0001752724-24-076990.txt : 20240403
0001752724-24-076990.hdr.sgml : 20240403
20240403152559
ACCESSION NUMBER: 0001752724-24-076990
CONFORMED SUBMISSION TYPE: NPORT-P/A
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240131
FILED AS OF DATE: 20240403
DATE AS OF CHANGE: 20240403
PERIOD START: 20240131
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI DAILY INCOME TRUST /MA/
CENTRAL INDEX KEY: 0000701939
ORGANIZATION NAME:
IRS NUMBER: 236756825
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0131
FILING VALUES:
FORM TYPE: NPORT-P/A
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03451
FILM NUMBER: 24818407
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/A
1
primary_doc.xml
NPORT-P/A
false
0001752724-24-072796
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
2024-01-31
2024-01-31
N
776322974.45
227738591.79
548584382.66
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
128019.32000000
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
143739.40000000
PA
USD
146156.84000000
0.026642544815
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
596702.35000000
PA
USD
13546.40000000
0.002469337521
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
422142.41000000
PA
USD
73512.22000000
0.013400348665
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
63656.00000000
PA
USD
65481.60000000
0.011936468129
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
330827.90000000
PA
USD
7571.86000000
0.001380254385
Long
DBT
USGA
US
N
2
2027-07-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE INTEREST STRIP FNS 437 C8
31424UPE0
3778989.28000000
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USD
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0.103055048205
Long
DBT
USGA
US
N
2
2052-06-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 627429
36291GA63
477.02000000
PA
USD
491.86000000
0.000089659861
Long
DBT
USGA
US
N
2
2034-10-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA5144
31418EWE6
6199996.87000000
PA
USD
6395717.32000000
1.165858438949
Long
DBT
USGA
US
N
2
2053-09-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (MARCH)
01F050635
-46475000.00000000
PA
USD
-45868026.28000000
-8.36116151495
Short
DBT
USGA
US
N
2
2054-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3788 FA
3137A5PP3
2149060.80000000
PA
USD
2125671.93000000
0.387483128792
Long
DBT
USGA
US
N
2
2041-01-15
Floating
5.99047920
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-144 DG
38379EV82
5529128.88000000
PA
USD
5308105.27000000
0.967600507375
Long
DBT
USGA
US
N
2
2029-09-16
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 569569
36200QW67
8286.48000000
PA
USD
8635.89000000
0.001574213607
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
42.22000000
PA
USD
41.97000000
0.000007650600
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
630819.75000000
PA
USD
98656.30000000
0.017983796680
Long
DBT
USGA
US
N
2
2043-07-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE INTEREST STRIP FNS 426 C38
31422M2A3
4486948.57000000
PA
USD
563339.53000000
0.102689676885
Long
DBT
USGA
US
N
2
2052-03-25
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J11339
3128PQPY1
4290.63000000
PA
USD
4262.89000000
0.000777070972
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
28846000.00000000
PA
USD
28928106.97000000
5.273228309878
Long
DBT
USGA
US
N
2
2054-02-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2021-3 NI
3136BDQ84
4498940.30000000
PA
USD
649201.13000000
0.118341161454
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
177133.59000000
PA
USD
180384.35000000
0.032881787324
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)
01F042426
-320000.00000000
PA
USD
-317660.56000000
-0.05790550552
Short
DBT
USGA
US
N
2
2039-02-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-74 HI
3136BB6V9
2784231.59000000
PA
USD
529649.94000000
0.096548490394
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
22196.94000000
PA
USD
22053.43000000
0.004020061579
Long
DBT
USGA
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QN6383
3133GDCU2
1868248.04000000
PA
USD
1689137.25000000
0.307908373513
Long
DBT
USGA
US
N
2
2036-05-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K125 X1
3137F9ZA2
13546621.81000000
PA
USD
427765.74000000
0.077976288337
Long
DBT
USGA
US
N
2
2031-01-25
Floating
0.67313160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS8927
3140LK4M2
2335908.00000000
PA
USD
2283327.62000000
0.416221768641
Long
DBT
USGA
US
N
2
2028-07-01
Fixed
3.98000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4170 QI
3137AYYN5
173932.82000000
PA
USD
3212.97000000
0.000585683825
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
143500.29000000
PA
USD
1489.23000000
0.000271467808
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
2567087.23000000
PA
USD
2458801.97000000
0.448208525018
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
273009.43000000
PA
USD
266044.52000000
0.048496553749
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
9551.76000000
PA
USD
9184.01000000
0.001674128956
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
134122.76000000
PA
USD
3356.42000000
0.000611832947
Long
DBT
USGA
US
N
2
2031-02-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1892
3140XHC62
161535.75000000
PA
USD
155438.98000000
0.028334561630
Long
DBT
USGA
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 603130
36200KA72
4251.57000000
PA
USD
4415.58000000
0.000804904430
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
23043757.08000000
PA
USD
299955.98000000
0.054678184337
Long
DBT
USGA
US
N
2
2026-10-25
Floating
0.74396880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 256255
31371MTL1
8934.72000000
PA
USD
9145.61000000
0.001667129121
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 3781 YB
3137A3RV3
1447235.47000000
PA
USD
1408047.52000000
0.256669268121
Long
DBT
USGA
US
N
2
2030-12-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4195 AI
3137B1CJ9
384650.26000000
PA
USD
15876.05000000
0.002894003274
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
221016.27000000
PA
USD
7946.66000000
0.001448575688
Long
DBT
USGA
US
N
2
2028-05-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (MARCH)
01F070633
1995000.00000000
PA
USD
2056229.58000000
0.374824665993
Long
DBT
USGA
US
N
2
2054-03-15
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS8763
3140LKWZ2
2670000.00000000
PA
USD
2669790.03000000
0.486668981908
Long
DBT
USGA
US
N
2
2028-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-154 X1
3137H9UF4
14651966.89000000
PA
USD
419988.37000000
0.076558572076
Long
DBT
USGA
US
N
2
2033-01-25
Floating
0.52667280
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-167 AI
38380CEN9
851621.14000000
PA
USD
130768.21000000
0.023837392046
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
1942.69000000
PA
USD
1931.43000000
0.000352075279
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
2805275.41000000
PA
USD
2576021.85000000
0.469576227728
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
255267.80000000
PA
USD
259991.62000000
0.047393186575
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
276019.62000000
PA
USD
274676.45000000
0.050070045499
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
945.25000000
PA
USD
958.82000000
0.000174780768
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
542.11000000
PA
USD
540.44000000
0.000098515381
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
2439329.34000000
PA
USD
426703.83000000
0.077782715565
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
714724.05000000
PA
USD
683943.96000000
0.124674340287
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
4373962.84000000
PA
USD
4259202.30000000
0.776398751883
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
249696.13000000
PA
USD
55040.67000000
0.010033218542
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
2906953.62000000
PA
USD
2656537.30000000
0.484253176716
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
1715119.29000000
PA
USD
1694119.03000000
0.308816489048
Long
DBT
USGA
US
N
2
2041-06-25
Floating
5.65912080
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 718864
3620A4TV4
1399.56000000
PA
USD
1402.75000000
0.000255703597
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
9678.74000000
PA
USD
9621.17000000
0.001753817699
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
1196697.02000000
PA
USD
242518.67000000
0.044208088612
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
34029.54000000
PA
USD
33809.53000000
0.006163050037
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
183.24000000
PA
USD
181.92000000
0.000033161716
Long
DBT
USGA
US
N
2
2024-06-01
Floating
4.74999840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2019-M21 X1
3136B6WW9
9961516.18000000
PA
USD
458319.40000000
0.083545834421
Long
DBT
USGA
US
N
2
2029-05-25
Floating
1.58077080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4484 CI
3137BJQK2
323958.70000000
PA
USD
21753.79000000
0.003965440994
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 2013-164 CE
38378YFG9
5655366.36000000
PA
USD
5428916.44000000
0.989622856865
Long
DBT
USGA
US
N
2
2028-11-16
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-177 LA
38383UB82
0.01000000
PA
USD
0.01000000
0.000000001822
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
36830.93000000
PA
USD
35707.69000000
0.006509060616
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 4456 BA
3137BGQ85
726610.13000000
PA
USD
683345.00000000
0.124565157448
Long
DBT
USGA
US
N
2
2044-05-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4220 IE
3137B2JF8
97591.25000000
PA
USD
2771.67000000
0.000505240412
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
1791487.96000000
PA
USD
339091.50000000
0.061812095042
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
12335045.27000000
PA
USD
944989.05000000
0.172259561130
Long
DBT
USGA
US
N
2
2030-01-25
Floating
1.70816760
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS8551
3132A9QC4
789527.69000000
PA
USD
768631.04000000
0.140111724703
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
4973.70000000
PA
USD
4941.54000000
0.000900780291
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
1309.79000000
PA
USD
1303.27000000
0.000237569650
Long
DBT
USGA
US
N
2
2027-08-01
Floating
5.20400160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12532
3128PRY52
3996.58000000
PA
USD
3970.61000000
0.000723792022
Long
DBT
USGA
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5010 IE
3137FVQ47
2678985.03000000
PA
USD
525538.37000000
0.095799003145
Long
DBT
USGA
US
N
2
2050-09-25
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-120 ZB
3136A9Q43
2732222.19000000
PA
USD
2528447.87000000
0.460904092409
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
6745.19000000
PA
USD
6754.34000000
0.001231230821
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
883640.96000000
PA
USD
820368.73000000
0.149542851734
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
81194.19000000
PA
USD
1740.35000000
0.000317243810
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
1393175.81000000
PA
USD
1317195.90000000
0.240108165969
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
-6815000.00000000
PA
USD
-5494309.16000000
-1.00154312329
Short
DBT
USGA
US
N
2
2054-02-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G13652
3128MCH57
249.44000000
PA
USD
248.44000000
0.000045287472
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
4829099.38000000
PA
USD
4420566.26000000
0.805813362488
Long
ABS-MBS
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS8772
3140LKXA6
1086956.00000000
PA
USD
1072855.55000000
0.195568008115
Long
DBT
USGA
US
N
2
2028-06-01
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3148 CF
31396JZE8
68990.30000000
PA
USD
68069.76000000
0.012408256988
Long
DBT
USGA
US
N
2
2034-02-15
Floating
5.86047960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-53 BI
3136A5P34
174486.85000000
PA
USD
5937.32000000
0.001082298400
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
829300.26000000
PA
USD
142240.00000000
0.025928554383
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
5414338.92000000
PA
USD
5260646.95000000
0.958949455413
Long
DBT
USGA
US
N
2
2052-03-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-30 AB
38378DV51
1338918.97000000
PA
USD
1283975.09000000
0.234052432148
Long
DBT
USGA
US
N
2
2027-03-20
Fixed
2.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 529796
31384PRR8
2272.44000000
PA
USD
2258.31000000
0.000411661372
Long
DBT
USGA
US
N
2
2029-12-01
Floating
3.71499840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2305
3132DPR26
2851244.13000000
PA
USD
2867660.62000000
0.522738289795
Long
DBT
USGA
US
N
2
2053-02-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AX9550
3138YBTG8
5310.92000000
PA
USD
5118.89000000
0.000933108954
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
1316817.09000000
PA
USD
1058542.12000000
0.192958850718
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
17296.07000000
PA
USD
17685.87000000
0.003223910588
Long
DBT
USGA
US
N
2
2038-08-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD3029
3132DQLJ3
174767.99000000
PA
USD
168168.18000000
0.030654933920
Long
DBT
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2014-50 SC
3136AKXK4
924078.33000000
PA
USD
40259.41000000
0.007338781648
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
2849519.24000000
PA
USD
251820.85000000
0.045903758466
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
936.29000000
PA
USD
964.09000000
0.000175741422
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
15921.01000000
PA
USD
16668.58000000
0.003038471478
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
1400868.06000000
PA
USD
1332468.81000000
0.242892224444
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
1889758.31000000
PA
USD
282647.94000000
0.051523147383
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
167473.74000000
PA
USD
4278.43000000
0.000779903718
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
135880.58000000
PA
USD
3049.70000000
0.000555921768
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
715192.67000000
PA
USD
712727.84000000
0.129921277843
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
97631.10000000
PA
USD
93782.07000000
0.017095286151
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
158315.28000000
PA
USD
3957.33000000
0.000721371246
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
2254.34000000
PA
USD
2241.40000000
0.000408578893
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 POOL FN CB6484
3140QSF22
5910299.99000000
PA
USD
5933901.41000000
1.081675234943
Long
DBT
USGA
US
N
2
2053-06-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-140 PA
3136AAGY5
2503395.64000000
PA
USD
2144675.57000000
0.390947252198
Long
DBT
USGA
US
N
2
2042-12-25
Fixed
2.00000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3 SCRT 2019-3 MV
35563PLK3
904359.48000000
PA
USD
826300.14000000
0.150624072816
Long
ABS-MBS
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F060626
32169000.00000000
PA
USD
32609438.97000000
5.944288609143
Long
DBT
USGA
US
N
2
2054-02-15
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8373
3140XCJT6
1899454.74000000
PA
USD
1717321.02000000
0.313045918601
Long
DBT
USGA
US
N
2
2036-08-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BZ0044
3140NUBN8
2440000.00000000
PA
USD
2505189.46000000
0.456664378204
Long
DBT
USGA
US
N
2
2028-12-01
Fixed
5.06500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-55 LB
38379BJF6
148512.53000000
PA
USD
140397.30000000
0.025592653461
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
8602.03000000
PA
USD
8870.11000000
0.001616908953
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 BP3414
3140KAYL4
1009953.45000000
PA
USD
913115.93000000
0.166449494163
Long
DBT
USGA
US
N
2
2036-05-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC4869
3140F0MT8
50162.49000000
PA
USD
47815.94000000
0.008716241568
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
2746663.99000000
PA
USD
2737563.74000000
0.499023272723
Long
DBT
USGA
US
N
2
2026-10-25
Floating
5.95855080
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-139 KA
38379GNX1
3131555.23000000
PA
USD
3006665.36000000
0.548077097168
Long
DBT
USGA
US
N
2
2029-09-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4178 MI
3137B06E9
149064.79000000
PA
USD
4732.54000000
0.000862682232
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
1592.98000000
PA
USD
1669.86000000
0.000304394374
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
1741588.52000000
PA
USD
1647360.10000000
0.300292927044
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
10933.56000000
PA
USD
10903.47000000
0.001987564783
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
726996.68000000
PA
USD
749652.94000000
0.136652256917
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
309718.62000000
PA
USD
294489.17000000
0.053681653963
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
528232.24000000
PA
USD
107875.96000000
0.019664424181
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
171322.87000000
PA
USD
170237.52000000
0.031032148449
Long
DBT
USGA
US
N
2
2024-10-25
Floating
5.85225000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-25 A
3136ARR42
11000.18000000
PA
USD
10953.99000000
0.001996773941
Long
DBT
USGA
US
N
2
2042-11-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5264 AB
3137H9BH1
1453233.33000000
PA
USD
1433172.46000000
0.261249227156
Long
DBT
USGA
US
N
2
2039-08-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-84 TE
38375GJB8
1254273.13000000
PA
USD
1150922.28000000
0.209798586394
Long
DBT
USGA
US
N
2
2042-03-20
Fixed
1.50000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
1184.00000000
NC
USD
243497000.00000000
44.38642580733
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Mar 2024
2024-03-31
241530347.84000000
USD
1966652.16000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4178 BI
3137B05Q3
324707.82000000
PA
USD
26648.61000000
0.004857704820
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
88654.45000000
PA
USD
2539.99000000
0.000463008076
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
1661606.29000000
PA
USD
247329.66000000
0.045085071288
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 POOL FN BT2752
3140LRBW7
327515.78000000
PA
USD
296109.79000000
0.053977072508
Long
DBT
USGA
US
N
2
2036-08-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-35 AI
3136BALN2
3798081.11000000
PA
USD
604886.96000000
0.110263248302
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
30526.33000000
PA
USD
79.88000000
0.000014561114
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 2020-65 BI
3136BBTN2
2734352.11000000
PA
USD
527128.95000000
0.096088945777
Long
DBT
USGA
US
N
2
2050-09-25
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2022-22 QH
3136BMG69
5754080.03000000
PA
USD
5648616.95000000
1.029671483284
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
1834692.73000000
PA
USD
379108.80000000
0.069106743097
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
757393.11000000
PA
USD
703221.57000000
0.128188404961
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
173024.80000000
PA
USD
171101.04000000
0.031189557232
Long
DBT
USGA
US
N
2
2036-08-25
Floating
5.85911880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-124 BC
3136A9W61
2120425.40000000
PA
USD
2043684.87000000
0.372537923899
Long
DBT
USGA
US
N
2
2042-03-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-56 BP
38379BCS5
838120.68000000
PA
USD
774288.49000000
0.141143006340
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
898913.66000000
PA
USD
872799.22000000
0.159100267449
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
770460.34000000
PA
USD
766711.26000000
0.139761773071
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
273088.20000000
PA
USD
272780.59000000
0.049724454181
Long
DBT
USGA
US
N
2
2024-08-25
Floating
5.80854960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-42 AI
3136ANV61
829274.38000000
PA
USD
32156.36000000
0.005861698038
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
1028016.45000000
PA
USD
182263.72000000
0.033224372723
Long
DBT
USGA
US
N
2
2040-09-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2553
3132DPZS0
633531.56000000
PA
USD
609615.51000000
0.111125203208
Long
DBT
USGA
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 848900
31408EDD1
19247.52000000
PA
USD
20165.03000000
0.003675830125
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
1325694.77000000
PA
USD
1273381.29000000
0.232121316291
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
622.18000000
PA
USD
647.62000000
0.000118052941
Long
DBT
USGA
US
N
2
2038-03-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K510 A2
3137HB3D4
2365000.00000000
PA
USD
2430306.40000000
0.443014142731
Long
DBT
USGA
US
N
2
2028-10-25
Floating
5.06900160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J15128
3128PUVV1
7807.37000000
PA
USD
7776.32000000
0.001417524859
Long
DBT
USGA
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-149 EA
38379GSX6
1904863.04000000
PA
USD
1824882.79000000
0.332653069916
Long
DBT
USGA
US
N
2
2029-10-20
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2007-64 FB
31396WVR4
1089057.74000000
PA
USD
1082517.62000000
0.197329281367
Long
DBT
USGA
US
N
2
2037-07-25
Floating
5.82912000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5079 CB
3137F9DQ1
6706609.15000000
PA
USD
5630101.14000000
1.026296285122
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
1378.06000000
PA
USD
1369.95000000
0.000249724571
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
1693694.66000000
PA
USD
260045.81000000
0.047403064727
Long
DBT
USGA
US
N
2
2042-10-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE INTEREST STRIP FNS 429 C3
31423YVK2
2854141.71000000
PA
USD
440848.45000000
0.080361101032
Long
DBT
USGA
US
N
2
2052-09-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 658384
36294SM95
95330.56000000
PA
USD
99710.76000000
0.018176011412
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
173099.39000000
PA
USD
171949.73000000
0.031344262694
Long
DBT
USGA
US
N
2
2031-08-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-98 BI
3136A8CC2
809166.65000000
PA
USD
65495.08000000
0.011938925363
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
573299.61000000
PA
USD
114910.68000000
0.020946764733
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 2012-38 GE
38378DQU2
1638207.00000000
PA
USD
1569692.43000000
0.286135092360
Long
DBT
USGA
US
N
2
2027-03-20
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-17 BI
38379JKC4
110161.00000000
PA
USD
17306.61000000
0.003154776283
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
101612.35000000
PA
USD
104507.10000000
0.019050323578
Long
DBT
USGA
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-95 BC
3136AUYH8
1754629.83000000
PA
USD
1614016.78000000
0.294214861198
Long
DBT
USGA
US
N
2
2040-07-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-42 DA
3136ASZ58
396365.85000000
PA
USD
369530.38000000
0.067360718183
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
68032.40000000
PA
USD
1647.60000000
0.000300336657
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
3861334.61000000
PA
USD
3197265.37000000
0.582821070205
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
2853968.20000000
PA
USD
2822729.81000000
0.514547970963
Long
DBT
USGA
US
N
2
2039-10-20
Floating
5.85114120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4657 PU
3137BVPH3
1879828.61000000
PA
USD
1804852.21000000
0.329001748326
Long
DBT
USGA
US
N
2
2044-09-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BT7341
3140LWEP8
1382072.49000000
PA
USD
1249534.99000000
0.227774437168
Long
DBT
USGA
US
N
2
2036-09-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 599564
36200FB98
100029.78000000
PA
USD
104726.66000000
0.019090346592
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
25250.82000000
PA
USD
24374.31000000
0.004443128672
Long
DBT
USGA
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 724245
3620AATA6
1882.14000000
PA
USD
1920.02000000
0.000349995380
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
4341815.75000000
PA
USD
4242930.68000000
0.773432641196
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
576136.76000000
PA
USD
23050.60000000
0.004201833068
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
3219875.30000000
PA
USD
3150667.72000000
0.574326907507
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
125276.74000000
PA
USD
6057.07000000
0.001104127312
Long
DBT
USGA
US
N
2
2030-08-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4700 HV
3137F1RA8
4466355.00000000
PA
USD
4228767.25000000
0.770850826903
Long
DBT
USGA
US
N
2
2040-09-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE INTEREST STRIP FNS 397 6
3136FGRW9
726398.45000000
PA
USD
634844.16000000
0.115724067265
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
188.79000000
PA
USD
188.01000000
0.000034271846
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
30091.89000000
PA
USD
28900.03000000
0.005268110233
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
165958.41000000
PA
USD
5514.65000000
0.001005251001
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
844380.26000000
PA
USD
133150.75000000
0.024271698978
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
2094205.49000000
PA
USD
1917843.02000000
0.349598545022
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
2463343.91000000
PA
USD
2425921.73000000
0.442214872803
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
656270.16000000
PA
USD
641305.60000000
0.116901906118
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
456171.87000000
PA
USD
443306.32000000
0.080809139671
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
144014.93000000
PA
USD
5061.85000000
0.000922711283
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 REMICS FNR 2021-95 GI
3136BKWG3
3954039.28000000
PA
USD
600790.17000000
0.109516455260
Long
DBT
USGA
US
N
2
2052-01-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 555561
31385XFA0
5750.96000000
PA
USD
5722.80000000
0.001043194115
Long
DBT
USGA
US
N
2
2024-09-01
Floating
5.48899920
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS
PAMGZZVY5
700000.00000000
PA
USD
700000.00000000
0.127601153464
Long
RA
US
N
2
Repurchase
Y
5.29999920
N/A
693126.60948240
USD
706989.14000000
USD
AMBS
6944.32822400
USD
7083.22000000
USD
UST
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4639
3140XLEM6
1413573.18000000
PA
USD
1450858.24000000
0.264473121339
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-27 PI
3136A4CZ0
1161068.93000000
PA
USD
91135.90000000
0.016612922802
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
5238199.90000000
PA
USD
4694827.28000000
0.855807680349
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
13389.03000000
PA
USD
13756.82000000
0.002507694428
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
1432667.38000000
PA
USD
1396658.72000000
0.254593233811
Long
DBT
USGA
US
N
2
2040-06-25
Floating
5.66474760
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 833600
31407LDD6
7481.10000000
PA
USD
7761.81000000
0.001414879869
Long
DBT
USGA
US
N
2
2035-11-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 367098
36204DX38
13212.30000000
PA
USD
12801.28000000
0.002333511562
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
817991.67000000
PA
USD
774388.62000000
0.141161258773
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
9154.31000000
PA
USD
9574.44000000
0.001745299411
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
172396.66000000
PA
USD
165893.08000000
0.030240211942
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
1751.22000000
PA
USD
1810.85000000
0.000330095069
Long
DBT
USGA
US
N
2
2040-04-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K511 A2
3137HB3G7
3190000.00000000
PA
USD
3252852.89000000
0.592953972591
Long
DBT
USGA
US
N
2
2028-10-25
Fixed
4.86000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-75 DA
38383RJZ1
4757334.42000000
PA
USD
4625245.13000000
0.843123733776
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BU5932
3140M7SW2
952927.72000000
PA
USD
861534.77000000
0.157046900573
Long
DBT
USGA
US
N
2
2036-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-21 WI
3136ANHJ9
756531.07000000
PA
USD
26596.83000000
0.004848265980
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
10906.33000000
PA
USD
10835.82000000
0.001975233043
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
149221.02000000
PA
USD
145796.87000000
0.026576926833
Long
DBT
USGA
US
N
2
2028-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-34 KA
38378D3G8
1270195.08000000
PA
USD
1218106.41000000
0.222045404226
Long
DBT
USGA
US
N
2
2027-03-20
Fixed
2.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 06/15/2024
91282CCG4
925000.00000000
PA
USD
908378.91000000
0.165585995283
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 2021-215 KA
38383DY69
3198531.83000000
PA
USD
2816017.49000000
0.513324399857
Long
DBT
USGA
US
N
2
2049-10-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-107 JI
38380TE93
938655.53000000
PA
USD
137321.92000000
0.025032050554
Long
DBT
USGA
US
N
2
2047-03-20
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET DEUTSCHE
N/A
700000.00000000
PA
USD
700000.00000000
0.127601153464
Long
RA
US
N
2
Repurchase
Y
5.31000000
N/A
700000.67230000
USD
714000.69000000
USD
AMBS
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4535 PA
3137BMHP4
1987518.11000000
PA
USD
1892261.73000000
0.344935399149
Long
DBT
USGA
US
N
2
2044-03-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5228 DG
3137H7U76
5970843.70000000
PA
USD
5689413.95000000
1.037108260795
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
429892.67000000
PA
USD
427975.13000000
0.078014457488
Long
DBT
USGA
US
N
2
2038-03-25
Floating
6.15912120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5170 DP
3137H4FG0
2285219.78000000
PA
USD
1948285.38000000
0.355147802522
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 FS0102
3140XFDG3
2034052.21000000
PA
USD
1887881.29000000
0.344136900297
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
2460754.07000000
PA
USD
2292563.57000000
0.417905365603
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
36378.15000000
PA
USD
349.18000000
0.000063651101
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
879071.21000000
PA
USD
180676.12000000
0.032934973307
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
538703.87000000
PA
USD
520445.42000000
0.094870622724
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
313313.34000000
PA
USD
38426.88000000
0.007004734588
Long
DBT
USGA
US
N
2
2043-02-16
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2831
3140XJED1
363005.30000000
PA
USD
349295.75000000
0.063672200857
Long
DBT
USGA
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5124
3133KYVR7
546125.82000000
PA
USD
446669.91000000
0.081422279619
Long
DBT
USGA
US
N
2
2041-09-01
Fixed
1.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.375 07/15/33
91282CHP9
3375000.00000000
PA
USD
3324189.03000000
0.605957649374
Long
DBT
USGA
US
N
2
2033-07-15
Fixed
1.37500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-51 IB
38378MSZ9
198083.97000000
PA
USD
6023.10000000
0.001097935010
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
1787825.93000000
PA
USD
1721665.29000000
0.313837824119
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 FS1244
3140XGL23
2116081.85000000
PA
USD
2034740.53000000
0.370907483755
Long
DBT
USGA
US
N
2
2033-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F032625
-3713000.00000000
PA
USD
-3379105.69000000
-0.61596826246
Short
DBT
USGA
US
N
2
2054-02-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2399
3140X5UZ4
390382.82000000
PA
USD
380459.16000000
0.069352896660
Long
DBT
USGA
US
N
2
2032-09-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-265.00000000
NC
USD
-30971875.00000000
-5.64578139279
N/A
DIR
US
N
1
MONTGOMERY/BANK OF AMERICA
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Mar 2024
2024-03-22
-30113325.00000000
USD
-858550.00000000
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
634717.77000000
PA
USD
558685.69000000
0.101841340668
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
3770577.96000000
PA
USD
3507751.18000000
0.639418709477
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
134841.43000000
PA
USD
24685.83000000
0.004499914831
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
1368477.35000000
PA
USD
1305154.88000000
0.237913240196
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
12375000.00000000
PA
USD
11972329.13000000
2.182404295205
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
123710.60000000
PA
USD
123302.18000000
0.022476429132
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
10130871.45000000
PA
USD
9953620.71000000
1.814419262490
Long
DBT
USGA
US
N
2
2043-12-25
Floating
5.85911880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD4010
3132E0N32
743173.74000000
PA
USD
715112.06000000
0.130355891017
Long
DBT
USGA
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-69 GA
3136AXD36
1630351.26000000
PA
USD
1556544.77000000
0.283738440101
Long
DBT
USGA
US
N
2
2045-05-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12026
3128PRHB8
3763.18000000
PA
USD
3738.97000000
0.000681566978
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 POOL FN FS1377
3140XGQ77
6720109.39000000
PA
USD
6590403.01000000
1.201347179816
Long
DBT
USGA
US
N
2
2034-11-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-68 IB
3136AXQ73
1765443.30000000
PA
USD
314104.14000000
0.057257215102
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
9.64000000
PA
USD
9.65000000
0.000001759073
Long
DBT
USGA
US
N
2
2024-04-25
Floating
6.95912040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AI9810
3138AP3U0
141213.52000000
PA
USD
138622.88000000
0.025269199120
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
4446312.15000000
PA
USD
4329201.00000000
0.789158630256
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
73515.89000000
PA
USD
75806.03000000
0.013818481239
Long
DBT
USGA
US
N
2
2039-01-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-124 HA
38383T4H3
1282839.72000000
PA
USD
1253483.73000000
0.228494242567
Long
DBT
USGA
US
N
2
2048-12-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 664541
36295AHS7
2142.56000000
PA
USD
2201.39000000
0.000401285576
Long
DBT
USGA
US
N
2
2038-01-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4654 AK
3137BVRU2
2653280.26000000
PA
USD
2553861.58000000
0.465536690566
Long
DBT
USGA
US
N
2
2044-07-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G14205
3128MC3N3
748.14000000
PA
USD
743.30000000
0.000135494196
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
8141.15000000
PA
USD
8161.97000000
0.001487823980
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
3609319.82000000
PA
USD
3605975.06000000
0.657323681457
Long
DBT
USGA
US
N
2
2026-04-25
Floating
5.93854920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10358
3128PPMF7
406.66000000
PA
USD
404.10000000
0.000073662323
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
2420387.13000000
PA
USD
2374062.86000000
0.432761656190
Long
DBT
USGA
US
N
2
2053-06-25
Fixed
4.00000000
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
1387652.36000000
PA
USD
1215158.15000000
0.221507973688
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 REMICS FNR 2015-68 HI
3136AP2M3
365576.95000000
PA
USD
34276.13000000
0.006248105320
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
153681.04000000
PA
USD
2634.19000000
0.000480179546
Long
DBT
USGA
US
N
2
2041-02-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-136 AB
38378UDX2
1013889.76000000
PA
USD
970999.89000000
0.177001008539
Long
DBT
USGA
US
N
2
2027-08-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3219 EF
31397BF48
1479199.83000000
PA
USD
1466360.38000000
0.267298965546
Long
DBT
USGA
US
N
2
2032-04-15
Floating
5.86047960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12189
3128PRNE5
3762.30000000
PA
USD
3737.98000000
0.000681386513
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
3700947.00000000
PA
USD
3309396.36000000
0.603261132581
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
774289.23000000
PA
USD
744640.38000000
0.135738530577
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 REMICS FNR 2019-38 PC
3136B5FZ3
746878.28000000
PA
USD
691730.43000000
0.126093715363
Long
DBT
USGA
US
N
2
2048-02-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4471 GA
3137BJGU1
1003375.42000000
PA
USD
932912.78000000
0.170058209728
Long
DBT
USGA
US
N
2
2044-02-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 676933
36295QBA7
34917.17000000
PA
USD
36469.38000000
0.006647907077
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
1950.74000000
PA
USD
1939.41000000
0.000353529932
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
3996151.83000000
PA
USD
561306.52000000
0.102319084855
Long
DBT
USGA
US
N
2
2052-03-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-26 GJ
38378C3R6
2706471.67000000
PA
USD
2598487.78000000
0.473671482844
Long
DBT
USGA
US
N
2
2027-02-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4114 MB
3137AURW1
3000000.00000000
PA
USD
2802491.40000000
0.510858764591
Long
DBT
USGA
US
N
2
2032-10-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM3417
3140J7YP4
302256.98000000
PA
USD
295288.11000000
0.053827290629
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
4582.27000000
PA
USD
4552.64000000
0.000829888736
Long
DBT
USGA
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5213 JH
3137H6XV2
2968248.61000000
PA
USD
2773815.27000000
0.505631468499
Long
DBT
USGA
US
N
2
2051-09-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-158 A
38379GWF0
2569651.25000000
PA
USD
2471134.68000000
0.450456622191
Long
DBT
USGA
US
N
2
2029-10-20
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS6067
3140XMW51
469973.58000000
PA
USD
452227.29000000
0.082435319760
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS5497
3140XMDB9
464003.99000000
PA
USD
446481.27000000
0.081387892931
Long
DBT
USGA
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2002-53 FK
31392EHN3
32682.93000000
PA
USD
32401.00000000
0.005906292819
Long
DBT
USGA
US
N
2
2032-04-25
Floating
5.85911880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB7426
3140QTHC6
3078642.73000000
PA
USD
3169097.13000000
0.577686356041
Long
DBT
USGA
US
N
2
2053-11-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K052 A1
3137BMTW6
1923169.94000000
PA
USD
1893602.93000000
0.345179882959
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 5169 IO
3137H4GG9
3507483.16000000
PA
USD
566630.05000000
0.103289497096
Long
DBT
USGA
US
N
2
2051-09-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4344 KZ
3137BAJM5
4944004.78000000
PA
USD
4643382.10000000
0.846429874194
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
17551967.11000000
PA
USD
359320.36000000
0.065499560570
Long
DBT
USGA
US
N
2
2027-06-25
Floating
0.88254360
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4600
3140XLDE5
2801326.61000000
PA
USD
2687147.14000000
0.489832963703
Long
DBT
USGA
US
N
2
2035-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RJ0203
3142GQGM8
1792429.36000000
PA
USD
1845093.07000000
0.336337148544
Long
DBT
USGA
US
N
2
2053-11-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0889
31418M7B2
531.95000000
PA
USD
542.64000000
0.000098916414
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
16794542.21000000
PA
USD
16505953.70000000
3.008826758786
Long
DBT
USGA
US
N
2
2031-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-129 BA
38379GKJ5
2968267.54000000
PA
USD
2852433.57000000
0.519962591018
Long
DBT
USGA
US
N
2
2029-09-20
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F042624
17250000.00000000
PA
USD
16677239.11000000
3.040049924340
Long
DBT
USGA
US
N
2
2054-02-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4820 JI
3137FHJ20
596114.38000000
PA
USD
117708.69000000
0.021456806595
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
770714.34000000
PA
USD
727485.03000000
0.132611327080
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
468855.97000000
PA
USD
66249.96000000
0.012076530447
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
2290030.42000000
PA
USD
355261.35000000
0.064759654344
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
567531.13000000
PA
USD
564769.29000000
0.102950304064
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
263.37000000
PA
USD
261.67000000
0.000047699134
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
1175860.15000000
PA
USD
212041.45000000
0.038652476574
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
76843.29000000
PA
USD
80336.94000000
0.014644408871
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
585666.08000000
PA
USD
567847.89000000
0.103511493937
Long
DBT
USGA
US
N
2
2040-01-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS8255
3140LKE58
1825000.00000000
PA
USD
1802281.03000000
0.328533054707
Long
DBT
USGA
US
N
2
2028-04-01
Fixed
4.19000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 845836
31288VPV5
78.30000000
PA
USD
77.82000000
0.000014185602
Long
DBT
USGA
US
N
2
2024-06-01
Floating
5.28900120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZK7453
3131XBH69
3696244.52000000
PA
USD
3611408.76000000
0.658314176296
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
23462.22000000
PA
USD
23322.08000000
0.004251320441
Long
DBT
USGA
US
N
2
2029-08-01
Floating
6.21699840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 303 C2
31325UDY9
491484.16000000
PA
USD
18086.48000000
0.003296936728
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
3297030.21000000
PA
USD
3252077.61000000
0.592812648845
Long
DBT
USGA
US
N
2
2033-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-146 GH
38379GUB1
4379839.87000000
PA
USD
4206923.79000000
0.766869040201
Long
DBT
USGA
US
N
2
2029-09-20
Fixed
2.00000000
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
3661771.97000000
PA
USD
3360566.69000000
0.612588837054
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
1006490.80000000
PA
USD
995882.19000000
0.181536737369
Long
DBT
USGA
US
N
2
2036-04-15
Floating
5.76047880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3786 ED
3137A5R97
3822966.70000000
PA
USD
3776279.10000000
0.688367955662
Long
DBT
USGA
US
N
2
2039-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-134 BI
38380GZW7
203272.41000000
PA
USD
40313.43000000
0.007348628811
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
691560.83000000
PA
USD
652847.88000000
0.119005917892
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
765993.46000000
PA
USD
725127.48000000
0.132181575509
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
540805.10000000
PA
USD
91443.54000000
0.016669001686
Long
DBT
USGA
US
N
2
2047-02-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA8751
3133KQWL6
850925.06000000
PA
USD
874584.46000000
0.159425694140
Long
DBT
USGA
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2003-86 ZD
38374CG88
1730628.40000000
PA
USD
1741701.31000000
0.317490137352
Long
DBT
USGA
US
N
2
2033-10-20
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (MARCH)
01F040636
-5069000.00000000
PA
USD
-4772270.73000000
-0.86992464256
Short
DBT
USGA
US
N
2
2054-03-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4117 P
3137AUTQ2
1122871.42000000
PA
USD
985110.48000000
0.179573190768
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
2205421.54000000
PA
USD
2076145.46000000
0.378455079222
Long
DBT
USGA
US
N
2
2057-12-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA8307
3133KQGQ3
1691101.29000000
PA
USD
1731055.72000000
0.315549580833
Long
DBT
USGA
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-43 AI
3136A5YH3
1237041.96000000
PA
USD
40007.30000000
0.007292825181
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
1444379.19000000
PA
USD
1382487.87000000
0.252010066946
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 REMICS FNR 2011-17 ZM
31397QYH5
4025226.50000000
PA
USD
3915987.09000000
0.713834956622
Long
DBT
USGA
US
N
2
2031-03-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4340 MI
3137BAV82
527980.23000000
PA
USD
15799.70000000
0.002880085634
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
1689231.73000000
PA
USD
1597363.88000000
0.291179247986
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
688.54000000
PA
USD
707.16000000
0.000128906330
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
3859341.51000000
PA
USD
620538.12000000
0.113116256972
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
1250256.36000000
PA
USD
1181146.31000000
0.215308045094
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
1474316.99000000
PA
USD
212075.49000000
0.038658681636
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
1450212.28000000
PA
USD
1356162.97000000
0.247211370368
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
809994.68000000
PA
USD
768304.42000000
0.140052186005
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
1522711.36000000
PA
USD
1316349.25000000
0.239953832374
Long
DBT
USGA
US
N
2
2050-02-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4650 LP
3137BUTP3
431748.75000000
PA
USD
404415.13000000
0.073719767237
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
1539698.42000000
PA
USD
1522833.33000000
0.277593270631
Long
DBT
USGA
US
N
2
2037-07-15
Floating
5.98047840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2006-79 DF
31396KYA4
135413.60000000
PA
USD
134392.34000000
0.024498025143
Long
DBT
USGA
US
N
2
2036-08-25
Floating
5.80911840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-15 BC
3136AVNH8
1415924.62000000
PA
USD
1343761.60000000
0.244950757344
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
1980149.11000000
PA
USD
1871438.33000000
0.341139556493
Long
ABS-MBS
US
N
2
2057-08-25
Floating
3.34886040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J09875
3128PM6L9
628.87000000
PA
USD
624.80000000
0.000113893143
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
795.91000000
PA
USD
828.21000000
0.000150972216
Long
DBT
USGA
US
N
2
2033-06-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4673 PH
3137BXEK4
2376350.26000000
PA
USD
2307800.16000000
0.420682803402
Long
DBT
USGA
US
N
2
2045-01-15
Fixed
3.50000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-577.00000000
NC
USD
-62541390.63000000
-11.4005051195
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Mar 2024
2024-03-31
-61753369.02000000
USD
-788021.61000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL5400
3138ENAA7
742476.53000000
PA
USD
738862.98000000
0.134685383571
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
1421900.22000000
PA
USD
1343139.03000000
0.244837270701
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
831.39000000
PA
USD
825.46000000
0.000150470925
Long
DBT
USGA
US
N
2
2029-04-01
Floating
5.59100160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 845782
31288VM71
126.79000000
PA
USD
125.90000000
0.000022949978
Long
DBT
USGA
US
N
2
2024-05-01
Floating
4.42500120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD8315
3132DWGY3
28293849.80000000
PA
USD
27922881.21000000
5.089988357781
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J12650
3128PR5K1
7682.49000000
PA
USD
7632.57000000
0.001391321051
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
289568.62000000
PA
USD
287567.90000000
0.052419993913
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
68969.68000000
PA
USD
2269.05000000
0.000413619138
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
477489.31000000
PA
USD
444481.09000000
0.081023285395
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
1528414.96000000
PA
USD
1420570.76000000
0.258952096505
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
322872.60000000
PA
USD
57339.98000000
0.010452353696
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
575642.92000000
PA
USD
539152.40000000
0.098280668761
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
1450000.00000000
PA
USD
1219213.71000000
0.222247251022
Long
DBT
USGA
US
N
2
2054-02-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1492
3140XGUS6
2592903.65000000
PA
USD
2476190.32000000
0.451378201470
Long
DBT
USGA
US
N
2
2033-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 2571 FY
31393L6N8
1541082.17000000
PA
USD
1550651.83000000
0.282664231613
Long
DBT
USGA
US
N
2
2032-12-15
Floating
6.21047880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-98 ZA
3136AGEA6
6119842.10000000
PA
USD
5991901.91000000
1.092247993088
Long
DBT
USGA
US
N
2
2043-09-25
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS8547
3140LKP98
1714241.00000000
PA
USD
1710342.01000000
0.311773733278
Long
DBT
USGA
US
N
2
2028-05-01
Fixed
4.46000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K742 X1
3137H0GP7
7559277.72000000
PA
USD
158090.95000000
0.028817982246
Long
DBT
USGA
US
N
2
2028-03-25
Floating
0.86560560
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4996 BI
3137FUSU9
3920787.81000000
PA
USD
560831.84000000
0.102232556690
Long
DBT
USGA
US
N
2
2050-06-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-143 XK
38378GF60
2721689.38000000
PA
USD
2612928.50000000
0.476303843600
Long
DBT
USGA
US
N
2
2027-12-16
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL7364
3138EQFE7
238442.51000000
PA
USD
237282.25000000
0.043253555423
Long
DBT
USGA
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QN6604
3133GDKR0
755713.52000000
PA
USD
683249.85000000
0.124547812806
Long
DBT
USGA
US
N
2
2036-06-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7815
3140XBVH0
1029507.47000000
PA
USD
930803.14000000
0.169673649017
Long
DBT
USGA
US
N
2
2036-05-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2009-82 FC
31398FPH8
1733909.05000000
PA
USD
1742953.99000000
0.317718485084
Long
DBT
USGA
US
N
2
2039-10-25
Floating
6.37912080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG J10727
3128PPYY3
4909.09000000
PA
USD
4877.35000000
0.000889079265
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
128.92000000
PA
USD
128.44000000
0.000023412988
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
1259196.73000000
PA
USD
1235907.95000000
0.225290399994
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 REMICS FNR 2022-77 CA
3136BPGF2
3208534.84000000
PA
USD
3186510.49000000
0.580860591500
Long
DBT
USGA
US
N
2
2039-04-25
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AH7877
3138A9XF6
64784.53000000
PA
USD
63742.52000000
0.011619455823
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
4149.29000000
PA
USD
4317.72000000
0.000787065789
Long
DBT
USGA
US
N
2
2035-08-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K128 X1
3137FYUL8
10148432.73000000
PA
USD
291887.19000000
0.053207345893
Long
DBT
USGA
US
N
2
2031-03-25
Floating
0.61084440
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-126 KI
38380BAQ8
197312.92000000
PA
USD
6685.12000000
0.001218612890
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
2322875.05000000
PA
USD
2263385.20000000
0.412586517506
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 FS0101
3140XFDF5
2713087.86000000
PA
USD
2511139.25000000
0.457748949728
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
8679415.40000000
PA
USD
8250017.81000000
1.503873983797
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
2158894.46000000
PA
USD
352735.72000000
0.064299263914
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
7386.64000000
PA
USD
7338.88000000
0.001337785075
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
312648.38000000
PA
USD
12532.07000000
0.002284437981
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
25020.51000000
PA
USD
25794.25000000
0.004701965789
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
1131130.67000000
PA
USD
1084168.59000000
0.197630232334
Long
DBT
USGA
US
N
2
2027-01-01
Fixed
2.96000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)
01F062622
-4900000.00000000
PA
USD
-5015958.75000000
-0.91434588890
Short
DBT
USGA
US
N
2
2054-02-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4372
36202E2D0
9856.90000000
PA
USD
10406.01000000
0.001896884112
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
247.19000000
PA
USD
246.26000000
0.000044890085
Long
DBT
USGA
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K060 A1
3137BTAB7
1330685.26000000
PA
USD
1297637.69000000
0.236542951461
Long
DBT
USGA
US
N
2
2026-07-25
Fixed
2.95800000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 696520
36296NYR1
29123.55000000
PA
USD
29960.27000000
0.005461378585
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
1758024.00000000
PA
USD
1762648.13000000
0.321308477914
Long
DBT
USGA
US
N
2
2039-10-25
Floating
6.30911880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA7114
3140QE3Y6
844638.36000000
PA
USD
782287.82000000
0.142601183104
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
2334709.28000000
PA
USD
2334359.54000000
0.425524242721
Long
DBT
USGA
US
N
2
2026-02-25
Floating
5.94855000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 675613
36295NSA6
20145.52000000
PA
USD
20866.06000000
0.003803619034
Long
DBT
USGA
US
N
2
2038-10-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-34 QJ
38383MDR6
2794242.40000000
PA
USD
2570358.20000000
0.468543815909
Long
DBT
USGA
US
N
2
2052-02-20
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.000000% 02/15/2026
91282CGL9
40300000.00000000
PA
USD
40133133.01000000
7.315762948883
Long
SN
UST
US
N
2
2026-02-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G13593
3128MCGA7
44.48000000
PA
USD
44.31000000
0.000008077153
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
28762.48000000
PA
USD
2026.76000000
0.000369452733
Long
DBT
USGA
US
N
2
2042-05-25
Floating
5.54010120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2009-110 FD
31398GND7
2190105.73000000
PA
USD
2187031.70000000
0.398668239404
Long
DBT
USGA
US
N
2
2040-01-25
Floating
6.20912160
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
8205830.82000000
PA
USD
7246753.83000000
1.320991639401
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
21860985.96000000
PA
USD
21650573.97000000
3.946626016770
Long
DBT
USGA
US
N
2
2024-06-25
Floating
3.05600040
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-599.00000000
NC
USD
-67284546.88000000
-12.2651225603
N/A
DIR
US
N
1
RBC CAPITAL
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Mar 2024
2024-03-22
-65968385.37000000
USD
-1316161.51000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (FEBRUARY)
21H042620
-1525000.00000000
PA
USD
-1484699.57000000
-0.27064196811
Short
DBT
USGA
US
N
2
2054-02-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3736
36179SEH6
1669055.63000000
PA
USD
1559144.90000000
0.284212410940
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 2023-45 S
3136BQHQ5
4383606.18000000
PA
USD
494638.23000000
0.090166298136
Long
DBT
USGA
US
N
2
2048-01-25
Floating
0.69087960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2023-57 SC
3136BQQR3
4209879.05000000
PA
USD
429910.74000000
0.078367294729
Long
DBT
USGA
US
N
2
2049-10-25
Floating
0.54087840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3867
3140XKJM3
13386478.89000000
PA
USD
12926465.26000000
2.356331253420
Long
DBT
USGA
US
N
2
2028-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2021-3 TI
3136BDR42
3940317.96000000
PA
USD
631155.80000000
0.115051725851
Long
DBT
USGA
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-6 CM
38380U4R1
4847672.40000000
PA
USD
4371701.26000000
0.796905890539
Long
DBT
USGA
US
N
2
2046-10-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ5012
3138YWSA6
46576.70000000
PA
USD
44267.69000000
0.008069440436
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
173098.05000000
PA
USD
179591.41000000
0.032737244383
Long
DBT
USGA
US
N
2
2037-05-25
Fixed
5.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS8762
3140LKWY5
1429878.00000000
PA
USD
1401020.96000000
0.255388415034
Long
DBT
USGA
US
N
2
2028-06-01
Fixed
4.03000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 722819
3620A9AU5
61465.32000000
PA
USD
62246.80000000
0.011346804970
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
1923398.01000000
PA
USD
121626.46000000
0.022170966553
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
17953.25000000
PA
USD
18687.20000000
0.003406440392
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
48453.75000000
PA
USD
46600.25000000
0.008494636645
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
1405243.89000000
PA
USD
1404234.50000000
0.255974202763
Long
DBT
USGA
US
N
2
2040-01-25
Floating
6.20912160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-4 JB
3136ACFL0
801361.15000000
PA
USD
756785.92000000
0.137952509025
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
1360195.40000000
PA
USD
1296208.54000000
0.236282435477
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
916747.82000000
PA
USD
871629.43000000
0.158887029516
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
3289783.80000000
PA
USD
462271.87000000
0.084266319751
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
228947.16000000
PA
USD
222957.15000000
0.040642270733
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
50794.12000000
PA
USD
50170.65000000
0.009145475442
Long
DBT
USGA
US
N
2
2036-05-15
Floating
5.81047920
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 681198
36295UX30
6378.21000000
PA
USD
6637.77000000
0.001209981583
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
104894.81000000
PA
USD
104254.30000000
0.019004241333
Long
DBT
USGA
US
N
2
2025-08-25
Floating
5.85225000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 389 C35
31325YRN0
4697244.60000000
PA
USD
574121.66000000
0.104655122921
Long
DBT
USGA
US
N
2
2052-06-15
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION 30YR TBA FEBRUARY
01F030629
-8600000.00000000
PA
USD
-7526343.75000000
-1.37195734838
Short
DBT
US
N
2
2045-02-15
Fixed
3.00000000
N
N
N
N
N
N
2024-01-31
SEI DAILY INCOME TRUST
Glenn Kurdziel
Glenn Kurdziel
CFO