NPORT-P false 0000701939 XXXXXXXX S000008269 C000022554 C000147421 SEI DAILY INCOME TRUST 811-03451 0000701939 LTKY0J47NCTZPKTU4C46 2 OLIVER STREET BOSTON 02109 8003455734 SDIT GNMA FUND S000008269 5493001L5ZV8Q54PWC13 2023-01-31 2022-04-30 N 91308499.33 31606053.25 59702446.08 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 173208.74000000 USD N Government National Mortgage Association N/A 38379BB31 382827.82000000 PA USD 371844.22000000 0.622829120772 Long DBT USGA US N 2 2044-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38380C3D3 436000.00000000 PA USD 414635.26000000 0.694502968009 Long DBT USGA US N 2 2047-02-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FBPD2 167361.00000000 PA USD 147615.68000000 0.247252314925 Long DBT USGA US N 2 2047-11-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FHJ20 70301.65000000 PA USD 15215.94000000 0.025486292437 Long DBT USGA US N 2 2048-02-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38378YJZ3 54292.54000000 PA USD 50137.45000000 0.083978887452 Long DBT USGA US N 2 2043-11-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36200GMG8 3700.54000000 PA USD 3860.60000000 0.006466401719 Long DBT USGA US N 2 2034-02-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31390MH23 10754.78000000 PA USD 10785.56000000 0.018065524460 Long DBT USGA US N 2 2032-09-01 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35563PFG9 293929.53000000 PA USD 293262.28000000 0.491206473528 Long ABS-MBS US N 2 2057-11-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36185KAE6 66653.17000000 PA USD 63753.56000000 0.106785507438 Long DBT USGA US N 2 2045-07-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36206JC36 1645.81000000 PA USD 1686.47000000 0.002824792132 Long DBT USGA US N 2 2027-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage Association N/A 3620AMGG1 7498.48000000 PA USD 7893.06000000 0.013220664341 Long DBT USGA US N 2 2040-07-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36225BCN6 820.74000000 PA USD 880.48000000 0.001474780445 Long DBT USGA US N 2 2028-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179R7J2 717080.65000000 PA USD 711774.68000000 1.192203547315 Long DBT USGA US N 2 2046-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179QD24 118327.99000000 PA USD 125311.90000000 0.209894080105 Long DBT USGA US N 2 2044-05-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36225AVG2 18322.56000000 PA USD 19364.05000000 0.032434265715 Long DBT USGA US N 2 2027-08-15 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B5MP7 300000.00000000 PA USD 281714.43000000 0.471864133711 Long DBT USGA US N 2 2049-07-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138L82S2 136900.80000000 PA USD 136054.24000000 0.227887212221 Long DBT USGA US N 2 2027-02-01 Fixed 3.23000000 N N N N N N Government National Mortgage Association N/A 36291AD30 14068.46000000 PA USD 14993.23000000 0.025113259145 Long DBT USGA US N 2 2033-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WDR6 426911.14000000 PA USD 397135.45000000 0.665191254421 Long DBT USGA US N 2 2051-04-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36202FEH5 333244.91000000 PA USD 350045.13000000 0.586316228201 Long DBT USGA US N 2 2040-02-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 3620ARY39 21387.76000000 PA USD 21589.93000000 0.036162555167 Long DBT USGA US N 2 2041-02-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36290YA99 19712.23000000 PA USD 20725.88000000 0.034715294532 Long DBT USGA US N 2 2037-04-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 38379VJK1 271764.21000000 PA USD 254400.81000000 0.426114550916 Long DBT USGA US N 2 2044-10-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association 2 N/A 21H032654 -280000.00000000 PA USD -273896.87000000 -0.45876992985 Short DBT USGA US N 2 2051-05-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36202FPG5 12237.29000000 PA USD 12960.22000000 0.021708021782 Long DBT USGA US N 2 2041-01-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36178DPL9 37317.25000000 PA USD 37780.96000000 0.063282097268 Long DBT USGA US N 2 2042-11-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 21H030658 1051000.00000000 PA USD 1001817.97000000 1.678018298710 Long DBT USGA US N 2 2051-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36297FRN4 8876.29000000 PA USD 9467.04000000 0.015857038733 Long DBT USGA US N 2 2039-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179V7D6 595323.66000000 PA USD 542383.52000000 0.908477885936 Long DBT USGA US N 2 2051-02-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 38379LS49 180138.51000000 PA USD 29272.31000000 0.049030336145 Long DBT USGA US N 2 2045-05-20 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F030652 -1814000.00000000 PA USD -1710406.16000000 -2.86488456052 Short DBT USGA US N 2 2051-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38379PBT3 57252.44000000 PA USD 55122.37000000 0.092328495094 Long DBT USGA US N 2 2043-09-20 Fixed 1.75000000 N N N N N N Government National Mortgage Association N/A 36225BSS8 1129.41000000 PA USD 1244.20000000 0.002084001714 Long DBT USGA US N 2 2032-03-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36200NTS0 41619.98000000 PA USD 44240.85000000 0.074102240200 Long DBT USGA US N 2 2034-06-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F8ZX4 2321242.13000000 PA USD 123532.79000000 0.206914118450 Long DBT USGA US N 2 2030-12-25 Floating 0.86515920 N N N N N N Government National Mortgage Association N/A 38378JXN7 263105.38000000 PA USD 44954.13000000 0.075296965118 Long DBT USGA US N 2 2043-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TXU4 166605.64000000 PA USD 164563.95000000 0.275640213768 Long DBT USGA US N 2 2048-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36225A7D6 6587.66000000 PA USD 7000.03000000 0.011724862982 Long DBT USGA US N 2 2028-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 36200M6G3 1466.77000000 PA USD 1558.85000000 0.002611032047 Long DBT USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36209HKS3 2284.20000000 PA USD 2412.28000000 0.004040504465 Long DBT USGA US N 2 2028-08-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36211YR48 346.88000000 PA USD 348.21000000 0.000583242434 Long DBT USGA US N 2 2030-02-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36202FXC5 192654.29000000 PA USD 202543.18000000 0.339254407982 Long DBT USGA US N 2 2041-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 2 N/A 3617GNRL6 14523.02000000 PA USD 14614.48000000 0.024478863027 Long DBT USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36241KWB0 8994.75000000 PA USD 9593.86000000 0.016069458841 Long DBT USGA US N 2 2038-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36207RKM6 116.67000000 PA USD 117.07000000 0.000196089118 Long DBT USGA US N 2 2027-07-15 Fixed 8.00000000 N N N N N N N/A N/A PAMGZZVY7 100000.00000000 PA USD 100000.00000000 0.167497324759 Long RA US N 2 Repurchase Y 0.28000080 N/A 100000.45515150 USD 102000.46000000 USD AMBS N N N Government National Mortgage Association N/A 36290RX24 4899.30000000 PA USD 5132.12000000 0.008596163703 Long DBT USGA US N 2 2033-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36213WKL9 23853.67000000 PA USD 25179.72000000 0.042175357381 Long DBT USGA US N 2 2033-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36177WE89 477646.56000000 PA USD 491544.47000000 0.823323837253 Long DBT USGA US N 2 2042-05-15 Fixed 3.87500000 N N N N N N Government National Mortgage Association N/A 38379VRH9 646678.53000000 PA USD 41857.82000000 0.070110728702 Long DBT USGA US N 2 2042-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36241LC20 7746.37000000 PA USD 8520.45000000 0.014271525807 Long DBT USGA US N 2 2039-10-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179RXB0 9720.45000000 PA USD 9045.99000000 0.015151791248 Long DBT USGA US N 2 2046-01-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36186NLH0 19835.62000000 PA USD 18992.67000000 0.031812214150 Long DBT USGA US N 2 2045-06-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31378DQL7 838.80000000 PA USD 849.05000000 0.001422136035 Long DBT USGA US N 2 2027-08-01 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179RZR3 5985.62000000 PA USD 5568.80000000 0.009327591021 Long DBT USGA US N 2 2046-02-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179WVV7 566893.04000000 PA USD 541567.48000000 0.907111040767 Long DBT USGA US N 2 2052-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36241LZF6 574348.97000000 PA USD 587547.06000000 0.984125607203 Long DBT USGA US N 2 2041-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 21H022655 5500000.00000000 PA USD 5103148.66000000 8.547637484001 Long DBT USGA US N 2 2046-05-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36210J3S5 6887.95000000 PA USD 6971.93000000 0.011677796234 Long DBT USGA US N 2 2029-09-15 Fixed 7.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31395QCT5 355449.16000000 PA USD 39839.78000000 0.066730565690 Long DBT USGA US N 2 2032-04-25 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36241LLA2 37787.05000000 PA USD 39159.46000000 0.065591047890 Long DBT USGA US N 2 2040-06-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36184XE47 279355.44000000 PA USD 268705.75000000 0.450074942725 Long DBT USGA US N 2 2045-05-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31381U6P7 172164.95000000 PA USD 170584.55000000 0.285724557703 Long DBT USGA US N 2 2027-06-01 Fixed 3.26000000 N N N N N N Government National Mortgage Association 2 N/A 36179TZ65 309076.03000000 PA USD 318698.01000000 0.533810640811 Long DBT USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 38380GK45 80000.00000000 PA USD 71517.00000000 0.119789061748 Long DBT USGA US N 2 2047-09-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36207GHW2 9500.82000000 PA USD 9963.97000000 0.016689383189 Long DBT USGA US N 2 2026-10-15 Fixed 7.75000000 N N N N N N Government National Mortgage Association N/A 38382HG20 64328.51000000 PA USD 53626.38000000 0.089822751865 Long DBT USGA US N 2 2050-08-20 Fixed 1.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179VZS2 1631008.05000000 PA USD 1562625.82000000 2.617356444501 Long DBT USGA US N 2 2050-12-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36291HT20 1834.01000000 PA USD 1929.66000000 0.003232128876 Long DBT USGA US N 2 2034-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36296DLJ5 59865.56000000 PA USD 67054.59000000 0.112314644378 Long DBT USGA US N 2 2038-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179V4W7 128246.98000000 PA USD 122869.73000000 0.205803510689 Long DBT USGA US N 2 2051-01-20 Fixed 3.00000000 N N N N N N United States of America N/A N/A 1.00000000 NC USD 140687.50000000 0.235647798771 N/A DIR US N 1 US LONG BOND(CBT) JUN22 N/A Long U.S. Treasury Futures US Long Bond (CBT) Jun 2022 2022-06-24 154305.81000000 USD -13618.31000000 N N N Government National Mortgage Association N/A 36290R4U4 32098.22000000 PA USD 33914.04000000 0.056805109717 Long DBT USGA US N 2 2033-09-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FQXL2 2150341.17000000 PA USD 49833.73000000 0.083470164577 Long DBT USGA US N 2 2026-10-25 Floating 0.75123720 N N N N N N Government National Mortgage Association N/A 38379GRG4 251000.00000000 PA USD 241988.00000000 0.405323426239 Long DBT USGA US N 2 2044-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TXV2 265366.20000000 PA USD 267630.76000000 0.448274363233 Long DBT USGA US N 2 2048-05-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36210YZY4 13772.11000000 PA USD 14574.43000000 0.024411780348 Long DBT USGA US N 2 2029-04-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36290ULW4 31234.84000000 PA USD 34663.42000000 0.058060301170 Long DBT USGA US N 2 2037-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179VHU7 113139.35000000 PA USD 114034.69000000 0.191005055047 Long DBT USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36291YER4 411.12000000 PA USD 428.92000000 0.000718429525 Long DBT USGA US N 2 2035-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38378JAS1 266636.76000000 PA USD 35272.55000000 0.059080577624 Long DBT USGA US N 2 2043-02-16 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179T4N2 61930.85000000 PA USD 61151.00000000 0.102426289063 Long DBT USGA US N 2 2048-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36296KMQ2 61688.08000000 PA USD 67094.18000000 0.112380956569 Long DBT USGA US N 2 2038-06-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BHAD9 216961.72000000 PA USD 43800.97000000 0.073365452968 Long DBT USGA US N 2 2039-04-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TNS0 87415.01000000 PA USD 88671.88000000 0.148523026813 Long DBT USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36225BPY8 2331.17000000 PA USD 2603.03000000 0.004360005612 Long DBT USGA US N 2 2031-09-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 3617GGXW0 14707.40000000 PA USD 14800.15000000 0.024789855310 Long DBT USGA US N 2 2048-02-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 3617AQF20 108533.87000000 PA USD 110146.68000000 0.184492742311 Long DBT USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36291FK49 84751.63000000 PA USD 91893.93000000 0.153919874366 Long DBT USGA US N 2 2035-05-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 38379ETX0 339429.96000000 PA USD 23372.88000000 0.039148948719 Long DBT USGA US N 2 2029-08-16 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38380BAQ8 262593.64000000 PA USD 14629.38000000 0.024503820128 Long DBT USGA US N 2 2028-09-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31383LLT0 167.53000000 PA USD 169.19000000 0.000283388723 Long DBT USGA US N 2 2028-09-01 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 38379PQ67 255170.91000000 PA USD 41208.01000000 0.069022314336 Long DBT USGA US N 2 2042-05-16 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36241LJH0 15420.18000000 PA USD 17131.57000000 0.028694921439 Long DBT USGA US N 2 2040-01-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36241LLD6 3832.10000000 PA USD 4077.23000000 0.006829251174 Long DBT USGA US N 2 2040-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179RU98 88816.71000000 PA USD 82650.43000000 0.138437259152 Long DBT USGA US N 2 2045-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36225BL97 3504.79000000 PA USD 3892.91000000 0.006520520105 Long DBT USGA US N 2 2030-12-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179SSP3 59159.57000000 PA USD 56890.12000000 0.095289429052 Long DBT USGA US N 2 2046-12-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BJQK2 365715.24000000 PA USD 33768.46000000 0.056561267112 Long DBT USGA US N 2 2030-07-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179UMK5 46568.17000000 PA USD 46036.75000000 0.077110324656 Long DBT USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36291TZZ4 3842.14000000 PA USD 4008.10000000 0.006713460273 Long DBT USGA US N 2 2035-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36208HPZ3 401.25000000 PA USD 404.14000000 0.000676923688 Long DBT USGA US N 2 2027-09-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36202FE51 34482.86000000 PA USD 35274.93000000 0.059084564060 Long DBT USGA US N 2 2040-03-20 Fixed 4.00000000 N N N N N N United States of America N/A N/A 7.00000000 NC USD 1475687.50000000 2.471737084310 N/A DIR US N 1 US 2YR NOTE (CBT) JUN22 N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Jun 2022 2022-07-03 1483239.07000000 USD -7551.57000000 N N N Government National Mortgage Association 2 N/A 36179TV69 6684.64000000 PA USD 6769.35000000 0.011338480153 Long DBT USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 3622A2SC7 188415.96000000 PA USD 181187.07000000 0.303483495060 Long DBT USGA US N 2 2046-02-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38377XL59 301091.81000000 PA USD 302612.75000000 0.506868260631 Long DBT USGA US N 2 2040-12-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AT4Q4 62304.63000000 PA USD 11227.31000000 0.018805443892 Long DBT USGA US N 2 2046-10-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36200N5T4 32992.12000000 PA USD 34809.06000000 0.058304244273 Long DBT USGA US N 2 2034-11-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 38380UF81 228000.00000000 PA USD 209420.76000000 0.350774170491 Long DBT USGA US N 2 2048-01-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179SUU9 126188.34000000 PA USD 121354.38000000 0.203265339978 Long DBT USGA US N 2 2047-01-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B0NX0 79000.00000000 PA USD 70908.85000000 0.118770426767 Long DBT USGA US N 2 2057-02-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36241LE77 115381.81000000 PA USD 128141.77000000 0.214634036649 Long DBT USGA US N 2 2039-11-15 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31383YXK8 3616.03000000 PA USD 3681.37000000 0.006166196264 Long DBT USGA US N 2 2028-07-01 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 3622AAGJ7 638224.50000000 PA USD 642332.14000000 1.075889150570 Long DBT USGA US N 2 2047-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36209RLL5 2083.50000000 PA USD 2114.71000000 0.003542082676 Long DBT USGA US N 2 2030-03-15 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2AV2 269264.01000000 PA USD 14043.90000000 0.023523156791 Long DBT USGA US N 2 2028-05-15 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31325VBN3 296296.21000000 PA USD 35383.84000000 0.059266985397 Long DBT USGA US N 2 2033-12-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B6WW9 1334423.89000000 PA USD 109033.37000000 0.182627977845 Long DBT USGA US N 2 2029-05-25 Floating 1.55912040 N N N N N N Government National Mortgage Association 2 N/A 21H040657 -1475000.00000000 PA USD -1477131.83000000 -2.47415629842 Short DBT USGA US N 2 2051-05-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38380BNN1 557291.17000000 PA USD 522163.32000000 0.874609591875 Long DBT USGA US N 2 2044-07-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38379JVP3 159057.41000000 PA USD 24045.28000000 0.040275200730 Long DBT USGA US N 2 2045-02-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31358NTZ5 23.00000000 PA USD 22.97000000 0.000038474135 Long DBT USGA US N 2 2022-06-25 Fixed 7.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179VSG6 1083159.32000000 PA USD 1007854.18000000 1.688128788977 Long DBT USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38377EG73 328910.75000000 PA USD 64358.00000000 0.107797928268 Long DBT USGA US N 2 2040-05-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BSMR1 139457.39000000 PA USD 25906.65000000 0.043392945684 Long DBT USGA US N 2 2036-04-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BTN80 222327.79000000 PA USD 44763.92000000 0.074978368457 Long DBT USGA US N 2 2040-05-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36296JJ97 17666.08000000 PA USD 18713.90000000 0.031345281858 Long DBT USGA US N 2 2039-04-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36291GYF7 15312.54000000 PA USD 16117.46000000 0.026996314319 Long DBT USGA US N 2 2034-05-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31391ACE7 22914.77000000 PA USD 24345.85000000 0.040778647439 Long DBT USGA US N 2 2032-09-01 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F020661 60000.00000000 PA USD 52825.31000000 0.088480981045 Long DBT USGA US N 2 2051-06-15 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 36292FSL2 43530.88000000 PA USD 45411.59000000 0.076063198380 Long DBT USGA US N 2 2035-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36200MT78 11515.52000000 PA USD 12005.59000000 0.020109042071 Long DBT USGA US N 2 2033-08-15 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AXQ73 179527.56000000 PA USD 31529.53000000 0.052811119259 Long DBT USGA US N 2 2047-09-25 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36292LKE3 5363.68000000 PA USD 5596.38000000 0.009373786783 Long DBT USGA US N 2 2036-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179NNC8 89564.80000000 PA USD 94960.53000000 0.159056347327 Long DBT USGA US N 2 2043-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36209QYM1 6925.41000000 PA USD 7380.37000000 0.012361922307 Long DBT USGA US N 2 2029-09-15 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FTZS9 1146907.89000000 PA USD 121707.11000000 0.203856153292 Long DBT USGA US N 2 2030-04-25 Floating 1.81383480 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A8GE4 234582.14000000 PA USD 13001.64000000 0.021777399174 Long DBT USGA US N 2 2027-09-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38378UKN6 48223.19000000 PA USD 44113.87000000 0.073889552097 Long DBT USGA US N 2 2043-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179V7E4 170646.54000000 PA USD 158749.39000000 0.265900981322 Long DBT USGA US N 2 2051-02-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179RXF1 541675.19000000 PA USD 570339.17000000 0.955302851805 Long DBT USGA US N 2 2046-01-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36209MMB7 12947.23000000 PA USD 13672.31000000 0.022900753482 Long DBT USGA US N 2 2028-10-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179RQZ5 652080.64000000 PA USD 627562.15000000 1.051149812453 Long DBT USGA US N 2 2045-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36291RNY4 13403.76000000 PA USD 14257.84000000 0.023881500568 Long DBT USGA US N 2 2034-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WR34 1031711.73000000 PA USD 986361.00000000 1.652128287471 Long DBT USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36297F3Z3 9922.83000000 PA USD 10558.97000000 0.017685992272 Long DBT USGA US N 2 2039-11-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179NQ68 180894.06000000 PA USD 191570.80000000 0.320875965020 Long DBT USGA US N 2 2043-10-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36241KTL2 24883.57000000 PA USD 27555.14000000 0.046154122333 Long DBT USGA US N 2 2038-06-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 3620AAX29 24850.20000000 PA USD 25930.75000000 0.043433312540 Long DBT USGA US N 2 2039-10-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XEAB7 306106.75000000 PA USD 308443.69000000 0.516634929139 Long DBT USGA US N 2 2030-04-01 Fixed 3.65000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418EB82 274999.21000000 PA USD 242976.80000000 0.406979639786 Long DBT USGA US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179Q6Q9 381415.55000000 PA USD 386451.01000000 0.647295103256 Long DBT USGA US N 2 2045-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 3620AR3D1 274163.01000000 PA USD 283248.24000000 0.474433224428 Long DBT USGA US N 2 2041-02-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179RQY8 14392.89000000 PA USD 13392.90000000 0.022432749207 Long DBT USGA US N 2 2045-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36241LJT4 14720.23000000 PA USD 15691.44000000 0.026282742216 Long DBT USGA US N 2 2040-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179SYR2 8086.28000000 PA USD 7776.77000000 0.013025881702 Long DBT USGA US N 2 2047-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36225AR69 1050.11000000 PA USD 1109.80000000 0.001858885310 Long DBT USGA US N 2 2027-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 36183QUL7 118145.24000000 PA USD 113064.52000000 0.189380046252 Long DBT USGA US N 2 2045-02-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36200KDR5 9505.07000000 PA USD 9917.00000000 0.016610709696 Long DBT USGA US N 2 2035-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36209RCB7 3069.20000000 PA USD 3263.41000000 0.005466124445 Long DBT USGA US N 2 2029-12-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 38379F2C2 371832.15000000 PA USD 67746.48000000 0.113473541618 Long DBT USGA US N 2 2037-10-20 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36292LBE3 9866.05000000 PA USD 10409.06000000 0.017434897032 Long DBT USGA US N 2 2036-03-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36225BAC2 58.17000000 PA USD 58.47000000 0.000097935685 Long DBT USGA US N 2 2022-12-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36201TKC0 626.66000000 PA USD 659.26000000 0.001104242863 Long DBT USGA US N 2 2033-01-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179S5K9 13538.84000000 PA USD 13021.13000000 0.021810044403 Long DBT USGA US N 2 2047-05-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WNF1 1089582.32000000 PA USD 1042215.26000000 1.745682678735 Long DBT USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36211SEC7 4327.37000000 PA USD 4709.92000000 0.007888989998 Long DBT USGA US N 2 2035-05-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 38382KWF6 242978.27000000 PA USD 197470.85000000 0.330758390929 Long DBT USGA US N 2 2050-10-20 Fixed 1.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TJX4 515642.83000000 PA USD 509314.02000000 0.853087358125 Long DBT USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N United States of America N/A N/A 15.00000000 NC USD 1690078.13000000 2.830835654095 N/A DIR US N 1 US 5YR NOTE (CBT) JUN22 N/A Long U.S. Treasury Futures US 5-Year Note (consolidated) Jun 2022 2022-07-03 1765361.40000000 USD -75283.27000000 N N N Government National Mortgage Association N/A 36203ALV6 1055.99000000 PA USD 1070.27000000 0.001792673617 Long DBT USGA US N 2 2029-12-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36292FC39 4522.82000000 PA USD 4718.67000000 0.007903646014 Long DBT USGA US N 2 2035-08-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FWHV5 1321389.65000000 PA USD 121602.60000000 0.203681101838 Long DBT USGA US N 2 2030-07-25 Floating 1.52996040 N N N N N N Government National Mortgage Association 2 N/A 36179VXY1 200018.80000000 PA USD 186087.67000000 0.311691868957 Long DBT USGA US N 2 2050-11-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36202UDJ9 6659.40000000 PA USD 6947.15000000 0.011636290397 Long DBT USGA US N 2 2033-11-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179UCB6 38448.76000000 PA USD 38830.03000000 0.065039261453 Long DBT USGA US N 2 2048-09-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F9ZA2 2993526.63000000 PA USD 123062.38000000 0.206126194285 Long DBT USGA US N 2 2031-01-25 Floating 0.67637160 N N N N N N Government National Mortgage Association 2 N/A 36179WNE4 383012.21000000 PA USD 356260.40000000 0.596726639177 Long DBT USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179T7K5 58520.46000000 PA USD 58755.13000000 0.098413270908 Long DBT USGA US N 2 2048-08-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36210ENU9 3249.46000000 PA USD 3435.10000000 0.005753700602 Long DBT USGA US N 2 2028-12-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYUL8 1341955.01000000 PA USD 49530.62000000 0.082962463436 Long DBT USGA US N 2 2031-03-25 Floating 0.61319880 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ARA89 248005.95000000 PA USD 5560.22000000 0.009313219750 Long DBT USGA US N 2 2026-12-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179SEH6 358299.40000000 PA USD 355250.55000000 0.595035167443 Long DBT USGA US N 2 2046-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179VZT0 199462.01000000 PA USD 195743.34000000 0.327864857894 Long DBT USGA US N 2 2050-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179RS83 111437.16000000 PA USD 107224.42000000 0.179598034988 Long DBT USGA US N 2 2045-11-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179V4V9 220453.67000000 PA USD 205090.95000000 0.343521854573 Long DBT USGA US N 2 2051-01-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36210RQ45 1197.30000000 PA USD 1228.45000000 0.002057620886 Long DBT USGA US N 2 2029-12-15 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F62P1 1518227.65000000 PA USD 98230.70000000 0.164533794592 Long DBT USGA US N 2 2030-09-25 Floating 1.05314760 N N N N N N Government National Mortgage Association 2 N/A 36179R4D8 61927.83000000 PA USD 59569.48000000 0.099777285373 Long DBT USGA US N 2 2046-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36212UGZ8 447.20000000 PA USD 454.70000000 0.000761610335 Long DBT USGA US N 2 2031-02-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 38379EFP2 342494.86000000 PA USD 336791.05000000 0.564115998779 Long DBT USGA US N 2 2044-08-16 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36202VYH8 24943.80000000 PA USD 26023.75000000 0.043589085052 Long DBT USGA US N 2 2034-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38382E5F0 688917.05000000 PA USD 42761.43000000 0.071624251278 Long DBT USGA US N 2 2035-05-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36185BS64 97286.33000000 PA USD 93098.05000000 0.155936743153 Long DBT USGA US N 2 2045-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TSG1 15442.59000000 PA USD 15139.76000000 0.025358692975 Long DBT USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36184YLM7 24587.35000000 PA USD 23488.24000000 0.039342173633 Long DBT USGA US N 2 2045-05-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136FENW8 530655.65000000 PA USD 460009.24000000 0.770503170646 Long DBT USGA US N 2 2037-05-25 None 0.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179VSF8 1213795.48000000 PA USD 1108764.00000000 1.857150037896 Long DBT USGA US N 2 2050-08-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179VZR4 207684.60000000 PA USD 193211.29000000 0.323623741883 Long DBT USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36241LXM3 108621.69000000 PA USD 119566.40000000 0.200270521311 Long DBT USGA US N 2 2041-02-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179WBY3 350403.74000000 PA USD 325959.68000000 0.545973743794 Long DBT USGA US N 2 2051-03-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36290XJN1 29942.81000000 PA USD 31458.78000000 0.052692614901 Long DBT USGA US N 2 2033-08-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AFB27 128760.10000000 PA USD 6359.73000000 0.010652377611 Long DBT USGA US N 2 2026-09-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38379FK73 452735.92000000 PA USD 60153.80000000 0.100756005741 Long DBT USGA US N 2 2043-07-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F022659 -2877000.00000000 PA USD -2624457.54000000 -4.39589616894 Short DBT USGA US N 2 2051-05-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36200MVP5 1370.72000000 PA USD 1456.53000000 0.002439648784 Long DBT USGA US N 2 2033-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38378E3P6 302163.67000000 PA USD 292717.16000000 0.490293412112 Long DBT USGA US N 2 2042-05-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ANHJ9 137149.88000000 PA USD 5400.65000000 0.009045944269 Long DBT USGA US N 2 2055-04-25 Floating 1.60135560 N N N N N N Government National Mortgage Association N/A 36290YJ33 10413.65000000 PA USD 10864.53000000 0.018197797097 Long DBT USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38378H3E4 259595.89000000 PA USD 42306.06000000 0.070861518711 Long DBT USGA US N 2 2042-10-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36292ETU4 10823.52000000 PA USD 11463.18000000 0.019200519832 Long DBT USGA US N 2 2035-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179M5M8 762581.15000000 PA USD 761204.97000000 1.274997960686 Long DBT USGA US N 2 2043-03-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31379G4F6 924.23000000 PA USD 927.60000000 0.001553705184 Long DBT USGA US N 2 2028-03-01 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36213CZS2 1074.51000000 PA USD 1142.00000000 0.001912819448 Long DBT USGA US N 2 2035-12-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36290SYJ4 18679.21000000 PA USD 19921.91000000 0.033368666291 Long DBT USGA US N 2 2034-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179MNJ5 826685.74000000 PA USD 845096.91000000 1.415514715875 Long DBT USGA US N 2 2042-09-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ALQU8 400151.71000000 PA USD 25588.14000000 0.042859449955 Long DBT USGA US N 2 2034-03-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36207HZM2 1219.21000000 PA USD 1251.85000000 0.002096815260 Long DBT USGA US N 2 2030-03-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 38380GZW7 114959.13000000 PA USD 22519.15000000 0.037718973808 Long DBT USGA US N 2 2047-09-16 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B02D7 311883.96000000 PA USD 307272.10000000 0.514672547232 Long DBT USGA US N 2 2057-12-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38379LG91 347222.61000000 PA USD 65306.32000000 0.109386338898 Long DBT USGA US N 2 2045-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36290WAB8 13872.23000000 PA USD 14606.18000000 0.024464960749 Long DBT USGA US N 2 2033-11-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137APHF0 29744.39000000 PA USD 63.37000000 0.000106143054 Long DBT USGA US N 2 2026-06-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38380XPW1 245500.00000000 PA USD 239567.69000000 0.401269471738 Long DBT USGA US N 2 2048-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179VMF4 951334.50000000 PA USD 959609.88000000 1.607320877128 Long DBT USGA US N 2 2050-05-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 3617A0KA3 213276.99000000 PA USD 204055.64000000 0.341787738020 Long DBT USGA US N 2 2045-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TZ40 323211.82000000 PA USD 318889.58000000 0.534131515436 Long DBT USGA US N 2 2048-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 01N052657 -725000.00000000 PA USD -760683.59000000 -1.27412466313 Short DBT USGA US N 2 2035-04-30 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36202EM22 37377.33000000 PA USD 40900.76000000 0.068507678806 Long DBT USGA US N 2 2037-04-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 38380BQJ7 364000.00000000 PA USD 352016.28000000 0.589617851718 Long DBT USGA US N 2 2046-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36241LS23 321894.89000000 PA USD 333800.93000000 0.559107627772 Long DBT USGA US N 2 2041-01-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 3622A25V0 78941.80000000 PA USD 81697.22000000 0.136840657902 Long DBT USGA US N 2 2046-07-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38378Y2A6 334656.45000000 PA USD 14095.46000000 0.023609518412 Long DBT USGA US N 2 2026-04-16 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F020653 -665000.00000000 PA USD -586576.76000000 -0.98250038066 Short DBT USGA US N 2 2051-05-15 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AYCZ2 169736.63000000 PA USD 8317.32000000 0.013931288491 Long DBT USGA US N 2 2041-03-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36200NGF2 19529.89000000 PA USD 20754.03000000 0.034762445029 Long DBT USGA US N 2 2034-03-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38380CEN9 297963.96000000 PA USD 52506.58000000 0.087947116822 Long DBT USGA US N 2 2039-03-20 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36208MZ81 1330.37000000 PA USD 1403.79000000 0.002351310695 Long DBT USGA US N 2 2027-12-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36211SYN1 189.13000000 PA USD 189.87000000 0.000318027170 Long DBT USGA US N 2 2029-11-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179SGL5 57873.02000000 PA USD 57350.60000000 0.096060720733 Long DBT USGA US N 2 2046-07-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F050650 -200000.00000000 PA USD -206906.25000000 -0.34656243351 Short DBT US N 2 2045-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 3617BKMJ7 34261.66000000 PA USD 34548.36000000 0.057867578748 Long DBT USGA US N 2 2048-02-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F032658 -1027000.00000000 PA USD -995949.29000000 -1.66818841671 Short DBT USGA US N 2 2051-05-15 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ARFZ6 44745.23000000 PA USD 2318.62000000 0.003883626471 Long DBT USGA US N 2 2031-02-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 3617G1DT2 24040.07000000 PA USD 24201.30000000 0.040536530057 Long DBT USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F040651 -2785000.00000000 PA USD -2769116.78000000 -4.63819652596 Short DBT USGA US N 2 2051-05-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31368HKC6 49.78000000 PA USD 53.21000000 0.000089125326 Long DBT USGA US N 2 2027-11-01 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WQA9 1263967.75000000 PA USD 1175561.90000000 1.969034733392 Long DBT USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TLS2 36071.89000000 PA USD 35628.93000000 0.059677504590 Long DBT USGA US N 2 2047-11-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36291NQD6 15240.10000000 PA USD 16032.28000000 0.026853640097 Long DBT USGA US N 2 2034-09-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TQP3 304393.15000000 PA USD 300719.42000000 0.503696983532 Long DBT USGA US N 2 2048-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36209YWK0 922.32000000 PA USD 1006.40000000 0.001685693076 Long DBT USGA US N 2 2031-10-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TNN1 313375.98000000 PA USD 285027.88000000 0.477414073818 Long DBT USGA US N 2 2045-11-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 36200DJF1 567.64000000 PA USD 592.19000000 0.000991902407 Long DBT USGA US N 2 2033-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38379F3V9 280468.26000000 PA USD 8185.38000000 0.013710292521 Long DBT USGA US N 2 2041-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36225BY93 27461.80000000 PA USD 30094.15000000 0.050406896159 Long DBT USGA US N 2 2033-07-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 38379ER38 106513.97000000 PA USD 6988.07000000 0.011704830302 Long DBT USGA US N 2 2029-09-16 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179VZQ6 705437.75000000 PA USD 642983.62000000 1.076980362141 Long DBT USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 36208CQY6 8197.60000000 PA USD 8647.59000000 0.014484481906 Long DBT USGA US N 2 2027-05-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36202EEG0 36877.95000000 PA USD 39503.52000000 0.066167339185 Long DBT USGA US N 2 2035-07-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36202FZX7 502039.32000000 PA USD 502021.29000000 0.840872230473 Long DBT USGA US N 2 2041-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36225BND6 9584.14000000 PA USD 10373.63000000 0.017375552730 Long DBT USGA US N 2 2031-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 36213CTY6 2671.81000000 PA USD 2838.54000000 0.004754478562 Long DBT USGA US N 2 2035-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36213RTA5 8718.18000000 PA USD 9095.32000000 0.015234417678 Long DBT USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36290QA88 4397.65000000 PA USD 4645.18000000 0.007780552230 Long DBT USGA US N 2 2033-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 3620AYGU4 3786.19000000 PA USD 3950.84000000 0.006617551305 Long DBT USGA US N 2 2040-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179SNU7 7481.57000000 PA USD 7194.70000000 0.012050930024 Long DBT USGA US N 2 2046-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 01N050651 -625000.00000000 PA USD -650878.91000000 -1.09020476167 Short DBT US N 2 2033-05-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36194CSJ3 317856.31000000 PA USD 313596.37000000 0.525265530292 Long DBT USGA US N 2 2046-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36295QVU1 400.24000000 PA USD 435.59000000 0.000729601596 Long DBT USGA US N 2 2037-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36297C6T1 75373.93000000 PA USD 80361.69000000 0.134603680881 Long DBT USGA US N 2 2039-03-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 38380TE93 415161.95000000 PA USD 60631.54000000 0.101556207460 Long DBT USGA US N 2 2047-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36290R7L1 3212.60000000 PA USD 3351.29000000 0.005613321094 Long DBT USGA US N 2 2033-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179SNV5 59549.30000000 PA USD 59053.28000000 0.098912664182 Long DBT USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36291HDA9 4836.54000000 PA USD 4889.96000000 0.008190552181 Long DBT USGA US N 2 2023-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 36230QH84 36649.78000000 PA USD 38013.00000000 0.063670758060 Long DBT USGA US N 2 2040-12-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35563PLG2 213676.25000000 PA USD 209456.59000000 0.350834184782 Long ABS-MBS US N 2 2058-10-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179UWA6 170900.28000000 PA USD 175517.83000000 0.293987669725 Long DBT USGA US N 2 2049-07-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36202VCG4 1561.50000000 PA USD 1641.04000000 0.002748698098 Long DBT USGA US N 2 2033-08-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31390DYH1 2629.99000000 PA USD 2632.60000000 0.004409534571 Long DBT USGA US N 2 2032-08-01 Fixed 7.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WQB7 617294.05000000 PA USD 589808.88000000 0.987914095194 Long DBT USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36291EN72 37675.49000000 PA USD 39303.50000000 0.065832311036 Long DBT USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36291YNZ6 2919.40000000 PA USD 3068.37000000 0.005139437663 Long DBT USGA US N 2 2035-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38380KNR2 231000.00000000 PA USD 205521.88000000 0.344243650795 Long DBT USGA US N 2 2047-11-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36200MTX1 48447.28000000 PA USD 51316.52000000 0.085953798159 Long DBT USGA US N 2 2033-08-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B0WS9 176726.76000000 PA USD 8943.36000000 0.014979888743 Long DBT USGA US N 2 2028-03-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36292JRE1 38031.15000000 PA USD 39693.23000000 0.066485098360 Long DBT USGA US N 2 2035-11-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 3617A9LA3 91028.84000000 PA USD 87112.00000000 0.145910269544 Long DBT USGA US N 2 2045-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179RBX6 40053.04000000 PA USD 39940.57000000 0.066899386243 Long DBT USGA US N 2 2045-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36296QDC0 29771.59000000 PA USD 32525.94000000 0.054480079352 Long DBT USGA US N 2 2038-12-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179W2T4 1390000.00000000 PA USD 1262922.56000000 2.115361501784 Long DBT USGA US N 2 2052-04-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 36241LPN0 117969.62000000 PA USD 122263.99000000 0.204788912394 Long DBT USGA US N 2 2040-10-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38380UBE2 142330.45000000 PA USD 121864.56000000 0.204119877829 Long DBT USGA US N 2 2047-12-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38380GAS3 185101.50000000 PA USD 30275.44000000 0.050710552059 Long DBT USGA US N 2 2040-02-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 2 N/A 21H020659 2605000.00000000 PA USD 2362918.16000000 3.957824704257 Long DBT USGA US N 2 2051-05-15 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 36241KGC6 32846.66000000 PA USD 35625.99000000 0.059672580169 Long DBT USGA US N 2 2035-10-15 Fixed 7.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179SWW3 207039.32000000 PA USD 199118.93000000 0.333518880839 Long DBT USGA US N 2 2047-02-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 3617G7LR4 16824.08000000 PA USD 16992.43000000 0.028461865661 Long DBT USGA US N 2 2048-02-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38378THG8 359220.76000000 PA USD 344838.93000000 0.577595982479 Long DBT USGA US N 2 2043-05-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31395QCR9 59658.72000000 PA USD 2847.36000000 0.004769251826 Long DBT USGA US N 2 2027-05-25 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179VXZ8 72930.35000000 PA USD 69872.45000000 0.117034484493 Long DBT USGA US N 2 2050-11-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36182YLQ0 167174.50000000 PA USD 159902.49000000 0.267832392973 Long DBT USGA US N 2 2044-11-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179RF87 489343.29000000 PA USD 474073.22000000 0.794059960901 Long DBT USGA US N 2 2045-06-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TQQ1 33274.96000000 PA USD 33752.66000000 0.056534802535 Long DBT USGA US N 2 2048-01-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38379V5S9 285629.24000000 PA USD 40797.05000000 0.068333967330 Long DBT USGA US N 2 2046-02-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 38382CJ51 198275.97000000 PA USD 38876.58000000 0.065117231457 Long DBT USGA US N 2 2050-02-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38379WGC0 232207.92000000 PA USD 207726.36000000 0.347936095820 Long DBT USGA US N 2 2045-11-16 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36225AVV9 495.97000000 PA USD 518.15000000 0.000867887388 Long DBT USGA US N 2 2027-09-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36184YCY1 42358.76000000 PA USD 40535.92000000 0.067896581566 Long DBT USGA US N 2 2045-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179VXX3 3390594.73000000 PA USD 3090696.35000000 5.176833702690 Long DBT USGA US N 2 2050-11-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 3622AADX9 40543.28000000 PA USD 37691.97000000 0.063133041399 Long DBT USGA US N 2 2046-12-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36209RTB9 3333.49000000 PA USD 3346.89000000 0.005605951212 Long DBT USGA US N 2 2030-07-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179SGK7 179432.16000000 PA USD 172605.90000000 0.289110264877 Long DBT USGA US N 2 2046-07-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36201UHV9 9810.76000000 PA USD 10233.69000000 0.017141156974 Long DBT USGA US N 2 2033-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36176WYH8 234111.39000000 PA USD 241848.91000000 0.405090454210 Long DBT USGA US N 2 2041-11-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36211J4R5 851.10000000 PA USD 854.52000000 0.001431298139 Long DBT USGA US N 2 2030-06-15 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYTY2 603251.52000000 PA USD 28008.97000000 0.046914275442 Long DBT USGA US N 2 2036-02-25 Floating 0.57805560 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AMVN4 174401.99000000 PA USD 8255.82000000 0.013828277636 Long DBT USGA US N 2 2027-03-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36295FCM4 11143.39000000 PA USD 11625.90000000 0.019473071479 Long DBT USGA US N 2 2038-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36295QF21 3957.53000000 PA USD 4206.91000000 0.007046461705 Long DBT USGA US N 2 2040-06-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F2LL8 1640294.35000000 PA USD 53077.46000000 0.088903325550 Long DBT USGA US N 2 2027-06-25 Floating 0.88759800 N N N N N N Government National Mortgage Association N/A 36291D5K5 11578.44000000 PA USD 12078.71000000 0.020231516115 Long DBT USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38378PHL5 381423.88000000 PA USD 360923.91000000 0.604537893667 Long DBT USGA US N 2 2043-09-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TCX1 1657760.81000000 PA USD 1637463.63000000 2.742707774160 Long DBT USGA US N 2 2047-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179M2R0 81654.43000000 PA USD 83531.11000000 0.139912374591 Long DBT USGA US N 2 2043-02-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A8CC2 129129.07000000 PA USD 16025.74000000 0.026842685772 Long DBT USGA US N 2 2042-01-25 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36178WDL0 45694.30000000 PA USD 43843.44000000 0.073436589082 Long DBT USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 3620ASNX3 6226.29000000 PA USD 6283.28000000 0.010524325907 Long DBT USGA US N 2 2041-07-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B4HR0 276630.11000000 PA USD 263005.22000000 0.440526707477 Long DBT USGA US N 2 2043-03-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36213CYP9 34916.31000000 PA USD 37109.02000000 0.062156615744 Long DBT USGA US N 2 2035-11-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TJY2 8933.17000000 PA USD 9046.44000000 0.015152544985 Long DBT USGA US N 2 2047-10-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36209MBF0 40853.75000000 PA USD 40057.46000000 0.067095173866 Long DBT USGA US N 2 2041-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36296KPB2 69866.94000000 PA USD 75024.21000000 0.125663544671 Long DBT USGA US N 2 2038-07-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36208UHE0 7238.06000000 PA USD 7317.46000000 0.012256549740 Long DBT USGA US N 2 2028-01-15 Fixed 7.25000000 N N N N N N Government National Mortgage Association N/A 38378EPV9 64706.25000000 PA USD 2373.11000000 0.003974895763 Long DBT USGA US N 2 2027-05-16 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36290V7K4 26661.94000000 PA USD 28072.19000000 0.047020167251 Long DBT USGA US N 2 2033-11-15 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31377CWB5 4738.38000000 PA USD 4866.92000000 0.008151960798 Long DBT USGA US N 2 2027-03-01 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 38380BA21 147999.89000000 PA USD 24872.91000000 0.041661458839 Long DBT USGA US N 2 2046-11-16 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 3620ASZU6 6250.74000000 PA USD 6311.85000000 0.010572179892 Long DBT USGA US N 2 2041-10-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36205K6K3 1534.72000000 PA USD 1555.88000000 0.002606057376 Long DBT USGA US N 2 2027-02-15 Fixed 7.50000000 N N N N N N Government National Mortgage Association 2 N/A 36194PGT5 308453.24000000 PA USD 306928.50000000 0.514097026424 Long DBT USGA US N 2 2046-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179R7H6 264480.14000000 PA USD 254537.92000000 0.426344206498 Long DBT USGA US N 2 2046-04-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179RJC4 304777.43000000 PA USD 283566.24000000 0.474965865921 Long DBT USGA US N 2 2045-07-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179VVY3 196561.09000000 PA USD 182882.72000000 0.306323663447 Long DBT USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36200AJS9 1022.63000000 PA USD 1127.34000000 0.001888264340 Long DBT USGA US N 2 2032-12-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36213CXE5 2278.02000000 PA USD 2433.83000000 0.004076600139 Long DBT USGA US N 2 2035-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36211ELC0 335.75000000 PA USD 337.13000000 0.000564683730 Long DBT USGA US N 2 2029-11-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36210FLE4 3220.85000000 PA USD 3400.66000000 0.005696014524 Long DBT USGA US N 2 2028-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36291NM32 4178.67000000 PA USD 4361.35000000 0.007305144573 Long DBT USGA US N 2 2034-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179SSN8 269846.34000000 PA USD 251074.89000000 0.420543723892 Long DBT USGA US N 2 2046-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179S2Q9 290595.74000000 PA USD 294288.87000000 0.492925984315 Long DBT USGA US N 2 2047-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36200NC74 2696.31000000 PA USD 2866.41000000 0.004801160066 Long DBT USGA US N 2 2034-02-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38379JKC4 365399.70000000 PA USD 54099.51000000 0.090615231958 Long DBT USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36290NZ88 2264.18000000 PA USD 2379.20000000 0.003985096350 Long DBT USGA US N 2 2033-05-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 38380CNU3 221163.19000000 PA USD 46377.83000000 0.077681624531 Long DBT USGA US N 2 2047-01-16 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36241L5L6 23995.30000000 PA USD 26368.89000000 0.044167185318 Long DBT USGA US N 2 2040-12-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36290R3Q4 286598.66000000 PA USD 304685.92000000 0.510340764918 Long DBT USGA US N 2 2033-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 3622AALD4 418049.23000000 PA USD 401880.16000000 0.673138516739 Long DBT USGA US N 2 2047-02-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179UXV9 179257.57000000 PA USD 183559.29000000 0.307456900097 Long DBT USGA US N 2 2049-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 38379JZD6 270658.27000000 PA USD 18665.65000000 0.031264464398 Long DBT USGA US N 2 2030-02-16 Fixed 3.50000000 N N N N N N United States of America N/A N/A 2.00000000 NC USD 238312.50000000 0.399167062067 N/A DIR US N 1 US 10YR NOTE (CBT)JUN22 N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Jun 2022 2022-06-24 238081.82000000 USD 230.68000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B06E9 189035.78000000 PA USD 9284.30000000 0.015550954122 Long DBT USGA US N 2 2028-03-15 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398SBC6 184738.91000000 PA USD 29427.23000000 0.049289823000 Long DBT USGA US N 2 2040-11-25 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36241LSX5 85283.58000000 PA USD 88451.96000000 0.148154666697 Long DBT USGA US N 2 2040-11-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179S5L7 71027.56000000 PA USD 70156.40000000 0.117510093147 Long DBT USGA US N 2 2047-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38381TR23 156097.95000000 PA USD 23191.39000000 0.038844957824 Long DBT USGA US N 2 2048-05-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179SB89 398242.90000000 PA USD 395157.96000000 0.661879011574 Long DBT USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179T4P7 945920.21000000 PA USD 954948.80000000 1.599513692823 Long DBT USGA US N 2 2048-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36225BAM0 4844.12000000 PA USD 5134.11000000 0.008599496900 Long DBT USGA US N 2 2028-11-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179QYV7 40871.77000000 PA USD 43576.14000000 0.072988868733 Long DBT USGA US N 2 2045-01-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179NVQ8 32433.68000000 PA USD 34347.98000000 0.057531947608 Long DBT USGA US N 2 2043-12-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TZ57 100427.87000000 PA USD 101632.20000000 0.170231216094 Long DBT USGA US N 2 2048-06-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38376VPU5 301653.86000000 PA USD 64631.15000000 0.108255447211 Long DBT USGA US N 2 2040-02-16 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TUA1 338869.89000000 PA USD 334718.58000000 0.560644666973 Long DBT USGA US N 2 2048-03-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B0Q64 294287.39000000 PA USD 13980.30000000 0.023416628493 Long DBT USGA US N 2 2028-03-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36208QJ80 1735.42000000 PA USD 1833.11000000 0.003070410209 Long DBT USGA US N 2 2027-08-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WBX5 260009.20000000 PA USD 236495.47000000 0.396123585427 Long DBT USGA US N 2 2051-03-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WTZ1 573931.75000000 PA USD 548328.67000000 0.918435853139 Long DBT USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36183X2Q2 75705.36000000 PA USD 72445.18000000 0.121343738417 Long DBT USGA US N 2 2045-03-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179RBW8 483941.28000000 PA USD 465984.21000000 0.780511085551 Long DBT USGA US N 2 2045-04-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B75H0 851259.92000000 PA USD 14911.52000000 0.024976397080 Long DBT USGA US N 2 2030-01-25 Floating 0.41298840 N N N N N N Government National Mortgage Association N/A 38378GFR4 399230.92000000 PA USD 366784.78000000 0.614354694125 Long DBT USGA US N 2 2042-10-20 Fixed 1.75000000 N N N N N N Government National Mortgage Association N/A 36241LTH9 552254.40000000 PA USD 588920.13000000 0.986425462720 Long DBT USGA US N 2 2040-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36212BK36 8358.06000000 PA USD 8525.84000000 0.014280553913 Long DBT USGA US N 2 2030-04-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36202EV48 8348.49000000 PA USD 8637.41000000 0.014467430678 Long DBT USGA US N 2 2038-09-20 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 38380KLU7 225000.00000000 PA USD 202785.12000000 0.339659651010 Long DBT USGA US N 2 2047-11-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179RNU9 29736.33000000 PA USD 27667.87000000 0.046342942067 Long DBT USGA US N 2 2045-09-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36212SFU5 712.48000000 PA USD 729.19000000 0.001221373742 Long DBT USGA US N 2 2031-01-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36225AWK2 1738.68000000 PA USD 1837.51000000 0.003077780092 Long DBT USGA US N 2 2027-10-15 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31378JFZ5 1266.32000000 PA USD 1270.91000000 0.002128740250 Long DBT USGA US N 2 2027-08-01 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 38380CF81 337429.09000000 PA USD 56590.33000000 0.094787288822 Long DBT USGA US N 2 2047-02-16 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36291MMG5 28457.76000000 PA USD 29706.78000000 0.049758061772 Long DBT USGA US N 2 2038-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WTY4 1125984.47000000 PA USD 1047170.51000000 1.753982589920 Long DBT USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B35F3 651754.00000000 PA USD 642486.38000000 1.076147498444 Long DBT USGA US N 2 2048-04-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TEZ4 523332.54000000 PA USD 516908.25000000 0.865807490211 Long DBT USGA US N 2 2047-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38378EAS2 200768.40000000 PA USD 11182.78000000 0.018730857333 Long DBT USGA US N 2 2040-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179VMD9 541736.09000000 PA USD 519028.94000000 0.869359589227 Long DBT USGA US N 2 2050-05-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36225BST6 519.84000000 PA USD 571.59000000 0.000957397958 Long DBT USGA US N 2 2031-09-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36200NLL3 1331.02000000 PA USD 1414.67000000 0.002369534404 Long DBT USGA US N 2 2034-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36201U6P4 65899.60000000 PA USD 69301.38000000 0.116077957521 Long DBT USGA US N 2 2033-08-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36209AD98 6533.65000000 PA USD 6898.50000000 0.011554802948 Long DBT USGA US N 2 2028-04-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36241KWJ3 25053.62000000 PA USD 27753.77000000 0.046486822269 Long DBT USGA US N 2 2038-09-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36200GKT2 5079.08000000 PA USD 5297.69000000 0.008873489024 Long DBT USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36290RPX5 3324.70000000 PA USD 3534.58000000 0.005920326941 Long DBT USGA US N 2 2033-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36211RXV6 4047.32000000 PA USD 4298.93000000 0.007200592743 Long DBT USGA US N 2 2035-12-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36296XE83 12648.46000000 PA USD 13625.44000000 0.022822247486 Long DBT USGA US N 2 2038-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36202SYN2 7746.40000000 PA USD 8195.24000000 0.013726807757 Long DBT USGA US N 2 2033-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36183YKT4 49846.94000000 PA USD 47664.93000000 0.079837482598 Long DBT USGA US N 2 2045-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36212USE2 52219.08000000 PA USD 55748.34000000 0.093376978097 Long DBT USGA US N 2 2036-03-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 3622AAN26 379424.01000000 PA USD 388231.61000000 0.650277560620 Long DBT USGA US N 2 2042-08-15 Fixed 3.87500000 N N N N N N Government National Mortgage Association 2 N/A 36179TG41 43835.06000000 PA USD 43485.22000000 0.072836580165 Long DBT USGA US N 2 2047-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36203NAM0 8596.35000000 PA USD 8812.63000000 0.014760919490 Long DBT USGA US N 2 2027-08-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36200M3J0 11229.20000000 PA USD 11713.75000000 0.019620217879 Long DBT USGA US N 2 2033-11-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36200F2B3 5022.71000000 PA USD 5239.93000000 0.008776742569 Long DBT USGA US N 2 2033-09-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418ECP3 534947.42000000 PA USD 472661.59000000 0.791695518415 Long DBT USGA US N 2 2052-04-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 36290RVE0 72695.50000000 PA USD 77196.77000000 0.129302524550 Long DBT USGA US N 2 2033-08-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36225AWR7 1286.35000000 PA USD 1359.47000000 0.002277075880 Long DBT USGA US N 2 2027-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 38380WH28 257899.94000000 PA USD 45229.38000000 0.075758001505 Long DBT USGA US N 2 2045-08-20 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31378LKA9 98.11000000 PA USD 98.47000000 0.000164934615 Long DBT USGA US N 2 2027-10-01 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FT6T9 231640.48000000 PA USD 31776.95000000 0.053225541140 Long DBT USGA US N 2 2040-05-25 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179VTW0 95539.76000000 PA USD 88891.42000000 0.148890750440 Long DBT USGA US N 2 2050-09-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36184HLS1 80521.33000000 PA USD 77019.06000000 0.129004865054 Long DBT USGA US N 2 2045-03-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36241LXT8 139993.52000000 PA USD 143374.57000000 0.240148569135 Long DBT USGA US N 2 2041-08-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31377XSA6 84.99000000 PA USD 86.07000000 0.000144164947 Long DBT USGA US N 2 2027-06-01 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36290RPY3 28172.88000000 PA USD 29938.98000000 0.050146990560 Long DBT USGA US N 2 2033-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36201HMX8 1225.83000000 PA USD 1288.34000000 0.002157935033 Long DBT USGA US N 2 2033-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36201GYX7 32186.91000000 PA USD 33792.31000000 0.056601215224 Long DBT USGA US N 2 2035-08-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38378HTS5 215467.50000000 PA USD 205479.63000000 0.344172883175 Long DBT USGA US N 2 2042-09-16 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38382J2C9 189890.02000000 PA USD 164467.05000000 0.275477908860 Long DBT USGA US N 2 2050-09-20 Fixed 1.50000000 N N N N N N Government National Mortgage Association N/A 36207FX55 874.09000000 PA USD 877.57000000 0.001469906272 Long DBT USGA US N 2 2026-07-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WR26 5070723.39000000 PA USD 4716224.91000000 7.899550553892 Long DBT USGA US N 2 2051-11-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179SB71 14876.57000000 PA USD 14310.62000000 0.023969905656 Long DBT USGA US N 2 2046-05-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38378VPP4 69536.93000000 PA USD 67189.64000000 0.112540849515 Long DBT USGA US N 2 2043-07-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36202C5S8 13235.33000000 PA USD 14149.49000000 0.023700017217 Long DBT USGA US N 2 2028-10-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179SWX1 310326.39000000 PA USD 306770.39000000 0.513832196404 Long DBT USGA US N 2 2047-02-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A5P34 45521.83000000 PA USD 2708.14000000 0.004536062050 Long DBT USGA US N 2 2027-05-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B9YL5 365872.67000000 PA USD 42421.22000000 0.071054408630 Long DBT USGA US N 2 2039-11-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38379XH52 659561.41000000 PA USD 32940.41000000 0.055174305514 Long DBT USGA US N 2 2029-05-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B1VB7 49000.00000000 PA USD 47310.53000000 0.079243872079 Long DBT USGA US N 2 2048-04-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36200M4Y6 32415.62000000 PA USD 34460.54000000 0.057720482597 Long DBT USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36176DEZ2 32671.64000000 PA USD 34828.97000000 0.058337592991 Long DBT USGA US N 2 2041-03-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 3617G1R75 28625.46000000 PA USD 28817.44000000 0.048268441064 Long DBT USGA US N 2 2048-02-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36292CHZ0 36030.01000000 PA USD 38091.79000000 0.063802729203 Long DBT USGA US N 2 2035-05-15 Fixed 5.00000000 N N N N N N 2022-04-30 SEI DAILY INCOME TRUST Peter Rodriguez Peter Rodriguez CFO XXXX