NPORT-P false 0000701939 XXXXXXXX S000008267 C000147419 C000022552 SEI DAILY INCOME TRUST 811-03451 0000701939 LTKY0J47NCTZPKTU4C46 2 OLIVER STREET BOSTON 02109 8003455734 SDIT Short Duration Government Fund S000008267 549300NRAJ39MCMGSN10 2025-01-31 2024-04-30 N 829884844.17 171170664.44 658714179.73 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 0.00000000 USD N ICE BofA 1-3 Year US Treasury Index (USD) ML1-3YR Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HC2C5 6620000.00000000 PA USD 6661134.69000000 1.011232928480 Long DBT USGA US N 2 2029-01-25 Floating 5.35500000 N N N N N N Government National Mortgage Association N/A 38379XH52 491431.74000000 PA USD 8695.64000000 0.001320093033 Long DBT USGA US N 2 2029-05-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AT4Q4 416349.13000000 PA USD 74804.12000000 0.011356081636 Long DBT USGA US N 2 2046-10-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36291FLF3 62281.31000000 PA USD 63079.91000000 0.009576218630 Long DBT USGA US N 2 2035-05-15 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A73B6 277489.82000000 PA USD 5556.15000000 0.000843484195 Long DBT USGA US N 2 2027-07-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31424UPE0 3725606.83000000 PA USD 568609.49000000 0.086321124927 Long DBT USGA US N 2 2052-06-25 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36291GA63 468.69000000 PA USD 471.75000000 0.000071616797 Long DBT USGA US N 2 2034-10-15 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418EWE6 0.02000000 PA USD 0.02000000 0.000000003036 Long DBT USGA US N 2 2053-09-01 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A5PP3 2068792.17000000 PA USD 2049209.40000000 0.311092346735 Long DBT USGA US N 2 2041-01-15 Floating 5.97449880 N N N N N N Government National Mortgage Association N/A 38379EV82 5057710.22000000 PA USD 4803633.11000000 0.729243920628 Long DBT USGA US N 2 2029-09-16 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 36200QW67 7928.20000000 PA USD 8104.29000000 0.001230319651 Long DBT USGA US N 2 2032-01-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 38379FK73 610965.64000000 PA USD 92304.75000000 0.014012868227 Long DBT USGA US N 2 2043-07-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31422M2A3 4424695.61000000 PA USD 584409.77000000 0.088719779835 Long DBT USGA US N 2 2052-03-25 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B2TU6 10970841.45000000 PA USD 10555348.26000000 1.602417039864 Long DBT USGA US N 2 2047-01-25 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PQPY1 2805.18000000 PA USD 2788.67000000 0.000423350534 Long DBT USGA US N 2 2024-12-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BDQ84 4433905.10000000 PA USD 664007.44000000 0.100803574666 Long DBT USGA US N 2 2051-02-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31392MH39 172467.68000000 PA USD 171025.64000000 0.025963558287 Long DBT USGA US N 2 2042-02-25 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HBPM0 14000000.00000000 PA USD 14151424.00000000 2.148340575543 Long DBT USGA US N 2 2029-01-25 Fixed 5.47700000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BB6V9 2682881.58000000 PA USD 512671.04000000 0.077829057848 Long DBT USGA US N 2 2050-10-25 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PQ4F5 15395.98000000 PA USD 15289.66000000 0.002321137220 Long DBT USGA US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133GDCU2 1823049.38000000 PA USD 1581274.07000000 0.240054657795 Long DBT USGA US N 2 2036-05-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F9ZA2 13535566.36000000 PA USD 410261.66000000 0.062282196531 Long DBT USGA US N 2 2031-01-25 Floating 0.67249080 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140LK4M2 2335908.00000000 PA USD 2225950.11000000 0.337923515008 Long DBT USGA US N 2 2028-07-01 Fixed 3.98000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AYYN5 143110.15000000 PA USD 2258.41000000 0.000342851280 Long DBT USGA US N 2 2032-05-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A7GL0 79281.85000000 PA USD 497.45000000 0.000075518337 Long DBT USGA US N 2 2027-02-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418BKY1 2477691.44000000 PA USD 2306496.46000000 0.350151329814 Long DBT USGA US N 2 2034-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38378U4C8 259349.09000000 PA USD 248904.45000000 0.037786411414 Long DBT USGA US N 2 2040-06-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140E2HJ3 8914.44000000 PA USD 8405.70000000 0.001276076978 Long DBT USGA US N 2 2030-10-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ARFZ6 111597.95000000 PA USD 2451.84000000 0.000372216065 Long DBT USGA US N 2 2031-02-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XHC62 156724.61000000 PA USD 143685.52000000 0.021813029751 Long DBT USGA US N 2 2049-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36200KA72 4168.93000000 PA USD 4248.37000000 0.000644948921 Long DBT USGA US N 2 2033-10-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HABF2 3885204.86000000 PA USD 698007.36000000 0.105965133509 Long DBT USGA US N 2 2047-10-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FQXL2 22944023.35000000 PA USD 262982.10000000 0.039923552292 Long DBT USGA US N 2 2026-10-25 Floating 0.74212200 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31371MTL1 7379.86000000 PA USD 7436.76000000 0.001128981313 Long DBT USGA US N 2 2026-05-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A3RV3 1354236.56000000 PA USD 1295627.77000000 0.196690432644 Long DBT USGA US N 2 2030-12-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B1CJ9 347039.38000000 PA USD 13460.65000000 0.002043473545 Long DBT USGA US N 2 2028-04-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2AV2 200357.30000000 PA USD 6730.56000000 0.001021772448 Long DBT USGA US N 2 2028-05-15 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140LKWZ2 2670000.00000000 PA USD 2606429.33000000 0.395684412178 Long DBT USGA US N 2 2028-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H9UF4 14650984.00000000 PA USD 408932.41000000 0.062080401877 Long DBT USGA US N 2 2033-01-25 Floating 0.52664040 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563PKG3 6214219.47000000 PA USD 5736681.56000000 0.870890856236 Long ABS-MBS US N 2 2058-08-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38380CEN9 822238.30000000 PA USD 123534.56000000 0.018753894147 Long DBT USGA US N 2 2039-03-20 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PQBX8 954.05000000 PA USD 950.34000000 0.000144271981 Long DBT USGA US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 38381Y5P5 2653068.50000000 PA USD 2403734.98000000 0.364913198162 Long DBT USGA US N 2 2049-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36241LWN2 249427.00000000 PA USD 245483.27000000 0.037267038960 Long DBT USGA US N 2 2041-04-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138EQFD9 271366.36000000 PA USD 257923.87000000 0.039155657785 Long DBT USGA US N 2 2041-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 3620ACVF8 933.17000000 PA USD 914.29000000 0.000138799198 Long DBT USGA US N 2 2039-12-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PRT41 445.82000000 PA USD 444.15000000 0.000067426816 Long DBT USGA US N 2 2025-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 38380WH28 2377601.50000000 PA USD 436093.96000000 0.066203821538 Long DBT USGA US N 2 2045-08-20 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F062655 -15450000.00000000 PA USD -15566508.14000000 -2.36316578859 Short DBT USGA US N 2 2054-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 38379LGE0 656538.38000000 PA USD 625775.95000000 0.094999617323 Long DBT USGA US N 2 2044-04-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWXL3 4160550.65000000 PA USD 3959760.15000000 0.601134797435 Long DBT USGA US N 2 2035-05-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38380CNU3 246029.63000000 PA USD 54156.56000000 0.008221556733 Long DBT USGA US N 2 2047-01-16 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F7DE2 2673679.02000000 PA USD 2401681.64000000 0.364601478745 Long DBT USGA US N 2 2044-06-15 Fixed 1.00000000 N N N N N N Government National Mortgage Association 2 N/A 21H050656 150000.00000000 PA USD 143577.79000000 0.021796675161 Long DBT USGA US N 2 2054-05-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AHF96 1623080.67000000 PA USD 1603441.56000000 0.243419924656 Long DBT USGA US N 2 2041-06-25 Floating 5.64450120 N N N N N N Government National Mortgage Association N/A 3620A4TV4 1385.10000000 PA USD 1340.33000000 0.000203476718 Long DBT USGA US N 2 2039-09-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MDG80 5878.73000000 PA USD 5848.68000000 0.000887893441 Long DBT USGA US N 2 2026-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 38376VPU5 1165767.84000000 PA USD 236270.48000000 0.035868436913 Long DBT USGA US N 2 2040-02-16 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MCQV0 25693.61000000 PA USD 25454.03000000 0.003864199493 Long DBT USGA US N 2 2025-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B6WW9 9906715.97000000 PA USD 426927.94000000 0.064812319688 Long DBT USGA US N 2 2029-05-25 Floating 1.57917240 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BJQK2 301204.79000000 PA USD 19282.59000000 0.002927307562 Long DBT USGA US N 2 2030-07-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38378YFG9 5080873.70000000 PA USD 4832464.70000000 0.733620870584 Long DBT USGA US N 2 2028-11-16 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 38383UB82 0.04000000 PA USD 0.04000000 0.000000006072 Long DBT USGA US N 2 2052-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36241LXG6 36236.86000000 PA USD 33666.42000000 0.005110929904 Long DBT USGA US N 2 2041-08-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BGQ85 691715.85000000 PA USD 635289.68000000 0.096443905346 Long DBT USGA US N 2 2044-05-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2JF8 81355.21000000 PA USD 2085.65000000 0.000316624427 Long DBT USGA US N 2 2028-06-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31395Q3G3 1743369.26000000 PA USD 327564.77000000 0.049727906287 Long DBT USGA US N 2 2043-08-25 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FRZC8 12221094.87000000 PA USD 889506.28000000 0.135036759093 Long DBT USGA US N 2 2030-01-25 Floating 1.70717400 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9QC4 749574.57000000 PA USD 717340.06000000 0.108900048317 Long DBT USGA US N 2 2030-01-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PRMK2 3932.83000000 PA USD 3904.56000000 0.000592754812 Long DBT USGA US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PRY52 3297.52000000 PA USD 3272.96000000 0.000496871040 Long DBT USGA US N 2 2025-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVQ47 2616693.57000000 PA USD 527834.98000000 0.080131109401 Long DBT USGA US N 2 2050-09-25 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 3620C0WR5 6676.64000000 PA USD 6454.73000000 0.000979898444 Long DBT USGA US N 2 2040-05-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B3JX7 865924.23000000 PA USD 785539.53000000 0.119253472017 Long DBT USGA US N 2 2042-08-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AMVN4 63338.40000000 PA USD 1157.43000000 0.000175710503 Long DBT USGA US N 2 2027-03-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307SLY7 1325896.12000000 PA USD 1225788.44000000 0.186088060302 Long DBT USGA US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MCH57 119.47000000 PA USD 119.02000000 0.000018068534 Long DBT USGA US N 2 2024-09-01 Fixed 4.50000000 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563PML0 4700488.28000000 PA USD 4214291.86000000 0.639775488319 Long ABS-MBS US N 2 2059-02-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140LKXA6 1086956.00000000 PA USD 1045234.28000000 0.158677968709 Long DBT USGA US N 2 2028-06-01 Fixed 4.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396JZE8 65945.40000000 PA USD 65055.04000000 0.009876064915 Long DBT USGA US N 2 2034-02-15 Floating 5.84449920 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A5P34 153696.28000000 PA USD 4807.71000000 0.000729862837 Long DBT USGA US N 2 2027-05-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38379V5S9 798828.65000000 PA USD 129733.77000000 0.019695001867 Long DBT USGA US N 2 2046-02-20 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 38383RNR4 5257159.71000000 PA USD 4939670.90000000 0.749895941518 Long DBT USGA US N 2 2052-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38378DV51 1126295.93000000 PA USD 1084566.33000000 0.164649003069 Long DBT USGA US N 2 2027-03-20 Fixed 2.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31384PRR8 793.04000000 PA USD 789.03000000 0.000119783363 Long DBT USGA US N 2 2029-12-01 Floating 3.70500120 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPR26 2777165.58000000 PA USD 2703338.63000000 0.410396301337 Long DBT USGA US N 2 2053-02-01 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138YBTG8 4965.65000000 PA USD 4702.54000000 0.000713896883 Long DBT USGA US N 2 2030-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FXBZ0 1291541.73000000 PA USD 996402.10000000 0.151264710956 Long DBT USGA US N 2 2040-10-25 Fixed 1.00000000 N N N N N N Government National Mortgage Association N/A 36296NZM1 17095.57000000 PA USD 17060.01000000 0.002589895667 Long DBT USGA US N 2 2038-08-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQLJ3 169361.52000000 PA USD 155350.20000000 0.023583855453 Long DBT USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AKXK4 734874.80000000 PA USD 33052.32000000 0.005017702824 Long DBT USGA US N 2 2044-08-25 Floating 0.03828240 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B9YL5 2699563.90000000 PA USD 231340.75000000 0.035120050109 Long DBT USGA US N 2 2039-11-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36209LKM7 889.33000000 PA USD 902.69000000 0.000137038191 Long DBT USGA US N 2 2029-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 36213FQU0 15549.46000000 PA USD 16106.67000000 0.002445168252 Long DBT USGA US N 2 2033-04-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KE4V4 1302508.13000000 PA USD 1217464.57000000 0.184824406011 Long DBT USGA US N 2 2030-06-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FT6T9 1827728.30000000 PA USD 271857.59000000 0.041270948518 Long DBT USGA US N 2 2040-05-25 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F060659 -4181000.00000000 PA USD -4142130.16000000 -0.62882055487 Short DBT USGA US N 2 2054-05-15 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31395QCR9 136463.31000000 PA USD 3093.27000000 0.000469592138 Long DBT USGA US N 2 2027-05-25 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38378EAS2 123403.04000000 PA USD 2327.25000000 0.000353301943 Long DBT USGA US N 2 2040-07-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312938K51 684456.80000000 PA USD 651423.69000000 0.098893224109 Long DBT USGA US N 2 2039-12-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140E9JN7 91853.89000000 PA USD 86452.22000000 0.013124390313 Long DBT USGA US N 2 2031-01-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B0Q64 130410.43000000 PA USD 2912.76000000 0.000442188750 Long DBT USGA US N 2 2028-03-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PVJQ4 2032.94000000 PA USD 2014.32000000 0.000305795755 Long DBT USGA US N 2 2026-06-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140QSF22 5867292.65000000 PA USD 5706742.11000000 0.866345721043 Long DBT USGA US N 2 2053-06-01 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AAGY5 2449203.22000000 PA USD 1991760.64000000 0.302370998118 Long DBT USGA US N 2 2042-12-25 Fixed 2.00000000 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563PLK3 893165.05000000 PA USD 784516.61000000 0.119098181600 Long ABS-MBS US N 2 2058-10-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XCJT6 1821884.30000000 PA USD 1580220.26000000 0.239894677938 Long DBT USGA US N 2 2036-08-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140NUBN8 2440000.00000000 PA USD 2425468.85000000 0.368212636775 Long DBT USGA US N 2 2028-12-01 Fixed 5.06500000 N N N N N N Government National Mortgage Association N/A 38379BJF6 139841.01000000 PA USD 130707.29000000 0.019842792826 Long DBT USGA US N 2 2040-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36296QQM4 8507.33000000 PA USD 8563.00000000 0.001299956834 Long DBT USGA US N 2 2039-02-15 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140KAYL4 983765.70000000 PA USD 853286.55000000 0.129538208870 Long DBT USGA US N 2 2036-05-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140F0MT8 48590.82000000 PA USD 45302.03000000 0.006877342464 Long DBT USGA US N 2 2031-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FQ3S0 2743267.54000000 PA USD 2740469.96000000 0.416033242387 Long DBT USGA US N 2 2026-10-25 Floating 5.93687880 N N N N N N Government National Mortgage Association N/A 38379GNX1 2808683.23000000 PA USD 2647507.79000000 0.401920570631 Long DBT USGA US N 2 2029-09-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B06E9 132085.80000000 PA USD 3889.86000000 0.000590523191 Long DBT USGA US N 2 2028-03-15 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31371NFP5 1572.95000000 PA USD 1610.65000000 0.000244514244 Long DBT USGA US N 2 2037-06-01 Fixed 7.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XCHW1 1650424.88000000 PA USD 1529035.35000000 0.232124250099 Long DBT USGA US N 2 2032-06-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PRP86 7996.18000000 PA USD 7963.24000000 0.001208906722 Long DBT USGA US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36241LXM3 715910.74000000 PA USD 720594.94000000 0.109394174616 Long DBT USGA US N 2 2041-02-15 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ABVF7 286456.62000000 PA USD 270694.72000000 0.041094412163 Long DBT USGA US N 2 2041-11-25 Fixed 1.75000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AYP31 170679.40000000 PA USD 169771.49000000 0.025773164632 Long DBT USGA US N 2 2024-10-25 Floating 5.83311960 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F022659 1450000.00000000 PA USD 1147031.14000000 0.174131842807 Long DBT USGA US N 2 2054-05-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38383TWE9 0.03000000 PA USD 0.03000000 0.000000004554 Long DBT USGA US N 2 2044-09-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H9BH1 1349197.03000000 PA USD 1318207.73000000 0.200118316952 Long DBT USGA US N 2 2039-08-25 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140NUV89 2595000.00000000 PA USD 2557972.41000000 0.388328122987 Long DBT USGA US N 2 2029-04-01 Fixed 4.82000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F042657 39059000.00000000 PA USD 35989519.19000000 5.463601710342 Long DBT USGA US N 2 2054-05-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 38375GJB8 1206310.30000000 PA USD 1087496.58000000 0.165093846992 Long DBT USGA US N 2 2042-03-20 Fixed 1.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B05Q3 311282.86000000 PA USD 24796.73000000 0.003764414181 Long DBT USGA US N 2 2033-03-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AFB27 75147.86000000 PA USD 1964.85000000 0.000298285669 Long DBT USGA US N 2 2026-09-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31325UEE2 1622098.81000000 PA USD 237595.51000000 0.036069590925 Long DBT USGA US N 2 2043-01-15 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140LRBW7 315798.91000000 PA USD 273907.80000000 0.041582192767 Long DBT USGA US N 2 2036-08-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BALN2 3713059.79000000 PA USD 575494.19000000 0.087366297509 Long DBT USGA US N 2 2050-06-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BBTN2 2661616.57000000 PA USD 513702.91000000 0.077985706973 Long DBT USGA US N 2 2050-09-25 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BMG69 5660552.18000000 PA USD 5359915.73000000 0.813693692186 Long DBT USGA US N 2 2052-05-25 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 38382CJ51 1791491.52000000 PA USD 368322.95000000 0.055915442741 Long DBT USGA US N 2 2050-02-20 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418BMM5 737442.94000000 PA USD 653910.57000000 0.099270759628 Long DBT USGA US N 2 2045-02-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31396KBZ4 166666.66000000 PA USD 164828.51000000 0.025022766333 Long DBT USGA US N 2 2036-08-25 Floating 5.84449920 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A9W61 1995603.20000000 PA USD 1878479.85000000 0.285173738140 Long DBT USGA US N 2 2042-03-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38383RYD3 11524510.61000000 PA USD 10360567.31000000 1.572847166315 Long DBT USGA US N 2 2036-09-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38379BCS5 805964.25000000 PA USD 728208.61000000 0.110550012798 Long DBT USGA US N 2 2039-12-16 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131YDEK6 853362.81000000 PA USD 800665.63000000 0.121549779045 Long DBT USGA US N 2 2034-05-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138EPSG0 746228.63000000 PA USD 709269.08000000 0.107674785487 Long DBT USGA US N 2 2044-08-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ANV61 608645.40000000 PA USD 24485.74000000 0.003717202506 Long DBT USGA US N 2 2055-06-25 Floating 0.21070080 N N N N N N Government National Mortgage Association N/A 38380CP80 979002.53000000 PA USD 170207.91000000 0.025839417950 Long DBT USGA US N 2 2040-09-20 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPZS0 616327.20000000 PA USD 564563.26000000 0.085706863063 Long DBT USGA US N 2 2049-05-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31408EDD1 18817.96000000 PA USD 19347.06000000 0.002937094812 Long DBT USGA US N 2 2036-01-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128ME4B4 1249097.77000000 PA USD 1173084.55000000 0.178087034725 Long DBT USGA US N 2 2031-12-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36295VX53 615.36000000 PA USD 631.96000000 0.000095938423 Long DBT USGA US N 2 2038-03-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HB3D4 2365000.00000000 PA USD 2350711.62000000 0.356863673553 Long DBT USGA US N 2 2028-10-25 Floating 5.06900160 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PUVV1 6734.12000000 PA USD 6690.38000000 0.001015672685 Long DBT USGA US N 2 2026-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 38379GSX6 1666607.97000000 PA USD 1590736.98000000 0.241491230787 Long DBT USGA US N 2 2029-10-20 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31396WVR4 1073778.70000000 PA USD 1065803.64000000 0.161800621999 Long DBT USGA US N 2 2037-07-25 Floating 5.81450040 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F9DQ1 6413113.33000000 PA USD 5264429.18000000 0.799197792001 Long DBT USGA US N 2 2051-02-25 Fixed 1.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PQCX7 675.01000000 PA USD 671.94000000 0.000102007823 Long DBT USGA US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 38378H3E4 1649605.82000000 PA USD 243804.32000000 0.037012156031 Long DBT USGA US N 2 2042-10-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31423YVK2 4294131.74000000 PA USD 679835.17000000 0.103206396783 Long DBT USGA US N 2 2052-09-25 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36294SM95 93730.37000000 PA USD 96992.65000000 0.014724542599 Long DBT USGA US N 2 2037-01-15 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31417Y5E3 165742.30000000 PA USD 161145.62000000 0.024463663445 Long DBT USGA US N 2 2031-08-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A8CC2 750943.20000000 PA USD 58981.56000000 0.008954044381 Long DBT USGA US N 2 2042-01-25 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 38377EG73 559807.48000000 PA USD 113161.56000000 0.017179159563 Long DBT USGA US N 2 2040-05-20 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F032658 -3080000.00000000 PA USD -2654463.38000000 -0.40297650508 Short DBT USGA US N 2 2054-05-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38378DQU2 1472740.00000000 PA USD 1413856.91000000 0.214638906145 Long DBT USGA US N 2 2027-03-20 Fixed 2.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYML7 2860828.13000000 PA USD 543112.77000000 0.082450444625 Long DBT USGA US N 2 2051-04-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31416BK72 98580.23000000 PA USD 98148.33000000 0.014899987433 Long DBT USGA US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AUYH8 1670464.86000000 PA USD 1518822.40000000 0.230573812851 Long DBT USGA US N 2 2040-07-25 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ASZ58 381516.33000000 PA USD 346941.83000000 0.052669555427 Long DBT USGA US N 2 2045-07-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38379QGG4 50295.10000000 PA USD 1489.46000000 0.000226116280 Long DBT USGA US N 2 2027-02-16 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38382EAJ6 3768910.15000000 PA USD 2980965.59000000 0.452543103174 Long DBT USGA US N 2 2050-04-16 Fixed 1.50000000 N N N N N N Government National Mortgage Association N/A 38378WY23 2780113.70000000 PA USD 2758315.66000000 0.418742414370 Long DBT USGA US N 2 2039-10-20 Floating 5.82991920 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BVPH3 1770769.42000000 PA USD 1660332.37000000 0.252056570374 Long DBT USGA US N 2 2044-09-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140LWEP8 1343468.19000000 PA USD 1165251.65000000 0.176897915037 Long DBT USGA US N 2 2036-09-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 36200FB98 96649.01000000 PA USD 100112.40000000 0.015198154689 Long DBT USGA US N 2 2037-08-15 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138Y3YF2 23611.58000000 PA USD 22427.27000000 0.003404704299 Long DBT USGA US N 2 2029-10-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 3620AATA6 1852.92000000 PA USD 1844.62000000 0.000280033443 Long DBT USGA US N 2 2039-08-15 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138ETR32 4078299.57000000 PA USD 3929683.36000000 0.596568812532 Long DBT USGA US N 2 2030-10-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38379VRH9 526224.47000000 PA USD 19190.99000000 0.002913401683 Long DBT USGA US N 2 2042-04-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138ELV75 2831128.90000000 PA USD 2751389.84000000 0.417690999323 Long DBT USGA US N 2 2027-10-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AP2P6 114560.25000000 PA USD 5280.35000000 0.000801614746 Long DBT USGA US N 2 2030-08-25 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F1RA8 4466355.00000000 PA USD 4144336.61000000 0.629155518057 Long DBT USGA US N 2 2040-09-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136FGRW9 703489.29000000 PA USD 594168.55000000 0.090201269121 Long DBT USGA US N 2 2039-09-25 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PQKH3 94.17000000 PA USD 93.88000000 0.000014252008 Long DBT USGA US N 2 2024-11-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138M6L96 25783.02000000 PA USD 24628.78000000 0.003738917539 Long DBT USGA US N 2 2027-09-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A8GE4 153474.99000000 PA USD 4688.28000000 0.000711732059 Long DBT USGA US N 2 2027-09-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38380CF81 802864.46000000 PA USD 124108.15000000 0.018840971368 Long DBT USGA US N 2 2047-02-16 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B4HR0 2094201.76000000 PA USD 1864094.43000000 0.282989874419 Long DBT USGA US N 2 2043-03-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140X64L2 2316943.43000000 PA USD 2224807.86000000 0.337750108994 Long DBT USGA US N 2 2034-08-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XBJA8 599437.02000000 PA USD 579017.52000000 0.087901177448 Long DBT USGA US N 2 2029-02-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398GW39 430175.27000000 PA USD 417875.70000000 0.063438090883 Long DBT USGA US N 2 2040-02-25 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B0WS9 132554.93000000 PA USD 4346.03000000 0.000659774775 Long DBT USGA US N 2 2028-03-15 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BKWG3 3900814.36000000 PA USD 596896.37000000 0.090615381961 Long DBT USGA US N 2 2052-01-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31385XFA0 1583.78000000 PA USD 1577.46000000 0.000239475640 Long DBT USGA US N 2 2024-09-01 Floating 6.11600040 N N N N N N N/A N/A PAMGZZVY5 5900000.00000000 PA USD 5900000.00000000 0.895684377466 Long RA US N 2 Repurchase Y 5.31000000 N/A 3024455.04056929 USD 3084944.15000000 USD AMBS 2875585.23300000 USD 2933096.93000000 USD UST N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XPBW8 51560147.10000000 PA USD 48868380.53000000 7.418753388613 Long DBT USGA US N 2 2053-11-01 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XLEM6 1366223.33000000 PA USD 1368967.81000000 0.207824250961 Long DBT USGA US N 2 2053-05-01 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A4CZ0 1072149.73000000 PA USD 80254.70000000 0.012183539153 Long DBT USGA US N 2 2042-02-25 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FCEH3 5151654.28000000 PA USD 4407532.85000000 0.669111579138 Long DBT USGA US N 2 2047-12-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36206GRG7 13233.39000000 PA USD 13271.07000000 0.002014693232 Long DBT USGA US N 2 2039-02-15 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BHES4 3731702.42000000 PA USD 666711.18000000 0.101214031899 Long DBT USGA US N 2 2050-05-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398RK87 1403071.50000000 PA USD 1370074.35000000 0.207992235807 Long DBT USGA US N 2 2040-06-25 Floating 5.66754840 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F062663 -15450000.00000000 PA USD -15556851.89000000 -2.36169986448 Short DBT USGA US N 2 2054-06-15 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31407LDD6 7373.35000000 PA USD 7511.56000000 0.001140336769 Long DBT USGA US N 2 2035-11-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 36204DX38 13020.71000000 PA USD 12077.71000000 0.001833528163 Long DBT USGA US N 2 2041-07-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AXEH2 723363.70000000 PA USD 682608.96000000 0.103627488371 Long DBT USGA US N 2 2027-12-15 Fixed 1.12500000 N N N N N N Government National Mortgage Association N/A 36291YF51 8876.58000000 PA USD 9185.15000000 0.001394405993 Long DBT USGA US N 2 2036-05-15 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138E3BR3 169823.79000000 PA USD 155980.20000000 0.023679496327 Long DBT USGA US N 2 2042-04-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 3620AJZE2 1732.72000000 PA USD 1749.04000000 0.000265523356 Long DBT USGA US N 2 2040-04-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HB3G7 3190000.00000000 PA USD 3146448.84000000 0.477665266184 Long DBT USGA US N 2 2028-10-25 Fixed 4.86000000 N N N N N N Government National Mortgage Association N/A 38383RJZ1 4522739.29000000 PA USD 4285288.24000000 0.650553513476 Long DBT USGA US N 2 2047-09-20 Fixed 4.00000000 N N N N N N United States of America N/A N/A -1048.00000000 NC USD -112594500.00000000 -17.0930736675 N/A DIR US N 1 J.P. MORGAN SECURITIES N/A Short U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Jun 2024 2024-06-21 -115325778.51000000 USD 2731278.51000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140M7SW2 905546.70000000 PA USD 785403.45000000 0.119232813588 Long DBT USGA US N 2 2036-12-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ANHJ9 580174.25000000 PA USD 20923.17000000 0.003176365507 Long DBT USGA US N 2 2055-04-25 Floating 0.25966800 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F052656 13546000.00000000 PA USD 13147083.17000000 1.995870678750 Long DBT USGA US N 2 2054-05-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PQBF7 5600.07000000 PA USD 5567.79000000 0.000845251274 Long DBT USGA US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138EKFT7 136900.23000000 PA USD 132567.93000000 0.020125258280 Long DBT USGA US N 2 2028-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38378D3G8 1119177.58000000 PA USD 1075602.96000000 0.163288265699 Long DBT USGA US N 2 2027-03-20 Fixed 2.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140NUVD8 2862480.00000000 PA USD 2766940.21000000 0.420051715166 Long DBT USGA US N 2 2029-04-01 Fixed 4.39000000 N N N N N N Government National Mortgage Association N/A 38383DY69 3131379.54000000 PA USD 2647525.98000000 0.401923332071 Long DBT USGA US N 2 2049-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38380TE93 914957.78000000 PA USD 148713.67000000 0.022576357785 Long DBT USGA US N 2 2047-03-20 Fixed 4.00000000 N N N N N N N/A N/A N/A 5900000.00000000 PA USD 5900000.00000000 0.895684377466 Long RA US N 2 Repurchase Y 5.31000000 N/A 5900000.27300000 USD 6018000.28000000 USD AMBS N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BMHP4 1900170.02000000 PA USD 1761154.72000000 0.267362503221 Long DBT USGA US N 2 2044-03-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H7U76 5776984.95000000 PA USD 5312673.07000000 0.806521740913 Long DBT USGA US N 2 2046-01-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31396YSV5 422592.42000000 PA USD 421462.53000000 0.063982610815 Long DBT USGA US N 2 2038-03-25 Floating 6.14450160 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H4FG0 2204077.22000000 PA USD 1823524.99000000 0.276830990756 Long DBT USGA US N 2 2050-07-25 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XFDG3 1949312.71000000 PA USD 1741104.46000000 0.264318654976 Long DBT USGA US N 2 2036-09-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132LQA80 2362336.96000000 PA USD 2131557.40000000 0.323593671670 Long DBT USGA US N 2 2036-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38379QFZ3 29343.20000000 PA USD 99.46000000 0.000015099113 Long DBT USGA US N 2 2026-12-16 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31394UVF6 719364.47000000 PA USD 707878.74000000 0.107463716704 Long DBT USGA US N 2 2035-11-25 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38379M6M1 851812.89000000 PA USD 173771.36000000 0.026380388542 Long DBT USGA US N 2 2045-09-20 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ANZG5 501042.38000000 PA USD 478646.29000000 0.072663729539 Long DBT USGA US N 2 2034-09-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38378JAS1 307058.36000000 PA USD 42438.81000000 0.006442674426 Long DBT USGA US N 2 2043-02-16 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XJED1 352934.03000000 PA USD 323505.31000000 0.049111635965 Long DBT USGA US N 2 2046-03-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVR7 535268.11000000 PA USD 418725.14000000 0.063567045144 Long DBT USGA US N 2 2041-09-01 Fixed 1.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CHP9 3375000.00000000 PA USD 3201457.51000000 0.486016182513 Long DBT USGA US N 2 2033-07-15 Fixed 1.37500000 N N N N N N Government National Mortgage Association N/A 38378MSZ9 173494.73000000 PA USD 4684.79000000 0.000711202239 Long DBT USGA US N 2 2027-03-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BFP54 1599053.35000000 PA USD 1523194.90000000 0.231237606062 Long DBT USGA US N 2 2037-10-15 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XGL23 1983043.25000000 PA USD 1869130.07000000 0.283754339517 Long DBT USGA US N 2 2033-03-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140X5UZ4 364410.02000000 PA USD 349750.21000000 0.053095898154 Long DBT USGA US N 2 2032-09-01 Fixed 3.50000000 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563PQP7 614111.52000000 PA USD 532394.83000000 0.080823344385 Long ABS-MBS US N 2 2059-11-25 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HBLV4 4600000.00000000 PA USD 4488971.64000000 0.681474876074 Long DBT USGA US N 2 2028-12-25 Fixed 4.57200000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418CDJ0 3659721.69000000 PA USD 3298230.08000000 0.500707314567 Long DBT USGA US N 2 2036-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38378P4B1 130813.45000000 PA USD 23467.49000000 0.003562621045 Long DBT USGA US N 2 2044-01-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9UK1 1309848.90000000 PA USD 1217973.19000000 0.184901620077 Long DBT USGA US N 2 2033-02-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138ABXS3 104406.79000000 PA USD 103629.47000000 0.015732084292 Long DBT USGA US N 2 2026-04-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AHEU0 9765707.74000000 PA USD 9631685.12000000 1.462194896722 Long DBT USGA US N 2 2043-12-25 Floating 5.84449920 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0N32 728202.19000000 PA USD 668415.25000000 0.101472728319 Long DBT USGA US N 2 2049-07-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AXD36 1556114.43000000 PA USD 1452143.73000000 0.220451263185 Long DBT USGA US N 2 2045-05-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PRHB8 2970.10000000 PA USD 2950.03000000 0.000447846743 Long DBT USGA US N 2 2025-04-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XGQ77 5696590.81000000 PA USD 5559527.02000000 0.843996864053 Long DBT USGA US N 2 2034-11-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AXQ73 1713187.73000000 PA USD 314928.79000000 0.047809626647 Long DBT USGA US N 2 2047-09-25 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138AP3U0 118721.61000000 PA USD 116284.06000000 0.017653189133 Long DBT USGA US N 2 2026-08-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140EVJ73 4119269.23000000 PA USD 3924844.05000000 0.595834152470 Long DBT USGA US N 2 2031-06-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36296QPS2 72322.94000000 PA USD 72795.93000000 0.011051216482 Long DBT USGA US N 2 2039-01-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association N/A 38383T4H3 1220934.70000000 PA USD 1158329.08000000 0.175846993376 Long DBT USGA US N 2 2048-12-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 36295AHS7 1750.78000000 PA USD 1753.93000000 0.000266265711 Long DBT USGA US N 2 2038-01-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BVRU2 2498663.57000000 PA USD 2350760.68000000 0.356871121396 Long DBT USGA US N 2 2044-07-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MC3N3 586.01000000 PA USD 581.48000000 0.000088275008 Long DBT USGA US N 2 2026-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 3620ADBH4 8050.43000000 PA USD 7792.57000000 0.001182997154 Long DBT USGA US N 2 2039-10-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FLYR9 3606246.91000000 PA USD 3609136.96000000 0.547906371391 Long DBT USGA US N 2 2026-04-25 Floating 5.91688080 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PPMF7 177.62000000 PA USD 176.95000000 0.000026862940 Long DBT USGA US N 2 2024-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B3RT9 2172227.08000000 PA USD 2118336.95000000 0.321586663106 Long DBT USGA US N 2 2053-06-25 Fixed 4.00000000 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563P5Y1 1349191.76000000 PA USD 1157564.57000000 0.175730932416 Long ABS-MBS US N 2 2061-03-25 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AP2M3 350340.96000000 PA USD 31765.55000000 0.004822357097 Long DBT USGA US N 2 2035-09-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38379F3V9 124636.24000000 PA USD 1713.47000000 0.000260123442 Long DBT USGA US N 2 2041-02-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38378UDX2 898250.15000000 PA USD 863682.25000000 0.131116389562 Long DBT USGA US N 2 2027-08-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397BF48 1436811.53000000 PA USD 1424333.25000000 0.216229328869 Long DBT USGA US N 2 2032-04-15 Floating 5.84449920 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PRNE5 2746.36000000 PA USD 2727.10000000 0.000414003536 Long DBT USGA US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJZB9 3635538.48000000 PA USD 3087265.79000000 0.468680633422 Long DBT USGA US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38377GTK5 703034.82000000 PA USD 673974.66000000 0.102316707418 Long DBT USGA US N 2 2039-12-16 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B5FZ3 724803.65000000 PA USD 651360.82000000 0.098883679757 Long DBT USGA US N 2 2048-02-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BJGU1 966251.14000000 PA USD 886174.62000000 0.134530976752 Long DBT USGA US N 2 2044-02-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36295QBA7 34388.14000000 PA USD 35623.26000000 0.005407999568 Long DBT USGA US N 2 2038-04-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PQE23 1161.05000000 PA USD 1156.24000000 0.000175529848 Long DBT USGA US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31325YB31 3923974.39000000 PA USD 537679.37000000 0.081625595219 Long DBT USGA US N 2 2052-03-15 Fixed 2.50000000 N N N N N N United States of America N/A N/A -494.00000000 NC USD -51742640.63000000 -7.85509743409 N/A DIR US N 1 MORGAN STANLEY & CO, INC N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Jun 2024 2024-07-01 -52706310.25000000 USD 963669.62000000 N N N Government National Mortgage Association N/A 38378C3R6 2366075.75000000 PA USD 2280448.89000000 0.346197024471 Long DBT USGA US N 2 2027-02-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AURW1 3000000.00000000 PA USD 2797712.70000000 0.424723314920 Long DBT USGA US N 2 2032-10-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140J7YP4 273054.01000000 PA USD 263111.67000000 0.039943222431 Long DBT USGA US N 2 2031-04-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PRRN1 3019.01000000 PA USD 2996.78000000 0.000454943903 Long DBT USGA US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H6XV2 2882796.43000000 PA USD 2616108.93000000 0.397153881076 Long DBT USGA US N 2 2051-09-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38379GWF0 2384606.04000000 PA USD 2234696.83000000 0.339251362543 Long DBT USGA US N 2 2029-10-20 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XMW51 458671.71000000 PA USD 420965.51000000 0.063907157755 Long DBT USGA US N 2 2051-08-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XMDB9 455470.05000000 PA USD 417670.55000000 0.063406946875 Long DBT USGA US N 2 2049-01-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31392EHN3 31161.46000000 PA USD 30835.69000000 0.004681194203 Long DBT USGA US N 2 2032-04-25 Floating 5.84449920 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140QTHC6 3036502.61000000 PA USD 3080330.79000000 0.467627824751 Long DBT USGA US N 2 2053-11-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BMTW6 1400705.56000000 PA USD 1383685.59000000 0.210058570557 Long DBT USGA US N 2 2025-01-25 Fixed 2.59800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H4GG9 3442122.93000000 PA USD 542175.67000000 0.082308182620 Long DBT USGA US N 2 2051-09-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BAJM5 4987391.12000000 PA USD 4605393.37000000 0.699148965016 Long DBT USGA US N 2 2034-05-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F2LL8 17477538.38000000 PA USD 325438.76000000 0.049405154771 Long DBT USGA US N 2 2027-06-25 Floating 0.88100640 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XLDE5 2636456.55000000 PA USD 2474710.44000000 0.375688047434 Long DBT USGA US N 2 2035-06-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B9W45 3074638.76000000 PA USD 611101.67000000 0.092771901502 Long DBT USGA US N 2 2050-06-25 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GQGM8 1737220.69000000 PA USD 1762295.25000000 0.267535648120 Long DBT USGA US N 2 2053-11-01 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418M7B2 66.75000000 PA USD 67.02000000 0.000010174367 Long DBT USGA US N 2 2024-09-01 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XJBT9 13862320.60000000 PA USD 13584676.89000000 2.062302180221 Long DBT USGA US N 2 2031-11-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38379GKJ5 2689539.56000000 PA USD 2529009.28000000 0.383931203824 Long DBT USGA US N 2 2029-09-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FHJ20 578196.44000000 PA USD 123330.63000000 0.018722935348 Long DBT USGA US N 2 2048-02-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMVZ3 736132.25000000 PA USD 678868.05000000 0.103059577414 Long DBT USGA US N 2 2032-02-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BSAJ2 453561.71000000 PA USD 68421.82000000 0.010387178856 Long DBT USGA US N 2 2033-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association N/A 38381BD76 2202516.19000000 PA USD 338153.63000000 0.051335410775 Long DBT USGA US N 2 2044-07-16 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31419A3M7 551538.39000000 PA USD 524213.18000000 0.079581280642 Long DBT USGA US N 2 2040-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31294L7K3 196.65000000 PA USD 195.05000000 0.000029610718 Long DBT USGA US N 2 2025-06-01 Fixed 4.50000000 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563PJF7 3654393.79000000 PA USD 3394564.20000000 0.515331885126 Long ABS-MBS US N 2 2058-07-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38379WGB2 1144538.90000000 PA USD 204439.48000000 0.031036143792 Long DBT USGA US N 2 2045-11-16 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 3622A2DP4 73968.15000000 PA USD 75839.61000000 0.011513280316 Long DBT USGA US N 2 2041-06-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398LUM8 573778.06000000 PA USD 553124.57000000 0.083970345108 Long DBT USGA US N 2 2040-01-15 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140LKE58 1825000.00000000 PA USD 1757283.14000000 0.266774755132 Long DBT USGA US N 2 2028-04-01 Fixed 4.19000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288VPV5 27.27000000 PA USD 27.09000000 0.000004112557 Long DBT USGA US N 2 2024-06-01 Floating 5.37500160 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XBH69 3410922.22000000 PA USD 3293103.30000000 0.499929013422 Long DBT USGA US N 2 2029-01-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31385PHB3 21251.69000000 PA USD 21107.42000000 0.003204336668 Long DBT USGA US N 2 2029-08-01 Floating 6.25899960 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31325UDY9 432786.92000000 PA USD 14775.12000000 0.002243024433 Long DBT USGA US N 2 2028-01-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWMV3 3106515.69000000 PA USD 2991131.25000000 0.454086361284 Long DBT USGA US N 2 2033-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38379GUB1 3958633.40000000 PA USD 3702250.92000000 0.562042086526 Long DBT USGA US N 2 2029-09-20 Fixed 2.00000000 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563PDZ9 3553800.94000000 PA USD 3214914.04000000 0.488059030597 Long ABS-MBS US N 2 2057-05-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396TLH4 985450.20000000 PA USD 972344.01000000 0.147612430386 Long DBT USGA US N 2 2036-04-15 Floating 5.74449840 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A5R97 3317955.45000000 PA USD 3260980.51000000 0.495052423395 Long DBT USGA US N 2 2039-09-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38380GZW7 195756.24000000 PA USD 35219.58000000 0.005346716540 Long DBT USGA US N 2 2047-09-16 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ABSM6 616895.98000000 PA USD 579968.96000000 0.088045616421 Long DBT USGA US N 2 2028-02-25 Fixed 1.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AX5Z2 678222.79000000 PA USD 639880.41000000 0.097140828251 Long DBT USGA US N 2 2027-12-15 Fixed 1.25000000 N N N N N N Government National Mortgage Association N/A 38380CG23 520382.88000000 PA USD 88374.75000000 0.013416251345 Long DBT USGA US N 2 2047-02-20 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQWL6 832463.81000000 PA USD 833339.60000000 0.126510044210 Long DBT USGA US N 2 2053-03-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 38374CG88 1658738.81000000 PA USD 1653570.51000000 0.251030046245 Long DBT USGA US N 2 2033-10-20 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AUTQ2 1074075.70000000 PA USD 917123.92000000 0.139229418194 Long DBT USGA US N 2 2042-07-15 Fixed 1.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B02D7 2143949.73000000 PA USD 1946470.31000000 0.295495431842 Long DBT USGA US N 2 2057-12-25 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQGQ3 1628345.55000000 PA USD 1622242.30000000 0.246274082131 Long DBT USGA US N 2 2052-12-01 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A5YH3 1062177.97000000 PA USD 31472.76000000 0.004777908380 Long DBT USGA US N 2 2027-04-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418BMN3 1388606.23000000 PA USD 1290861.88000000 0.195966918539 Long DBT USGA US N 2 2035-02-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31397QYH5 3808116.33000000 PA USD 3634708.04000000 0.551788340352 Long DBT USGA US N 2 2031-03-25 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AFBB7 9045951.01000000 PA USD 8531989.93000000 1.295249167627 Long DBT USGA US N 2 2041-09-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BAV82 436064.43000000 PA USD 11864.31000000 0.001801131714 Long DBT USGA US N 2 2027-02-15 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31410LTT9 1581668.33000000 PA USD 1463449.61000000 0.222167619133 Long DBT USGA US N 2 2031-10-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 36296KML3 670.87000000 PA USD 677.91000000 0.000102914134 Long DBT USGA US N 2 2038-06-15 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BCU57 3784823.71000000 PA USD 589932.90000000 0.089558251234 Long DBT USGA US N 2 2050-12-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ACAN1 1094410.72000000 PA USD 1029843.44000000 0.156341471261 Long DBT USGA US N 2 2028-02-25 Fixed 1.25000000 N N N N N N Government National Mortgage Association N/A 38381TR23 1439887.71000000 PA USD 228510.90000000 0.034690448001 Long DBT USGA US N 2 2048-05-20 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CJP7 53650000.00000000 PA USD 52926982.56000000 8.034893461940 Long SN UST US N 2 2026-12-15 Fixed 4.37500000 N N N N N N Government National Mortgage Association N/A 38380YYX7 1406531.58000000 PA USD 1271263.19000000 0.192991623547 Long DBT USGA US N 2 2047-09-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AMML0 754297.95000000 PA USD 706262.90000000 0.107218414561 Long DBT USGA US N 2 2043-06-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B8NA3 1495596.94000000 PA USD 1232793.49000000 0.187151503328 Long DBT USGA US N 2 2050-02-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BUTP3 417818.85000000 PA USD 382629.44000000 0.058087324028 Long DBT USGA US N 2 2045-09-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397JYV0 1457953.21000000 PA USD 1443973.48000000 0.219210930086 Long DBT USGA US N 2 2037-07-15 Floating 5.96450160 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31396KYA4 130657.20000000 PA USD 129481.79000000 0.019656748554 Long DBT USGA US N 2 2036-08-25 Floating 5.79449880 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AVNH8 1327794.03000000 PA USD 1252594.28000000 0.190157479305 Long DBT USGA US N 2 2043-11-25 Fixed 3.25000000 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563PGG8 1893578.25000000 PA USD 1775240.97000000 0.269500949672 Long ABS-MBS US N 2 2057-08-25 Floating 3.34886040 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PM6L9 136.95000000 PA USD 136.20000000 0.000020676646 Long DBT USGA US N 2 2024-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association N/A 36200MM83 765.54000000 PA USD 784.07000000 0.000119030381 Long DBT USGA US N 2 2033-06-15 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F070658 7795000.00000000 PA USD 7956380.82000000 1.207865424008 Long DBT USGA US N 2 2054-05-15 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BXEK4 2253850.67000000 PA USD 2150401.40000000 0.326454396485 Long DBT USGA US N 2 2045-01-15 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138ENAA7 723879.57000000 PA USD 687998.34000000 0.104445655061 Long DBT USGA US N 2 2043-01-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ACFC0 1280510.13000000 PA USD 1204739.66000000 0.182892625826 Long DBT USGA US N 2 2028-02-25 Fixed 1.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128HDPZ6 714.30000000 PA USD 708.87000000 0.000107614200 Long DBT USGA US N 2 2029-04-01 Floating 6.12000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PR5K1 6313.28000000 PA USD 6266.26000000 0.000951286641 Long DBT USGA US N 2 2025-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31417Y6A0 274465.13000000 PA USD 266668.38000000 0.040483169818 Long DBT USGA US N 2 2031-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ARZH2 59091.30000000 PA USD 1781.47000000 0.000270446584 Long DBT USGA US N 2 2027-07-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association N/A 38380FKG0 455212.05000000 PA USD 414509.49000000 0.062927063475 Long DBT USGA US N 2 2045-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38379MVD3 1469344.94000000 PA USD 1337181.92000000 0.202998806029 Long DBT USGA US N 2 2044-12-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H4ZH6 3644986.13000000 PA USD 654121.56000000 0.099302790212 Long DBT USGA US N 2 2052-01-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FAMQ8 558875.16000000 PA USD 509075.42000000 0.077283203499 Long DBT USGA US N 2 2047-08-15 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XGUS6 2463938.88000000 PA USD 2297399.55000000 0.348770319615 Long DBT USGA US N 2 2033-11-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31393L6N8 1469679.46000000 PA USD 1475272.91000000 0.223962525082 Long DBT USGA US N 2 2032-12-15 Floating 6.19449840 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AGEA6 5799488.69000000 PA USD 5437250.31000000 0.825433925261 Long DBT USGA US N 2 2043-09-25 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140LKP98 1714241.00000000 PA USD 1665527.86000000 0.252845302447 Long DBT USGA US N 2 2028-05-01 Fixed 4.46000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H0GP7 7546074.66000000 PA USD 143171.67000000 0.021735021714 Long DBT USGA US N 2 2028-03-25 Floating 0.86443560 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FUSU9 3884989.98000000 PA USD 553542.31000000 0.084033762598 Long DBT USGA US N 2 2050-06-25 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38378GF60 2406511.45000000 PA USD 2298180.65000000 0.348888899118 Long DBT USGA US N 2 2027-12-16 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138EQFE7 232254.28000000 PA USD 220751.44000000 0.033512477306 Long DBT USGA US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133GDKR0 728951.07000000 PA USD 632263.75000000 0.095984536154 Long DBT USGA US N 2 2036-06-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398FER8 861464.15000000 PA USD 832493.80000000 0.126381642542 Long DBT USGA US N 2 2039-10-25 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XBVH0 994398.66000000 PA USD 862514.20000000 0.130939066827 Long DBT USGA US N 2 2036-05-01 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398FPH8 1700738.78000000 PA USD 1712354.66000000 0.259954121634 Long DBT USGA US N 2 2039-10-25 Floating 6.36450120 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PPYY3 2551.21000000 PA USD 2533.31000000 0.000384584100 Long DBT USGA US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PQJH5 84.26000000 PA USD 84.01000000 0.000012753634 Long DBT USGA US N 2 2024-11-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179UZV7 1225834.62000000 PA USD 1152074.18000000 0.174897431306 Long DBT USGA US N 2 2049-09-20 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BPGF2 3022097.11000000 PA USD 2973849.93000000 0.451462868344 Long DBT USGA US N 2 2039-04-25 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138A9XF6 55200.33000000 PA USD 54201.64000000 0.008228400369 Long DBT USGA US N 2 2026-05-01 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31407MJK2 4086.47000000 PA USD 4153.21000000 0.000630502595 Long DBT USGA US N 2 2035-08-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FYUL8 10141629.30000000 PA USD 276562.23000000 0.041985164204 Long DBT USGA US N 2 2031-03-25 Floating 0.61025040 N N N N N N Government National Mortgage Association N/A 38380BAQ8 173684.34000000 PA USD 5382.15000000 0.000817069096 Long DBT USGA US N 2 2028-09-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWNB6 2176506.65000000 PA USD 2079640.68000000 0.315712147088 Long DBT USGA US N 2 2032-03-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XFDF5 2612746.40000000 PA USD 2333557.73000000 0.354259525877 Long DBT USGA US N 2 2036-07-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B03B0 8234378.77000000 PA USD 7755445.89000000 1.177361309146 Long DBT USGA US N 2 2046-03-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ARFX1 2071271.89000000 PA USD 335042.73000000 0.050863142210 Long DBT USGA US N 2 2046-02-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PRTC3 5444.45000000 PA USD 5407.48000000 0.000820914467 Long DBT USGA US N 2 2025-06-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A9GA0 272084.15000000 PA USD 10230.64000000 0.001553122782 Long DBT USGA US N 2 2027-10-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 36241LWY8 24115.06000000 PA USD 24271.35000000 0.003684655765 Long DBT USGA US N 2 2041-02-15 Fixed 5.50000000 N N N N N N United States of America N/A N/A -348.00000000 NC USD -38356125.00000000 -5.82287829536 N/A DIR US N 1 MONTGOMERY/BANK OF AMERICA N/A Short U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2024 2024-06-21 -39583591.92000000 USD 1227466.92000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138LGPF7 1124071.60000000 PA USD 1062465.83000000 0.161293906020 Long DBT USGA US N 2 2027-01-01 Fixed 2.96000000 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563PBT5 3422253.00000000 PA USD 3129259.20000000 0.475055691268 Long ABS-MBS US N 2 2056-07-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36202E2D0 9256.58000000 PA USD 9642.45000000 0.001463829122 Long DBT USGA US N 2 2039-02-20 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140NUPR4 3325000.00000000 PA USD 3312344.19000000 0.502849990470 Long DBT USGA US N 2 2029-02-01 Fixed 5.17000000 N N N N N N United States of America N/A N/A 1198.00000000 NC USD 242782187.50000000 36.85698516456 N/A DIR US N 1 J.P. MORGAN SECURITIES N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Jun 2024 2024-07-01 245098088.91000000 USD -2315901.41000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PQCT6 149.03000000 PA USD 148.57000000 0.000022554547 Long DBT USGA US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BTAB7 1094598.29000000 PA USD 1062346.61000000 0.161275807124 Long DBT USGA US N 2 2026-07-25 Fixed 2.95800000 N N N N N N Government National Mortgage Association N/A 36296NYR1 28567.65000000 PA USD 28934.69000000 0.004392601660 Long DBT USGA US N 2 2038-08-15 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398FPU9 1712204.18000000 PA USD 1718844.45000000 0.260939342569 Long DBT USGA US N 2 2039-10-25 Floating 6.29449920 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F050650 -56625000.00000000 PA USD -53652620.68000000 -8.14505324630 Short DBT US N 2 2045-05-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140QE3Y6 817489.35000000 PA USD 728536.36000000 0.110599768825 Long DBT USGA US N 2 2035-09-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FL7L2 2329375.04000000 PA USD 2332538.33000000 0.354104769834 Long DBT USGA US N 2 2026-02-25 Floating 5.92688160 N N N N N N Government National Mortgage Association N/A 36295NSA6 19946.69000000 PA USD 20417.93000000 0.003099664562 Long DBT USGA US N 2 2038-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association N/A 38383MDR6 2723982.50000000 PA USD 2416584.62000000 0.366863913722 Long DBT USGA US N 2 2052-02-20 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CGL9 45200000.00000000 PA USD 44361328.01000000 6.734533637667 Long SN UST US N 2 2026-02-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MCGA7 10.75000000 PA USD 10.72000000 0.000001627412 Long DBT USGA US N 2 2024-07-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A6DE1 25177.54000000 PA USD 1813.66000000 0.000275333377 Long DBT USGA US N 2 2042-05-25 Floating 5.53749480 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398GND7 2114641.61000000 PA USD 2114235.60000000 0.320964033424 Long DBT USGA US N 2 2040-01-25 Floating 6.19449840 N N N N N N FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST N/A 35563P3S6 7904258.26000000 PA USD 6870817.59000000 1.043065080641 Long ABS-MBS US N 2 2060-11-25 Fixed 2.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AKQM8 14815010.14000000 PA USD 14759265.70000000 2.240617578029 Long DBT USGA US N 2 2024-06-25 Floating 3.05600040 N N N N N N Government National Mortgage Association 2 N/A 36179SEH6 1633420.20000000 PA USD 1462353.52000000 0.222001220711 Long DBT USGA US N 2 2046-06-20 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BQHQ5 4271729.84000000 PA USD 371370.95000000 0.056378162399 Long DBT USGA US N 2 2048-01-25 Floating 0.70549920 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BQQR3 4096050.86000000 PA USD 314228.54000000 0.047703321056 Long DBT USGA US N 2 2049-10-25 Floating 0.55550160 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140XKJM3 11933182.25000000 PA USD 11445967.48000000 1.737622755394 Long DBT USGA US N 2 2028-01-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BDR42 3901254.53000000 PA USD 633659.32000000 0.096196398908 Long DBT USGA US N 2 2051-02-25 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38380U4R1 4657885.77000000 PA USD 4068034.41000000 0.617572011531 Long DBT USGA US N 2 2046-10-20 Fixed 2.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138YWSA6 44258.73000000 PA USD 41156.04000000 0.006247935943 Long DBT USGA US N 2 2031-01-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31396VL55 167613.23000000 PA USD 167740.77000000 0.025464879178 Long DBT USGA US N 2 2037-05-25 Fixed 5.60000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140LKWY5 1429878.00000000 PA USD 1365614.81000000 0.207315228975 Long DBT USGA US N 2 2028-06-01 Fixed 4.03000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31374CSS6 2674513.85000000 PA USD 2399631.19000000 0.364290198061 Long DBT USGA US N 2 2043-08-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 3620A9AU5 60765.45000000 PA USD 59461.10000000 0.009026843785 Long DBT USGA US N 2 2039-12-15 Fixed 5.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136BCVU1 3286970.60000000 PA USD 671662.53000000 0.101965700856 Long DBT USGA US N 2 2050-11-25 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B9YK7 1769507.59000000 PA USD 109260.37000000 0.016586916353 Long DBT USGA US N 2 2033-04-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 36296DA81 17753.12000000 PA USD 18232.03000000 0.002767821091 Long DBT USGA US N 2 2038-07-15 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418BYW0 45406.67000000 PA USD 42757.98000000 0.006491127914 Long DBT USGA US N 2 2031-02-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398GKJ7 1357758.84000000 PA USD 1357935.89000000 0.206149485131 Long DBT USGA US N 2 2040-01-25 Floating 6.19449840 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136ACFL0 726292.77000000 PA USD 682909.12000000 0.103673055934 Long DBT USGA US N 2 2028-02-25 Fixed 1.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AQBH2 1301614.30000000 PA USD 1213039.45000000 0.184152624511 Long DBT USGA US N 2 2035-08-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A8ZH6 816852.27000000 PA USD 773970.30000000 0.117497136666 Long DBT USGA US N 2 2027-09-25 Fixed 1.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FFMX2 3251364.97000000 PA USD 457120.13000000 0.069395823570 Long DBT USGA US N 2 2051-03-25 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38378DVY8 211103.78000000 PA USD 204201.83000000 0.031000065929 Long DBT USGA US N 2 2040-10-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396RPG6 48878.22000000 PA USD 48273.34000000 0.007328419743 Long DBT USGA US N 2 2036-05-15 Floating 5.79449880 N N N N N N Government National Mortgage Association N/A 36295UX30 6309.27000000 PA USD 6478.97000000 0.000983578340 Long DBT USGA US N 2 2037-12-15 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B23J9 104598.21000000 PA USD 104023.62000000 0.015791920562 Long DBT USGA US N 2 2025-08-25 Floating 5.83311960 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31325YRN0 4629794.68000000 PA USD 575541.72000000 0.087373513082 Long DBT USGA US N 2 2052-06-15 Fixed 2.00000000 N N N N N N 2024-04-30 SEI DAILY INCOME TRUST Glenn Kurdziel Glenn Kurdziel CFO XXXX