0001752724-23-074963.txt : 20230331
0001752724-23-074963.hdr.sgml : 20230331
20230331100348
ACCESSION NUMBER: 0001752724-23-074963
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230131
FILED AS OF DATE: 20230331
DATE AS OF CHANGE: 20230331
PERIOD START: 20230131
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: 23783953
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
primary_doc.xml
NPORT-P
false
0000701939
XXXXXXXX
S000008267
C000147419
C000022552
SEI DAILY INCOME TRUST
811-03451
0000701939
LTKY0J47NCTZPKTU4C46
2 OLIVER STREET
BOSTON
02109
8003455734
SDIT Short Duration Government Fund
S000008267
549300NRAJ39MCMGSN10
2023-01-31
2023-01-31
N
787898797.03
142816870.56
645081926.47
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
55631.87000000
USD
N
BofA ML 1-3 Year Treasury Index (G1O2)
ML1-3YR
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 711016
36297F3Z3
163944.58000000
PA
USD
169945.40000000
0.026344777775
Long
DBT
USGA
US
N
2
2039-11-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-99 LI
38379XH52
1103540.33000000
PA
USD
40736.20000000
0.006314887819
Long
DBT
USGA
US
N
2
2029-05-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-71 IN
3136AT4Q4
463846.82000000
PA
USD
81544.22000000
0.012640909108
Long
DBT
USGA
US
N
2
2046-10-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 626826
36291FLF3
68900.71000000
PA
USD
70791.73000000
0.010974068113
Long
DBT
USGA
US
N
2
2035-05-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-97 JI
3136A73B6
615278.54000000
PA
USD
22421.92000000
0.003475825175
Long
DBT
USGA
US
N
2
2027-07-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 627429
36291GA63
508.24000000
PA
USD
518.66000000
0.000080402190
Long
DBT
USGA
US
N
2
2034-10-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3788 FA
3137A5PP3
2483929.50000000
PA
USD
2467849.04000000
0.382563661875
Long
DBT
USGA
US
N
2
2041-01-15
Floating
4.98899880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F050627
42441000.00000000
PA
USD
42596837.83000000
6.603322164534
Long
DBT
USGA
US
N
2
2053-02-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 569569
36200QW67
11096.47000000
PA
USD
11710.97000000
0.001815423672
Long
DBT
USGA
US
N
2
2032-01-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J09466
3128PMQT0
952.10000000
PA
USD
963.84000000
0.000149413579
Long
DBT
USGA
US
N
2
2024-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-165 I
38379FK73
777924.67000000
PA
USD
101908.29000000
0.015797728291
Long
DBT
USGA
US
N
2
2043-07-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J11339
3128PQPY1
10252.84000000
PA
USD
10372.56000000
0.001607944599
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 OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F052623
8848000.00000000
PA
USD
8991088.71000000
1.393790205718
Long
DBT
USGA
US
N
2
2053-02-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2021-3 NI
3136BDQ84
4890453.11000000
PA
USD
689189.06000000
0.106837446798
Long
DBT
USGA
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES FSPC T-42 A5
31392MH39
190417.36000000
PA
USD
197127.44000000
0.030558512323
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 REMICS FNR 2020-74 HI
3136BB6V9
3207746.53000000
PA
USD
638461.85000000
0.098973761905
Long
DBT
USGA
US
N
2
2050-10-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J11722
3128PQ4F5
55474.52000000
PA
USD
56177.80000000
0.008708630283
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
13576376.74000000
PA
USD
495942.33000000
0.076880518527
Long
DBT
USGA
US
N
2
2031-01-25
Floating
0.58332600
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4170 QI
3137AYYN5
319952.93000000
PA
USD
9647.83000000
0.001495597629
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
421251.61000000
PA
USD
10579.36000000
0.001640002543
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
2963244.57000000
PA
USD
2911560.81000000
0.451347447592
Long
DBT
USGA
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-166 DA
38378U4C8
340318.36000000
PA
USD
330666.86000000
0.051259668955
Long
DBT
USGA
US
N
2
2040-06-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ9232
3140E2HJ3
11999.05000000
PA
USD
11686.09000000
0.001811566798
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
238001.92000000
PA
USD
9560.99000000
0.001482135773
Long
DBT
USGA
US
N
2
2031-02-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 603130
36200KA72
4569.08000000
PA
USD
4695.41000000
0.000727878089
Long
DBT
USGA
US
N
2
2033-10-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K737 X1
3137FQXL2
23413239.63000000
PA
USD
427809.06000000
0.066318562409
Long
DBT
USGA
US
N
2
2026-10-25
Floating
0.63726120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 256255
31371MTL1
16260.14000000
PA
USD
16830.53000000
0.002609053099
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 4195 AI
3137B1CJ9
563359.85000000
PA
USD
29482.54000000
0.004570355917
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
319098.52000000
PA
USD
14397.18000000
0.002231837447
Long
DBT
USGA
US
N
2
2028-05-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-167 AI
38380CEN9
993465.58000000
PA
USD
150459.47000000
0.023324087038
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
8086.28000000
PA
USD
8188.99000000
0.001269449610
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 2019-132 NA
38381Y5P5
3342293.63000000
PA
USD
3233630.98000000
0.501274465662
Long
DBT
USGA
US
N
2
2049-09-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783353
36241LWN2
282591.99000000
PA
USD
292900.88000000
0.045405221876
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
303544.87000000
PA
USD
308482.99000000
0.047820746069
Long
DBT
USGA
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 726114
3620ACVF8
1116.71000000
PA
USD
1157.80000000
0.000179481078
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
915.89000000
PA
USD
927.64000000
0.000143801889
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 2018-72 ID
38380WH28
2718347.90000000
PA
USD
522339.79000000
0.080972628214
Long
DBT
USGA
US
N
2
2045-08-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 15YR TBA (FEBRUARY)
01F040420
-7700000.00000000
PA
USD
-7646460.90000000
-1.18534725377
Short
DBT
USGA
US
N
2
2038-02-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-40 PA
38379LGE0
1015766.07000000
PA
USD
963249.34000000
0.149322016394
Long
DBT
USGA
US
N
2
2044-04-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0683
3132CWXL3
5194402.30000000
PA
USD
5115210.73000000
0.792955207719
Long
DBT
USGA
US
N
2
2035-05-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-2 AI
38380CNU3
282592.85000000
PA
USD
57977.77000000
0.008987659957
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
4013824.15000000
PA
USD
3686391.23000000
0.571460938329
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
2109191.98000000
PA
USD
2082471.05000000
0.322822724455
Long
DBT
USGA
US
N
2
2041-06-25
Floating
4.70585880
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 718864
3620A4TV4
1460.02000000
PA
USD
1486.78000000
0.000230479252
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
31666.69000000
PA
USD
32064.89000000
0.004970669411
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
1338947.03000000
PA
USD
280469.90000000
0.043478182923
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
70420.57000000
PA
USD
71319.96000000
0.011055953836
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
945.19000000
PA
USD
932.50000000
0.000144555282
Long
DBT
USGA
US
N
2
2024-06-01
Floating
2.84000040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2019-M21 X1
3136B6WW9
12718704.51000000
PA
USD
710473.19000000
0.110136892826
Long
DBT
USGA
US
N
2
2029-05-25
Floating
1.38999960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4484 CI
3137BJQK2
443438.06000000
PA
USD
36990.27000000
0.005734197236
Long
DBT
USGA
US
N
2
2030-07-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-177 LA
38383UB82
3999317.38000000
PA
USD
3915496.09000000
0.606976560547
Long
DBT
USGA
US
N
2
2052-01-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783379
36241LXG6
40477.25000000
PA
USD
40216.42000000
0.006234312007
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
171357.40000000
PA
USD
7205.87000000
0.001117047262
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
2039095.58000000
PA
USD
373537.21000000
0.057905390722
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
12377582.47000000
PA
USD
1084980.51000000
0.168192669098
Long
DBT
USGA
US
N
2
2030-01-25
Floating
1.59171840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 05/15/2023
912828VB3
2258000.00000000
PA
USD
2238683.51000000
0.347038634650
Long
SN
UST
US
N
2
2023-05-15
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS8551
3132A9QC4
995019.20000000
PA
USD
970192.13000000
0.150398281239
Long
DBT
USGA
US
N
2
2030-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12162
3128PRMK2
9543.93000000
PA
USD
9667.24000000
0.001498606549
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
10619.10000000
PA
USD
10473.44000000
0.001623582923
Long
DBT
USGA
US
N
2
2027-08-01
Floating
3.24500040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12532
3128PRY52
7834.23000000
PA
USD
7933.87000000
0.001229901145
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 REMICS FNR 2012-120 ZB
3136A9Q43
2654118.36000000
PA
USD
2513298.80000000
0.389609241380
Long
DBT
USGA
US
N
2
2042-11-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 745056
3620C0WR5
7015.20000000
PA
USD
7154.46000000
0.001109077732
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
1000791.86000000
PA
USD
956130.62000000
0.148218479043
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
166280.22000000
PA
USD
5995.43000000
0.000929405979
Long
DBT
USGA
US
N
2
2027-03-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J35743
31307SLY7
1729391.27000000
PA
USD
1644460.73000000
0.254922772212
Long
DBT
USGA
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F020620
-10450000.00000000
PA
USD
-8782898.44000000
-1.36151674378
Short
DBT
USGA
US
N
2
2053-02-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G13652
3128MCH57
965.55000000
PA
USD
977.56000000
0.000151540441
Long
DBT
USGA
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4 SCRT 2019-4 MA
35563PML0
5404722.22000000
PA
USD
5091745.57000000
0.789317660450
Long
ABS-MBS
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3148 CF
31396JZE8
82831.05000000
PA
USD
81941.54000000
0.012702501285
Long
DBT
USGA
US
N
2
2034-02-15
Floating
4.85899920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 1993-32 H
31358UEP7
25.76000000
PA
USD
25.67000000
0.000003979339
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
275593.19000000
PA
USD
13396.45000000
0.002076705213
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
951731.10000000
PA
USD
169257.86000000
0.026238195964
Long
DBT
USGA
US
N
2
2046-02-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-76 GA
38383RNR4
6370861.96000000
PA
USD
6239243.77000000
0.967201763680
Long
DBT
USGA
US
N
2
2052-03-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 529796
31384PRR8
8043.48000000
PA
USD
7920.23000000
0.001227786684
Long
DBT
USGA
US
N
2
2029-12-01
Floating
2.72000160
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.
N/A
-583.00000000
NC
USD
-63688195.31000000
-9.87288477581
N/A
DIR
US
N
1
GOLDMAN SACHS & CO
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Mar 2023
2023-04-03
-63602875.06000000
USD
-85320.25000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AX9550
3138YBTG8
6700.55000000
PA
USD
6515.94000000
0.001010094955
Long
DBT
USGA
US
N
2
2030-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5018 LW
3137FXBZ0
1431273.79000000
PA
USD
1163428.79000000
0.180353648468
Long
DBT
USGA
US
N
2
2040-10-25
Fixed
1.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 696548
36296NZM1
18130.76000000
PA
USD
18498.73000000
0.002867655911
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
1096111.54000000
PA
USD
53816.67000000
0.008342610107
Long
DBT
USGA
US
N
2
2044-08-25
Floating
0.09564120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-26 IA
3136B9YL5
3545345.03000000
PA
USD
341875.49000000
0.052997220348
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
1411.80000000
PA
USD
1455.82000000
0.000225679861
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
17439.14000000
PA
USD
18443.56000000
0.002859103509
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG V60836
3132KE4V4
1776356.82000000
PA
USD
1691502.33000000
0.262215117272
Long
DBT
USGA
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4978 MI
3137FT6T9
2154276.23000000
PA
USD
318225.16000000
0.049330968198
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
321507.06000000
PA
USD
11477.02000000
0.001779156961
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
215794.36000000
PA
USD
8633.65000000
0.001338380389
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
809713.95000000
PA
USD
821415.88000000
0.127335125399
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
123892.60000000
PA
USD
120356.57000000
0.018657563490
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
312049.77000000
PA
USD
11617.30000000
0.001800903036
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
6437.79000000
PA
USD
6521.26000000
0.001010919657
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
2721314.67000000
PA
USD
2393822.95000000
0.371088206284
Long
DBT
USGA
US
N
2
2042-12-25
Fixed
2.00000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)MAR23 FINANCIAL COMMODITY FUTURE.
N/A
-280.00000000
NC
USD
-32064375.00000000
-4.97058957696
N/A
DIR
US
N
1
J.P. MORGAN SECURITIES
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Mar 2023
2023-03-25
-32133329.12000000
USD
68954.12000000
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-55 LB
38379BJF6
185808.46000000
PA
USD
177193.38000000
0.027468352891
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
8966.98000000
PA
USD
9295.30000000
0.001440948756
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
56299.37000000
PA
USD
54825.32000000
0.008498970092
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
3638846.47000000
PA
USD
3625549.76000000
0.562029350262
Long
DBT
USGA
US
N
2
2026-10-25
Floating
4.89156840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4178 MI
3137B06E9
214546.97000000
PA
USD
8865.15000000
0.001374267304
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
2281.04000000
PA
USD
2447.12000000
0.000379350265
Long
DBT
USGA
US
N
2
2037-06-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8344
3140XCHW1
2131362.02000000
PA
USD
2011618.93000000
0.311839294740
Long
DBT
USGA
US
N
2
2032-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12247
3128PRP86
24728.38000000
PA
USD
25031.44000000
0.003880350537
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
799211.12000000
PA
USD
836891.89000000
0.129734202069
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
409681.37000000
PA
USD
388997.70000000
0.060302061496
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
593936.08000000
PA
USD
110900.75000000
0.017191731073
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
269111.58000000
PA
USD
266034.29000000
0.041240388093
Long
DBT
USGA
US
N
2
2024-10-25
Floating
4.75286040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-25 A
3136ARR42
153552.45000000
PA
USD
151501.90000000
0.023485683567
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
21.38000000
PA
USD
21.57000000
0.000003343761
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
1506792.80000000
PA
USD
1387836.48000000
0.215141119763
Long
DBT
USGA
US
N
2
2042-03-20
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4178 BI
3137B05Q3
379149.01000000
PA
USD
33945.36000000
0.005262178121
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
141910.72000000
PA
USD
5725.80000000
0.000887608188
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
1856718.73000000
PA
USD
289988.09000000
0.044953683881
Long
DBT
USGA
US
N
2
2043-01-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-35 AI
3136BALN2
4183252.16000000
PA
USD
688833.54000000
0.106782334419
Long
DBT
USGA
US
N
2
2050-06-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4060 TI
3137ARA89
208759.38000000
PA
USD
3138.38000000
0.000486508747
Long
DBT
USGA
US
N
2
2026-12-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2022-22 QH
3136BMG69
6485372.55000000
PA
USD
6495762.77000000
1.006967100372
Long
DBT
USGA
US
N
2
2052-05-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-17 EI
38382CJ51
2122775.53000000
PA
USD
398437.75000000
0.061765449263
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
827022.42000000
PA
USD
794316.60000000
0.123134220229
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
205957.15000000
PA
USD
203934.26000000
0.031613699226
Long
DBT
USGA
US
N
2
2036-08-25
Floating
4.90586040
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-56 BP
38379BCS5
967772.53000000
PA
USD
897892.97000000
0.139190532730
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
1214059.39000000
PA
USD
1185152.30000000
0.183721206775
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
870002.44000000
PA
USD
884153.34000000
0.137060628072
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
316244.55000000
PA
USD
315120.87000000
0.048849744051
Long
DBT
USGA
US
N
2
2024-08-25
Floating
4.74157080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-42 AI
3136ANV61
1074902.15000000
PA
USD
49142.38000000
0.007618006021
Long
DBT
USGA
US
N
2
2055-06-25
Floating
0.33001920
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 KI
38380CP80
1201922.04000000
PA
USD
217260.99000000
0.033679596510
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
22713.10000000
PA
USD
23762.61000000
0.003683657691
Long
DBT
USGA
US
N
2
2036-01-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G16018
3128ME4B4
1618592.03000000
PA
USD
1577853.06000000
0.244597313186
Long
DBT
USGA
US
N
2
2031-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 682100
36295VX53
648.32000000
PA
USD
671.95000000
0.000104165063
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
13539.86000000
PA
USD
13709.13000000
0.002125176576
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
1180377.02000000
PA
USD
1165816.48000000
0.180723785950
Long
DBT
USGA
US
N
2
2037-07-25
Floating
4.87586160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5079 CB
3137F9DQ1
7685336.90000000
PA
USD
6602741.92000000
1.023550908662
Long
DBT
USGA
US
N
2
2051-02-25
Fixed
1.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10986
3128PQCX7
5321.67000000
PA
USD
5388.61000000
0.000835337308
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
1893397.84000000
PA
USD
283444.31000000
0.043939273194
Long
DBT
USGA
US
N
2
2042-10-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 658384
36294SM95
109053.18000000
PA
USD
115153.97000000
0.017851061279
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 MA0844
31417Y5E3
211435.51000000
PA
USD
215052.48000000
0.033337235345
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
24222000.00000000
PA
USD
24021411.56000000
3.723776868381
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
1066188.55000000
PA
USD
112877.70000000
0.017498196022
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
638875.70000000
PA
USD
125758.34000000
0.019494940850
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
125352.41000000
PA
USD
18995.48000000
0.002944661634
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
116103.46000000
PA
USD
122348.71000000
0.018966383180
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
50147979.62000000
7.773893138568
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
455101.25000000
PA
USD
432081.00000000
0.066980794573
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
119789.47000000
PA
USD
5096.83000000
0.000790105844
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
4257944.02000000
PA
USD
3546101.79000000
0.549713399878
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
3201236.79000000
PA
USD
3173506.40000000
0.491954009216
Long
DBT
USGA
US
N
2
2039-10-20
Floating
4.88571120
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 599564
36200FB98
115992.83000000
PA
USD
121396.39000000
0.018818755419
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
32330.29000000
PA
USD
31440.69000000
0.004873906508
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
1159835.72000000
PA
USD
1130824.25000000
0.175299323015
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
3156.14000000
PA
USD
3235.49000000
0.000501562649
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
5915402.33000000
PA
USD
5825841.90000000
0.903116590458
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
760576.52000000
PA
USD
40437.04000000
0.006268512314
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
5111763.26000000
PA
USD
5059528.81000000
0.784323448292
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
172464.34000000
PA
USD
10582.79000000
0.001640534258
Long
DBT
USGA
US
N
2
2030-08-25
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.875000% 06/15/2025
91282CEU1
21125000.00000000
PA
USD
20577070.31000000
3.189838292726
Long
SN
UST
US
N
2
2025-06-15
Fixed
2.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE INTEREST STRIP FNS 397 6
3136FGRW9
817933.69000000
PA
USD
741444.29000000
0.114938003930
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
767.71000000
PA
USD
777.38000000
0.000120508724
Long
DBT
USGA
US
N
2
2024-11-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AP3051
3138M6L96
43439.93000000
PA
USD
42006.97000000
0.006511881402
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
248989.36000000
PA
USD
11487.30000000
0.001780750557
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
1008015.57000000
PA
USD
167641.26000000
0.025987592136
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
2094220.19000000
PA
USD
1952652.16000000
0.302698320922
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 POOL FN FM3526
3140X64L2
3122260.06000000
PA
USD
3130368.57000000
0.485266822949
Long
DBT
USGA
US
N
2
2034-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZK7457
3131XBJA8
972183.50000000
PA
USD
953064.10000000
0.147743109966
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
548288.76000000
PA
USD
540067.28000000
0.083720727219
Long
DBT
USGA
US
N
2
2040-02-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4182 IE
3137B0WS9
200561.47000000
PA
USD
8871.34000000
0.001375226872
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 555561
31385XFA0
29294.68000000
PA
USD
28882.72000000
0.004477372379
Long
DBT
USGA
US
N
2
2024-09-01
Floating
3.42399960
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS
PAMGZZVY5
1200000.00000000
PA
USD
1200000.00000000
0.186022883413
Long
RA
US
N
2
Repurchase
Y
4.29999840
N/A
1200000.47657400
USD
1224000.47000000
USD
AMBS
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.500000% 05/31/2024
91282CER8
30875000.00000000
PA
USD
30039204.18000000
4.656649480846
Long
SN
UST
US
N
2
2024-05-31
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-27 PI
3136A4CZ0
1637474.59000000
PA
USD
152659.95000000
0.023665203400
Long
DBT
USGA
US
N
2
2042-02-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4740 P
3137FCEH3
5735789.86000000
PA
USD
5293366.02000000
0.820572675003
Long
DBT
USGA
US
N
2
2047-12-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 410987
36206GRG7
13996.66000000
PA
USD
14554.77000000
0.002256266902
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 REMICS FNR 2010-56 AF
31398RK87
1593436.86000000
PA
USD
1576882.33000000
0.244446831525
Long
DBT
USGA
US
N
2
2040-06-25
Floating
4.93871040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 833600
31407LDD6
7898.51000000
PA
USD
8184.31000000
0.001268724120
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
1222.75000000
PA
USD
1238.28000000
0.000191957013
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
14545.80000000
PA
USD
14235.19000000
0.002206725908
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
1305079.22000000
PA
USD
1223700.22000000
0.189696869465
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
10074.79000000
PA
USD
10544.46000000
0.001634592377
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
189188.82000000
PA
USD
186918.13000000
0.028975874587
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
1824.52000000
PA
USD
1879.98000000
0.000291432750
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 REMICS FNR 2015-21 WI
3136ANHJ9
936335.04000000
PA
USD
34924.92000000
0.005414028601
Long
DBT
USGA
US
N
2
2055-04-25
Floating
0.14223960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10938
3128PQBF7
41890.31000000
PA
USD
42416.83000000
0.006575417518
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
202940.11000000
PA
USD
200856.27000000
0.031136552080
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
48975822.01000000
7.592186356546
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
1053926.34000000
PA
USD
158622.66000000
0.024589537156
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
3273.18000000
PA
USD
3245.70000000
0.000503145393
Long
DBT
USGA
US
N
2
2039-10-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET DEUTSCHE
N/A
2300000.00000000
PA
USD
2300000.00000000
0.356543859876
Long
RA
US
N
2
Repurchase
Y
4.29000120
N/A
2300000.40800000
USD
2346000.42000000
USD
AMBS
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5228 DG
3137H7U76
6869869.83000000
PA
USD
6664504.69000000
1.033125315798
Long
DBT
USGA
US
N
2
2046-01-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2008-16 FA
31396YSV5
522991.26000000
PA
USD
523477.64000000
0.081149016662
Long
DBT
USGA
US
N
2
2038-03-25
Floating
5.20585920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5170 DP
3137H4FG0
2546726.50000000
PA
USD
2224330.03000000
0.344813571536
Long
DBT
USGA
US
N
2
2050-07-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM5121
3138L5VP2
516317.49000000
PA
USD
509874.32000000
0.079040242654
Long
DBT
USGA
US
N
2
2024-01-01
Fixed
3.85000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0102
3140XFDG3
2424974.42000000
PA
USD
2270262.48000000
0.351933977196
Long
DBT
USGA
US
N
2
2036-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG K93731
3132LQA80
2785783.79000000
PA
USD
2665102.33000000
0.413141683349
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
67146.69000000
PA
USD
2427.74000000
0.000376345995
Long
DBT
USGA
US
N
2
2026-12-16
Fixed
4.00000000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT MAR23 FINANCIAL COMMODITY FUTURE.
N/A
-62.00000000
NC
USD
-7514593.75000000
-1.16490533088
N/A
DIR
US
N
1
JPM CHASE
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Mar 2023
2023-03-25
-7374298.28000000
USD
-140295.47000000
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-132 EI
38379M6M1
1018287.36000000
PA
USD
205187.86000000
0.031808031132
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
694266.33000000
PA
USD
669437.56000000
0.103775587647
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
359844.68000000
PA
USD
45820.61000000
0.007103068326
Long
DBT
USGA
US
N
2
2043-02-16
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5124
3133KYVR7
585594.52000000
PA
USD
488510.91000000
0.075728506714
Long
DBT
USGA
US
N
2
2041-09-01
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-51 IB
38378MSZ9
309121.48000000
PA
USD
13952.85000000
0.002162957824
Long
DBT
USGA
US
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F032625
1725000.00000000
PA
USD
1617623.01000000
0.250762413830
Long
DBT
USGA
US
N
2
2053-02-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4419 CW
3137BFP54
2561237.91000000
PA
USD
2454714.74000000
0.380527594910
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
506811.80000000
PA
USD
494166.16000000
0.076605178307
Long
DBT
USGA
US
N
2
2032-09-01
Fixed
3.50000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 SCRT 2020-2 MA
35563PQP7
719826.52000000
PA
USD
654546.32000000
0.101467161478
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
4234303.38000000
PA
USD
4046998.04000000
0.627361870475
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
152737.02000000
PA
USD
27415.47000000
0.004249920649
Long
DBT
USGA
US
N
2
2044-01-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS8686
3132A9UK1
1668992.79000000
PA
USD
1617132.98000000
0.250686449835
Long
DBT
USGA
US
N
2
2033-02-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.000000% 12/15/2024
91282CDN8
59075000.00000000
PA
USD
55638958.16000000
8.625099522546
Long
SN
UST
US
N
1
2024-12-15
Fixed
1.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AH9688
3138ABXS3
188507.89000000
PA
USD
190741.08000000
0.029568504739
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
11751736.64000000
PA
USD
11570390.89000000
1.793631229650
Long
DBT
USGA
US
N
2
2043-12-25
Floating
4.90586040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12026
3128PRHB8
10624.49000000
PA
USD
10761.75000000
0.001668276471
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
1998198.59000000
PA
USD
373524.86000000
0.057903476236
Long
DBT
USGA
US
N
2
2047-09-25
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 1994-77 FB
31359HA87
166.68000000
PA
USD
167.37000000
0.000025945541
Long
DBT
USGA
US
N
2
2024-04-25
Floating
6.00585840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AI9810
3138AP3U0
207745.08000000
PA
USD
206294.15000000
0.031979527178
Long
DBT
USGA
US
N
2
2026-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC1185
3140EVJ73
5697603.41000000
PA
USD
5605193.98000000
0.868911955210
Long
DBT
USGA
US
N
2
2031-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 698033
36296QPS2
98347.41000000
PA
USD
102582.84000000
0.015902296404
Long
DBT
USGA
US
N
2
2039-01-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 664541
36295AHS7
2263.23000000
PA
USD
2320.68000000
0.000359749654
Long
DBT
USGA
US
N
2
2038-01-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G14205
3128MC3N3
1477.37000000
PA
USD
1496.39000000
0.000231968985
Long
DBT
USGA
US
N
2
2026-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 726440
3620ADBH4
9148.38000000
PA
USD
9377.48000000
0.001453688223
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
3922791.48000000
PA
USD
3897672.67000000
0.604213590563
Long
DBT
USGA
US
N
2
2026-04-25
Floating
4.87157040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10358
3128PPMF7
1863.90000000
PA
USD
1886.13000000
0.000292386117
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 REMICS FNR 2018-89 CA
3136B3RT9
3324160.09000000
PA
USD
3280624.56000000
0.508559366707
Long
DBT
USGA
US
N
2
2053-06-25
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F042624
-6351000.00000000
PA
USD
-6271612.50000000
-0.97221953408
Short
DBT
USGA
US
N
2
2053-02-15
Fixed
4.50000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3 SCRT 2021-3 TT
35563P5Y1
1627413.00000000
PA
USD
1465176.20000000
0.227130251194
Long
ABS-MBS
US
N
2
2061-03-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 15YR TBA (FEBRUARY)
01F022428
-7200000.00000000
PA
USD
-6723212.47000000
-1.04222614122
Short
DBT
USGA
US
N
2
2038-02-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-68 HI
3136AP2M3
435210.34000000
PA
USD
44307.81000000
0.006868555478
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
287622.60000000
PA
USD
9283.08000000
0.001439054423
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
1798691.27000000
PA
USD
1783149.86000000
0.276422232096
Long
DBT
USGA
US
N
2
2032-04-15
Floating
4.85899920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12189
3128PRNE5
8075.90000000
PA
USD
8178.86000000
0.001267879266
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
4023778.33000000
PA
USD
3730735.77000000
0.578335187658
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
1017354.36000000
PA
USD
982658.10000000
0.152330744309
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
1967.84000000
PA
USD
1961.19000000
0.000304021848
Long
DBT
USGA
US
N
2
2024-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4471 GA
3137BJGU1
1137573.94000000
PA
USD
1076163.94000000
0.166825932620
Long
DBT
USGA
US
N
2
2044-02-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.750000% 05/15/2025
91282CEQ0
42300000.00000000
PA
USD
41085527.24000000
6.369040203130
Long
SN
UST
US
N
2
2025-05-15
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 676933
36295QBA7
37079.64000000
PA
USD
38458.94000000
0.005961869093
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
6333.99000000
PA
USD
6414.18000000
0.000994320215
Long
DBT
USGA
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 386 C14
31325YB31
4336062.95000000
PA
USD
636184.51000000
0.098620730777
Long
DBT
USGA
US
N
2
2052-03-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4114 MB
3137AURW1
3000000.00000000
PA
USD
2822655.30000000
0.437565398157
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
1858.55000000
PA
USD
1834.58000000
0.000284394884
Long
DBT
USGA
US
N
2
2024-07-01
Floating
4.20199920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM3417
3140J7YP4
437712.54000000
PA
USD
431093.55000000
0.066827720993
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
11678.95000000
PA
USD
11829.44000000
0.001833788781
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
39525.50000000
PA
USD
39208.05000000
0.006077995428
Long
DBT
USGA
US
N
2
2032-04-25
Floating
4.90586040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K052 A1
3137BMTW6
3949957.17000000
PA
USD
3847667.50000000
0.596461835639
Long
DBT
USGA
US
N
2
2025-01-25
Fixed
2.59800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4344 KZ
3137BAJM5
4774201.01000000
PA
USD
4553922.72000000
0.705944862681
Long
DBT
USGA
US
N
2
2034-05-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K066 X1
3137F2LL8
17836647.00000000
PA
USD
483269.68000000
0.074916016116
Long
DBT
USGA
US
N
2
2027-06-25
Floating
0.74872440
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.500000% 04/30/2024
91282CEK3
6240000.00000000
PA
USD
6078393.73000000
0.942266940148
Long
SN
UST
US
N
2
2024-04-30
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0889
31418M7B2
19008.78000000
PA
USD
18894.94000000
0.002929076017
Long
DBT
USGA
US
N
2
2024-09-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2749
3140XJBT9
30380321.09000000
PA
USD
29703041.35000000
4.604537831735
Long
DBT
USGA
US
N
2
2031-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4820 JI
3137FHJ20
679607.05000000
PA
USD
140989.99000000
0.021856137060
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
923548.30000000
PA
USD
878204.24000000
0.136138404125
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
548441.23000000
PA
USD
85608.66000000
0.013270974815
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
2673807.33000000
PA
USD
439463.50000000
0.068125222854
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
644706.33000000
PA
USD
655192.13000000
0.101567274343
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
559.33000000
PA
USD
566.46000000
0.000087812102
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
1321544.86000000
PA
USD
228353.17000000
0.035399095933
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
86316.99000000
PA
USD
91242.12000000
0.014144268542
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
666675.02000000
PA
USD
660178.34000000
0.102340231978
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
272.77000000
PA
USD
269.87000000
0.000041834996
Long
DBT
USGA
US
N
2
2024-06-01
Floating
3.26300040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZK7453
3131XBH69
5433061.99000000
PA
USD
5297499.76000000
0.821213483532
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 POOL FN 548426
31385PHB3
48315.72000000
PA
USD
47704.94000000
0.007395175409
Long
DBT
USGA
US
N
2
2029-08-01
Floating
4.17999960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 303 C2
31325UDY9
762579.78000000
PA
USD
37465.81000000
0.005807915004
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
4047325.49000000
PA
USD
4062045.33000000
0.629694487369
Long
DBT
USGA
US
N
2
2033-01-01
Fixed
4.00000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1 SCRT 2018-1 MA
35563PDZ9
4080209.82000000
PA
USD
3845173.01000000
0.596075142120
Long
ABS-MBS
US
N
2
2057-05-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3174 FA
31396TLH4
1173726.40000000
PA
USD
1159826.43000000
0.179795213973
Long
DBT
USGA
US
N
2
2036-04-15
Floating
4.75899840
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-134 BI
38380GZW7
226161.70000000
PA
USD
43218.64000000
0.006699713358
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
1021409.20000000
PA
USD
956081.40000000
0.148210849005
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
1196334.75000000
PA
USD
1123283.44000000
0.174130353666
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
632581.55000000
PA
USD
106644.65000000
0.016531954411
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
2061867.82000000
PA
USD
2099365.98000000
0.325441760783
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
1466818.78000000
PA
USD
1309339.06000000
0.202972522756
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
2521844.38000000
PA
USD
2415282.58000000
0.374414858158
Long
DBT
USGA
US
N
2
2057-12-25
Fixed
3.50000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.
N/A
951.00000000
NC
USD
195571664.06000000
30.31733738537
N/A
DIR
US
N
1
RBC CAPITAL
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Mar 2023
2023-04-03
195074168.12000000
USD
497495.94000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-43 AI
3136A5YH3
2027425.43000000
PA
USD
95286.16000000
0.014771171860
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
1642773.20000000
PA
USD
1614115.28000000
0.250218648789
Long
DBT
USGA
US
N
2
2035-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4340 MI
3137BAV82
941278.72000000
PA
USD
41436.41000000
0.006423433722
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
2087508.21000000
PA
USD
1983055.00000000
0.307411340889
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
756.50000000
PA
USD
776.85000000
0.000120426564
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 2020-85 PI
3136BCU57
4213275.27000000
PA
USD
651822.76000000
0.101044957741
Long
DBT
USGA
US
N
2
2050-12-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-10 YA
3136ACAN1
1937058.61000000
PA
USD
1815244.35000000
0.281397490072
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
1622850.46000000
PA
USD
263656.40000000
0.040871769798
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
1641725.12000000
PA
USD
1558576.34000000
0.241609053989
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-5 CP
3136AMML0
1003933.62000000
PA
USD
957085.56000000
0.148366512953
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 REMICS FNR 2020-4 AP
3136B8NA3
1671507.28000000
PA
USD
1493651.05000000
0.231544395945
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
2149.96000000
PA
USD
2127.92000000
0.000329868178
Long
DBT
USGA
US
N
2
2023-12-01
Floating
4.19600160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4650 LP
3137BUTP3
503981.76000000
PA
USD
479615.55000000
0.074349556284
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
1764537.03000000
PA
USD
1752627.46000000
0.271690678049
Long
DBT
USGA
US
N
2
2037-07-15
Floating
4.97900160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2006-79 DF
31396KYA4
159313.35000000
PA
USD
158052.50000000
0.024501151483
Long
DBT
USGA
US
N
2
2036-08-25
Floating
4.85586000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-15 BC
3136AVNH8
1851257.55000000
PA
USD
1766305.38000000
0.273811016480
Long
DBT
USGA
US
N
2
2043-11-25
Fixed
3.25000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3 SCRT 2018-3 MA
35563PGG8
2289995.53000000
PA
USD
2200108.40000000
0.341058756992
Long
ABS-MBS
US
N
2
2057-08-25
Floating
3.35954160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J09875
3128PM6L9
5653.43000000
PA
USD
5724.38000000
0.000887388061
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
896.18000000
PA
USD
921.28000000
0.000142815968
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
840134.94000000
PA
USD
853805.15000000
0.132356079897
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
2071850.57000000
PA
USD
1938831.76000000
0.300555895374
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
1473.62000000
PA
USD
1450.36000000
0.000224833457
Long
DBT
USGA
US
N
2
2029-04-01
Floating
3.57699960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 845782
31288VM71
1264.60000000
PA
USD
1249.38000000
0.000193677725
Long
DBT
USGA
US
N
2
2024-05-01
Floating
3.25500120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG C90689
31335HXS7
16.67000000
PA
USD
16.91000000
0.000002621372
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
15959.30000000
PA
USD
15798.12000000
0.002449009862
Long
DBT
USGA
US
N
2
2023-12-01
Floating
4.08099960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12650
3128PR5K1
12999.89000000
PA
USD
13141.76000000
0.002037223406
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
351168.54000000
PA
USD
357176.89000000
0.055369229138
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
108319.69000000
PA
USD
5081.99000000
0.000787805361
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
575216.25000000
PA
USD
534299.91000000
0.082826674888
Long
DBT
USGA
US
N
2
2045-12-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-119 ND
38379MVD3
1807878.18000000
PA
USD
1681686.66000000
0.260693501242
Long
DBT
USGA
US
N
2
2044-12-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-47 IA
38378JXN7
356219.70000000
PA
USD
64557.62000000
0.010007662182
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
658499.93000000
PA
USD
617417.96000000
0.095711557658
Long
DBT
USGA
US
N
2
2047-08-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F022626
914000.00000000
PA
USD
800205.02000000
0.124047037618
Long
DBT
USGA
US
N
2
2053-02-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 2571 FY
31393L6N8
1985094.80000000
PA
USD
1997559.61000000
0.309659832035
Long
DBT
USGA
US
N
2
2032-12-15
Floating
5.20899840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-98 ZA
3136AGEA6
6815216.15000000
PA
USD
6866775.30000000
1.064481117549
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
7590211.43000000
PA
USD
209757.01000000
0.032516336513
Long
DBT
USGA
US
N
2
2028-03-25
Floating
0.77880240
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4996 BI
3137FUSU9
4159396.77000000
PA
USD
613915.32000000
0.095168581665
Long
DBT
USGA
US
N
2
2050-06-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL7364
3138EQFE7
261949.82000000
PA
USD
266210.53000000
0.041267708654
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
1899229.96000000
PA
USD
1920281.78000000
0.297680294735
Long
DBT
USGA
US
N
2
2039-10-25
Floating
5.42585880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10727
3128PPYY3
19602.09000000
PA
USD
19792.40000000
0.003068199431
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
301.12000000
PA
USD
304.97000000
0.000047276165
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
1437817.87000000
PA
USD
1437890.12000000
0.222900388462
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
110524.27000000
PA
USD
109752.35000000
0.017013707173
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
4390.07000000
PA
USD
4544.07000000
0.000704417503
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
-244000.00000000
PA
USD
-237913.40000000
-0.03688111389
Short
DBT
USGA
US
N
2
2038-02-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-47 AB
3136AWWN3
1286267.00000000
PA
USD
1262986.34000000
0.195786967232
Long
DBT
USGA
US
N
2
2041-10-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K128 X1
3137FYUL8
10171123.81000000
PA
USD
330565.59000000
0.051243970174
Long
DBT
USGA
US
N
2
2031-03-25
Floating
0.51645960
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-126 KI
38380BAQ8
296369.76000000
PA
USD
13748.36000000
0.002131257974
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
2961414.74000000
PA
USD
2901849.05000000
0.449841939593
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
586.32000000
PA
USD
582.12000000
0.000090239700
Long
DBT
USGA
US
N
2
2028-05-01
Floating
4.04499960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0101
3140XFDF5
3065356.05000000
PA
USD
2869810.18000000
0.444875303777
Long
DBT
USGA
US
N
2
2036-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2018-12 PK
3136B03B0
10772453.45000000
PA
USD
10339229.54000000
1.602777742755
Long
DBT
USGA
US
N
2
2046-03-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-3 IN
3136ARFX1
2584253.14000000
PA
USD
465718.08000000
0.072195183416
Long
DBT
USGA
US
N
2
2046-02-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12347
3128PRTC3
18757.73000000
PA
USD
18998.87000000
0.002945187149
Long
DBT
USGA
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-111 NI
3136A9GA0
472883.62000000
PA
USD
25859.92000000
0.004008780736
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
29228.67000000
PA
USD
30264.67000000
0.004691600982
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 AN4021
3138LGPF7
1158496.81000000
PA
USD
1114359.62000000
0.172746991393
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
11834.93000000
PA
USD
12611.90000000
0.001955085002
Long
DBT
USGA
US
N
2
2039-02-20
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10982
3128PQCT6
818.37000000
PA
USD
828.29000000
0.000128400745
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
31490.43000000
PA
USD
32362.43000000
0.005016793785
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
2055584.90000000
PA
USD
2071689.79000000
0.321151423562
Long
DBT
USGA
US
N
2
2039-10-25
Floating
5.35586040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA7114
3140QE3Y6
956563.88000000
PA
USD
897086.90000000
0.139065576508
Long
DBT
USGA
US
N
2
2035-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF60 A
3137FL7L2
2788382.26000000
PA
USD
2772641.84000000
0.429812358125
Long
DBT
USGA
US
N
2
2026-02-25
Floating
4.88157120
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 675613
36295NSA6
20967.81000000
PA
USD
21731.98000000
0.003368871318
Long
DBT
USGA
US
N
2
2038-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G13593
3128MCGA7
243.26000000
PA
USD
246.16000000
0.000038159494
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 REMICS FNR 2012-47 QI
3136A6DE1
49679.15000000
PA
USD
4069.56000000
0.000630859404
Long
DBT
USGA
US
N
2
2042-05-25
Floating
5.53577400
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2009-110 FD
31398GND7
2501044.00000000
PA
USD
2509610.33000000
0.389037458192
Long
DBT
USGA
US
N
2
2040-01-25
Floating
5.25585960
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SCRT 2021-2 TT
35563P3S6
9698319.42000000
PA
USD
8761010.79000000
1.358123740645
Long
ABS-MBS
US
N
2
2060-11-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2014-M8 A2
3136AKQM8
28554548.62000000
PA
USD
27787413.54000000
4.307578991099
Long
DBT
USGA
US
N
2
2024-06-25
Floating
3.05600040
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (FEBRUARY)
21H042620
-1525000.00000000
PA
USD
-1514039.06000000
-0.23470492628
Short
DBT
USGA
US
N
2
2053-02-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3736
36179SEH6
1856408.57000000
PA
USD
1780338.91000000
0.275986481243
Long
DBT
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2021-3 TI
3136BDR42
4152462.78000000
PA
USD
669420.19000000
0.103772894965
Long
DBT
USGA
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ5012
3138YWSA6
53836.85000000
PA
USD
52428.36000000
0.008127395583
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
201846.11000000
PA
USD
207696.26000000
0.032196880966
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
64164.43000000
PA
USD
66224.40000000
0.010266044866
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
2569160.39000000
PA
USD
177782.05000000
0.027559607966
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
18719.79000000
PA
USD
19402.03000000
0.003007684637
Long
DBT
USGA
US
N
2
2038-07-15
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2524
31418BYW0
60268.45000000
PA
USD
58693.60000000
0.009098627258
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
1607745.00000000
PA
USD
1613358.44000000
0.250101324157
Long
DBT
USGA
US
N
2
2040-01-25
Floating
5.25585960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-4 JB
3136ACFL0
1194007.61000000
PA
USD
1117800.07000000
0.173280326751
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
1605620.60000000
PA
USD
1529818.13000000
0.237150983034
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
1460505.05000000
PA
USD
1376941.82000000
0.213452239707
Long
DBT
USGA
US
N
2
2027-09-25
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5083 AI
3137FFMX2
3443564.04000000
PA
USD
502004.49000000
0.077820268930
Long
DBT
USGA
US
N
2
2051-03-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-36 AB
38378DVY8
308883.44000000
PA
USD
300583.12000000
0.046596115573
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
61059.28000000
PA
USD
60366.87000000
0.009358016016
Long
DBT
USGA
US
N
2
2036-05-15
Floating
4.80899880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J07547
3128PKL44
492.51000000
PA
USD
496.80000000
0.000077013473
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
6642.25000000
PA
USD
6884.33000000
0.001067202430
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
218908.02000000
PA
USD
217451.38000000
0.033709110591
Long
DBT
USGA
US
N
2
2025-08-25
Floating
4.75286040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F040628
150000.00000000
PA
USD
144843.75000000
0.022453543349
Long
DBT
USGA
US
N
2
2053-02-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION 30YR TBA FEBRUARY
01F030629
-25525000.00000000
PA
USD
-23183878.91000000
-3.59394333629
Short
DBT
US
N
2
2045-02-15
Fixed
3.00000000
N
N
N
N
N
N
2023-01-31
SEI DAILY INCOME TRUST
Ankit Puri
Ankit Puri
CFO