0001752724-20-037920.txt : 20200227
0001752724-20-037920.hdr.sgml : 20200227
20200226210150
ACCESSION NUMBER: 0001752724-20-037920
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200227
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: BLACKROCK INCOME TRUST, INC.
CENTRAL INDEX KEY: 0000832327
IRS NUMBER: 133463349
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05542
FILM NUMBER: 20658093
BUSINESS ADDRESS:
STREET 1: 100 BELLEVUE PARKWAY
STREET 2: MUTUAL FUND DEPARTMENT
CITY: WILMINGTON
STATE: DE
ZIP: 19809
BUSINESS PHONE: 888-825-2257
MAIL ADDRESS:
STREET 1: 100 BELLEVUE PARKWAY
STREET 2: MUTUAL FUND DEPARTMENT
CITY: WILMINGTON
STATE: DE
ZIP: 19809
FORMER COMPANY:
FORMER CONFORMED NAME: BLACKROCK INCOME TRUST INC.
DATE OF NAME CHANGE: 20121009
FORMER COMPANY:
FORMER CONFORMED NAME: BLACKROCK INCOME TRUST INC
DATE OF NAME CHANGE: 19930309
FORMER COMPANY:
FORMER CONFORMED NAME: BLACKSTONE INCOME TRUST INC
DATE OF NAME CHANGE: 19920703
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000832327
XXXXXXXX
BlackRock Income Trust, Inc.
811-05542
0000832327
TZVEKBHO1R4X5PI73286
100 Bellevue Parkway
Wilmington
19809
800-441-7762
BlackRock Income Trust, Inc.
TZVEKBHO1R4X5PI73286
2019-12-31
2019-12-31
N
612036733.94
210249351.21
401787382.73
0
0
0
0
0
0
0
0
0
0
9018119.9
0
0
557821.59
USD
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ALGM3
19268.88000000
PA
USD
20588.68000000
0.005124272409
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC-GNMA
254900HROIFWPRGM1V77
FHLMC-GNMA
3133T55A7
40094.76000000
PA
USD
44072.32000000
0.010969065205
Long
ABS-MBS
USGSE
US
N
2
2024-08-17
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AXT39
37344281.00000000
PA
USD
7524473.04000000
1.872749957670
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Floating
4.36000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137B5KE2
8884000.00000000
PA
USD
10104394.19000000
2.514860999701
Long
ABS-MBS
USGSE
US
N
2
2041-08-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
312905EW8
2.69000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2021-03-15
Floating
727.74000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8SJ3
1551805.28000000
PA
USD
1660957.80000000
0.413392224692
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NHS2
427317.32000000
PA
USD
459685.30000000
0.114410088459
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
4.50000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2019-SB61 Mortgage Trust
30309LAL2
1264926.83000000
PA
USD
1305171.11000000
0.324841238451
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Variable
3.17000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374JJS6
506.20000000
PA
USD
505.57000000
0.000125830233
Long
ABS-MBS
USGA
US
N
2
2034-10-20
Fixed
6.00000000
N
N
N
N
N
N
Federal Housing Authority USGI
N/A
FHA USGI
362995YS5
883605.90000000
PA
USD
872384.11000000
0.217125810191
Long
ABS-MBS
USGA
US
N
3
2021-06-01
Fixed
7.43000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F032617
3264000.00000000
PA
USD
3357712.48000000
0.835693858076
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AAS28
2035.67000000
PA
USD
2175.47000000
0.000541448062
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AMU8
143476.87000000
PA
USD
158311.23000000
0.039401742514
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137F4VK5
10000000.00000000
PA
USD
11039760.00000000
2.747662190133
Long
ABS-MBS
USGSE
US
N
2
2048-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AMLC1
33342665.82000000
PA
USD
713763.11000000
0.177646969685
Long
ABS-MBS
USGSE
US
N
2
2024-09-25
Variable
0.54000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392B5G7
54404.09000000
PA
USD
50297.93000000
0.012518543926
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RCV9
1894201.49000000
PA
USD
2087239.17000000
0.519488480653
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.00000000
N
N
N
N
N
N
Kidder Peabody Acceptance Corp
N/A
Kidder Peabody Acceptance Corp I
493918BN5
20146.68000000
PA
USD
21559.98000000
0.005366017183
Long
ABS-MBS
CORP
US
N
2
2023-08-25
Floating
13.29000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2003-J8
12669EX27
13044.12000000
PA
USD
12311.22000000
0.003064113142
Long
ABS-MBS
CORP
US
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394BGX6
1867315.56000000
PA
USD
2095613.75000000
0.521572811908
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Floating
9.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400CEY6
597157.20000000
PA
USD
661316.19000000
0.164593568246
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358FLA5
93.20000000
PA
USD
0.10000000
0.000000024888
Long
ABS-MBS
USGSE
US
N
2
2020-11-25
Floating
18.37000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BE51 RRP FNMA 30YR 2.05 1 RRP HSSUS 20200114
000000000
-8996721.85000000
PA
USD
-8996721.85000000
-2.23917480655
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
8652335.04000000
USD
9249703.85000000
USD
AMBS
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VGR1
5853920.28000000
PA
USD
840975.36000000
0.209308553764
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Floating
4.89000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DC40
1009866.71000000
PA
USD
1113000.58000000
0.277012327375
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406UT99
21169.16000000
PA
USD
23399.24000000
0.005823786660
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QY7
-917000.00000000
PA
USD
-980688.51000000
-0.24408146003
Short
DBT
UST
US
N
2
2042-11-15
Fixed
2.75000000
N
N
N
N
N
N
FANNIEMAE STRIP
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HUF2
1754.87000000
PA
USD
1703.65000000
0.000424017794
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224YPK9
110.72000000
PA
USD
114.15000000
0.000028410548
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
7.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BE77 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-1741372.74000000
PA
USD
-1741372.74000000
-0.43340652664
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
1625580.10000000
USD
1791940.70000000
USD
AMBS
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2018-C14 Commercial Mortgage Trust
12596GBB4
2393754.29000000
PA
USD
96931.73000000
0.024125130396
Long
ABS-MBS
CORP
US
N
2
2051-11-15
Variable
0.57000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36220QNP1
5.93000000
PA
USD
5.94000000
0.000001478393
Long
ABS-MBS
USGA
US
N
2
2020-05-15
Fixed
9.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224SH39
2008.09000000
PA
USD
2099.22000000
0.000522470363
Long
ABS-MBS
USGA
US
N
2
2023-04-15
Fixed
7.50000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
BRW03BRR9 RRP FNMA 40YR REPERF RRP CGI 20200114
000000000
-17250023.41000000
PA
USD
-17250023.41000000
-4.29332133149
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.08000000
2020-01-14
16606256.03000000
USD
17798938.10000000
USD
AMBS
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-4
35563PHF9
6978455.67000000
PA
USD
7232184.64000000
1.800002924646
Long
ABS-MBS
USGSE
US
N
2
2058-03-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137BDKG0
5100000.00000000
PA
USD
5370154.14000000
1.336566146878
Long
ABS-MBS
USGSE
US
N
2
2043-08-15
Fixed
3.50000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWP: USD 3.425000 28-MAR-2021
000000000
6000000.00000000
OU
Notional Amount
USD
175631.75000000
0.043712609591
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD - 3M US Dollar LIBOR BBA
US0003M Index
Y
2021-03-28
0
USD
-36388.67
USD
6000000
USD
212020.42
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDD5 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-2076280.81000000
PA
USD
-2076280.81000000
-0.51676107793
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
1960989.29000000
USD
2140747.12000000
USD
AMBS
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
31393GN59
515243.00000000
PA
USD
528748.65000000
0.131599117525
Long
ABS-MBS
USGSE
US
N
2
2022-12-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y6Y8
19407.72000000
PA
USD
21339.53000000
0.005311149856
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416TL49
3012422.06000000
PA
USD
3269272.01000000
0.813682099170
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BE44 RRP FNMA 30YR 2.05 1 RRP HSSUS 20200114
000000000
-2279260.47000000
PA
USD
-2279260.47000000
-0.56728025019
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
2162856.78000000
USD
2348419.62000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1UT0
0.01000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
4.66000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137A4U96
2367875.52000000
PA
USD
2580417.45000000
0.642234565074
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137AHVU9
800000.00000000
PA
USD
902062.08000000
0.224512296496
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CRN1
1827.46000000
PA
USD
1953.47000000
0.000486194958
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358UB54
5796.84000000
PA
USD
5573.28000000
0.001387121706
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
None
0.00000000
N
N
N
N
N
N
Federal Housing Authority-GMAC
N/A
FHA GMAC 56 PUTABLE PROJ
000000000
1.45000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
3
2022-11-01
Fixed
7.43000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AFMM1
37186056.72000000
PA
USD
6308952.92000000
1.570221761851
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Floating
4.26000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYG29
2595819.25000000
PA
USD
2768069.38000000
0.688938851487
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376LSL4
3951099.73000000
PA
USD
4004507.54000000
0.996673293419
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3133TNM68
1030503.65000000
PA
USD
1192487.39000000
0.296795629045
Long
ABS-MBS
USGSE
US
N
2
2030-03-15
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXFZ0
16606256.03000000
PA
USD
17798938.10000000
4.429939531466
Long
ABS-MBS
USGSE
US
N
2
2057-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGUH5
1023889.56000000
PA
USD
1178855.06000000
0.293402707668
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BE10 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-6804555.80000000
PA
USD
-6804555.80000000
-1.69357129976
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
6556880.11000000
USD
7031944.76000000
USD
AMBS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.346000 31-AUG-2023
000000000
12100000.00000000
OU
Notional Amount
USD
-355794.65000000
-0.08855296738
N/A
DIR
US
N
2
Chicago Mercantile Exchange
LCZ7XYGSLJUHFXXNXD88
USD - 3M US Dollar LIBOR BBA
US0003M Index
Y
2023-08-31
0
USD
-139.63
USD
12100000
USD
-355655.02
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXM1
1480432.62000000
PA
USD
1722375.80000000
0.428678418992
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377KJ68
2425871.25000000
PA
USD
2433411.59000000
0.605646591853
Long
ABS-MBS
USGA
US
N
2
2039-01-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36217FMY2
1943.42000000
PA
USD
1947.69000000
0.000484756387
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B2M6
102554.04000000
PA
USD
105872.48000000
0.026350374489
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358HMD4
885.51000000
PA
USD
903.64000000
0.000224905021
Long
ABS-MBS
USGSE
US
N
2
2021-08-25
Floating
21.93000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-1
35563PJF7
2243528.71000000
PA
USD
2316499.48000000
0.576548587529
Long
ABS-MBS
USGSE
US
N
2
2058-07-25
Fixed
3.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BEJ1 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-3174800.47000000
PA
USD
-3174800.47000000
-0.79016928018
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
3012422.06000000
USD
3269272.01000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TDT1
36917.87000000
PA
USD
40712.47000000
0.010132839344
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
312907ED6
1.27000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2021-10-15
Floating
988.69000000
N
N
N
N
N
N
STERLING COOFS TR 2004 1 PASSTHRU CTF 144A
N/A
STERLING COOFS TR 2004 1 PASSTHRU CTF 144A
859245AA0
1229327.88000000
PA
USD
45715.63000000
0.011378065107
Long
ABS-O
CORP
US
N
3
2029-04-15
Fixed
2.36000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2XW4
148012.48000000
PA
USD
159252.54000000
0.039636023141
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.406500 30-NOV-2023
000000000
4900000.00000000
OU
Notional Amount
USD
57804.41000000
0.014386815635
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD - 3M US Dollar LIBOR BBA
US0003M Index
Y
2023-11-30
0
USD
-60.46
USD
4900000
USD
57864.87
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137A2AG6
1254572.46000000
PA
USD
1366023.66000000
0.339986699113
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.00000000
N
Y
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A9PP3
167397.96000000
PA
USD
182264.17000000
0.045363338381
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358RAQ6
14074.01000000
PA
USD
217.82000000
0.000054212752
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Floating
1.60000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDQ6 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-4035999.02000000
PA
USD
-4035999.02000000
-1.00451114033
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
3830974.52000000
USD
4159267.63000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417JQU7
936242.83000000
PA
USD
1025516.21000000
0.255238530147
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR DEC20 XCME 20201214
000000000
-1.00000000
NC
USD
861.12000000
0.000214322310
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDZ0 Comdty
2020-12-14
-246811.12
USD
861.12
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B2MC3
2001000.00000000
PA
USD
2220328.21000000
0.552612726391
Long
ABS-MBS
USGSE
US
N
2
2048-07-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FB47
2495856.40000000
PA
USD
2757021.99000000
0.686189290282
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137A63K6
2862754.75000000
PA
USD
247228.07000000
0.061532064128
Long
ABS-MBS
USGSE
US
N
2
2040-02-15
Floating
4.81000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137FCZ49
3351000.00000000
PA
USD
3673376.25000000
0.914258736807
Long
ABS-MBS
USGSE
US
N
2
2047-11-15
Fixed
3.50000000
N
N
N
N
N
N
FannieMae Whole Loan
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMIC Trust 1999-W4
31359VB36
66872.80000000
PA
USD
5304.10000000
0.001320126073
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BYL3
18510.84000000
PA
USD
19771.27000000
0.004920828988
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203YHK3
781.77000000
PA
USD
789.74000000
0.000196556694
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BEK8 RRP FHLMC GOLD 30YR RRP HSSUS 20200114
000000000
-10728546.71000000
PA
USD
-10728546.71000000
-2.67020498182
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
9830806.64000000
USD
11070704.35000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXDJ8
39601393.44000000
PA
USD
42445489.09000000
10.56416674948
Long
ABS-MBS
USGSE
US
N
2
2056-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398STJ2
3060000.00000000
PA
USD
3365712.05000000
0.837684853897
Long
ABS-MBS
USGSE
US
N
2
2040-12-25
Fixed
4.00000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2019-SB60 Mortgage Trust
30308GAG5
1530339.59000000
PA
USD
1583704.67000000
0.394164858846
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Variable
3.31000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BED4 RRP FNMA 30YR 2.05 1 RRP HSSUS 20200114
000000000
-16859083.66000000
PA
USD
-16859083.66000000
-4.19602117554
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
16378368.60000000
USD
17465226.17000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UFY5
1030634.12000000
PA
USD
1119222.72000000
0.278560942455
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H8QD0
1672187.36000000
PA
USD
1783150.72000000
0.443804558491
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
V9WB33 TREASURY 2.45 BB CSNYB OPEN
000000000
958265.00000000
PA
USD
958265.00000000
0.238500520720
Long
RA
CORP
US
N
2
Repurchase
N
1.50000000
2049-12-31
917000.00000000
USD
980688.51000000
USD
UST
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADDL6
1625580.10000000
PA
USD
1791940.70000000
0.445992277762
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SNP1
1272747.85000000
PA
USD
1354321.03000000
0.337074056631
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
254900HROIFWPRGM1V77
Fannie Mae REMICS
31398SPL1
7000000.00000000
PA
USD
7890516.20000000
1.963853654733
Long
ABS-MBS
USGSE
US
N
2
2040-12-25
Fixed
4.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2019-C16 Commercial Mortgage Trust
12596WAE4
6491133.13000000
PA
USD
772936.87000000
0.192374599906
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Variable
1.57000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust 1999-2
911760MW3
13893540.24000000
PA
USD
13.89000000
0.000003457052
Long
ABS-MBS
CORP
US
N
2
2029-05-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
31395MHU6
4182848.16000000
PA
USD
4669033.15000000
1.162065647327
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.50000000
N
Y
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR MAR20 XCME 20200316
000000000
-33.00000000
NC
USD
-42846.79000000
-0.01066404567
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDH0 Comdty
2020-03-16
-8064015.71
USD
-42846.79
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B4V4
284026.20000000
PA
USD
293216.71000000
0.072978078108
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395DPW3
4264996.07000000
PA
USD
845918.04000000
0.210538726789
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Floating
4.81000000
N
N
N
N
N
N
Federal Housing Authority
N/A
FHA 99TH PROJECT USGI INC
000000000
5131.58000000
PA
USD
5161.34000000
0.001284594843
Long
ABS-MBS
USGA
US
N
3
2023-10-01
Fixed
7.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AX4Q5
3415000.00000000
PA
USD
3422065.98000000
0.851710662676
Long
ABS-MBS
USGSE
US
N
2
2057-10-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DGY9
2213081.04000000
PA
USD
2439750.24000000
0.607224204857
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412RH59
99804.59000000
PA
USD
110123.35000000
0.027408364407
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHDX7
5576864.85000000
PA
USD
5990266.07000000
1.490904475222
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B75D7
1000000.00000000
PA
USD
1111849.30000000
0.276725787765
Long
ABS-MBS
USGSE
US
N
2
2044-01-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MBEE3
14447.87000000
PA
USD
14934.70000000
0.003717065453
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR20 XCBT 20200320
000000000
-220.00000000
NC
USD
401238.20000000
0.099863315088
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYH0 Comdty
2020-03-20
-31355925.7
USD
401238.2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NPH7
3047872.80000000
PA
USD
3342234.74000000
0.831841636561
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137GADX2
4862010.07000000
PA
USD
366885.34000000
0.091313305437
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AD3V9
3733510.60000000
PA
USD
395631.53000000
0.098467883016
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Fixed
4.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BEC6 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-1813181.65000000
PA
USD
-1813181.65000000
-0.45127889225
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
1663230.70000000
USD
1866916.42000000
USD
AMBS
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDF0 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-5257391.37000000
PA
USD
-5257391.37000000
-1.30850086288
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
5061520.22000000
USD
5428232.98000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GYE7
45823.50000000
PA
USD
47457.00000000
0.011811470952
Long
ABS-MBS
USGSE
US
N
2
2023-01-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F030611
4600000.00000000
PA
USD
4665406.25000000
1.161162955964
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405SL77
578403.08000000
PA
USD
637076.97000000
0.158560720765
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A54P4
6556880.11000000
PA
USD
7031944.76000000
1.750165650354
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDG8 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-2387686.97000000
PA
USD
-2387686.97000000
-0.59426628924
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
2213081.04000000
USD
2439750.24000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415YHF9
918576.94000000
PA
USD
996582.34000000
0.248037241296
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FLU51
2196000.00000000
PA
USD
2340251.29000000
0.582460124581
Long
ABS-MBS
USGSE
US
N
2
2049-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSRP9
8652335.04000000
PA
USD
9249703.85000000
2.302138953978
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFC24
3830974.52000000
PA
USD
4159267.62000000
1.035191197826
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NX21
7964813.50000000
PA
USD
8785404.66000000
2.186580524332
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADC60
496492.70000000
PA
USD
539213.94000000
0.134203801108
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust
93934FFP2
90514.80000000
PA
USD
68000.66000000
0.016924538430
Long
ABS-MBS
CORP
US
N
2
2035-11-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2L84
575855.64000000
PA
USD
4713.03000000
0.001173015928
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
4.91000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR SEP20 XCME 20200914
000000000
-98.00000000
NC
USD
-291292.39000000
-0.07249913823
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDU0 Comdty
2020-09-14
-23808132.61
USD
-291292.39
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358GUK1
3.71000000
PA
USD
0.04000000
0.000000009955
Long
ABS-MBS
USGSE
US
N
2
2021-05-25
Floating
2108.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418QC68
1960989.29000000
PA
USD
2140747.12000000
0.532805959573
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377WSG0
15402000.00000000
PA
USD
16223277.77000000
4.037776811150
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MCQ5
7487852.79000000
PA
USD
8575072.54000000
2.134231414071
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AFN75
7000000.00000000
PA
USD
7855613.50000000
1.955166796583
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AD3D5
121614.10000000
PA
USD
133967.15000000
0.033342796652
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LBV3
137.79000000
PA
USD
145.20000000
0.000036138516
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203DYT1
104.09000000
PA
USD
107.08000000
0.000026650911
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AT5Q3
6912733.44000000
PA
USD
1122396.33000000
0.279350815442
Long
ABS-MBS
USGSE
US
N
2
2046-11-25
Floating
4.31000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BE85 RRP FNMA 30YR 2.05 1 RRP HSSUS 20200114
000000000
-5782264.45000000
PA
USD
-5782264.45000000
-1.43913539810
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
5576864.85000000
USD
5990266.07000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MAV0
123340.39000000
PA
USD
136900.54000000
0.034072881798
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QQL6
431199.78000000
PA
USD
456971.02000000
0.113734537131
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137A0N84
2756689.90000000
PA
USD
2787833.33000000
0.693857858616
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BQD3
14.10000000
PA
USD
14.11000000
0.000003511807
Long
ABS-MBS
USGSE
US
N
2
2021-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358JM24
14.53000000
PA
USD
0.08000000
0.000000019911
Long
ABS-MBS
USGSE
US
N
2
2021-10-25
Fixed
648.35000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-FL1
63874MAA0
289723.35000000
PA
USD
288629.47000000
0.071836369783
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
2.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358F6P9
2.16000000
PA
USD
7.44000000
0.000001851725
Long
ABS-MBS
USGSE
US
N
2
2021-03-25
Floating
951.92000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H37J9
16378368.60000000
PA
USD
17465226.17000000
4.346882684899
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358HP90
4.66000000
PA
USD
0.03000000
0.000000007466
Long
ABS-MBS
USGSE
US
N
2
2021-08-25
Fixed
930.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416TAH2
155048.27000000
PA
USD
169700.86000000
0.042236483098
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334YBG1
8699798.51000000
PA
USD
9195003.57000000
2.288524718601
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR JUN20 XCME 20200615
000000000
-87.00000000
NC
USD
-220990.81000000
-0.05500192875
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDM0 Comdty
2020-06-15
-21161434.19
USD
-220990.81
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
5299003GGM6YEXXXJ012
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR5
25150NAU8
17630.43000000
PA
USD
17544.58000000
0.004366632889
Long
ABS-MBS
CORP
US
N
2
2021-10-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MUA8
6934925.14000000
PA
USD
7622418.46000000
1.897127383196
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419E6R5
12597.07000000
PA
USD
13854.34000000
0.003448176970
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
RFCSP STRIP PRINCIPAL
N/A
Residual Funding Corp Principal Strip
76116FAC1
13000000.00000000
PA
USD
10150921.56000000
2.526441097036
Long
DBT
USGA
US
N
2
2030-04-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MBDE4
18569.80000000
PA
USD
19234.05000000
0.004787121454
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358TCF4
16670.39000000
PA
USD
16183.91000000
0.004027978651
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
None
0.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BE28 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-5594559.99000000
PA
USD
-5594559.99000000
-1.39241803761
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
5167316.06000000
USD
5798526.46000000
USD
AMBS
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224RMW1
429.84000000
PA
USD
430.78000000
0.000107215910
Long
ABS-MBS
USGA
US
N
2
2023-04-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AJT6
875807.37000000
PA
USD
936943.08000000
0.233193753779
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BRYR0
8000000.00000000
PA
USD
9271754.40000000
2.307627068078
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LQL9
115.66000000
PA
USD
115.86000000
0.000028836146
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36220TBC7
33.96000000
PA
USD
33.92000000
0.000008442276
Long
ABS-MBS
USGA
US
N
2
2020-04-15
Fixed
9.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137B9AB1
10787000.00000000
PA
USD
11458952.43000000
2.851994095021
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3129044V4
313.87000000
PA
USD
0.34000000
0.000000084621
Long
ABS-MBS
USGSE
US
N
2
2021-02-15
Floating
37.06000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR JUN21 XCME 20210614
000000000
-1.00000000
NC
USD
923.62000000
0.000229877800
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDM1 Comdty
2021-06-14
-247023.62
USD
923.62
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XJ92
5061520.22000000
PA
USD
5428232.98000000
1.351021264808
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208HM94
99.41000000
PA
USD
99.66000000
0.000024804163
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
8.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.703000 30-NOV-2023
000000000
1500000.00000000
OU
Notional Amount
USD
436.27000000
0.000108582304
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD - 3M US Dollar LIBOR BBA
US0003M Index
Y
2023-11-30
0
USD
-18.51
USD
1500000
USD
454.78
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137AN5V3
15407765.00000000
PA
USD
17207230.17000000
4.282670613766
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AEJQ7
5136.71000000
PA
USD
5661.61000000
0.001409105970
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FHSG9
1069000.00000000
PA
USD
1196459.11000000
0.297784141918
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJLW6
2162856.78000000
PA
USD
2348419.62000000
0.584493122716
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3129127E2
5667.94000000
PA
USD
5469.94000000
0.001361401635
Long
ABS-MBS
USGSE
US
N
2
2022-11-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394ED96
132875.12000000
PA
USD
158838.97000000
0.039533090591
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Floating
12.89000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B5JD8
6623052.38000000
PA
USD
1152388.60000000
0.286815527199
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
4.31000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKG3
792274.46000000
PA
USD
823445.07000000
0.204945477482
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050619
641732.00000000
PA
USD
686051.62000000
0.170749916370
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACAB7
8678190.82000000
PA
USD
767259.68000000
0.190961616262
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AJGT5
2859000.00000000
PA
USD
3145610.18000000
0.782904171511
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BEE2 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-8550498.99000000
PA
USD
-8550498.99000000
-2.12811535591
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
7964813.50000000
USD
8785404.66000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418VW73
234489.58000000
PA
USD
258579.67000000
0.064357339507
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.00000000
N
N
N
N
N
N
BlackRock Liquidity Funds
5493007YVNX55LTRQ706
BlackRock Liquidity Funds: T-Fund, Institutional Shares
09248U718
11451861.01000000
NS
USD
11451861.01000000
2.850229126705
Long
STIV
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358U6R2
1029.35000000
PA
USD
996.75000000
0.000248078969
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2V67
28670336.87000000
PA
USD
5534017.23000000
1.377349679922
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
4.21000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDS2 RRP GNMA2 30YR 2.05 RRP HSSUS 20200114
000000000
-2652823.29000000
PA
USD
-2652823.29000000
-0.66025549930
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
2495856.40000000
USD
2757021.99000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFW71
349205.04000000
PA
USD
384943.30000000
0.095807712373
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224NXM0
412.15000000
PA
USD
413.05000000
0.000102803128
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
31394PCV3
3483249.48000000
PA
USD
3741702.06000000
0.931264201124
Long
ABS-MBS
USGSE
US
N
2
2034-01-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378DHX6
10000000.00000000
PA
USD
10584869.00000000
2.634445344719
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KZE0
656000.67000000
PA
USD
720964.72000000
0.179439362953
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223NTR5
56.28000000
PA
USD
56.44000000
0.000014047230
Long
ABS-MBS
USGA
US
N
2
2021-09-15
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H1XR6
3201403.10000000
PA
USD
3428737.87000000
0.853371215069
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
5.00000000
N
N
N
N
N
N
FANNIEMAE STRIP
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HJV0
113.20000000
PA
USD
6.01000000
0.000001495816
Long
ABS-MBS
USGSE
US
N
2
2021-08-25
Fixed
9.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379UH41
9077627.48000000
PA
USD
740614.58000000
0.184329974467
Long
ABS-MBS
USGA
US
N
2
2058-02-16
Variable
1.18000000
N
N
N
N
N
N
Federal Housing Authority
N/A
FHA ML 54 5254
000000000
564.08000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
3
2023-05-15
Fixed
7.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358FEX3
1.59000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2020-10-25
Fixed
1009.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137ANZV0
1447323.67000000
PA
USD
158322.16000000
0.039404462859
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
4.50000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2005-A15
45660L3P2
192348.71000000
PA
USD
161052.06000000
0.040083901815
Long
ABS-MBS
CORP
US
N
2
2036-02-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VHH2
6984902.56000000
PA
USD
1256567.91000000
0.312744492239
Long
ABS-MBS
USGA
US
N
2
2041-04-16
Floating
4.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359RSW3
557341.26000000
PA
USD
43727.43000000
0.010883226273
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Fixed
6.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.300500 31-AUG-2023
000000000
14100000.00000000
OU
Notional Amount
USD
-389565.05000000
-0.09695800981
N/A
DIR
US
N
2
Chicago Mercantile Exchange
LCZ7XYGSLJUHFXXNXD88
USD - 3M US Dollar LIBOR BBA
US0003M Index
Y
2023-08-31
0
USD
-162.7
USD
14100000
USD
-389402.35
N
N
N
CitiMortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2007-A5
12566WAG5
258357.50000000
PA
USD
58685.60000000
0.014606133124
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR33
45668JAM8
31188089.40000000
PA
USD
311.88000000
0.000077623144
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
0.17000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1C69
8087374.08000000
PA
USD
8815022.62000000
2.193952074877
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Floating
5.14000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032625
400000.00000000
PA
USD
411289.23000000
0.102364894389
Long
ABS-MBS
USGSE
US
N
2
2050-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8DZ0
1639065.00000000
PA
USD
1876119.20000000
0.466943284095
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Fixed
4.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BE69 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-1802587.30000000
PA
USD
-1802587.30000000
-0.44864208720
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
1710903.23000000
USD
1835219.17000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y2B2
380374.48000000
PA
USD
419128.12000000
0.104315898909
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFU73
415190.00000000
PA
USD
443827.71000000
0.110463326893
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F022410
180000.00000000
PA
USD
181645.31000000
0.045209311642
Long
ABS-MBS
USGSE
US
N
2
2035-01-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RX26
465068.70000000
PA
USD
4398.71000000
0.001094785498
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417TQD3
2373198.26000000
PA
USD
2588918.75000000
0.644350435399
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8KK0
784492.19000000
PA
USD
836549.28000000
0.208206956205
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust Series 2018-2
N/A
Seasoned Credit Risk Transfer Trust Series 2018-2
35563PFG9
1446900.88000000
PA
USD
1499862.52000000
0.373297565943
Long
ABS-MBS
USGSE
US
N
2
2057-11-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376PA59
738038.87000000
PA
USD
103657.56000000
0.025799107800
Long
ABS-MBS
USGA
US
N
2
2039-12-16
Floating
4.73000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
31393HLZ3
2066.80000000
PA
USD
0.65000000
0.000000161777
Long
ABS-MBS
USGSE
US
N
2
2030-08-15
Variable
0.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
Government National Mortgage Association
38379RUV3
3198157.70000000
PA
USD
192172.82000000
0.047829481029
Long
ABS-MBS
USGA
US
N
2
2057-11-16
Variable
0.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RF87
802150.25000000
PA
USD
883984.08000000
0.220012901847
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137AAW82
10000000.00000000
PA
USD
11092986.00000000
2.760909495123
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358FZX0
170.55000000
PA
USD
168.39000000
0.000041910225
Long
ABS-MBS
USGSE
US
N
2
2021-02-25
None
0.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3133T4GR1
114257.67000000
PA
USD
109161.71000000
0.027169023889
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
None
0.00000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
BRW03BRQ1 RRP FNMA 40YR REPERF RRP CGI 20200114
000000000
-41138597.98000000
PA
USD
-41138597.98000000
-10.2388974239
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.08000000
2020-01-14
39601393.44000000
USD
42445489.09000000
USD
AMBS
N
N
N
FHLMC Structured Pass Through Securities
254900HROIFWPRGM1V77
Freddie Mac Structured Pass-Through Certificates
3133TBMJ6
1618.73000000
PA
USD
1599.84000000
0.000398180746
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
312905HS4
1.74000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2021-03-15
Fixed
1084.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QJJ8
5341539.59000000
PA
USD
5622124.79000000
1.399278581572
Long
ABS-MBS
USGSE
US
N
2
2041-02-25
Fixed
4.00000000
N
Y
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398PPG8
5565596.50000000
PA
USD
6006539.23000000
1.494954667114
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359FQ68
39859.36000000
PA
USD
44728.05000000
0.011132268439
Long
ABS-MBS
USGSE
US
N
2
2023-12-25
Floating
10.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR20 XCBT 20200320
000000000
-39.00000000
NC
USD
51708.65000000
0.012869655002
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
-5060161.78
USD
51708.65
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AP6K3
21569577.32000000
PA
USD
3504525.70000000
0.872233885541
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Floating
4.46000000
N
N
N
N
N
N
One Bryant Park Trust
N/A
One Bryant Park Trust 2019-OBP
68236JAA9
1717000.00000000
PA
USD
1671583.63000000
0.416036864732
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Fixed
2.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393YBA2
4185750.40000000
PA
USD
5082408.87000000
1.264949843737
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Fixed
7.50000000
N
Y
N
N
N
N
FannieMae Whole Loan
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMIC Trust 1999-W4
31359VB28
31621.97000000
PA
USD
30082.99000000
0.007487290864
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
None
0.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR20 XCBT 20200320
000000000
-413.00000000
NC
USD
1411765.27000000
0.351371230327
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USH0 Comdty
2020-03-20
-65801046.52
USD
1411765.27
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GYA3
11647046.00000000
PA
USD
1608218.29000000
0.400266001155
Long
ABS-MBS
USGA
US
N
2
2042-08-16
Floating
4.51000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224GXF0
216.23000000
PA
USD
216.76000000
0.000053948931
Long
ABS-MBS
USGA
US
N
2
2022-10-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AMQY4
265598.16000000
PA
USD
292036.13000000
0.072684246084
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1LW3
43000000.00000000
PA
USD
48080321.00000000
11.96660797890
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3133T0EZ3
49674.07000000
PA
USD
48286.25000000
0.012017861206
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
362204M55
232.08000000
PA
USD
232.74000000
0.000057926159
Long
ABS-MBS
USGA
US
N
2
2021-02-15
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QSU4
1105577.53000000
PA
USD
1199708.25000000
0.298592813405
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
SBA 001 IO
N/A
SBA 001 IO
000000000
79203.89000000
PA
USD
0.01000000
0.000000002488
Long
ABS-O
CORP
US
N
3
2021-03-15
None
0.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDN3 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-7366822.74000000
PA
USD
-7366822.74000000
-1.83351271260
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
6934925.15000000
USD
7622418.46000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358KBQ0
2.61000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2021-10-25
Fixed
1078.42000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KPD5
11500819.12000000
PA
USD
568477.44000000
0.141487130864
Long
ABS-MBS
USGA
US
N
2
2051-09-16
Variable
0.79000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380XYC5
5439164.77000000
PA
USD
6159611.52000000
1.533052501088
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.00000000
N
Y
N
N
N
N
Federal Housing Authority USGI
N/A
FHA USGI 99
000000000
14814.87000000
PA
USD
14900.80000000
0.003708628155
Long
ABS-MBS
USGA
US
N
3
2023-10-01
Fixed
7.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETS56
1454303.78000000
PA
USD
1557347.11000000
0.387604782265
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-3
35563PGG8
2004133.52000000
PA
USD
2072834.42000000
0.515903313318
Long
ABS-MBS
USGSE
US
N
2
2057-08-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377D5P7
759436.67000000
PA
USD
758927.92000000
0.188887942384
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Fixed
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR MAR21 XCME 20210315
000000000
-1.00000000
NC
USD
911.12000000
0.000226766702
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDH1 Comdty
2021-03-15
-247011.12
USD
911.12
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203GD34
7010.99000000
PA
USD
7026.33000000
0.001748768204
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207RFG5
4690.82000000
PA
USD
5127.67000000
0.001276214789
Long
ABS-MBS
USGA
US
N
2
2026-12-15
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203N7F9
350.25000000
PA
USD
368.78000000
0.000091784863
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
7.50000000
N
N
N
N
N
N
FHLMC STRUCTURED PASS THROUGH SECURITIES
254900HROIFWPRGM1V77
Freddie Mac Structured Pass-Through Certificates
3133TDPY6
387080.04000000
PA
USD
397253.20000000
0.098871496984
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
0.14000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207DLQ7
7657.77000000
PA
USD
7746.45000000
0.001927997327
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358LHR0
98.60000000
PA
USD
3.01000000
0.000000749152
Long
ABS-MBS
USGSE
US
N
2
2022-01-25
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31365C4H7
0.86000000
PA
USD
0.86000000
0.000000214043
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203SP84
405.84000000
PA
USD
406.68000000
0.000101217713
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MPN6
5167316.06000000
PA
USD
5798526.45000000
1.443182812412
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BJGZ0
3932064.00000000
PA
USD
4209711.76000000
1.047746131647
Long
ABS-MBS
USGSE
US
N
2
2043-09-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208DU29
1727.95000000
PA
USD
1766.90000000
0.000439759951
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
8.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR DEC21 XCME 20211213
000000000
-3.00000000
NC
USD
2883.36000000
0.000717633286
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDZ1 Comdty
2021-12-13
-740845.86
USD
2883.36
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203DS27
14589.41000000
PA
USD
14936.14000000
0.003717423852
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AD3K9
364588.74000000
PA
USD
400692.33000000
0.099727454674
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXZ2
1663230.70000000
PA
USD
1866916.42000000
0.464652823917
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B4ZB7
18503156.00000000
PA
USD
3617629.74000000
0.900384107489
Long
ABS-MBS
USGSE
US
N
2
2049-06-25
Variable
4.26000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDE3 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-2512474.68000000
PA
USD
-2512474.68000000
-0.62532443476
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
2373198.26000000
USD
2588918.76000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418V4Y5
152524.50000000
PA
USD
168248.82000000
0.041875087977
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YRW9
17044.57000000
PA
USD
18790.99000000
0.004676849201
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3129035H6
0.64000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
3
2021-11-15
None
0.00000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWP: USD 5.411000 08/15/22
000000000
9565000.00000000
OU
Notional Amount
USD
1087367.07000000
0.270632458045
N/A
DIR
GB
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD - 3M US Dollar LIBOR BBA
US0003M Index
Y
2022-08-15
0
USD
0
USD
9565000
USD
1087367.07
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDZ6 RRP FNMA 30YR 2.05 1 RRP HSSUS 20200114
000000000
-3342615.20000000
PA
USD
-3342615.20000000
-0.83193632843
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
3201403.10000000
USD
3428737.87000000
USD
AMBS
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335ARP5
9830806.64000000
PA
USD
11070704.35000000
2.755363863040
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A14G7
14350496.00000000
PA
USD
15943495.77000000
3.968142469200
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
4.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDH6 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-2043648.71000000
PA
USD
-2043648.71000000
-0.50863934454
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
1894201.49000000
USD
2087239.17000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TTK3
11434.61000000
PA
USD
12219.76000000
0.003041349859
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393USU8
2649032.34000000
PA
USD
2726290.04000000
0.678540481155
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
312905GB2
3.47000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2021-03-15
Fixed
1008.00000000
N
N
N
N
N
N
FANNIEMAE STRIP
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HWH6
1559.54000000
PA
USD
1522.13000000
0.000378839671
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224GFC7
38.42000000
PA
USD
38.48000000
0.000009577204
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AP5N4
705547.85000000
PA
USD
777034.59000000
0.193394472648
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203LBU5
631.07000000
PA
USD
662.49000000
0.000164885715
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
-721.00000000
NC
USD
316369.06000000
0.078740416846
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
-85833728.44
USD
316369.06
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
312907NU8
1221.87000000
PA
USD
1405.25000000
0.000349749658
Long
ABS-MBS
USGSE
US
N
2
2021-10-15
Floating
32.77000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XYD7
30902892.22000000
PA
USD
1337301.03000000
0.332837985332
Long
ABS-MBS
USGA
US
N
2
2056-10-16
Variable
0.82000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359QFX7
30457.80000000
PA
USD
439.78000000
0.000109455901
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Floating
1.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358GRT6
7.91000000
PA
USD
0.03000000
0.000000007466
Long
ABS-MBS
USGSE
US
N
2
2021-05-25
Floating
920.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9WT6
5215376.94000000
PA
USD
5560717.50000000
1.383995052860
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
312904JZ9
3.28000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2022-02-15
Fixed
1009.03000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205KZ39
3109.27000000
PA
USD
3198.90000000
0.000796167360
Long
ABS-MBS
USGA
US
N
2
2027-01-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SMM9
697173.17000000
PA
USD
753906.93000000
0.187638278951
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A74Z2
1514633.18000000
PA
USD
68588.50000000
0.017070844667
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADKK0
49136.92000000
PA
USD
54135.54000000
0.013473678449
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AAR9
144301.74000000
PA
USD
158849.27000000
0.039535654136
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SNL0
1710903.23000000
PA
USD
1835219.17000000
0.456763763344
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDB9 RRP FNMA 30YR 2.05 RRP HSSUS 20200114
000000000
-3227064.95000000
PA
USD
-3227064.95000000
-0.80317727452
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
3047872.80000000
USD
3342234.74000000
USD
AMBS
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AJ4M3
20902294.62000000
PA
USD
3867284.02000000
0.962520025821
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Floating
4.26000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3129037Q4
0.69000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
2
2021-07-15
Fixed
1010.00000000
N
N
N
N
N
N
Sterling Bank Trust
N/A
Sterling COOFS Trust 2004-2
859245AB8
926407.57000000
PA
USD
35898.29000000
0.008934648409
Long
ABS-O
CORP
US
N
3
2030-03-30
Fixed
2.08000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDY9 RRP FNMA 30YR 2.05 1 RRP HSSUS 20200114
000000000
-5363405.93000000
PA
USD
-5363405.93000000
-1.33488659936
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
5215376.94000000
USD
5560717.51000000
USD
AMBS
N
N
N
HSBC SECURITIES (USA) INC
CYYGQCGNHMHPSMRL3R97
BRW03BDJ2 RRP FNMA 30YR 2.05 1 RRP HSSUS 20200114
000000000
-2672008.12000000
PA
USD
-2672008.12000000
-0.66503037050
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2020-01-14
2595819.25000000
USD
2768069.38000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBUF3
8699754.73000000
PA
USD
9342922.99000000
2.325340065812
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416PRP4
316928.65000000
PA
USD
346963.57000000
0.086355018826
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224RWE0
164.24000000
PA
USD
164.57000000
0.000040959474
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A82M7
22494.98000000
PA
USD
24222.63000000
0.006028718431
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TWD5
37962.55000000
PA
USD
41879.32000000
0.010423254138
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3137A3QD4
2000000.00000000
PA
USD
2241677.80000000
0.557926380059
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac REMICS
3129035N3
0.64000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGSE
US
N
3
2021-11-15
Fixed
9.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300AGZIS1CJS4RM30
Wells Fargo Commercial Mortgage Trust 2018-C44
95001JAY3
5073363.04000000
PA
USD
255306.34000000
0.063542647423
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Variable
0.76000000
N
N
N
N
N
N
2020-01-27
BlackRock Income Trust, Inc.
Ann Frechette
Ann Frechette
Assistant Treasurer