0000701939
IRS NUMBER: 236756825
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0131
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03451
FILM NUMBER: 22778324
BUSINESS ADDRESS:
STREET 1: 2 OLIVER ST
CITY: BOSTON
STATE: MA
ZIP: 02109
BUSINESS PHONE: 8003425734
MAIL ADDRESS:
STREET 1: ONE FREEDOM VALLEY DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
FORMER COMPANY:
FORMER CONFORMED NAME: SEI CASH & PLUS TRUST
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: TRUSTFUNDS CASH & PLUS TRUST
DATE OF NAME CHANGE: 19890123
FORMER COMPANY:
FORMER CONFORMED NAME: CASH PLUS TRUST
DATE OF NAME CHANGE: 19860827
0000701939
S000008267
SDIT SHORT DURATION GOVERNMENT FUND
C000022552
SDIT SHORT DURATION GOVERNMENT FUND - CLASS F, effective 1-31-2017 (formerly Class A)
TCSGX
C000147419
Class Y
SDGFX
NPORT-P
1
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8003455734
SDIT Short Duration Government Fund
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2022-01-31
2022-01-31
N
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2039-11-15
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DBT
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US
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N
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Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
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USD
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Long
DBT
USGA
US
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2046-10-25
Fixed
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N
N
N
N
N
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Government National Mortgage Association
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0.012932159820
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DBT
USGA
US
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2
2035-05-15
Fixed
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N
N
N
N
N
N
Federal National Mortgage Association
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3136A73B6
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USD
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0.006264475290
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DBT
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US
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2027-07-25
Fixed
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N
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N
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N
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Government National Mortgage Association
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0.000081266443
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DBT
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2034-10-15
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Freddie Mac
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FREDDIE MAC REMICS FHR 3788 FA
3137A5PP3
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USD
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0.435151073651
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DBT
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US
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2041-01-15
Floating
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N
N
N
N
N
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Government National Mortgage Association
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36200QW67
13751.22000000
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USD
15295.26000000
0.002109840425
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DBT
USGA
US
N
2
2032-01-15
Fixed
6.00000000
N
N
N
N
N
N
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FREDDIE MAC GOLD POOL FG J09466
3128PMQT0
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PA
USD
2202.18000000
0.000303770474
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DBT
USGA
US
N
2
2024-04-01
Fixed
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N
N
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N
N
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Government National Mortgage Association
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38379FK73
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0.018088282149
Long
DBT
USGA
US
N
2
2043-07-20
Fixed
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N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
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31413RBT2
105.52000000
PA
USD
105.91000000
0.000014609310
Long
DBT
USGA
US
N
2
2022-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J11339
3128PQPY1
18759.31000000
PA
USD
19619.76000000
0.002706365421
Long
DBT
USGA
US
N
2
2024-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR G93-5 Z
31358TPN3
487.07000000
PA
USD
495.74000000
0.000068382772
Long
DBT
USGA
US
N
2
2023-02-25
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES FSPC T-42 A5
31392MH39
217737.73000000
PA
USD
258314.16000000
0.035632062296
Long
DBT
USGA
US
N
2
2042-02-25
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 15YR TBA (FEBRUARY)
01F012429
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PA
USD
-13702798.36000000
-1.89017499003
Short
DBT
USGA
US
N
2
2036-02-15
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J11722
3128PQ4F5
107477.85000000
PA
USD
111954.95000000
0.015443155546
Long
DBT
USGA
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K125 X1
3137F9ZA2
13602084.52000000
PA
USD
617312.92000000
0.085152639026
Long
DBT
USGA
US
N
2
2031-01-25
Floating
0.58501440
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 782858
36241LE77
84294.92000000
PA
USD
97013.86000000
0.013382169615
Long
DBT
USGA
US
N
2
2039-11-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4170 QI
3137AYYN5
503459.64000000
PA
USD
20682.73000000
0.002852992355
Long
DBT
USGA
US
N
2
2032-05-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-70 IW
3136A7GL0
803990.17000000
PA
USD
29532.81000000
0.004073779485
Long
DBT
USGA
US
N
2
2027-02-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2110
31418BKY1
3659123.33000000
PA
USD
3857421.14000000
0.532095764186
Long
DBT
USGA
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
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38378U4C8
473261.26000000
PA
USD
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0.067415832798
Long
DBT
USGA
US
N
2
2040-06-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
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3620AWGM6
14071.94000000
PA
USD
15417.70000000
0.002126729896
Long
DBT
USGA
US
N
2
2038-12-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ9232
3140E2HJ3
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PA
USD
17060.06000000
0.002353278351
Long
DBT
USGA
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-3 JI
3136ARFZ6
395848.98000000
PA
USD
21538.74000000
0.002971071061
Long
DBT
USGA
US
N
2
2031-02-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
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36200KA72
4866.68000000
PA
USD
5338.87000000
0.000736448007
Long
DBT
USGA
US
N
2
2033-10-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 698012
36296QN54
51567.11000000
PA
USD
59200.92000000
0.008166222360
Long
DBT
USGA
US
N
2
2039-01-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K737 X1
3137FQXL2
23626291.29000000
PA
USD
602030.98000000
0.083044635973
Long
DBT
USGA
US
N
2
2026-10-25
Floating
0.63645840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 256255
31371MTL1
25006.72000000
PA
USD
27472.89000000
0.003789632469
Long
DBT
USGA
US
N
2
2026-05-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4558 DC
3137BNBY9
946392.48000000
PA
USD
952785.83000000
0.131428041149
Long
DBT
USGA
US
N
2
2043-07-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL1848
3138EJBS6
155677.70000000
PA
USD
155629.75000000
0.021467692468
Long
DBT
USGA
US
N
2
2022-04-01
Floating
2.95999920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
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31381UZG5
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PA
USD
159558.76000000
0.022009663257
Long
DBT
USGA
US
N
2
2022-06-01
Fixed
2.83000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 782517
36241KYN2
7110.09000000
PA
USD
8101.85000000
0.001117575683
Long
DBT
USGA
US
N
2
2038-12-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4195 AI
3137B1CJ9
778980.44000000
PA
USD
47632.32000000
0.006570440403
Long
DBT
USGA
US
N
2
2028-04-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4199 QI
3137B2AV2
449371.95000000
PA
USD
24810.18000000
0.003422336117
Long
DBT
USGA
US
N
2
2028-05-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 617148
36290TTD1
57082.76000000
PA
USD
64849.22000000
0.008945353390
Long
DBT
USGA
US
N
2
2036-07-15
Fixed
6.00000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) MAR22 FINANCIAL COMMODITY FUTURE.
N/A
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NC
USD
222505968.75000000
30.69265169164
N/A
DIR
US
N
1
US 2YR NOTE (CBT) MAR22
N/A
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Mar 2022
2022-04-03
224115133.07000000
USD
-1609164.32000000
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-167 AI
38380CEN9
1499143.45000000
PA
USD
184469.30000000
0.025445843113
Long
DBT
USGA
US
N
2
2039-03-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10954
3128PQBX8
16594.05000000
PA
USD
17237.48000000
0.002377751808
Long
DBT
USGA
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783353
36241LWN2
343799.29000000
PA
USD
392193.93000000
0.054099545089
Long
DBT
USGA
US
N
2
2041-04-15
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL7363
3138EQFD9
358135.52000000
PA
USD
392284.32000000
0.054112013558
Long
DBT
USGA
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-51 AB
38378EED1
38389.30000000
PA
USD
38397.95000000
0.005296644003
Long
DBT
USGA
US
N
2
2040-07-20
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 726114
3620ACVF8
1158.26000000
PA
USD
1322.03000000
0.000182361877
Long
DBT
USGA
US
N
2
2039-12-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12371
3128PRT41
1990.67000000
PA
USD
2067.83000000
0.000285238127
Long
DBT
USGA
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
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38380WH28
3277546.51000000
PA
USD
540016.43000000
0.074490299234
Long
DBT
USGA
US
N
2
2045-08-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-40 PA
38379LGE0
1683474.64000000
PA
USD
1683156.13000000
0.232175905801
Long
DBT
USGA
US
N
2
2044-04-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-2 AI
38380CNU3
362582.76000000
PA
USD
70324.27000000
0.009700586176
Long
DBT
USGA
US
N
2
2047-01-16
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5048 A
3137F7DE2
5652790.92000000
PA
USD
5576546.64000000
0.769233313718
Long
DBT
USGA
US
N
2
2044-06-15
Fixed
1.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-130 FQ
3136AHF96
2700808.88000000
PA
USD
2700785.65000000
0.372548537528
Long
DBT
USGA
US
N
2
2041-06-25
Floating
0.30771000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 718864
3620A4TV4
1512.82000000
PA
USD
1686.14000000
0.000232587503
Long
DBT
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G14523
3128MDG80
63090.84000000
PA
USD
65593.08000000
0.009047962035
Long
DBT
USGA
US
N
2
2026-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-26 JI
38376VPU5
1646552.59000000
PA
USD
297494.84000000
0.041036676703
Long
DBT
USGA
US
N
2
2040-02-16
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G13868
3128MCQV0
130695.54000000
PA
USD
136240.12000000
0.018793071363
Long
DBT
USGA
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 845822
31288VPF0
1758.46000000
PA
USD
1759.55000000
0.000242713737
Long
DBT
USGA
US
N
2
2024-06-01
Floating
2.48199840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2019-M21 X1
3136B6WW9
14473014.54000000
PA
USD
1282589.86000000
0.176921473420
Long
DBT
USGA
US
N
2
2029-05-25
Floating
1.43807400
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2011-131 PC
38377XL34
138774.84000000
PA
USD
140247.98000000
0.019345918784
Long
DBT
USGA
US
N
2
2040-12-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4484 CI
3137BJQK2
621153.43000000
PA
USD
56929.08000000
0.007852842929
Long
DBT
USGA
US
N
2
2030-07-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783379
36241LXG6
47098.75000000
PA
USD
51646.95000000
0.007124221683
Long
DBT
USGA
US
N
2
2041-08-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4220 IE
3137B2JF8
289642.92000000
PA
USD
16460.41000000
0.002270562150
Long
DBT
USGA
US
N
2
2028-06-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE INTEREST STRIP FNS 418 C16
31395Q3G3
2470699.60000000
PA
USD
407150.17000000
0.056162620824
Long
DBT
USGA
US
N
2
2043-08-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K107 X1
3137FRZC8
12403446.73000000
PA
USD
1359257.76000000
0.187497105004
Long
DBT
USGA
US
N
2
2030-01-25
Floating
1.59098400
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 05/15/2023
912828VB3
96500000.00000000
PA
USD
97495156.25000000
13.44856000589
Long
SN
UST
US
N
2
2023-05-15
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 782449
36241KWJ3
899.86000000
PA
USD
1028.30000000
0.000141844526
Long
DBT
USGA
US
N
2
2038-09-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12162
3128PRMK2
14254.47000000
PA
USD
14830.41000000
0.002045718643
Long
DBT
USGA
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 323883
31374TXL8
25221.28000000
PA
USD
25299.72000000
0.003489863657
Long
DBT
USGA
US
N
2
2027-08-01
Floating
1.72100160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12532
3128PRY52
14026.74000000
PA
USD
14608.01000000
0.002015040609
Long
DBT
USGA
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 745056
3620C0WR5
9000.28000000
PA
USD
10117.57000000
0.001395625716
Long
DBT
USGA
US
N
2
2040-05-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4223 AL
3137B3JX7
1303742.66000000
PA
USD
1310155.51000000
0.180723901278
Long
DBT
USGA
US
N
2
2042-08-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4018 AI
3137AMVN4
296148.76000000
PA
USD
14602.44000000
0.002014272279
Long
DBT
USGA
US
N
2
2027-03-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783701
3622A2DE9
74201.01000000
PA
USD
85599.62000000
0.011807680200
Long
DBT
USGA
US
N
2
2041-06-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G13652
3128MCH57
1978.25000000
PA
USD
2055.41000000
0.000283524903
Long
DBT
USGA
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-41 A
3136ADR50
826515.94000000
PA
USD
828326.92000000
0.114260079337
Long
DBT
USGA
US
N
2
2040-05-25
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783720
3622A2DZ2
239820.27000000
PA
USD
276695.14000000
0.038167549412
Long
DBT
USGA
US
N
2
2040-09-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3148 CF
31396JZE8
100933.95000000
PA
USD
101684.63000000
0.014026459373
Long
DBT
USGA
US
N
2
2034-02-15
Floating
0.50628960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 1993-32 H
31358UEP7
1364.53000000
PA
USD
1392.79000000
0.000192122569
Long
DBT
USGA
US
N
2
2023-03-25
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-53 BI
3136A5P34
413399.61000000
PA
USD
25535.86000000
0.003522436998
Long
DBT
USGA
US
N
2
2027-05-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-42 EI
38379V5S9
1122537.26000000
PA
USD
171536.04000000
0.023661818862
Long
DBT
USGA
US
N
2
2046-02-20
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 529796
31384PRR8
13766.27000000
PA
USD
13772.42000000
0.001899778654
Long
DBT
USGA
US
N
2
2029-12-01
Floating
1.72100160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AX9550
3138YBTG8
9018.84000000
PA
USD
9372.59000000
0.001292862577
Long
DBT
USGA
US
N
2
2030-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 471092
31381UKD8
108381.19000000
PA
USD
108347.61000000
0.014945556175
Long
DBT
USGA
US
N
2
2022-04-01
Fixed
2.74000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 696548
36296NZM1
18855.00000000
PA
USD
20646.16000000
0.002847947860
Long
DBT
USGA
US
N
2
2038-08-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2014-50 SC
3136AKXK4
1431582.06000000
PA
USD
77233.57000000
0.010653660556
Long
DBT
USGA
US
N
2
2044-08-25
Floating
1.61249760
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-26 IA
3136B9YL5
4532584.44000000
PA
USD
501722.20000000
0.069207962451
Long
DBT
USGA
US
N
2
2039-11-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 474700
36209LKM7
1626.40000000
PA
USD
1791.59000000
0.000247133360
Long
DBT
USGA
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 553167
36213FQU0
18930.44000000
PA
USD
21750.03000000
0.003000216573
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4978 MI
3137FT6T9
2683368.28000000
PA
USD
331507.88000000
0.045728462706
Long
DBT
USGA
US
N
2
2040-05-25
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE INTEREST STRIP FNS 410 C6
31395QCR9
543821.99000000
PA
USD
27442.24000000
0.003785404583
Long
DBT
USGA
US
N
2
2027-05-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-51 GI
38378EAS2
346883.79000000
PA
USD
15599.43000000
0.002151797878
Long
DBT
USGA
US
N
2
2040-07-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG A90316
312938K51
1047056.56000000
PA
USD
1146155.75000000
0.158101642921
Long
DBT
USGA
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BA4768
3140E9JN7
159141.17000000
PA
USD
165204.87000000
0.022788492197
Long
DBT
USGA
US
N
2
2031-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4176 KI
3137B0Q64
506336.23000000
PA
USD
25494.69000000
0.003516757975
Long
DBT
USGA
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J15671
3128PVJQ4
9011.24000000
PA
USD
9361.49000000
0.001291331434
Long
DBT
USGA
US
N
2
2026-06-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-140 PA
3136AAGY5
3240498.34000000
PA
USD
3185160.35000000
0.439363571924
Long
DBT
USGA
US
N
2
2042-12-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-35 AH
3136AWNN3
2406231.95000000
PA
USD
2444767.27000000
0.337233156965
Long
DBT
USGA
US
N
2
2053-04-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-55 LB
38379BJF6
254286.06000000
PA
USD
258819.04000000
0.035701705848
Long
DBT
USGA
US
N
2
2040-10-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 698060
36296QQM4
9310.75000000
PA
USD
10445.71000000
0.001440889610
Long
DBT
USGA
US
N
2
2039-02-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC4869
3140F0MT8
62203.38000000
PA
USD
64422.81000000
0.008886534053
Long
DBT
USGA
US
N
2
2031-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF72 A
3137FQ3S0
4438010.70000000
PA
USD
4459308.71000000
0.615120618069
Long
DBT
USGA
US
N
2
2026-10-25
Floating
0.60125040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4178 MI
3137B06E9
300934.36000000
PA
USD
14351.98000000
0.001979723625
Long
DBT
USGA
US
N
2
2028-03-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 256774
31371NFP5
3090.16000000
PA
USD
3638.16000000
0.000501850706
Long
DBT
USGA
US
N
2
2037-06-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12247
3128PRP86
49041.59000000
PA
USD
51537.03000000
0.007109059230
Long
DBT
USGA
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783384
36241LXM3
956018.94000000
PA
USD
1099806.74000000
0.151708223328
Long
DBT
USGA
US
N
2
2041-02-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-12 P
3136ABVF7
597540.30000000
PA
USD
599433.07000000
0.082686278185
Long
DBT
USGA
US
N
2
2041-11-25
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-53 IA
38379LG91
714158.47000000
PA
USD
121231.26000000
0.016722737184
Long
DBT
USGA
US
N
2
2045-04-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2017-M13 FA
3136AYP31
320752.45000000
PA
USD
320810.28000000
0.044252827186
Long
DBT
USGA
US
N
2
2024-10-25
Floating
0.50249880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-25 A
3136ARR42
437891.99000000
PA
USD
442551.42000000
0.061045897626
Long
DBT
USGA
US
N
2
2042-11-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G13187
3128MBXQ5
143.75000000
PA
USD
149.13000000
0.000020571111
Long
DBT
USGA
US
N
2
2023-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-84 TE
38375GJB8
1863792.00000000
PA
USD
1851231.16000000
0.255360310169
Long
DBT
USGA
US
N
2
2042-03-20
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 889634
31410KLP7
16888.67000000
PA
USD
17097.14000000
0.002358393196
Long
DBT
USGA
US
N
2
2023-02-01
Fixed
6.00000000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT MAR22 FINANCIAL COMMODITY FUTURE.
N/A
-28.00000000
NC
USD
-3999187.50000000
-0.55165112952
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
US 10YR ULTRA FUT MAR22
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Mar 2022
2022-03-25
-4108106.82000000
USD
108919.32000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4178 BI
3137B05Q3
460861.93000000
PA
USD
41232.76000000
0.005687679966
Long
DBT
USGA
US
N
2
2033-03-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3930 AI
3137AFB27
216382.10000000
PA
USD
11151.01000000
0.001538179258
Long
DBT
USGA
US
N
2
2026-09-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 303 C16
31325UEE2
2157693.36000000
PA
USD
332469.39000000
0.045861094166
Long
DBT
USGA
US
N
2
2043-01-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 672330
36295J4P8
45650.60000000
PA
USD
52709.11000000
0.007270736885
Long
DBT
USGA
US
N
2
2037-10-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4060 TI
3137ARA89
449312.44000000
PA
USD
10861.54000000
0.001498249534
Long
DBT
USGA
US
N
2
2026-12-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-17 EI
38382CJ51
2598621.18000000
PA
USD
444922.67000000
0.061372989752
Long
DBT
USGA
US
N
2
2050-02-20
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2163
31418BMM5
994497.48000000
PA
USD
1051999.91000000
0.145113710875
Long
DBT
USGA
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2006-76 QF
31396KBZ4
245420.09000000
PA
USD
247368.33000000
0.034122185732
Long
DBT
USGA
US
N
2
2036-08-25
Floating
0.50771160
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-56 BP
38379BCS5
1262074.91000000
PA
USD
1281691.21000000
0.176797512919
Long
DBT
USGA
US
N
2
2039-12-16
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZN6438
3131YDEK6
1641081.74000000
PA
USD
1725618.80000000
0.238033240539
Long
DBT
USGA
US
N
2
2034-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL6818
3138EPSG0
1063191.61000000
PA
USD
1163934.01000000
0.160553990356
Long
DBT
USGA
US
N
2
2044-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF35 A
3137FBA89
2120547.36000000
PA
USD
2122063.98000000
0.292719206461
Long
DBT
USGA
US
N
2
2024-08-25
Floating
0.45124920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-42 AI
3136ANV61
1368600.85000000
PA
USD
71787.63000000
0.009902443227
Long
DBT
USGA
US
N
2
2055-06-25
Floating
1.60807680
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 KI
38380CP80
1472423.89000000
PA
USD
276770.64000000
0.038177963942
Long
DBT
USGA
US
N
2
2040-09-20
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 848900
31408EDD1
24292.75000000
PA
USD
27215.73000000
0.003754159612
Long
DBT
USGA
US
N
2
2036-01-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 682100
36295VX53
672.73000000
PA
USD
735.26000000
0.000101422353
Long
DBT
USGA
US
N
2
2038-03-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J15128
3128PUVV1
20437.35000000
PA
USD
21302.62000000
0.002938500479
Long
DBT
USGA
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2007-64 FB
31396WVR4
1430668.08000000
PA
USD
1447175.27000000
0.199624516809
Long
DBT
USGA
US
N
2
2037-07-25
Floating
0.47770920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN5877
3138LJQ78
930280.43000000
PA
USD
972028.70000000
0.134082418062
Long
DBT
USGA
US
N
2
2027-06-01
Fixed
3.07000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10986
3128PQCX7
11570.93000000
PA
USD
12024.00000000
0.001658600198
Long
DBT
USGA
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-126 IO
38378H3E4
2232279.61000000
PA
USD
342468.08000000
0.047240321479
Long
DBT
USGA
US
N
2
2042-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G12833
3128MBLN5
223.29000000
PA
USD
231.65000000
0.000031953986
Long
DBT
USGA
US
N
2
2022-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 658384
36294SM95
117177.76000000
PA
USD
135176.76000000
0.018646390632
Long
DBT
USGA
US
N
2
2037-01-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN0571
3138LCT54
4000000.00000000
PA
USD
4192465.32000000
0.578312026948
Long
DBT
USGA
US
N
2
2026-01-01
Fixed
3.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA0844
31417Y5E3
266939.13000000
PA
USD
287483.99000000
0.039655772029
Long
DBT
USGA
US
N
2
2031-08-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.625000% 06/30/2023
9128284U1
35397000.00000000
PA
USD
36208642.24000000
4.994649135675
Long
SN
UST
US
N
2
2023-06-30
Fixed
2.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-98 BI
3136A8CC2
1429829.64000000
PA
USD
176516.19000000
0.024348784745
Long
DBT
USGA
US
N
2
2042-01-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-57 TI
38377EG73
774742.10000000
PA
USD
151087.65000000
0.020841151553
Long
DBT
USGA
US
N
2
2040-05-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-17 BI
38379JKC4
151871.99000000
PA
USD
21745.46000000
0.002999586183
Long
DBT
USGA
US
N
2
2043-05-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 995018
31416BK72
144201.11000000
PA
USD
163640.66000000
0.022572723815
Long
DBT
USGA
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 05/15/2024
91282CCC3
53025000.00000000
PA
USD
51831937.50000000
7.149739007577
Long
SN
UST
US
N
2
2024-05-15
Fixed
0.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-42 DA
3136ASZ58
586305.20000000
PA
USD
599602.13000000
0.082709598457
Long
DBT
USGA
US
N
2
2045-07-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-126 GI
38379QGG4
184535.02000000
PA
USD
10440.81000000
0.001440213700
Long
DBT
USGA
US
N
2
2027-02-16
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-47 AC
38382EAJ6
5308143.64000000
PA
USD
5154184.12000000
0.710972289141
Long
DBT
USGA
US
N
2
2050-04-16
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-129 AF
38378WY23
3848931.41000000
PA
USD
3865199.30000000
0.533168689811
Long
DBT
USGA
US
N
2
2039-10-20
Floating
0.50370840
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 599564
36200FB98
166949.33000000
PA
USD
189088.63000000
0.026083037196
Long
DBT
USGA
US
N
2
2037-08-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AX2509
3138Y3YF2
42741.62000000
PA
USD
44417.09000000
0.006126928999
Long
DBT
USGA
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN3070
3138LFMU9
1189070.89000000
PA
USD
1201189.25000000
0.165693008026
Long
DBT
USGA
US
N
2
2023-11-01
Fixed
2.05000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 724245
3620AATA6
3448.22000000
PA
USD
3805.23000000
0.000524896476
Long
DBT
USGA
US
N
2
2039-08-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL8605
3138ETR32
7929419.30000000
PA
USD
8316680.48000000
1.147209572117
Long
DBT
USGA
US
N
2
2030-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-23 CI
38379VRH9
1093620.07000000
PA
USD
66638.21000000
0.009192128105
Long
DBT
USGA
US
N
2
2042-04-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL4237
3138ELV75
7906457.16000000
PA
USD
8303727.85000000
1.145422875952
Long
DBT
USGA
US
N
2
2027-10-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-68 JI
3136AP2P6
240694.89000000
PA
USD
17109.07000000
0.002360038830
Long
DBT
USGA
US
N
2
2030-08-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE INTEREST STRIP FNS 397 6
3136FGRW9
991881.32000000
PA
USD
985699.77000000
0.135968216417
Long
DBT
USGA
US
N
2
2039-09-25
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J11196
3128PQKH3
1829.44000000
PA
USD
1902.49000000
0.000262430995
Long
DBT
USGA
US
N
2
2024-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 617456
36290T5R6
1372.85000000
PA
USD
1507.06000000
0.000207885064
Long
DBT
USGA
US
N
2
2037-03-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AP3051
3138M6L96
60380.38000000
PA
USD
62732.71000000
0.008653400304
Long
DBT
USGA
US
N
2
2027-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FNR 2012-93 IL SERIES 2012-93 CLASS IL
3136A8GE4
362016.22000000
PA
USD
20876.28000000
0.002879690797
Long
DBT
USGA
US
N
2
2027-09-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 IA
38380CF81
1242803.23000000
PA
USD
205869.98000000
0.028397870067
Long
DBT
USGA
US
N
2
2047-02-16
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4247 LA
3137B4HR0
2379939.28000000
PA
USD
2437228.23000000
0.336193215744
Long
DBT
USGA
US
N
2
2043-03-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-34 JK
3136AWTK3
727468.67000000
PA
USD
738309.41000000
0.101842991849
Long
DBT
USGA
US
N
2
2047-05-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3526
3140X64L2
4434624.31000000
PA
USD
4715450.53000000
0.650453026044
Long
DBT
USGA
US
N
2
2034-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-2 SCRT 2018-2 MA
35563PFG9
401265.78000000
PA
USD
410795.52000000
0.056665463325
Long
ABS-MBS
US
N
2
2057-11-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZK7457
3131XBJA8
1460725.30000000
PA
USD
1527934.10000000
0.210764454556
Long
DBT
USGA
US
N
2
2029-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2010-4 PL
31398GW39
767360.09000000
PA
USD
814861.14000000
0.112402598849
Long
DBT
USGA
US
N
2
2040-02-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 524698
36211V3F5
20317.04000000
PA
USD
22545.24000000
0.003109908478
Long
DBT
USGA
US
N
2
2039-01-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-68 BI
3136AXP33
1147520.88000000
PA
USD
240419.51000000
0.033163659931
Long
DBT
USGA
US
N
2
2047-09-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4182 IE
3137B0WS9
278451.35000000
PA
USD
14616.30000000
0.002016184138
Long
DBT
USGA
US
N
2
2028-03-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM0337
3138L0LT6
2058564.08000000
PA
USD
2060930.83000000
0.284286450746
Long
DBT
USGA
US
N
2
2022-08-01
Fixed
2.58000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 555561
31385XFA0
54280.18000000
PA
USD
54377.58000000
0.007500886974
Long
DBT
USGA
US
N
2
2024-09-01
Floating
1.97399880
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS
PAMGZZVY5
17800000.00000000
PA
USD
17800000.00000000
2.455346268598
Long
RA
US
N
2
Repurchase
Y
0.05000040
N/A
1923501.76106600
USD
1961971.80000000
USD
AMBS
15876498.61504318
USD
16194028.59000000
USD
UST
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-27 PI
3136A4CZ0
2238661.56000000
PA
USD
239461.12000000
0.033031458846
Long
DBT
USGA
US
N
2
2042-02-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 410987
36206GRG7
15631.09000000
PA
USD
17894.16000000
0.002468334774
Long
DBT
USGA
US
N
2
2039-02-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM5159
3138L5WV8
1127537.94000000
PA
USD
1127149.35000000
0.155479884869
Long
DBT
USGA
US
N
2
2022-06-01
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2010-56 AF
31398RK87
1953166.83000000
PA
USD
1953131.09000000
0.269416468197
Long
DBT
USGA
US
N
2
2040-06-25
Floating
0.65188080
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-63 PB
38379PBT3
218855.79000000
PA
USD
218548.74000000
0.030146788385
Long
DBT
USGA
US
N
2
2043-09-20
Fixed
1.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 833600
31407LDD6
12690.45000000
PA
USD
13941.98000000
0.001923167897
Long
DBT
USGA
US
N
2
2035-11-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12499
3128PRX46
1988.66000000
PA
USD
2064.70000000
0.000284806373
Long
DBT
USGA
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 367098
36204DX38
16039.47000000
PA
USD
17603.23000000
0.002428203657
Long
DBT
USGA
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4146 AB
3137AXEH2
1939906.45000000
PA
USD
1925311.56000000
0.265579019929
Long
DBT
USGA
US
N
2
2027-12-15
Fixed
1.12500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 641988
36291YF51
10881.55000000
PA
USD
12204.46000000
0.001683492995
Long
DBT
USGA
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AJ9947
3138E3BR3
201404.84000000
PA
USD
217647.74000000
0.030022503723
Long
DBT
USGA
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 731641
3620AJZE2
1901.97000000
PA
USD
2111.16000000
0.000291215102
Long
DBT
USGA
US
N
2
2040-04-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM2787
3138L3CZ6
578499.62000000
PA
USD
584306.19000000
0.080599664232
Long
DBT
USGA
US
N
2
2023-03-01
Fixed
2.54000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-21 WI
3136ANHJ9
1160303.32000000
PA
USD
55659.40000000
0.007677702252
Long
DBT
USGA
US
N
2
2055-04-25
Floating
1.69085520
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-116 GW
38377LLN6
450531.78000000
PA
USD
452541.15000000
0.062423888991
Long
DBT
USGA
US
N
2
2039-12-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783712
3622A2DR0
661429.30000000
PA
USD
762997.49000000
0.105248485394
Long
DBT
USGA
US
N
2
2041-06-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10938
3128PQBF7
84839.80000000
PA
USD
88124.67000000
0.012155987621
Long
DBT
USGA
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL2877
3138EKFT7
282993.18000000
PA
USD
297035.75000000
0.040973349460
Long
DBT
USGA
US
N
2
2028-01-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
WI TREASURY SEC. 0.250000% 06/15/2024
91282CCG4
51925000.00000000
PA
USD
50685696.16000000
6.991625558302
Long
SN
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-107 JI
38380TE93
1330625.50000000
PA
USD
162109.44000000
0.022361506101
Long
DBT
USGA
US
N
2
2047-03-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3795 EB
3137A5MK7
17826.83000000
PA
USD
17963.54000000
0.002477905107
Long
DBT
USGA
US
N
2
2039-10-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 374550
36204NBT3
1139.84000000
PA
USD
1245.21000000
0.000171765265
Long
DBT
USGA
US
N
2
2024-01-15
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET DEUTSCHE
N/A
12300000.00000000
PA
USD
12300000.00000000
1.696671859762
Long
RA
US
N
2
Repurchase
Y
0.05000040
N/A
12300070.94000000
USD
12546072.36000000
USD
UST
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2008-16 FA
31396YSV5
743278.14000000
PA
USD
759744.05000000
0.104799703272
Long
DBT
USGA
US
N
2
2038-03-25
Floating
0.80771040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM5121
3138L5VP2
527913.90000000
PA
USD
546151.95000000
0.075336637782
Long
DBT
USGA
US
N
2
2024-01-01
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG K93731
3132LQA80
3206817.37000000
PA
USD
3317543.10000000
0.457624554578
Long
DBT
USGA
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-126 HI
38379QFZ3
112753.95000000
PA
USD
5265.32000000
0.000726302461
Long
DBT
USGA
US
N
2
2026-12-16
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-132 EI
38379M6M1
1273917.82000000
PA
USD
252862.11000000
0.034880002149
Long
DBT
USGA
US
N
2
2045-09-20
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-41 AG
3136ANZG5
949837.56000000
PA
USD
968097.24000000
0.133540109318
Long
DBT
USGA
US
N
2
2034-09-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-26 IK
38378JAS1
426109.01000000
PA
USD
49392.09000000
0.006813184487
Long
DBT
USGA
US
N
2
2043-02-16
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-51 IB
38378MSZ9
453300.27000000
PA
USD
26784.15000000
0.003694627121
Long
DBT
USGA
US
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4419 CW
3137BFP54
4001453.23000000
PA
USD
4069493.94000000
0.561349256217
Long
DBT
USGA
US
N
2
2037-10-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2399
3140X5UZ4
679935.75000000
PA
USD
709416.93000000
0.097857539997
Long
DBT
USGA
US
N
2
2032-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 SCRT 2020-2 MA
35563PQP7
894262.20000000
PA
USD
893093.13000000
0.123193982261
Long
ABS-MBS
US
N
2
2059-11-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2804
31418CDJ0
5092484.70000000
PA
USD
5275423.00000000
0.727696077434
Long
DBT
USGA
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-4 BI
38378P4B1
175881.65000000
PA
USD
28920.17000000
0.003989271432
Long
DBT
USGA
US
N
2
2044-01-20
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.000000% 12/15/2024
91282CDN8
37025000.00000000
PA
USD
36646072.08000000
5.054988558451
Long
SN
UST
US
N
2
2024-12-15
Fixed
1.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AH9688
3138ABXS3
287094.64000000
PA
USD
304008.99000000
0.041935243776
Long
DBT
USGA
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-121 FA
3136AHEU0
14601880.16000000
PA
USD
14722846.52000000
2.030881250900
Long
DBT
USGA
US
N
2
2043-12-25
Floating
0.50771160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12026
3128PRHB8
15195.29000000
PA
USD
15779.03000000
0.002176572046
Long
DBT
USGA
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-68 IB
3136AXQ73
2435198.85000000
PA
USD
319623.26000000
0.044089088696
Long
DBT
USGA
US
N
2
2047-09-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G12985
3128MBRE9
435.95000000
PA
USD
452.27000000
0.000062386486
Long
DBT
USGA
US
N
2
2023-01-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 1994-77 FB
31359HA87
441.55000000
PA
USD
445.90000000
0.000061507803
Long
DBT
USGA
US
N
2
2024-04-25
Floating
1.60770960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM8361
3138L9JF0
4297773.14000000
PA
USD
4296580.46000000
0.592673752819
Long
DBT
USGA
US
N
2
2022-05-01
Fixed
2.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J11269
3128PQMS7
301.36000000
PA
USD
312.64000000
0.000043125812
Long
DBT
USGA
US
N
2
2024-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AI9810
3138AP3U0
318333.10000000
PA
USD
334025.94000000
0.046075805921
Long
DBT
USGA
US
N
2
2026-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 698033
36296QPS2
123057.84000000
PA
USD
141698.70000000
0.019546032264
Long
DBT
USGA
US
N
2
2039-01-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM8342
3138L9HU9
4600000.00000000
PA
USD
4598718.12000000
0.634350863835
Long
DBT
USGA
US
N
2
2022-04-01
Fixed
2.36000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 664541
36295AHS7
2885.25000000
PA
USD
3243.58000000
0.000447422025
Long
DBT
USGA
US
N
2
2038-01-15
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 02/28/2023
91282CBN0
56200000.00000000
PA
USD
55771913.92000000
7.693222513263
Long
SN
UST
US
N
2
2023-02-28
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G14205
3128MC3N3
2486.91000000
PA
USD
2582.49000000
0.000356230740
Long
DBT
USGA
US
N
2
2026-05-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) MAR22 FINANCIAL COMMODITY FUTURE.
N/A
-115.00000000
NC
USD
-13708359.38000000
-1.89094208158
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
US 5YR NOTE (CBT) MAR22
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Mar 2022
2022-04-03
-13840834.85000000
USD
132475.47000000
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 726440
3620ADBH4
10129.56000000
PA
USD
11570.50000000
0.001596044044
Long
DBT
USGA
US
N
2
2039-10-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF62 A
3137FLYR9
7335108.49000000
PA
USD
7368770.04000000
1.016454046172
Long
DBT
USGA
US
N
2
2026-04-25
Floating
0.58124880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10358
3128PPMF7
4138.15000000
PA
USD
4299.25000000
0.000593041991
Long
DBT
USGA
US
N
2
2024-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 641985
36291YF28
50526.96000000
PA
USD
56102.17000000
0.007738778301
Long
DBT
USGA
US
N
2
2036-04-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F042624
-7645000.00000000
PA
USD
-8156902.55000000
-1.12516967637
Short
DBT
USGA
US
N
2
2051-02-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3 SCRT 2021-3 TT
35563P5Y1
1977669.73000000
PA
USD
1968694.47000000
0.271563293310
Long
ABS-MBS
US
N
2
2061-03-25
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 681575
36295VFQ7
22440.51000000
PA
USD
24608.42000000
0.003394505181
Long
DBT
USGA
US
N
2
2038-09-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-68 HI
3136AP2M3
529570.43000000
PA
USD
53660.68000000
0.007401997213
Long
DBT
USGA
US
N
2
2035-09-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-185 GI
38379F3V9
497933.92000000
PA
USD
14478.33000000
0.001997152446
Long
DBT
USGA
US
N
2
2041-02-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3219 EF
31397BF48
2102536.01000000
PA
USD
2118106.76000000
0.292173344362
Long
DBT
USGA
US
N
2
2032-04-15
Floating
0.50628960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12189
3128PRNE5
13860.72000000
PA
USD
14534.04000000
0.002004837128
Long
DBT
USGA
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G08737
3128MJZB9
4716295.54000000
PA
USD
4875817.73000000
0.672574206164
Long
DBT
USGA
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-68 WA
38377GTK5
1344476.83000000
PA
USD
1378005.26000000
0.190083150182
Long
DBT
USGA
US
N
2
2039-12-16
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 970999
31414NGG3
5968.26000000
PA
USD
6104.39000000
0.000842044449
Long
DBT
USGA
US
N
2
2024-01-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 677595
36295QXY1
3268.61000000
PA
USD
3581.88000000
0.000494087398
Long
DBT
USGA
US
N
2
2037-12-15
Fixed
6.00000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)MAR22 FINANCIAL COMMODITY FUTURE.
N/A
-18.00000000
NC
USD
-2303437.50000000
-0.31773801520
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
US 10YR NOTE (CBT)MAR22
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Mar 2022
2022-03-25
-2341092.42000000
USD
37654.92000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4471 GA
3137BJGU1
1371025.65000000
PA
USD
1396187.95000000
0.192591285016
Long
DBT
USGA
US
N
2
2044-02-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4032 CI
3137APHF0
128150.06000000
PA
USD
833.09000000
0.000114917102
Long
DBT
USGA
US
N
2
2026-06-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 676933
36295QBA7
43167.47000000
PA
USD
47706.76000000
0.006580708716
Long
DBT
USGA
US
N
2
2038-04-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J11053
3128PQE23
12476.17000000
PA
USD
12967.25000000
0.001788712859
Long
DBT
USGA
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM4237
3138L4V75
94468.18000000
PA
USD
96832.51000000
0.013357154050
Long
DBT
USGA
US
N
2
2023-08-01
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4114 MB
3137AURW1
3000000.00000000
PA
USD
3123720.30000000
0.430888482177
Long
DBT
USGA
US
N
2
2032-10-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 845838
31288VPX1
3082.41000000
PA
USD
3082.04000000
0.000425139068
Long
DBT
USGA
US
N
2
2024-07-01
Floating
2.25699840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM3417
3140J7YP4
627848.96000000
PA
USD
658572.10000000
0.090843963389
Long
DBT
USGA
US
N
2
2031-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12293
3128PRRN1
27524.35000000
PA
USD
28678.06000000
0.003955874584
Long
DBT
USGA
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2002-53 FK
31392EHN3
48179.51000000
PA
USD
48340.97000000
0.006668192152
Long
DBT
USGA
US
N
2
2032-04-25
Floating
0.50771160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K052 A1
3137BMTW6
5893382.82000000
PA
USD
6000043.62000000
0.827650826617
Long
DBT
USGA
US
N
2
2025-01-25
Fixed
2.59800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K066 X1
3137F2LL8
18040562.93000000
PA
USD
636707.39000000
0.087827927765
Long
DBT
USGA
US
N
2
2027-06-25
Floating
0.74988360
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0889
31418M7B2
67797.21000000
PA
USD
69307.75000000
0.009560366592
Long
DBT
USGA
US
N
2
2024-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4820 JI
3137FHJ20
837407.39000000
PA
USD
167323.79000000
0.023080777720
Long
DBT
USGA
US
N
2
2048-02-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G18631
3128MMVZ3
1149716.89000000
PA
USD
1181539.97000000
0.162982570592
Long
DBT
USGA
US
N
2
2032-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4620 IO
3137BSAJ2
689452.55000000
PA
USD
107975.44000000
0.014894218747
Long
DBT
USGA
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-5 JI
38381BD76
1587478.53000000
PA
USD
267965.58000000
0.036963386908
Long
DBT
USGA
US
N
2
2044-07-16
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AE0803
31419A3M7
776368.91000000
PA
USD
850127.48000000
0.117267266059
Long
DBT
USGA
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG E02698
31294L7K3
1084.16000000
PA
USD
1129.72000000
0.000155834482
Long
DBT
USGA
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-49 PI
38379WGB2
1581961.56000000
PA
USD
247962.98000000
0.034204212229
Long
DBT
USGA
US
N
2
2045-11-16
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783710
3622A2DP4
109780.69000000
PA
USD
126008.85000000
0.017381761778
Long
DBT
USGA
US
N
2
2041-06-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3628 PJ
31398LUM8
879547.71000000
PA
USD
949707.21000000
0.131003373839
Long
DBT
USGA
US
N
2
2040-01-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 845836
31288VPV5
1123.05000000
PA
USD
1126.37000000
0.000155372380
Long
DBT
USGA
US
N
2
2024-06-01
Floating
2.22800040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZK7453
3131XBH69
7673215.06000000
PA
USD
8045357.09000000
1.109783006206
Long
DBT
USGA
US
N
2
2029-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR G92-61 FA
31358QU60
453.93000000
PA
USD
453.56000000
0.000062564429
Long
DBT
USGA
US
N
2
2022-10-25
Floating
0.75771000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 548426
31385PHB3
64983.78000000
PA
USD
65015.26000000
0.008968257081
Long
DBT
USGA
US
N
2
2029-08-01
Floating
2.29899960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 303 C2
31325UDY9
1121728.91000000
PA
USD
68654.39000000
0.009470241590
Long
DBT
USGA
US
N
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0372
3132CWMV3
5156200.03000000
PA
USD
5501644.50000000
0.758901252484
Long
DBT
USGA
US
N
2
2033-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3174 FA
31396TLH4
1453981.20000000
PA
USD
1457862.31000000
0.201098695673
Long
DBT
USGA
US
N
2
2036-04-15
Floating
0.40628880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J06383
3128PJCU9
46.31000000
PA
USD
48.04000000
0.000006626676
Long
DBT
USGA
US
N
2
2022-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-134 BI
38380GZW7
273159.39000000
PA
USD
52704.74000000
0.007270134084
Long
DBT
USGA
US
N
2
2047-09-16
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-9 PT
3136ABSM6
1522424.38000000
PA
USD
1510849.08000000
0.208407733201
Long
DBT
USGA
US
N
2
2028-02-25
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4142 PT
3137AX5Z2
1699797.06000000
PA
USD
1692554.05000000
0.233472262419
Long
DBT
USGA
US
N
2
2027-12-15
Fixed
1.25000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 IB
38380CG23
768193.58000000
PA
USD
132693.61000000
0.018303862931
Long
DBT
USGA
US
N
2
2047-02-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2003-86 ZD
38374CG88
2514619.60000000
PA
USD
2745447.09000000
0.378709172363
Long
DBT
USGA
US
N
2
2033-10-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4117 P
3137AUTQ2
2079584.03000000
PA
USD
2054685.17000000
0.283424919399
Long
DBT
USGA
US
N
2
2042-07-15
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2018-13 MP
3136B02D7
3301945.37000000
PA
USD
3451280.80000000
0.476072440121
Long
DBT
USGA
US
N
2
2057-12-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-43 AI
3136A5YH3
3237631.12000000
PA
USD
194233.91000000
0.026792781244
Long
DBT
USGA
US
N
2
2027-04-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2164
31418BMN3
1993199.90000000
PA
USD
2093986.75000000
0.288846210848
Long
DBT
USGA
US
N
2
2035-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL2206
3138EJNY0
70238.89000000
PA
USD
70222.30000000
0.009686520352
Long
DBT
USGA
US
N
2
2022-07-01
Floating
3.08999880
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 671251
36295HWL0
728.09000000
PA
USD
822.28000000
0.000113425962
Long
DBT
USGA
US
N
2
2038-03-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4340 MI
3137BAV82
1589014.72000000
PA
USD
95747.67000000
0.013207510351
Long
DBT
USGA
US
N
2
2027-02-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 890762
31410LTT9
2634049.43000000
PA
USD
2706561.25000000
0.373345228422
Long
DBT
USGA
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 693463
36296KML3
820.20000000
PA
USD
898.45000000
0.000123932913
Long
DBT
USGA
US
N
2
2038-06-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-10 YA
3136ACAN1
2889881.66000000
PA
USD
2878698.68000000
0.397090003503
Long
DBT
USGA
US
N
2
2028-02-25
Fixed
1.25000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-43 IA
38381TR23
1941224.40000000
PA
USD
284865.75000000
0.039294609905
Long
DBT
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-127 PB
38380YYX7
2312909.39000000
PA
USD
2363823.93000000
0.326067767761
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 651825
36292LD68
298371.57000000
PA
USD
341587.00000000
0.047118784598
Long
DBT
USGA
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-5 CP
3136AMML0
1303101.28000000
PA
USD
1338638.16000000
0.184652820851
Long
DBT
USGA
US
N
2
2043-06-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM3209
3138L3R72
1874728.99000000
PA
USD
1926526.20000000
0.265746568344
Long
DBT
USGA
US
N
2
2023-09-01
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-4 AP
3136B8NA3
2202265.81000000
PA
USD
2190974.13000000
0.302224727791
Long
DBT
USGA
US
N
2
2050-02-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 845547
31288VEU9
6077.48000000
PA
USD
6077.64000000
0.000838354533
Long
DBT
USGA
US
N
2
2023-12-01
Floating
2.23499880
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 677137
36295QHN3
125626.08000000
PA
USD
137826.18000000
0.019011853751
Long
DBT
USGA
US
N
2
2038-08-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4650 LP
3137BUTP3
658629.72000000
PA
USD
673092.44000000
0.092846910728
Long
DBT
USGA
US
N
2
2045-09-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3339 HF
31397JYV0
2107921.08000000
PA
USD
2138232.77000000
0.294949542315
Long
DBT
USGA
US
N
2
2037-07-15
Floating
0.62628840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM2292
3138L2RN9
664979.12000000
PA
USD
664397.64000000
0.091647543047
Long
DBT
USGA
US
N
2
2023-01-01
Floating
0.45100080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2006-79 DF
31396KYA4
192759.69000000
PA
USD
193842.48000000
0.026738787076
Long
DBT
USGA
US
N
2
2036-08-25
Floating
0.45771120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-15 BC
3136AVNH8
2741576.15000000
PA
USD
2789776.07000000
0.384823947398
Long
DBT
USGA
US
N
2
2043-11-25
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2019-6 GJ
3136B3T59
1382410.26000000
PA
USD
1422980.68000000
0.196287095670
Long
DBT
USGA
US
N
2
2049-02-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J09875
3128PM6L9
9875.90000000
PA
USD
10251.05000000
0.001414038054
Long
DBT
USGA
US
N
2
2024-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 604383
36200MM83
991.27000000
PA
USD
1088.85000000
0.000150196841
Long
DBT
USGA
US
N
2
2033-06-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL5400
3138ENAA7
1020039.99000000
PA
USD
1116102.74000000
0.153956106631
Long
DBT
USGA
US
N
2
2043-01-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-4 CB
3136ACFC0
2882833.82000000
PA
USD
2860442.56000000
0.394571739676
Long
DBT
USGA
US
N
2
2028-02-25
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 846740
3128HDPZ6
3055.54000000
PA
USD
3067.81000000
0.000423176170
Long
DBT
USGA
US
N
2
2029-04-01
Floating
2.34299880
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783727
3622A2D82
26357.15000000
PA
USD
30384.83000000
0.004191307806
Long
DBT
USGA
US
N
2
2041-06-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 845782
31288VM71
2393.60000000
PA
USD
2397.10000000
0.000330657895
Long
DBT
USGA
US
N
2
2024-05-01
Floating
2.32400160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG C90689
31335HXS7
84.43000000
PA
USD
89.97000000
0.000012410533
Long
DBT
USGA
US
N
2
2023-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 846767
3128HDQU6
74003.75000000
PA
USD
74011.89000000
0.010209259435
Long
DBT
USGA
US
N
2
2023-12-01
Floating
2.23300080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12650
3128PR5K1
18071.11000000
PA
USD
18770.48000000
0.002589215057
Long
DBT
USGA
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA0864
31417Y6A0
442818.73000000
PA
USD
476926.20000000
0.065787582335
Long
DBT
USGA
US
N
2
2031-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4083 DI
3137ARZH2
181907.24000000
PA
USD
11405.77000000
0.001573321056
Long
DBT
USGA
US
N
2
2027-07-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-95 PG
38380FKG0
769457.41000000
PA
USD
775104.92000000
0.106918593994
Long
DBT
USGA
US
N
2
2045-12-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 782475
36241KXC7
992.48000000
PA
USD
1122.64000000
0.000154857861
Long
DBT
USGA
US
N
2
2038-11-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-119 ND
38379MVD3
2539542.98000000
PA
USD
2559963.45000000
0.353123410376
Long
DBT
USGA
US
N
2
2044-12-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 719776
3620A5T90
936.35000000
PA
USD
1025.92000000
0.000141516227
Long
DBT
USGA
US
N
2
2040-03-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-47 IA
38378JXN7
423061.38000000
PA
USD
70286.78000000
0.009695414775
Long
DBT
USGA
US
N
2
2043-03-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4709 AB
3137FAMQ8
818722.95000000
PA
USD
846581.96000000
0.116778194188
Long
DBT
USGA
US
N
2
2047-08-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 2571 FY
31393L6N8
2438661.05000000
PA
USD
2488488.02000000
0.343264032267
Long
DBT
USGA
US
N
2
2032-12-15
Floating
0.85628880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-98 ZA
3136AGEA6
6609729.80000000
PA
USD
7321153.53000000
1.009885786613
Long
DBT
USGA
US
N
2
2043-09-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K742 X1
3137H0GP7
7593124.72000000
PA
USD
281671.52000000
0.038853995258
Long
DBT
USGA
US
N
2
2028-03-25
Floating
0.77908680
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL7364
3138EQFE7
323545.31000000
PA
USD
354088.04000000
0.048843188076
Long
DBT
USGA
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2009-82 FC
31398FPH8
2344559.56000000
PA
USD
2412909.10000000
0.332838615458
Long
DBT
USGA
US
N
2
2039-10-25
Floating
1.02771000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10727
3128PPYY3
44506.62000000
PA
USD
46238.71000000
0.006378204722
Long
DBT
USGA
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J11164
3128PQJH5
464.63000000
PA
USD
482.39000000
0.000066541263
Long
DBT
USGA
US
N
2
2024-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6156
36179UZV7
2040862.33000000
PA
USD
2147835.27000000
0.296274118862
Long
DBT
USGA
US
N
2
2049-09-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AH7877
3138A9XF6
151652.87000000
PA
USD
158980.44000000
0.021929889333
Long
DBT
USGA
US
N
2
2026-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 834666
31407MJK2
4614.93000000
PA
USD
5070.06000000
0.000699368140
Long
DBT
USGA
US
N
2
2035-08-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 15YR TBA (FEBRUARY)
01F032427
-18510000.00000000
PA
USD
-19327043.06000000
-2.66598781238
Short
DBT
USGA
US
N
2
2169-02-18
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-47 AB
3136AWWN3
3755025.20000000
PA
USD
3785877.61000000
0.522226992308
Long
DBT
USGA
US
N
2
2041-10-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM2238
3138L2PY7
1774935.16000000
PA
USD
1787519.65000000
0.246571893408
Long
DBT
USGA
US
N
2
2023-01-01
Fixed
2.57000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4664 HA
3137BWQ72
4034689.50000000
PA
USD
4109416.39000000
0.566856190972
Long
DBT
USGA
US
N
2
2043-08-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K128 X1
3137FYUL8
10231848.24000000
PA
USD
422665.37000000
0.058302799949
Long
DBT
USGA
US
N
2
2031-03-25
Floating
0.52870320
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-126 KI
38380BAQ8
434428.36000000
PA
USD
24419.91000000
0.003368501960
Long
DBT
USGA
US
N
2
2028-09-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0386
3132CWNB6
3899660.76000000
PA
USD
4090626.99000000
0.564264366074
Long
DBT
USGA
US
N
2
2032-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 313752
31374GQD2
1562.46000000
PA
USD
1567.58000000
0.000216233241
Long
DBT
USGA
US
N
2
2028-05-01
Floating
2.04500160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12347
3128PRTC3
30061.76000000
PA
USD
31264.99000000
0.004312717782
Long
DBT
USGA
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT MAR22 FINANCIAL COMMODITY FUTURE.
N/A
6.00000000
NC
USD
1133625.00000000
0.156373141221
N/A
DIR
US
N
1
US ULTRA BOND CBT MAR22
N/A
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Mar 2022
2022-03-25
1159350.66000000
USD
-25725.66000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-111 NI
3136A9GA0
695166.75000000
PA
USD
47073.84000000
0.006493403224
Long
DBT
USGA
US
N
2
2027-10-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783363
36241LWY8
35401.41000000
PA
USD
40124.16000000
0.005534758794
Long
DBT
USGA
US
N
2
2041-02-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM1306
3138L1NY1
1099132.24000000
PA
USD
1103804.23000000
0.152259640303
Long
DBT
USGA
US
N
2
2022-11-01
Fixed
2.28000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN4021
3138LGPF7
1184710.86000000
PA
USD
1240879.15000000
0.171167864648
Long
DBT
USGA
US
N
2
2027-01-01
Fixed
2.96000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4372
36202E2D0
14282.60000000
PA
USD
16767.49000000
0.002312921011
Long
DBT
USGA
US
N
2
2039-02-20
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4661 HA
3137BVXR2
1990535.97000000
PA
USD
2020043.08000000
0.278646361735
Long
DBT
USGA
US
N
2
2043-05-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10982
3128PQCT6
1510.04000000
PA
USD
1572.54000000
0.000216917428
Long
DBT
USGA
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 696520
36296NYR1
33559.52000000
PA
USD
36823.65000000
0.005079483799
Long
DBT
USGA
US
N
2
2038-08-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2009-82 FD
31398FPU9
2906578.83000000
PA
USD
2983748.21000000
0.411580619879
Long
DBT
USGA
US
N
2
2039-10-25
Floating
0.95771160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF60 A
3137FL7L2
4085043.88000000
PA
USD
4097656.04000000
0.565233958866
Long
DBT
USGA
US
N
2
2026-02-25
Floating
0.59124960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J05098
3128PGUX9
347.73000000
PA
USD
360.75000000
0.000049762144
Long
DBT
USGA
US
N
2
2022-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 675613
36295NSA6
21673.96000000
PA
USD
23688.49000000
0.003267609299
Long
DBT
USGA
US
N
2
2038-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4030 FD
3137APKW9
405686.31000000
PA
USD
405875.44000000
0.055986783546
Long
DBT
USGA
US
N
2
2041-02-15
Floating
0.45628920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G13593
3128MCGA7
555.87000000
PA
USD
578.10000000
0.000079743577
Long
DBT
USGA
US
N
2
2024-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM9589
3138LAUP2
3211710.45000000
PA
USD
3244165.11000000
0.447502735817
Long
DBT
USGA
US
N
2
2022-12-01
Fixed
2.97000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-47 QI
3136A6DE1
91044.87000000
PA
USD
9265.02000000
0.001278024285
Long
DBT
USGA
US
N
2
2042-05-25
Floating
5.50170000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2009-110 FD
31398GND7
3102392.00000000
PA
USD
3171086.71000000
0.437422242741
Long
DBT
USGA
US
N
2
2040-01-25
Floating
0.85771080
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 686035
36296BEG3
3434.90000000
PA
USD
3761.22000000
0.000518825701
Long
DBT
USGA
US
N
2
2038-04-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
SEASONED CREDIT RISK TRANSFER TRUST SCRT 2021-2 TT
35563P3S6
11971065.19000000
PA
USD
11853813.39000000
1.635124521112
Long
ABS-MBS
US
N
2
2060-11-25
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 657208
36294RDM8
35761.28000000
PA
USD
39085.18000000
0.005391441060
Long
DBT
USGA
US
N
2
2038-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3736
36179SEH6
2367087.67000000
PA
USD
2481522.01000000
0.342303135264
Long
DBT
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-46 IO
38379AYP9
728719.32000000
PA
USD
117562.54000000
0.016216671006
Long
DBT
USGA
US
N
2
2044-03-16
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2018-77 PA
3136B3JN1
575602.25000000
PA
USD
590037.20000000
0.081390204345
Long
DBT
USGA
US
N
2
2048-02-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 682306
36295WAF4
1269.65000000
PA
USD
1391.07000000
0.000191885310
Long
DBT
USGA
US
N
2
2038-03-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ5012
3138YWSA6
66943.00000000
PA
USD
69741.51000000
0.009620199794
Long
DBT
USGA
US
N
2
2031-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2007-47 DA
31396VL55
251154.38000000
PA
USD
282308.07000000
0.038941801475
Long
DBT
USGA
US
N
2
2037-05-25
Fixed
5.60000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 722819
3620A9AU5
75011.15000000
PA
USD
85620.57000000
0.011810570059
Long
DBT
USGA
US
N
2
2039-12-15
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-26 AI
3136B9YK7
3560286.55000000
PA
USD
233467.93000000
0.032204753413
Long
DBT
USGA
US
N
2
2033-04-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 687731
36296DA81
19434.63000000
PA
USD
21241.02000000
0.002930003325
Long
DBT
USGA
US
N
2
2038-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4673 HA
3137BXBY7
2712063.50000000
PA
USD
2757114.67000000
0.380318607701
Long
DBT
USGA
US
N
2
2043-11-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2524
31418BYW0
78319.56000000
PA
USD
81588.72000000
0.011254413438
Long
DBT
USGA
US
N
2
2031-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2009-112 FM
31398GKJ7
1996436.00000000
PA
USD
2043283.17000000
0.281852118379
Long
DBT
USGA
US
N
2
2040-01-25
Floating
0.85771080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-4 JB
3136ACFL0
1712807.96000000
PA
USD
1700192.44000000
0.234525908059
Long
DBT
USGA
US
N
2
2028-02-25
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-75 DB
3136AQBH2
2190536.30000000
PA
USD
2250022.07000000
0.310369847968
Long
DBT
USGA
US
N
2
2035-08-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-103 HB
3136A8ZH6
2208165.55000000
PA
USD
2205875.90000000
0.304280289890
Long
DBT
USGA
US
N
2
2027-09-25
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 677226
36295QLF5
61324.13000000
PA
USD
70456.04000000
0.009718762635
Long
DBT
USGA
US
N
2
2038-08-15
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 01/31/2023
91282CBG5
39750000.00000000
PA
USD
39476718.75000000
5.445450229176
Long
SN
UST
US
N
2
2023-01-31
Fixed
0.12500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-36 AB
38378DVY8
460745.78000000
PA
USD
472008.53000000
0.065109234993
Long
DBT
USGA
US
N
2
2040-10-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3153 FX
31396RPG6
72559.18000000
PA
USD
72980.07000000
0.010066929357
Long
DBT
USGA
US
N
2
2036-05-15
Floating
0.45628920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F022626
-11750000.00000000
PA
USD
-11729804.69000000
-1.61801866162
Short
DBT
USGA
US
N
2
2051-02-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J07547
3128PKL44
6866.94000000
PA
USD
7123.96000000
0.000982684753
Long
DBT
USGA
US
N
2
2023-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 681198
36295UX30
6888.53000000
PA
USD
7528.80000000
0.001038528707
Long
DBT
USGA
US
N
2
2037-12-15
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2018-M12 FA
3136B23J9
294697.55000000
PA
USD
294555.65000000
0.040631242478
Long
DBT
USGA
US
N
2
2025-08-25
Floating
0.50249880
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783292
36241LUR5
74540.00000000
PA
USD
85979.31000000
0.011860054942
Long
DBT
USGA
US
N
2
2040-12-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 658570
36294ST31
11034.82000000
PA
USD
12729.94000000
0.001755978128
Long
DBT
USGA
US
N
2
2036-08-15
Fixed
6.00000000
N
N
N
N
N
N
2022-01-31
SEI DAILY INCOME TRUST
Peter Rodriguez
Peter Rodriguez
CFO