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 2024-01-31 2023-04-30 N 72162644.29 22833628.99 49329015.30 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 87110.54000000 USD N Barclays Fixed-Rate GNMA MBS Index LEH_GNMA Government National Mortgage Association N/A 38379BB31 321254.82000000 PA USD 308942.83000000 0.626290283965 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 384595.56000000 0.779653835903 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 139131.30000000 0.282047592383 Long DBT USGA US N 2 2047-11-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38378YJZ3 55665.52000000 PA USD 47715.23000000 0.096728527236 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 3441.88000000 PA USD 3524.93000000 0.007145753829 Long DBT USGA US N 2 2034-02-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31390MH23 7653.07000000 PA USD 7637.60000000 0.015482976811 Long DBT USGA US N 2 2032-09-01 Fixed 7.00000000 N N N N N N Government National Mortgage Association N/A 36185KAE6 64616.91000000 PA USD 59841.41000000 0.121310773458 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 1377.06000000 PA USD 1378.63000000 0.002794764889 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 6954.40000000 PA USD 7089.48000000 0.014371825500 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 575.95000000 PA USD 594.42000000 0.001205010877 Long DBT USGA US N 2 2028-12-15 Fixed 7.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F052656 650000.00000000 PA USD 655332.03000000 1.328492016340 Long DBT USGA US N 2 2053-05-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179R7J2 605888.99000000 PA USD 576938.51000000 1.169572322681 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 100489.30000000 PA USD 101193.06000000 0.205139022914 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 11790.31000000 PA USD 12098.81000000 0.024526761635 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 263458.56000000 0.534084368799 Long DBT USGA US N 2 2049-07-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36291AD30 11110.17000000 PA USD 11472.19000000 0.023256474774 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 545114.90000000 PA USD 483127.36000000 0.979397940667 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 286189.11000000 PA USD 288721.12000000 0.585296743192 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 19775.79000000 PA USD 19546.56000000 0.039624873679 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 18854.64000000 PA USD 19220.88000000 0.038964653729 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 232551.10000000 PA USD 204086.78000000 0.413725631372 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 -975000.00000000 PA USD -915205.07000000 -1.85530780299 Short DBT USGA US N 2 2053-05-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36202FPG5 10651.88000000 PA USD 10746.24000000 0.021784825694 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 35973.76000000 PA USD 35559.55000000 0.072086478482 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 3110000.00000000 PA USD 2837875.03000000 5.752952927888 Long DBT USGA US N 2 2053-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36297FRN4 7894.15000000 PA USD 8139.05000000 0.016499518489 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 1115239.90000000 PA USD 957606.78000000 1.941264738767 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 148233.62000000 PA USD 26942.75000000 0.054618463061 Long DBT USGA US N 2 2045-05-20 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F030652 -3014000.00000000 PA USD -2707184.23000000 -5.48801595478 Short DBT USGA US N 2 2053-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36225BSS8 945.18000000 PA USD 1006.61000000 0.002040604285 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 33835.53000000 PA USD 35054.75000000 0.071063145669 Long DBT USGA US N 2 2034-06-15 Fixed 5.00000000 N N N N N N United States of America N/A N/A 10.00000000 NC USD 2061640.63000000 4.179367087426 N/A DIR US N 1 US 2YR NOTE (CBT) JUN23 N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Jun 2023 2023-07-03 2041825.96000000 USD 19814.67000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F8ZX4 2317014.00000000 PA USD 106120.86000000 0.215128681070 Long DBT USGA US N 2 2030-12-25 Floating 0.86403240 N N N N N N Government National Mortgage Association N/A 38378JXN7 231433.40000000 PA USD 41365.34000000 0.083856001885 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 139909.36000000 PA USD 132617.08000000 0.268841936522 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 4932.15000000 PA USD 5058.63000000 0.010254877315 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 1225.14000000 PA USD 1269.24000000 0.002573008993 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 1978.39000000 PA USD 2018.64000000 0.004092196018 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 242.54000000 PA USD 242.29000000 0.000491171369 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 165875.81000000 PA USD 167344.66000000 0.339241841707 Long DBT USGA US N 2 2041-09-20 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BBHT2 554658.41000000 PA USD 390721.96000000 0.792073301329 Long DBT USGA US N 2 2050-08-25 Fixed 2.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WDS4 813378.28000000 PA USD 746310.43000000 1.512923834909 Long DBT USGA US N 2 2051-04-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 3617GNRL6 10434.49000000 PA USD 10057.00000000 0.020387595290 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 7123.40000000 PA USD 7379.54000000 0.014959836427 Long DBT USGA US N 2 2038-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 21H040657 1551000.00000000 PA USD 1491201.68000000 3.022970701788 Long DBT USGA US N 2 2053-05-15 Fixed 4.00000000 N N N N N N N/A N/A PAMGZZVY7 1600000.00000000 PA USD 1600000.00000000 3.243527141722 Long RA US N 2 Repurchase Y 4.79999880 N/A 1590967.41330600 USD 1622786.76000000 USD AMBS 9086.07963400 USD 9267.80000000 USD UST N N N Government National Mortgage Association N/A 36177WE89 366888.94000000 PA USD 360262.00000000 0.730324734457 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 462488.98000000 PA USD 22742.80000000 0.046104305674 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 6772.37000000 PA USD 7075.70000000 0.014343890622 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 9131.23000000 PA USD 8202.60000000 0.016628347332 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 17943.47000000 PA USD 16820.02000000 0.034097619621 Long DBT USGA US N 2 2045-06-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31378DQL7 316.84000000 PA USD 316.04000000 0.000640677698 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 4606.88000000 PA USD 4138.46000000 0.008389504584 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 36241LZF6 495702.00000000 PA USD 488841.73000000 0.990982137038 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 1355000.00000000 PA USD 1197137.20000000 2.426841875353 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 5966.27000000 PA USD 5963.74000000 0.012089720347 Long DBT USGA US N 2 2029-09-15 Fixed 7.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31395QCT5 289440.59000000 PA USD 30298.50000000 0.061421254439 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 32218.99000000 PA USD 31767.13000000 0.064398467731 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 203472.72000000 PA USD 189950.95000000 0.385069413700 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 36179TZ65 247985.11000000 PA USD 246510.33000000 0.499726841293 Long DBT USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 2 N/A 21H050656 1230000.00000000 PA USD 1224474.61000000 2.482260394928 Long DBT USGA US N 2 2053-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38380GK45 80000.00000000 PA USD 69831.94000000 0.141563620468 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 6682.30000000 PA USD 6767.96000000 0.013720038721 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 57991.89000000 PA USD 45530.57000000 0.092299774733 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 1388029.07000000 PA USD 1277105.55000000 2.588954071418 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 1695.14000000 PA USD 1740.60000000 0.003528552089 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 51034.06000000 PA USD 53212.33000000 0.107872272893 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 110659.66000000 PA USD 101672.28000000 0.206110499838 Long DBT USGA US N 2 2051-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36290R4U4 30093.62000000 PA USD 30705.81000000 0.062246955089 Long DBT USGA US N 2 2033-09-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FQXL2 2125837.88000000 PA USD 36607.35000000 0.074210583319 Long DBT USGA US N 2 2026-10-25 Floating 0.74909520 N N N N N N Government National Mortgage Association N/A 38379GRG4 251000.00000000 PA USD 234528.90000000 0.475438032917 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 217165.20000000 PA USD 210861.64000000 0.427459657805 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 9257.21000000 PA USD 9445.53000000 0.019148020576 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 25797.44000000 PA USD 26835.94000000 0.054401937352 Long DBT USGA US N 2 2037-12-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 36291YER4 377.24000000 PA USD 384.69000000 0.000779845285 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 227574.82000000 PA USD 28624.82000000 0.058028362873 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 51977.58000000 PA USD 49429.08000000 0.100202851606 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 51735.17000000 PA USD 53765.76000000 0.108994188659 Long DBT USGA US N 2 2038-06-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TNS0 72945.98000000 PA USD 71121.31000000 0.144177437087 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 1892.59000000 PA USD 2039.82000000 0.004135132208 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 12138.19000000 PA USD 11735.40000000 0.023790055261 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 96961.69000000 PA USD 94661.32000000 0.191897850432 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 75287.73000000 PA USD 77767.48000000 0.157650582577 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 234354.73000000 PA USD 12788.06000000 0.025924012312 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 179815.37000000 PA USD 7736.41000000 0.015683284884 Long DBT USGA US N 2 2028-09-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31383LLT0 127.74000000 PA USD 127.06000000 0.000257576599 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 228838.28000000 PA USD 36657.65000000 0.074312551704 Long DBT USGA US N 2 2042-05-16 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36241LLD6 3364.40000000 PA USD 3467.56000000 0.007029453109 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 69652.84000000 PA USD 62582.70000000 0.126867928782 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 2754.40000000 PA USD 2950.51000000 0.005981287041 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 50689.65000000 PA USD 46983.18000000 0.095244512209 Long DBT USGA US N 2 2046-12-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BJQK2 259243.34000000 PA USD 20789.66000000 0.042144891548 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 39352.66000000 PA USD 37373.31000000 0.075763340850 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 3638.99000000 PA USD 3711.00000000 0.007522955764 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 339.11000000 PA USD 338.88000000 0.000686979048 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 30431.61000000 PA USD 30008.68000000 0.060833730042 Long DBT USGA US N 2 2040-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TV69 5490.52000000 PA USD 5351.45000000 0.010848483326 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 161471.92000000 PA USD 150261.74000000 0.304611270032 Long DBT USGA US N 2 2046-02-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AT4Q4 57227.60000000 PA USD 9996.60000000 0.020265152140 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 30729.20000000 PA USD 31334.18000000 0.063520789558 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 194454.41000000 0.394198847914 Long DBT USGA US N 2 2048-01-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38379FUE7 280991.00000000 PA USD 249766.75000000 0.506328270453 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 36179SUU9 108104.21000000 PA USD 100076.68000000 0.202875892395 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 64332.42000000 0.130414968976 Long DBT USGA US N 2 2057-02-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31383YXK8 2365.94000000 PA USD 2363.23000000 0.004790750404 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 559828.97000000 PA USD 520783.05000000 1.055733723515 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 1881.42000000 PA USD 1883.35000000 0.003817935526 Long DBT USGA US N 2 2030-03-15 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2AV2 188897.24000000 PA USD 8057.26000000 0.016333713436 Long DBT USGA US N 2 2028-05-15 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31325VBN3 242227.66000000 PA USD 26266.13000000 0.053246815976 Long DBT USGA US N 2 2033-12-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BB6V9 269128.47000000 PA USD 53352.86000000 0.108157155936 Long DBT USGA US N 2 2050-10-25 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B6WW9 1074436.98000000 PA USD 57931.06000000 0.117438103411 Long DBT USGA US N 2 2029-05-25 Floating 1.51086240 N N N N N N Government National Mortgage Association N/A 38380BNN1 546526.31000000 PA USD 507720.32000000 1.029252898952 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 138967.91000000 PA USD 20151.15000000 0.040850501226 Long DBT USGA US N 2 2045-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179VSG6 940134.29000000 PA USD 830579.81000000 1.683755098188 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 281220.81000000 PA USD 54589.07000000 0.110663206366 Long DBT USGA US N 2 2040-05-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BSMR1 111052.24000000 PA USD 20958.57000000 0.042487306654 Long DBT USGA US N 2 2036-04-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BTN80 185333.57000000 PA USD 37100.85000000 0.075211008722 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 15946.38000000 PA USD 16349.87000000 0.033144529442 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 14030.79000000 PA USD 14353.89000000 0.029098269877 Long DBT USGA US N 2 2034-05-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31391ACE7 17847.51000000 PA USD 18428.63000000 0.037358600993 Long DBT USGA US N 2 2032-09-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 36292FSL2 41229.23000000 PA USD 42246.30000000 0.085641887929 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 9665.55000000 PA USD 9715.40000000 0.019695102245 Long DBT USGA US N 2 2033-08-15 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AXQ73 153806.90000000 PA USD 27644.04000000 0.056040121279 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 5063.01000000 PA USD 5194.17000000 0.010529644608 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 76125.74000000 PA USD 76659.26000000 0.155403994046 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 3059.40000000 PA USD 3078.22000000 0.006240181323 Long DBT USGA US N 2 2029-09-15 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FTZS9 1144908.24000000 PA USD 103266.72000000 0.209342755722 Long DBT USGA US N 2 2030-04-25 Floating 1.81346760 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A8GE4 158280.93000000 PA USD 6727.24000000 0.013637490955 Long DBT USGA US N 2 2027-09-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 3617FJBZ2 146710.15000000 PA USD 149162.39000000 0.302382662805 Long DBT USGA US N 2 2052-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38378UKN6 49442.69000000 PA USD 42588.49000000 0.086335577024 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 149104.44000000 PA USD 132212.56000000 0.268021891772 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 461331.53000000 PA USD 464559.39000000 0.941756869004 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 11155.17000000 PA USD 11382.10000000 0.023073843924 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 561405.23000000 PA USD 523585.64000000 1.061415146472 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 12167.87000000 PA USD 12503.28000000 0.025346705025 Long DBT USGA US N 2 2034-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36297F3Z3 8313.79000000 PA USD 8571.86000000 0.017376912853 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 153686.60000000 PA USD 154764.37000000 0.313739021666 Long DBT USGA US N 2 2043-10-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 3620AAX29 23596.90000000 PA USD 24084.17000000 0.048823536925 Long DBT USGA US N 2 2039-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179Q6Q9 330148.08000000 PA USD 325048.19000000 0.658939141645 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 239417.23000000 PA USD 234770.68000000 0.475928170412 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 9213.58000000 PA USD 8278.54000000 0.016782293239 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 12897.02000000 PA USD 13290.49000000 0.026942540651 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 6921.79000000 PA USD 6410.03000000 0.012994441427 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 627.03000000 PA USD 643.63000000 0.001304769608 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 107497.18000000 PA USD 99553.49000000 0.201815279292 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 8978.29000000 PA USD 9260.45000000 0.018772825574 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 2736.57000000 PA USD 2826.08000000 0.005729041990 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 310416.49000000 PA USD 46148.75000000 0.093552951988 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 9078.26000000 PA USD 9256.99000000 0.018765811447 Long DBT USGA US N 2 2036-03-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36201TKC0 454.85000000 PA USD 463.69000000 0.000939994437 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 11562.89000000 PA USD 10704.84000000 0.021700899429 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 959244.62000000 PA USD 878481.21000000 1.780861030080 Long DBT USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N United States of America N/A N/A 13.00000000 NC USD 1426648.44000000 2.892108085522 N/A DIR US N 1 US 5YR NOTE (CBT) JUN23 N/A Long U.S. Treasury Futures US 5-Year Note (consolidated) Jun 2023 2023-07-03 1393467.14000000 USD 33181.30000000 N N N Government National Mortgage Association N/A 36211SEC7 3726.30000000 PA USD 3858.93000000 0.007822840120 Long DBT USGA US N 2 2035-05-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TJX4 430960.76000000 PA USD 410052.52000000 0.831260298844 Long DBT USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36203ALV6 810.83000000 PA USD 810.30000000 0.001642643776 Long DBT USGA US N 2 2029-12-15 Fixed 8.00000000 N N N N N N United States of America N/A N/A 1.00000000 NC USD 141406.25000000 0.286659381177 N/A DIR US N 1 US ULTRA BOND CBT JUN23 N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Jun 2023 2023-06-24 135439.43000000 USD 5966.82000000 N N N Government National Mortgage Association N/A 36292FC39 4282.82000000 PA USD 4397.38000000 0.008914388364 Long DBT USGA US N 2 2035-08-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FWHV5 1318281.73000000 PA USD 103422.10000000 0.209657742752 Long DBT USGA US N 2 2030-07-25 Floating 1.52864640 N N N N N N Government National Mortgage Association 2 N/A 36179VXY1 174642.98000000 PA USD 154993.60000000 0.314203717745 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 6219.07000000 PA USD 6369.21000000 0.012911690941 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 32002.66000000 PA USD 31017.62000000 0.062879057713 Long DBT USGA US N 2 2048-09-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F9ZA2 2987642.70000000 PA USD 105945.99000000 0.214774183826 Long DBT USGA US N 2 2031-01-25 Floating 0.67461840 N N N N N N Government National Mortgage Association 2 N/A 36179WNE4 1264789.52000000 PA USD 1118450.08000000 2.267326994463 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 47868.96000000 PA USD 46582.38000000 0.094432008660 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 2492.86000000 PA USD 2543.57000000 0.005156336457 Long DBT USGA US N 2 2028-12-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYUL8 1340358.61000000 PA USD 42776.87000000 0.086717461801 Long DBT USGA US N 2 2031-03-25 Floating 0.61222680 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ARA89 103072.81000000 PA USD 1260.98000000 0.002556264284 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 302885.81000000 PA USD 288716.60000000 0.585287580228 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 36179RS83 96410.23000000 PA USD 89816.16000000 0.182075720453 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 660568.09000000 PA USD 586170.27000000 1.188286987759 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 1066.36000000 PA USD 1071.30000000 0.002171744141 Long DBT USGA US N 2 2029-12-15 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F62P1 1514782.62000000 PA USD 83961.37000000 0.170206864032 Long DBT USGA US N 2 2030-09-25 Floating 1.05170040 N N N N N N Government National Mortgage Association 2 N/A 36179R4D8 52605.10000000 PA USD 48927.77000000 0.099186593736 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 374.85000000 PA USD 375.18000000 0.000760566570 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 354676.34000000 PA USD 325380.11000000 0.659612011351 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 22978.18000000 PA USD 23699.23000000 0.048043184839 Long DBT USGA US N 2 2034-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WFG8 110286.33000000 PA USD 97713.16000000 0.198084554102 Long DBT USGA US N 2 2051-05-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38382E5F0 524101.25000000 PA USD 32423.21000000 0.065728476035 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 81765.04000000 PA USD 75722.30000000 0.153504584552 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 12928.09000000 PA USD 12295.62000000 0.024925735746 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 23814.49000000 PA USD 22054.55000000 0.044709082202 Long DBT USGA US N 2 2045-05-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136FENW8 438712.15000000 PA USD 358211.99000000 0.726168945034 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 1075213.88000000 PA USD 925213.78000000 1.875597504578 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 181773.69000000 PA USD 161323.14000000 0.327034989486 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 92634.91000000 PA USD 96900.02000000 0.196436153064 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 308162.13000000 PA USD 272344.64000000 0.552098269839 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 27300.08000000 PA USD 28052.77000000 0.056868700559 Long DBT USGA US N 2 2033-08-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AFB27 84877.83000000 PA USD 3154.94000000 0.006395708450 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 352774.78000000 PA USD 46190.07000000 0.093636716076 Long DBT USGA US N 2 2043-07-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F022659 -1027000.00000000 PA USD -889217.52000000 -1.80262572563 Short DBT USGA US N 2 2053-05-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38378E3P6 261239.32000000 PA USD 235467.67000000 0.477341111651 Long DBT USGA US N 2 2042-05-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ANHJ9 116941.61000000 PA USD 4699.95000000 0.009527759618 Long DBT USGA US N 2 2055-04-25 Floating 0.14223960 N N N N N N Government National Mortgage Association N/A 36290YJ33 9682.24000000 PA USD 9918.24000000 0.020106300398 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 224480.82000000 PA USD 33002.27000000 0.066902349052 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 9054.28000000 PA USD 9328.21000000 0.018910188949 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 665375.25000000 PA USD 638165.87000000 1.293692700166 Long DBT USGA US N 2 2043-03-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31379G4F6 798.17000000 PA USD 796.20000000 0.001614060193 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 1011.74000000 PA USD 1048.27000000 0.002125057623 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 13943.71000000 PA USD 14491.50000000 0.029377233483 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 722107.06000000 PA USD 712067.35000000 1.443506110287 Long DBT USGA US N 2 2042-09-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ALQU8 307892.23000000 PA USD 17023.79000000 0.034510703074 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 1081.55000000 PA USD 1086.82000000 0.002203206355 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 99465.89000000 PA USD 18774.04000000 0.038058817687 Long DBT USGA US N 2 2047-09-16 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B02D7 248928.15000000 PA USD 237396.45000000 0.481251143077 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 296299.53000000 PA USD 54940.21000000 0.111375038941 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 12010.46000000 PA USD 12243.76000000 0.024820604922 Long DBT USGA US N 2 2033-11-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 38380XPW1 245500.00000000 PA USD 230171.23000000 0.466604144842 Long DBT USGA US N 2 2048-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 3617A0KA3 206298.94000000 PA USD 191053.61000000 0.387304730974 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 270359.07000000 PA USD 257129.09000000 0.521253238963 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 -738650.39000000 -1.49739536763 Short DBT USGA US N 2 2053-05-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36202EM22 31641.87000000 PA USD 33444.82000000 0.067799488387 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 322026.72000000 0.652814004174 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 283875.10000000 PA USD 279830.43000000 0.567273496740 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 70124.65000000 PA USD 69142.05000000 0.140165072380 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 196606.41000000 PA USD 4915.00000000 0.009963709938 Long DBT USGA US N 2 2026-04-16 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F020653 -405000.00000000 PA USD -336917.28000000 -0.68300021387 Short DBT USGA US N 2 2053-05-15 Fixed 2.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179WG36 121354.20000000 PA USD 107353.76000000 0.217628021453 Long DBT USGA US N 2 2051-06-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AYCZ2 114073.05000000 PA USD 4385.41000000 0.008890122726 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 16888.51000000 PA USD 17497.19000000 0.035470381668 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 247382.44000000 PA USD 34914.59000000 0.070779012691 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 527.44000000 PA USD 538.17000000 0.001090980626 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 161.72000000 PA USD 161.55000000 0.000327494881 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 48900.43000000 PA USD 46563.57000000 0.094393876944 Long DBT USGA US N 2 2046-07-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 3617BKMJ7 26350.14000000 PA USD 25542.58000000 0.051780032187 Long DBT USGA US N 2 2048-02-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F032658 -977000.00000000 PA USD -907770.39000000 -1.84023618651 Short DBT USGA US N 2 2053-05-15 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ARFZ6 27092.33000000 PA USD 971.88000000 0.001970199474 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 18785.20000000 PA USD 18149.90000000 0.036793558293 Long DBT USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F040651 -2540000.00000000 PA USD -2427882.80000000 -4.92181484920 Short DBT USGA US N 2 2053-05-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31368HKC6 31.26000000 PA USD 32.06000000 0.000064992175 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 269842.84000000 PA USD 238539.58000000 0.483568501315 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 30375.55000000 PA USD 28886.55000000 0.058558943097 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 14385.07000000 PA USD 14664.49000000 0.029727919584 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 253854.98000000 PA USD 241766.15000000 0.490109418421 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 836.80000000 PA USD 876.62000000 0.001777087976 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 299731.97000000 PA USD 256664.36000000 0.520311136233 Long DBT USGA US N 2 2045-11-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179VKK5 218151.46000000 PA USD 194106.42000000 0.393493401032 Long DBT USGA US N 2 2050-04-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36200DJF1 517.20000000 PA USD 528.81000000 0.001072005992 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 168833.91000000 PA USD 4765.03000000 0.009659690085 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 22673.95000000 PA USD 23354.33000000 0.047344002019 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 74551.62000000 PA USD 3936.85000000 0.007980799892 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 627950.38000000 PA USD 540945.29000000 1.096606706438 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 6565.22000000 PA USD 6668.10000000 0.013517602083 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 31442.39000000 PA USD 32349.49000000 0.065579030522 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 438970.32000000 PA USD 419712.23000000 0.850842506073 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 7876.74000000 PA USD 8098.16000000 0.016416626098 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 2316.64000000 PA USD 2400.27000000 0.004865838057 Long DBT USGA US N 2 2035-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36290QA88 2720.88000000 PA USD 2776.23000000 0.005627985847 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 3654.73000000 PA USD 3739.81000000 0.007581359524 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 6374.68000000 PA USD 5913.21000000 0.011987285706 Long DBT USGA US N 2 2046-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36194CSJ3 275150.10000000 PA USD 261859.68000000 0.530843112126 Long DBT USGA US N 2 2046-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38380TE93 347451.64000000 PA USD 51415.58000000 0.104229893273 Long DBT USGA US N 2 2047-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179SNV5 50456.15000000 PA USD 48043.80000000 0.097394605807 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 1356.20000000 PA USD 1352.75000000 0.002742300838 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 31820.37000000 PA USD 31361.79000000 0.063576760673 Long DBT USGA US N 2 2040-12-15 Fixed 4.00000000 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563PLG2 193267.43000000 PA USD 181086.31000000 0.367098975924 Long ABS-MBS US N 2 2058-10-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31390DYH1 1603.08000000 PA USD 1598.95000000 0.003241398577 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 551154.03000000 PA USD 504572.05000000 1.022870711956 Long DBT USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36291YNZ6 1943.50000000 PA USD 2004.51000000 0.004063551619 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 191390.38000000 0.387987432621 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 16090.69000000 PA USD 16456.93000000 0.033361561952 Long DBT USGA US N 2 2033-08-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B0WS9 128145.88000000 PA USD 5355.45000000 0.010856592144 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 33667.15000000 PA USD 34441.79000000 0.069820550421 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 70697.30000000 PA USD 65452.47000000 0.132685539336 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 33998.80000000 PA USD 32440.85000000 0.065764235922 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 22382.31000000 PA USD 23284.58000000 0.047202604508 Long DBT USGA US N 2 2038-12-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36241LPN0 102631.01000000 PA USD 101188.81000000 0.205130407296 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 146659.59000000 PA USD 97562.77000000 0.197779682822 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 153401.24000000 PA USD 24381.32000000 0.049425920731 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 3325000.00000000 PA USD 2847096.19000000 5.771646104600 Long DBT USGA US N 2 2053-05-15 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 36241KGC6 27242.18000000 PA USD 28558.04000000 0.057892986159 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 177451.16000000 PA USD 164329.42000000 0.333129333720 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 13652.08000000 PA USD 13191.95000000 0.026742779923 Long DBT USGA US N 2 2048-02-20 Fixed 4.00000000 N N N N N N United States of America N/A N/A -6.00000000 NC USD -789937.50000000 -1.60136482594 N/A DIR US N 1 US LONG BOND(CBT) JUN23 N/A Short U.S. Treasury Futures US Long Bond (CBT) Jun 2023 2023-06-24 -753992.13000000 USD -35945.37000000 N N N Government National Mortgage Association N/A 38378THG8 370146.85000000 PA USD 329209.72000000 0.667375413836 Long DBT USGA US N 2 2043-05-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31395QCR9 34533.81000000 PA USD 1103.00000000 0.002236006523 Long DBT USGA US N 2 2027-05-25 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38380VVW8 200000.00000000 PA USD 184668.02000000 0.374359834423 Long DBT USGA US N 2 2048-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179VXZ8 61075.66000000 PA USD 56166.10000000 0.113860168621 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 161847.18000000 PA USD 149887.32000000 0.303852244137 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 418458.78000000 PA USD 389350.03000000 0.789292118709 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 27828.08000000 PA USD 27125.85000000 0.054989644198 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 246875.83000000 PA USD 40730.17000000 0.082568382426 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 166217.92000000 PA USD 30536.91000000 0.061904560255 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 239270.81000000 PA USD 184982.58000000 0.374997511859 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 372.70000000 PA USD 373.28000000 0.000756714882 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 36723.40000000 PA USD 34009.22000000 0.068943642586 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 3005321.49000000 PA USD 2588088.86000000 5.246585289124 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 37157.77000000 PA USD 33515.69000000 0.067943156367 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 2435.13000000 PA USD 2432.82000000 0.004931823563 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 152389.90000000 PA USD 141539.44000000 0.286929384540 Long DBT USGA US N 2 2046-07-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36176WYH8 202812.65000000 PA USD 198875.99000000 0.403162294626 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 774.13000000 PA USD 773.39000000 0.001567819660 Long DBT USGA US N 2 2030-06-15 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYTY2 602408.17000000 PA USD 24508.86000000 0.049684470389 Long DBT USGA US N 2 2036-02-25 Floating 0.57789360 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AMVN4 95621.07000000 PA USD 3060.94000000 0.006205151230 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 10703.23000000 PA USD 10966.82000000 0.022231986455 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 3474.93000000 PA USD 3575.13000000 0.007247519493 Long DBT USGA US N 2 2040-06-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F2LL8 1617781.67000000 PA USD 41433.01000000 0.083993182811 Long DBT USGA US N 2 2027-06-25 Floating 0.88566120 N N N N N N Government National Mortgage Association N/A 36291D5K5 10841.92000000 PA USD 11056.31000000 0.022413400982 Long DBT USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F042657 -1291000.00000000 PA USD -1262002.93000000 -2.55833797274 Short DBT USGA US N 2 2053-05-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TCX1 1389793.44000000 PA USD 1323570.73000000 2.683148491715 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 73784.89000000 PA USD 72758.88000000 0.147497126300 Long DBT USGA US N 2 2043-02-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A8CC2 97967.37000000 PA USD 9594.89000000 0.019450803835 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 41203.99000000 PA USD 38619.45000000 0.078289521420 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 6018.15000000 PA USD 5867.25000000 0.011894115388 Long DBT USGA US N 2 2041-07-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B4HR0 274495.22000000 PA USD 254800.19000000 0.516532082488 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 31405.69000000 PA USD 32539.22000000 0.065963652025 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 7306.79000000 PA USD 7123.94000000 0.014441682966 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 39378.88000000 PA USD 37204.73000000 0.075421594722 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 60480.72000000 PA USD 62106.11000000 0.125901783407 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 2379.53000000 PA USD 2377.30000000 0.004819273171 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 30585.04000000 PA USD 702.32000000 0.001423746238 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 24183.33000000 PA USD 24653.08000000 0.049976833816 Long DBT USGA US N 2 2033-11-15 Fixed 5.50000000 N N N N N N United States of America N/A N/A -9.00000000 NC USD -1036828.13000000 -2.10186261309 N/A DIR US N 1 US 10YR NOTE (CBT)JUN23 N/A Short U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Jun 2023 2023-06-24 -1041545.15000000 USD 4717.02000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31377CWB5 3914.67000000 PA USD 3927.66000000 0.007962169883 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 123210.18000000 PA USD 19053.53000000 0.038625401062 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 3569.08000000 PA USD 3504.01000000 0.007103344712 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 1218.16000000 PA USD 1217.70000000 0.002468526875 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 280196.26000000 PA USD 266664.56000000 0.540583586309 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 226291.18000000 PA USD 210118.73000000 0.425953627337 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 264527.94000000 PA USD 237632.70000000 0.481730070131 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 36179XX50 1000000.00000000 PA USD 995606.23000000 2.018297393420 Long DBT USGA US N 2 2053-04-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179VVY3 171921.08000000 PA USD 152597.14000000 0.309345603337 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 833.93000000 PA USD 874.64000000 0.001773074112 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 2021.98000000 PA USD 2094.96000000 0.004246912263 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 296.11000000 PA USD 295.86000000 0.000599768712 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 2575.02000000 PA USD 2627.40000000 0.005326277007 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 3693.59000000 PA USD 3772.19000000 0.007647000405 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 231255.89000000 PA USD 207615.44000000 0.420878946675 Long DBT USGA US N 2 2046-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36200NC74 2244.47000000 PA USD 2325.33000000 0.004713919355 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 318347.49000000 PA USD 47065.96000000 0.095412324194 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 2058.32000000 PA USD 2098.30000000 0.004253683125 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 176550.48000000 PA USD 35707.23000000 0.072385856037 Long DBT USGA US N 2 2047-01-16 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36290R3Q4 209934.64000000 PA USD 217497.38000000 0.440911659552 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 382621.94000000 PA USD 355214.28000000 0.720091973942 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 145966.62000000 PA USD 144055.78000000 0.292030520220 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 182753.60000000 PA USD 9843.38000000 0.019954543872 Long DBT USGA US N 2 2030-02-16 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B06E9 137022.31000000 PA USD 5313.99000000 0.010772544247 Long DBT USGA US N 2 2028-03-15 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398SBC6 149120.98000000 PA USD 20720.43000000 0.042004548183 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 71190.52000000 PA USD 70172.30000000 0.142253599779 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 60347.25000000 PA USD 57624.52000000 0.116816684155 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 135882.95000000 PA USD 21546.65000000 0.043679465055 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 337174.60000000 PA USD 321316.00000000 0.651373229418 Long DBT USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36225BAM0 3735.09000000 PA USD 3830.87000000 0.007765956763 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 34673.83000000 PA USD 35568.79000000 0.072105209852 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 27582.37000000 PA USD 27775.70000000 0.056307023018 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 82812.34000000 PA USD 80322.48000000 0.162830089981 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 254236.07000000 PA USD 52377.99000000 0.106180895121 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 283990.80000000 PA USD 270090.41000000 0.547528484721 Long DBT USGA US N 2 2048-03-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B0Q64 176203.80000000 PA USD 5985.31000000 0.012133447147 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 1125.42000000 PA USD 1145.31000000 0.002321777544 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 231259.43000000 PA USD 198709.13000000 0.402824035289 Long DBT USGA US N 2 2051-03-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 36183X2Q2 67285.45000000 PA USD 62312.72000000 0.126320624121 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 415757.47000000 PA USD 386979.44000000 0.784486448080 Long DBT USGA US N 2 2045-04-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B75H0 828783.04000000 PA USD 9316.35000000 0.018886146304 Long DBT USGA US N 2 2030-01-25 Floating 0.40263120 N N N N N N Government National Mortgage Association 2 N/A 21H042653 1575000.00000000 PA USD 1545222.66000000 3.132482273571 Long DBT USGA US N 2 2053-05-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36241LTH9 475313.92000000 PA USD 489919.14000000 0.993166267399 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 7594.07000000 PA USD 7609.60000000 0.015426215086 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 5855.05000000 PA USD 5864.46000000 0.011888459488 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 188159.38000000 0.381437534999 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 24666.38000000 PA USD 22158.77000000 0.044920357451 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 637.71000000 PA USD 639.53000000 0.001296458070 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 1066.22000000 PA USD 1093.56000000 0.002216869713 Long DBT USGA US N 2 2027-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 38380CF81 279640.83000000 PA USD 44819.80000000 0.090858898616 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 27294.72000000 PA USD 28004.99000000 0.056771840730 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 252643.28000000 PA USD 223198.66000000 0.452469319816 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 616949.23000000 1.250682232856 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 439636.36000000 PA USD 418387.97000000 0.848157960290 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 129303.20000000 PA USD 4523.27000000 0.009169593133 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 459960.30000000 PA USD 423074.75000000 0.857659021626 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 427.01000000 PA USD 453.57000000 0.000919479128 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 1145.33000000 PA USD 1186.62000000 0.002405521360 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 59972.76000000 PA USD 60315.66000000 0.122272175175 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 1103.04000000 PA USD 1125.48000000 0.002281578079 Long DBT USGA US N 2 2028-04-15 Fixed 6.00000000 N N N N N N United States of America N/A N/A 3.00000000 NC USD 364359.38000000 0.738630961482 N/A DIR US N 1 US 10YR ULTRA FUT JUN23 N/A Long U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2023 2023-06-24 362818.29000000 USD 1541.09000000 N N N Government National Mortgage Association N/A 36211RXV6 3825.87000000 PA USD 3914.74000000 0.007935978401 Long DBT USGA US N 2 2035-12-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 36183YKT4 47882.70000000 PA USD 44344.70000000 0.089895773775 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 45541.53000000 PA USD 46737.33000000 0.094746123991 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 318758.40000000 PA USD 313007.54000000 0.634530282221 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 36631.18000000 PA USD 34823.74000000 0.070594841166 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 7263.09000000 PA USD 7290.31000000 0.014778948972 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 36179WLP1 721222.43000000 PA USD 637969.63000000 1.293294881562 Long DBT USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36200M3J0 9515.74000000 PA USD 9692.88000000 0.019649449600 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 4680.69000000 PA USD 4782.50000000 0.009695105347 Long DBT USGA US N 2 2033-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 36290RVE0 60403.91000000 PA USD 61747.59000000 0.125174990063 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 867.98000000 PA USD 891.48000000 0.001807212235 Long DBT USGA US N 2 2027-10-15 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31378LKA9 82.97000000 PA USD 82.77000000 0.000167791713 Long DBT USGA US N 2 2027-10-01 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FT6T9 194483.32000000 PA USD 29341.68000000 0.059481584664 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 83367.26000000 PA USD 74037.93000000 0.150090022169 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 67051.59000000 PA USD 62097.60000000 0.125884531897 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 123817.81000000 PA USD 122057.88000000 0.247436279150 Long DBT USGA US N 2 2041-08-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31377XSA6 57.04000000 PA USD 56.97000000 0.000115489838 Long DBT USGA US N 2 2027-06-01 Fixed 8.00000000 N N N N N N Government National Mortgage Association N/A 36201HMX8 1106.94000000 PA USD 1141.65000000 0.002314357975 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 23615.76000000 PA USD 24242.10000000 0.049143693326 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 212139.51000000 PA USD 179639.42000000 0.364165834058 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 166670.11000000 PA USD 137417.59000000 0.278573551821 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 661.52000000 PA USD 660.91000000 0.001339799702 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 2699553.44000000 PA USD 2385637.62000000 4.836175231740 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 12665.42000000 PA USD 11756.54000000 0.023832910364 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 60812.57000000 PA USD 55127.49000000 0.111754693793 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 10923.15000000 PA USD 11363.88000000 0.023036908259 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 263674.22000000 PA USD 251070.85000000 0.508971947793 Long DBT USGA US N 2 2047-02-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A5P34 30343.44000000 PA USD 1350.83000000 0.002738408605 Long DBT USGA US N 2 2027-05-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38379XH52 394721.21000000 PA USD 12903.79000000 0.026158620685 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 44633.44000000 0.090481108792 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 8286.19000000 PA USD 8584.61000000 0.017402759710 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 28132.66000000 PA USD 29006.38000000 0.058801863008 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 25818.60000000 PA USD 24935.77000000 0.050549904246 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 30574.98000000 PA USD 31556.32000000 0.063971112758 Long DBT USGA US N 2 2035-05-15 Fixed 5.00000000 N N N N N N 2023-04-30 SEI DAILY INCOME TRUST Ankit Puri Ankit Puri CFO XXXX